Financial correlations at ultra-high frequency: theoretical models and empirical estimation

A detailed analysis of correlation between stock returns at high frequency is compared with simple models of random walks. We focus in particular on the dependence of correlations on time scales - the so-called Epps effect. This provides a characterization of stochastic models of stock price returns which is appropriate at very high frequency.Comment: 22 pages, 8 figures, 1 table, version to appear in EPJ

Ab-Initio Calculation of Molecular Aggregation Effects: a Coumarin-343 Case Study

We present time-dependent density functional theory (TDDFT) calculations for single and dimerized Coumarin-343 molecules in order to investigate the quantum mechanical effects of chromophore aggregation in extended systems designed to function as a new generation of sensors and light-harvesting devices. Using the single-chromophore results, we describe the construction of effective Hamiltonians to predict the excitonic properties of aggregate systems. We compare the electronic coupling properties predicted by such effective Hamiltonians to those obtained from TDDFT calculations of dimers, and to the coupling predicted by the transition density cube (TDC) method. We determine the accuracy of the dipole-dipole approximation and TDC with respect to the separation distance and orientation of the dimers. In particular, we investigate the effects of including Coulomb coupling terms ignored in the typical tight-binding effective Hamiltonian. We also examine effects of orbital relaxation which cannot be captured by either of these models

Temporal Variability of Organic C and Nitrate in a Shallow Aquifer

The loading of organic substrates into shallow aquifers may follow seasonal cycles, which will impact the transport and fate of agrichemicals. The objective of this research was to measure temporal changes in the groundwater dissolved organic C (DOC) and nitrate concentrations. Groundwater monitoring wells were installed and sediment samples from the aquifer were collected in 1991. Sediment samples were used to evaluate denitrification potentials, while water samples were collected at periodic intervals in 1992 and 1993 from the surface of the aquifer. Water samples were analyzed for nitrate-N and DOC-C. Denitrification was observed in sediment amended with nitrate and incubated under anaerobic conditions at 10°C. Addition of algae lazed biomass increased denitrification, establishing that denitrification was substrate limited. In the aquifer, DOC concentrations followed seasonal patterns. DOC concentrations were highest following spring recharge and then decreased. Peak timing indicates that freezing and thawing were responsible for seasonal DOC patterns. These findings show that seasonally driven physical processes, such as freezing and thawing, influence organic substrate transport from surface to subsurface environments, and that this process should be taken into account when assessing agrichemical detoxification rates in shallow aquifers

Quantum-Key Distribution With Vector Modes

High-dimensional encoding using higher degrees of freedom has become topical in quantum communication protocols. When taking advantage of entanglement correlations, the state space can be made even larger. Here, we exploit the entanglement between two dimensional space and polarization qubits, to realize a four-dimensional quantum key distribution protocol. This is achieved by using entangled states as a basis, analogous to the Bell basis, rather than typically encoding information on individual qubits. The encoding and decoding in the required complementary bases is achieved by manipulating the Pancharatnam-Berry phase with a single optical element: a q-plate. Our scheme shows a transmission fidelity of 0.98 and secret key rate of 0.9 bits per photon. While the use of only static elements is preferable, we show that the low secret key rate is a consequence of the filter based detection of the modes, rather than our choice of encoding modes

Chlamydia control activities in Europe: cross-sectional survey

Background: Chlamydia is the most commonly reported bacterial sexually transmitted infection in Europe. The objective of the Screening for Chlamydia in Europe (SCREen) project was to describe current and planned chlamydia control activities in Europe. Methods: The authors sent a questionnaire asking about different aspects of chlamydia epidemiology and control to public health and clinical experts in each country in 2007. The principles of sexually transmitted infection control were used to develop a typology comprising five categories of chlamydia control activities. Each country was assigned to a category, based on responses to the questionnaire. Results: Experts in 29 of 33 (88%) invited countries responded. Thirteen of 29 countries (45%) had no current chlamydia control activities. Six countries in this group stated that there were plans to introduce chlamydia screening programmes. There were five countries (17%) with case management guidelines only. Three countries (10%) also recommended case finding amongst partners of diagnosed chlamydia cases or people with another sexually transmitted infection. Six countries (21%) further specified groups of asymptomatic people eligible for opportunistic chlamydia testing. Two countries (7%) reported a chlamydia screening programme. There was no consistent association between the per capita gross domestic product of a country and the intensity of chlamydia control activities (P = 0.816). Conclusion: A newly developed classification system allowed the breadth of ongoing national chlamydia control activities to be described and categorized. Chlamydia control strategies should ensure that clinical guidelines to optimize chlamydia diagnosis and case management have been implemented before considering the appropriateness of screening programmes

Asymmetric Conditional Volatility in International Stock Markets

Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to appraise the hypothesis under which the conditional mean and the conditional variance of stock returns are asymmetric functions of past information. We compare the results for the Portuguese Stock Market Index PSI 20 with six other Stock Market Indices, namely the S&P 500, FTSE100, DAX 30, CAC 40, ASE 20, and IBEX 35. In order to assess asymmetric volatility we use autoregressive conditional heteroskedasticity specifications known as TARCH and EGARCH. We also test for asymmetry after controlling for the effect of macroeconomic factors on stock market returns using TAR and M-TAR specifications within a VAR framework. Our results show that the conditional variance is an asymmetric function of past innovations raising proportionately more during market declines, a phenomenon known as the leverage effect. However, when we control for the effect of changes in macroeconomic variables, we find no significant evidence of asymmetric behaviour of the stock market returns. There are some signs that the Portuguese Stock Market tends to show somewhat less market efficiency than other markets since the effect of the shocks appear to take a longer time to dissipate.Comment: 11 pages, 3 figure

Evidence of a high incidence of subclinically affected calves in a herd of cattle with fatal cases of Bovine Neonatal Pancytopenia (BNP).

