Portfolio return autocorrelation and non-synchronous trading in UK equities

Although infrequent trading in equity stocks is more prevalent in the United Kingdom (and other non-United States countries), we find that it is proportionally more important in explaining the degree of serial correlation in stock returns in the US than in the UK, in contrast to much of the existing literature.We show that infrequent trading cannot explain more than a small proportion of the serial correlation observed in monthly UK stock returns and hence, other explanations for return predictability must be sought. Many studies have shown that stock market returns in the UK and other international markets are substantially and significantly serially correlated. The success of an investment strategy that is based on the apparent predictability of returns depends on whether the serial correlation is truly random and period specific or due to time varying risk premia or to market microstructure effects. A frequently noted explanation for this serial correlation is market thinness or, more precisely, the infrequency with which a substantial number of UK stocks are traded. Non-synchronous trading results in a measurement error in the observed data for returns on individual stocks, portfolios and market indices. This measurement error generates serial correlation in the observed returns. Here, we assess the extent to which the observed serial correlation in returns can be explained by equity non-trading behaviour. This will reveal whether there is any residual serial correlation left to be explained by alternative sources. We find that, whilst a proportion of the serial correlation in the returns of portfolios of low value stocks can be explained by non-trading, much of it still remains unexplained.

Leptogenesis from Pseudo-Scalar Driven Inflation

We examine recent claims for a considerable amount of leptogenesis, in some inflationary scenarios, through the gravitational anomaly in the lepton number current. We find that when the short distances contributions are properly included the amount of lepton number generated is actually much smaller.Comment: JHEP style, 11 pages. Corrected typ

Long-Wavelength Instability in Surface-Tension-Driven Benard Convection

Laboratory studies reveal a deformational instability that leads to a drained region (dry spot) in an initially flat liquid layer (with a free upper surface) heated uniformly from below. This long-wavelength instability supplants hexagonal convection cells as the primary instability in viscous liquid layers that are sufficiently thin or are in microgravity. The instability occurs at a temperature gradient 34% smaller than predicted by linear stability theory. Numerical simulations show a drained region qualitatively similar to that seen in the experiment.Comment: 4 pages. The RevTeX file has a macro allowing various styles. The appropriate style is "mypprint" which is the defaul

Charged BTZ-like Black Holes in Higher Dimensions

Motivated by many worthwhile paper about (2 + 1)-dimensional BTZ black holes, we generalize them to to (n + 1)-dimensional solutions, so called BTZ-like solutions. We show that the electric field of BTZ-like solutions is the same as (2 + 1)-dimensional BTZ black holes, and also their lapse functions are approximately the same, too. By these similarities, it is also interesting to investigate the geometric and thermodynamics properties of the BTZ-like solutions. We find that, depending on the metric parameters, the BTZ-like solutions may be interpreted as black hole solutions with inner (Cauchy) and outer (event) horizons, an extreme black hole or naked singularity. Then, we calculate thermodynamics quantities and conserved quantities, and show that they satisfy the first law of thermodynamics. Finally, we perform a stability analysis in the canonical ensemble and show that the BTZ-like solutions are stable in the whole phase space.Comment: 5 pages, two column format, one figur

The democratic origins of the term "group analysis": Karl Mannheim's "third way" for psychoanalysis and social science.

It is well known that Foulkes acknowledged Karl Mannheim as the first to use the term ‘group analysis’. However, Mannheim’s work is otherwise not well known. This article examines the foundations of Mannheim’s sociological interest in groups using the Frankfurt School (1929–1933) as a start point through to the brief correspondence of 1945 between Mannheim and Foulkes (previously unpublished). It is argued that there is close conjunction between Mannheim’s and Foulkes’s revision of clinical psychoanalysis along sociological lines. Current renderings of the Frankfurt School tradition pay almost exclusive attention to the American connection (Herbert Marcuse, Eric Fromm, Theodor Adorno and Max Horkheimer) overlooking the contribution of the English connection through the work of Mannheim and Foulkes

The Role of Verbal Competence and Multiple Risk on the Internalizing Behavior Problems of Costa Rican Youth

