Microstructure Effects on Daily Return Volatility in Financial Markets

We simulate a series of daily returns from intraday price movements initiated by microstructure elements. Significant evidence is found that daily returns and daily return volatility exhibit first order autocorrelation, but trading volume and daily return volatility are not correlated, while intraday volatility is. We also consider GARCH effects in daily return series and show that estimates using daily returns are biased from the influence of the level of prices. Using daily price changes instead, we find evidence of a significant GARCH component. These results suggest that microstructure elements have a considerable influence on the return generating process.Comment: 15 pages, as presented at the Complexity Workshop in Aix-en-Provenc

Validation of magnetophonon spectroscopy as a tool for analyzing hot-electron effects in devices

It is shown that very high precision hot-electron magnetophonon experiments made on n+n−n+-GaAs sandwich device structures which are customized for magnetoresistance measurements can be very accurately modeled by a new Monte Carlo technique. The latter takes account of the Landau quantization and device architecture as well as material parameters. It is proposed that this combination of experiment and modeling yields a quantitative tool for the direct analysis of spatially localized very nonequilibrium electron distributions in small devices and low dimensional structures

First Passage Properties of the Erdos-Renyi Random Graph

We study the mean time for a random walk to traverse between two arbitrary sites of the Erdos-Renyi random graph. We develop an effective medium approximation that predicts that the mean first-passage time between pairs of nodes, as well as all moments of this first-passage time, are insensitive to the fraction p of occupied links. This prediction qualitatively agrees with numerical simulations away from the percolation threshold. Near the percolation threshold, the statistically meaningful quantity is the mean transit rate, namely, the inverse of the first-passage time. This rate varies non-monotonically with p near the percolation transition. Much of this behavior can be understood by simple heuristic arguments.Comment: 10 pages, 9 figures, 2-column revtex4 forma

Distribution ofWater Vapor in Molecular Clouds

We report the results of a large-area study of water vapor along the Orion Molecular Cloud ridge, the purpose of which was to determine the depth-dependent distribution of gas-phase water in dense molecular clouds. We find that the water vapor measured toward 77 spatial positions along the face-on Orion ridge, excluding positions surrounding the outflow associated with BN/KL and IRc2, display integrated intensities that correlate strongly with known cloud surface tracers such as CN, C2H, 13CO J = 5-4, and HCN, and less well with the volume tracer N2H+. Moreover, at total column densities corresponding to A V\u3c 15 mag, the ratio of H2O to C18O integrated intensities shows a clear rise approaching the cloud surface. We show that this behavior cannot be accounted for by either optical depth or excitation effects, but suggests that gas-phase water abundances fall at large A V. These results are important as they affect measures of the true water-vapor abundance in molecular clouds by highlighting the limitations of comparing measured water-vapor column densities with such traditional cloud tracers as 13CO or C18O. These results also support cloud models that incorporate freeze out of molecules as a critical component in determining the depth-dependent abundance of water vapor

Water Abundance in Molecular Cloud Cores

We present Submillimeter Wave Astronomy Satellite (SWAS) observations of the 1_{10}-1_{01} transition of ortho-water at 557 GHz toward 12 molecular cloud cores. The water emission was detected in NGC 7538, Rho Oph A, NGC 2024, CRL 2591, W3, W3(OH), Mon R2, and W33, and was not detected in TMC-1, L134N, and B335. We also present a small map of the water emission in S140. Observations of the H_2^{18}O line were obtained toward S140 and NGC 7538, but no emission was detected. The abundance of ortho-water relative to H_2 in the giant molecular cloud cores was found to vary between 6x10^{-10} and 1x10^{-8}. Five of the cloud cores in our sample have previous water detections; however, in all cases the emission is thought to arise from hot cores with small angular extents. The water abundance estimated for the hot core gas is at least 100 times larger than in the gas probed by SWAS. The most stringent upper limit on the ortho-water abundance in dark clouds is provided in TMC-1, where the 3-sigma upper limit on the ortho-water fractional abundance is 7x10^{-8}.Comment: 5 pages, 3 Postscript figures, uses aastex.cls, emulateapj5.sty (included), and apjfonts.sty (included