BACKGROUND: Bovine Neonatal Pancytopenia (BNP) is a disease of calves characterised by bone marrow trilineage hypoplasia, mediated by ingestion of alloantibodies in colostrum. Suspected subclinical forms of BNP have been reported, suggesting that observed clinical cases may not represent the full extent of the disease. However to date there are no objective data available on the incidence of subclinical disease or its temporal distribution. This study aimed to 1) ascertain whether subclinical BNP occurs and, if so, to determine the incidence on an affected farm and 2) determine whether there is evidence of temporal clustering of BNP cases on this farm. To achieve these aims, haematological screening of calves born on the farm during one calving season was carried out, utilising blood samples collected at defined ages. These data were then analysed in comparison to data from both known BNP-free control animals and histopathologically confirmed BNP cases. An ordinal logistic regression model was used to create a composite haematology score to predict the probabilities of calves being normal, based on their haematology measurements at 10–14 days old. RESULTS: This study revealed that 15% (21 of 139) of the clinically normal calves on this farm had profoundly abnormal haematology (<5% chance of being normal) and could be defined as affected by subclinical BNP. Together with clinical BNP cases, this gave the study farm a BNP incidence of 18%. Calves with BNP were found to be distributed throughout the calving period, with no clustering, and no significant differences in the date of birth of cases or subclinical cases were found compared to the rest of the calves. This study did not find any evidence of increased mortality or increased time from birth to sale in subclinical BNP calves but, as the study only involved a single farm and adverse effects may be determined by other inter-current diseases it remains possible that subclinical BNP has a detrimental impact on the health and productivity of calves under certain circumstances. CONCLUSIONS: Subclinical BNP was found to occur at a high incidence in a herd of cattle with fatal cases of BNP

Comparison of the genetic algorithm and incremental optimisation routines for a Bayesian inverse modelling based network design

The design of an optimal network of atmospheric monitoring stations for the observation of carbon dioxide (CO2) concentrations can be obtained by applying an optimisation algorithm to a cost function based on minimising posterior uncertainty in the CO2; fluxes obtained from a Bayesian inverse modelling solution. Two candidate optimisation methods assessed were the evolutionary algorithm: the Genetic Algorithm (GA), and the deterministic algorithm: the Incremental Optimisation (IO) routine. This paper assessed the ability of the IO routine in comparison to the more computationally demanding GA routine to optimise the placement of a five-member network of CO2 monitoring sites located in South Africa. The comparison considered the reduction in uncertainty of the overall flux estimate, the spatial similarity of solutions, and computational requirements. Although the IO routine failed to find the solution with the global maximum uncertainty reduction, the resulting solution had only fractionally lower uncertainty reduction compared with the GA, and at only a quarter of the computational resources used by the lowest specified GA algorithm. The GA solution set showed more inconsistency if the number of iterations or population size was small, and more so for a complex prior flux covariance matrix. If the GA completed with a sub-optimal solution, these solutions were similar in fitness to the best available solution. Two additional scenarios were considered, with the objective of creating circumstances where the GA may outperform the IO. The first scenario considered an established network, where the optimisation was required to add an additional five stations to an existing five-member network. In the second scenario the optimisation was based only on the uncertainty reduction within a subregion of the domain. The GA was able to find a better solution than the IO under both scenarios, but with only a marginal improvement in the uncertainty reduction. These results suggest that the best use of resources for the network design problem would be spent in improvement of the prior estimates of the flux uncertainties rather than investing these resources in running a complex evolutionary optimisation algorithm. The authors recommend that, if time and computational resources allow, that multiple optimisation techniques should be used as a part of a comprehensive suite of sensitivity tests when performing such an optimisation exercise. This will provide a selection of best solutions which could be ranked based on their utility and practicality.</p

Exciton bimolecular annihilation dynamics in supramolecular nanostructures of conjugated oligomers

We present femtosecond transient absorption measurements on $\pi$-conjugated supramolecular assemblies in a high pump fluence regime. Oligo(\emph{p}-phenylenevinylene) monofunctionalized with ureido-\emph{s}-triazine (MOPV) self-assembles into chiral stacks in dodecane solution below 75$^{\circ}$C at a concentration of $4\times 10^{-4}$ M. We observe exciton bimolecular annihilation in MOPV stacks at high excitation fluence, indicated by the fluence-dependent decay of $1^1$B$_{u}$-exciton spectral signatures, and by the sub-linear fluence dependence of time- and wavelength-integrated photoluminescence (PL) intensity. These two characteristics are much less pronounced in MOPV solution where the phase equilibrium is shifted significantly away from supramolecular assembly, slightly below the transition temperature. A mesoscopic rate-equation model is applied to extract the bimolecular annihilation rate constant from the excitation fluence dependence of transient absorption and PL signals. The results demonstrate that the bimolecular annihilation rate is very high with a square-root dependence in time. The exciton annihilation results from a combination of fast exciton diffusion and resonance energy transfer. The supramolecular nanostructures studied here have electronic properties that are intermediate between molecular aggregates and polymeric semiconductors