Long-Term Structural Price Relationships in Real Estate Markets

This study investigates the long-run stochastic properties of real estate assets by geographical breakdown. We also study their linkages with financial assets. The initial tests find that almost all property types exhibit the presence of nonstationarity. Thus, cointegrated methodologies are used. Structural breakpoints identified in the literature are used as a guide to divide the data into two windows, 1983-1989 and 1990-1996. The results show that real estate in the different regions exhibit a closer relationship with each other in the second period, compared with the first. Also, strong linkages between real estate regions and financial assets are noted in the second period. The South is the only region to exhibit segmentation in both periods. Overall, the information derived from our analysis sheds light on linkages among real estate assets and between real estate and financial assets and also provides a framework for creating diversified portfolios.

Short-term options: clienteles, market segmentation, and event trading

Includes bibliographical references (pages 31-33).Published as: Journal of Banking & Finance, vol. 61, pp. 237-250, December 2015, https://doi.org/10.1016/j.jbankfin.2015.09.001We compare clientele and information share in weekly- (Weeklys) and monthly-expiring options (Monthlys) on the S&P 500 index. Striking dissimilarities between the two instruments are found, most apparent being the much smaller trade size and substantially higher implied volatility in Weeklys, consistent with both speculation and event trading. Additionally, the price discovery contribution of Weeklys, albeit modest when compared to the underlying index itself, is substantially larger than that of Monthlys. The cumulative evidence points to an increasingly segmented options market. Thus, studies employing only standard options to investigate price discovery will likely underestimate the informational role of options

Increasing frailty is associated with higher prevalence and reduced recognition of delirium in older hospitalised inpatients: results of a multi-centre study

Purpose: Delirium is a neuropsychiatric disorder delineated by an acute change in cognition, attention, and consciousness. It is common, particularly in older adults, but poorly recognised. Frailty is the accumulation of deficits conferring an increased risk of adverse outcomes. We set out to determine how severity of frailty, as measured using the CFS, affected delirium rates, and recognition in hospitalised older people in the United Kingdom. Methods: Adults over 65 years were included in an observational multi-centre audit across UK hospitals, two prospective rounds, and one retrospective note review. Clinical Frailty Scale (CFS), delirium status, and 30-day outcomes were recorded. Results: The overall prevalence of delirium was 16.3% (483). Patients with delirium were more frail than patients without delirium (median CFS 6 vs 4). The risk of delirium was greater with increasing frailty [OR 2.9 (1.8–4.6) in CFS 4 vs 1–3; OR 12.4 (6.2–24.5) in CFS 8 vs 1–3]. Higher CFS was associated with reduced recognition of delirium (OR of 0.7 (0.3–1.9) in CFS 4 compared to 0.2 (0.1–0.7) in CFS 8). These risks were both independent of age and dementia. Conclusion: We have demonstrated an incremental increase in risk of delirium with increasing frailty. This has important clinical implications, suggesting that frailty may provide a more nuanced measure of vulnerability to delirium and poor outcomes. However, the most frail patients are least likely to have their delirium diagnosed and there is a significant lack of research into the underlying pathophysiology of both of these common geriatric syndromes

Competitive inventory management in Treasury markets

We decompose US Treasury bid-ask spreads into inventory, adverse selection and order processing costs by using the fact that inventory trades have different effects on spreads than do proprietary trades. We exploit this asymmetry and develop a technique to identify the three components of the spread in order to test three hypotheses: dealers make larger changes to inventory (1) following macroeconomic announcements (2) at the start and toward the end of the New York trading hours, and (3) when transaction sizes are relatively large. We test these predictions using GovPX data for on-the-run 2-year and 10-year Treasury Notes. All three predictions are supported. We also assess how primary dealers react to the Federal Reserve's open market operations (OMOs). Our findings reveal interesting intraday patterns in the inventory component for both securities.Spreads Inventory Asymmetry Convergence

Properties of water confined in hydroxyapatite nanopores as derived from molecular dynamics simulations

N.H. de Leeuw is grateful to ‘Université ParisEst Créteil’ (UPEC) for financial support received during the course of this research. T.T. Pham is grateful to the ‘Institut des sciences de l’ingénierie et des systèmes’ (INSIS) of the ‘Centre national de la recherche scientifique’ (CNRS) for financial support received during the course of this research. D. Di Tommaso would like to thank the Royal Society, UK, for the award of a Royal Society Industry Fellowship

Tundra Trait Team : A database of plant traits spanning the tundra biome

Motivation The Tundra Trait Team (TTT) database includes field-based measurements of key traits related to plant form and function at multiple sites across the tundra biome. This dataset can be used to address theoretical questions about plant strategy and trade-offs, trait-environment relationships and environmental filtering, and trait variation across spatial scales, to validate satellite data, and to inform Earth system model parameters. Main types of variable contained Spatial location and grain The database contains 91,970 measurements of 18 plant traits. The most frequently measured traits (> 1,000 observations each) include plant height, leaf area, specific leaf area, leaf fresh and dry mass, leaf dry matter content, leaf nitrogen, carbon and phosphorus content, leaf C:N and N:P, seed mass, and stem specific density. Measurements were collected in tundra habitats in both the Northern and Southern Hemispheres, including Arctic sites in Alaska, Canada, Greenland, Fennoscandia and Siberia, alpine sites in the European Alps, Colorado Rockies, Caucasus, Ural Mountains, Pyrenees, Australian Alps, and Central Otago Mountains (New Zealand), and sub-Antarctic Marion Island. More than 99% of observations are georeferenced. Time period and grain Major taxa and level of measurement All data were collected between 1964 and 2018. A small number of sites have repeated trait measurements at two or more time periods. Trait measurements were made on 978 terrestrial vascular plant species growing in tundra habitats. Most observations are on individuals (86%), while the remainder represent plot or site means or maximums per species. Software format csv file and GitHub repository with data cleaning scripts in R; contribution to TRY plant trait database (www.try-db.org) to be included in the next version release.Peer reviewe

Tundra Trait Team:a database of plant traits spanning the tundra biome

Abstract Motivation: The Tundra Trait Team (TTT) database includes field‐based measurements of key traits related to plant form and function at multiple sites across the tundra biome. This dataset can be used to address theoretical questions about plant strategy and trade‐offs, trait–environment relationships and environmental filtering, and trait variation across spatial scales, to validate satellite data, and to inform Earth system model parameters. Main types of variable contained: The database contains 91,970 measurements of 18 plant traits. The most frequently measured traits (> 1,000 observations each) include plant height, leaf area, specific leaf area, leaf fresh and dry mass, leaf dry matter content, leaf nitrogen, carbon and phosphorus content, leaf C:N and N:P, seed mass, and stem specific density. Spatial location and grain: Measurements were collected in tundra habitats in both the Northern and Southern Hemispheres, including Arctic sites in Alaska, Canada, Greenland, Fennoscandia and Siberia, alpine sites in the European Alps, Colorado Rockies, Caucasus, Ural Mountains, Pyrenees, Australian Alps, and Central Otago Mountains (New Zealand), and sub‐Antarctic Marion Island. More than 99% of observations are georeferenced. Time period and grain: All data were collected between 1964 and 2018. A small number of sites have repeated trait measurements at two or more time periods. Major taxa and level of measurement: Trait measurements were made on 978 terrestrial vascular plant species growing in tundra habitats. Most observations are on individuals (86%), while the remainder represent plot or site means or maximums per species. Software format: csv file and GitHub repository with data cleaning scripts in R; contribution to TRY plant trait database (www.try-db.org) to be included in the next version release