The Distribution of Water Emission in M17SW

We present a 17-point map of the M17SW cloud core in the 1_{10}-1_{01} transition of ortho-water at 557 GHz obtained with the Submillimeter Wave Astronomy Satellite. Water emission was detected in 11 of the 17 observed positions. The line widths of the water emission vary between 4 and 9 km s^{-1}, and are similar to other emission lines that arise in the M17SW core. A direct comparison is made between the spatial extent of the water emission and the ^{13}CO J = 5\to4 emission; the good agreement suggests that the water emission arises in the same warm, dense gas as the ^{13}CO emission. A spectrum of the H_2^{18}O line was also obtained at the center position of the cloud core, but no emission was detected. We estimate that the average abundance of ortho-water relative to H_2 within the M17 dense core is approximately 1x10^{-9}, 30 times smaller than the average for the Orion core. Toward the H II region/molecular cloud interface in M17SW the ortho-water abundance may be about 5 times larger than in the dense core.Comment: 4 pages, 3 Postscript figures, uses aastex.cls, emulateapj5.sty (included), and apjfonts.sty (included

Embedded Stellar Clusters in the W3/W4/W5 Molecular Cloud Complex

We analyze the embedded stellar content in the vicinity of the W3/W4/W5 HII regions using the FCRAO Outer Galaxy 12CO(J=1-0) Survey, the IRAS Point Source Catalog, published radio continuum surveys, and new near-infrared and molecular line observations. Thirty-four IRAS Point Sources are identified that have far-infrared colors characteristic of embedded star forming regions, and we have obtained K' mosaics and 13CO(J=1-0) maps for 32 of them. Ten of the IRAS sources are associated with an OB star and 19 with a stellar cluster, although three OB stars are not identified with a cluster. Half of the embedded stellar population identified in the K' images is found in just the 5 richest clusters, and 61% is contained in IRAS sources associated with an embedded OB star. Thus rich clusters around OB stars contribute substantially to the stellar population currently forming in the W3/W4/W5 region. Approximately 39% of the cluster population is embedded in small clouds with an average mass of ~130 Mo that are located as far as 100 pc from the W3/W4/W5 cloud complex. We speculate that these small clouds are fragments of a cloud complex dispersed by previous episodes of massive star formation. Finally, we find that 4 of the 5 known embedded massive star forming sites in the W3 molecular cloud are found along the interface with the W4 HII region despite the fact that most of the molecular mass is contained in the interior regions of the cloud. These observations are consistent with the classical notion that the W4 HII region has triggered massive star formation along the eastern edge of the W3 molecular cloud.Comment: to appear in ApJS, see http://astro.caltech.edu/~jmc/papers/w

SWAS Observations of Water in Molecular Outflows

We present SWAS detections of the ground-state 1(10)-1(01) transition of o-H2O at 557 GHz in 18 molecular outflows. These results are combined with ground-based observations of the J=1-0 transitions of 12CO and 13CO obtained at the FCRAO and, for a subset of the outflows, data from ISO. Assuming the SWAS water line emission originates from the same gas traced by CO emission, we find that the outflowing gas in most outflows has an o-H2O abundance relative to H2 of between 10(-7) and 10(-6). Analysis of the water abundance as a function of outflow velocity reveals a strong dependence. The water abundance increases with velocity, and at the highest outflow velocities some outflows have relative o-H2O abundances of order 10(-4). However the mass of gas with such elevated water abundances represents less that 1% of the total outflow gas mass. The ISO LWS observations of high-J rotational lines of CO and the 179.5 micron transition of o-H2O provide evidence for a warmer outflow component than required to produce either the SWAS or FCRAO lines. The mass associated with the ISO emission is similar to that responsible for the highest velocity water emission detected by SWAS. The bulk of the outflowing gas has an abundance of o-H2O well below what would be expected if the gas has passed through a C-shock with shock velocities greater than 10 km/s. Gas-phase water can be depleted in the post-shock gas due to freeze-out onto grain mantles, however the rate of freeze-out is too slow to explain our results. Therefore we believe that only a small fraction of the outflowing molecular gas has passed through shocks strong enough to fully convert the gas-phase oxygen to water. This result has implications for the acceleration mechanism of the molecular gas in these outflows.Comment: Accepted for publication in Ap.J., 51 pages including 4 pages of figure