This longitudinal study examined internalizing behavior problems (anxiety/depression) in early adolescence in relation to adversity in early childhood and child verbal competence. We hypothesized that verbal competence would act as a protective factor in the face of early adversity, that is, high verbal IQ would predict relatively lower internalizing problems in early adolescence primarily for those children who experienced the greatest adversity. The sample was based on 191 Costa Rican children and their mothers, who were recruited in infancy from an urban community and assessed again at 5 and 11–14 years. Families were generally lower-middle to working class. A total of 165 children (94 boys) participated in the early adolescent follow-up (mean age = 12.3 years). Internalizing problems were based on maternal report (Spanish Child Behavior Checklist). Our cumulative risk index (CRI)_of adversity in early childhood consisted of home environment quality (HOME score), socioeconomic status, maternal depressed mood (CESD), and maternal IQ. Controlling for the effects of age, gender, internalizing problems at 5 years, and verbal IQ at 5 years, there was a significant interaction between early adversity and verbal IQ at age 11–14 years in predicting internalizing problems in early adolescence. Youth with high verbal IQ had comparable levels of internalizing problems regardless of high or low adversity in early childhood. In contrast, youth with low verbal IQ received higher internalizing problem ratings if they experienced high adversity early in life. The results raise the possibility that interventions to improve verbal competence might help lower the risk of internalizing problems in the face of early adversity.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/75135/1/annals.1376.034.pd

Physiological evidence consistent with reduced neuroplasticity in human adolescents born preterm

Preterm-born children commonly experience motor, cognitive, and learning difficulties that may be accompanied by altered brain microstructure, connectivity, and neurochemistry. However, the mechanisms linking the altered neurophysiology with the behavioral outcomes are unknown. Here we provide the first physiological evidence that human adolescents born preterm at or before 37 weeks of completed gestation have a significantly reduced capacity for cortical neuroplasticity, the key overall mechanism underlying learning and memory. We examined motor cortex neuroplasticity in three groups of adolescents who were born after gestations of ≤32 completed weeks (early preterm), 33–37 weeks (late preterm), and 38–41 weeks (term) using a noninvasive transcranial magnetic brain stimulation technique to induce long-term depression (LTD)-like neuroplasticity. Compared with term-born adolescents, both early and late preterm adolescents had reduced LTD-like neuroplasticity in response to brain stimulation that was also associated with low salivary cortisol levels. We also compared neuroplasticity in term-born adolescents with that in term-born young adults, finding that the motor cortex retains a relatively enhanced neuroplastic capacity in adolescence. These findings provide a possible mechanistic link between the altered brain physiology of preterm birth and the subsequent associated behavioral deficits, particularly in learning and memory. They also suggest that altered hypothalamic–pituitary–adrenal axis function due to preterm birth may be a significant modulator of this altered neuroplasticity. This latter finding may offer options in the development of possible therapeutic interventions

Narrow Line X-Ray Calibration Source for High Resolution Microcalorimeters

We are developing a narrow line calibration source for use with X-ray microcalorimeters. At energies below 300 electronvolts fluorescent lines are intrinsically broad, making calibration of high resolution detectors difficult. This source consists of a 405 nanometers (3 electronvolts) laser diode coupled to an optical fiber. The diode is pulsed to create approximately one hundred photons in a few microseconds. If the pulses are short compared to the rise time of the detector, they will be detected as single events with a total energy in the soft X-ray range. Poisson fluctuations in photon number per pulse create a comb of X-ray lines with 3 electronvolts spacing, so detectors with energy resolution better than 2 electronvolts are required to resolve the individual lines. Our currently unstabilized diode has a multimode width less than 1 nanometer, giving a 300 electronvolt event a Full width at half maximum (FWHM) less than 0.1 electronvolts. By varying the driving voltage, or pulse width, the source can produce a comb centered on a wide range of energies. The calibration events are produced at precisely known times. This allows continuous calibration of a flight mission without contaminating the observed spectrum and with minimal deadtime

The Coupled Cluster Method in Hamiltonian Lattice Field Theory

The coupled cluster or exp S form of the eigenvalue problem for lattice Hamiltonian QCD (without quarks) is investigated. A new construction prescription is given for the calculation of the relevant coupled cluster matrix elements with respect to an orthogonal and independent loop space basis. The method avoids the explicit introduction of gauge group coupling coefficients by mapping the eigenvalue problem onto a suitable set of character functions, which allows a simplified procedure. Using appropriate group theoretical methods, we show that it is possible to set up the eigenvalue problem for eigenstates having arbitrary lattice momentum and lattice angular momentum.Comment: LaTeX, no figur

Neutrino-nucleus reactions in the delta resonance region

Reliable estimates of neutrino-nucleus reactions in the resonance-excitation region play an important role in many of the on-going and planned neutrino oscillation experiments. We study here neutrino-nucleus reactions in the delta-particle excitation region with the use of neutrino pion-production amplitudes calculated in a formalism in which the resonance contributions and the background amplitudes are treated on the same footing. Our approach leads to the neutrino-nucleus reaction cross sections that are significantly different from those obtained in the conventional approach wherein only the pure resonance amplitudes are taken into account. To assess the reliability of our formalism, we calculate the electron-nucleus scattering cross sections in the same theoretical framework; the calculated cross sections agree reasonably well with the existing data.Comment: 14 pages, 8 figures; typo, references and one figure adde