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

Discovery Of A Molecular Outflow in the Haro 6-10 Star-Forming Region

We present high sensitivity 12CO and 13CO (1-0) molecular line maps covering the full extent of the parsec scale Haro~6-10 Herbig-Haro (HH) flow. We report the discovery of a molecular CO outflow along the axis of parsec-scale HH flow. Previous molecular studies missed the identification of the outflow probably due to their smaller mapping area and the confusing spectral features present towards the object. Our detailed molecular line study of the full 1.6 pc extent of the optical flow shows evidence for both blueshifted and redshifted gas set in motion by Haro~6-10 activity. The molecular outflow is centered at Haro~6-10, with redshifted gas being clumpy and directed towards the northeast, while blueshifted gas is in the southwest direction. The molecular gas terminates well within the cloud, short of the most distant HH objects of the optical flow. Contamination from an unrelated cloud along the same line of sight prevents a thorough study of the blueshifted outflow lobe and the mass distribution at the lowest velocities in both lobes. The cloud core in which Haro~6-10 is embedded is filamentary and flattened in the east-west direction. The total cloud mass is calculated from 13CO(1-0) to be ~200Msun. The lower limit of the mass associated with the outflow is ~0.25Msun.Comment: ApJ Accepted; 9 pages, 8 figures. For high resolution ps file use: http://www.astro.umass.edu/~irena/haro.p

Sixty original plays for primary grades

Thesis (Ed.M.)--Boston Universit

Risk factors for active trachoma in The Gambia.

Trachoma has been endemic in The Gambia for decades but national surveys indicate that the prevalence is falling. Risk factor data can help guide trachoma control efforts. This study investigated risk factors for active trachoma and ocular Chlamydia trachomatis infection in children aged below 10 years in two Gambian regions. The overall prevalence of C. trachomatis infection was only 0.3% (3/950) compared with 10.4% (311/2990) for active trachoma, therefore analyses were only performed for active trachoma. After adjustment, increased risk of trachoma was associated with being aged 1-2 years (odds ratio (OR) 2.20, 95% CI 1.07-4.52) and 3-5 years (OR 3.62, 95% CI 1.80-7.25) compared with <1 year, nasal discharge (OR 2.07, 95% CI 1.53-2.81), ocular discharge (OR 2.68, 95% CI 1.76-4.09) and there being at least one other child in the household with active trachoma (OR 11.28, 95% CI 8.31-15.31). Compared with other occupations, children of traders had reduced risk (OR 0.53, 95% CI 0.30-0.94). At the household level, only the presence of another child in the household with active trachoma was associated with increased risk of active trachoma, suggesting that current trachoma control interventions are effective at this level. In contrast, child-level factors were associated with increased risk after adjustment, indicating a need to increase control efforts at the child level

Understanding the Social Science Effect: An Intervention in Life Course Generosity

Does interacting with social science data in early adulthood promote generosity? To investigate this question from a life course development perspective, two distinct samples were drawn for a survey with an embedded experimental design. The first sample is of emerging adult college students (n = 30, median age = 20 years). The second sample is of young adults who were selected to participate based on their prior participation in a nationally representative and longitudinal study (n = 170, median age = 31 years). Toward the end of the survey, participants were randomly selected into a website interaction with either: (a) data on charitable giving, (b) data on social inequality, or (c) data about weather (a control condition). The key outcome of interest is a behavioral measure of generosity: whether participants elected to keep their study incentive or donate their incentive to a charitable organization. The donation decision occurred after the randomly selected website interaction. Interacting with charitable giving data resulted in greater generosity than interacting with weather data, across both samples. Interacting with social inequality data had mixed results. Moreover, emerging adult college students gave at a considerably higher rate overall than the national sample of young adults, net of treatment type. Implications are discussed

Modelling fluid flow in complex natural fault zones. Implications for natural and human-induced earthquake nucleation

Pore fluid overpressures in active fault systems can drive fluid flow and cause fault weakening and seismicity. In return, deformation accommodated by different modes of failure (e.g. brittle vs. ductile) also affects fault zone permeability and, hence, fluid flow and pore fluid pressure distribution. Current numerical simulation techniques model how fluid flow controls fault reactivation and associated seismicity. However, the control exerted by pore fluid pressure on the transition from slow aseismic fault sliding to fast seismic sliding, during the earthquake nucleation phase, is still poorly understood. Here, we model overpressured, supercritical CO2 fluid flow in natural faults, where non-linear, complex feedback between fluid flow, fluid pressure and fault deformation controls the length of the nucleation phase of an earthquake and the duration of the interseismic period. The model setup is an analogue for recent seismic source events in the Northern Apennines of Italy (e.g. Mw 6.0 1997-98 Colfiorito and Mw 6.5 2016 Norcia earthquakes). Our modelling results of Darcy fluid flow show that the duration of the nucleation phase can be reduced by orders of magnitude, when realistic models of fault zone architecture and pore pressure- and deformation-dependent permeability are considered. In particular, earthquake nucleation phase duration can drop from more than 10 years to a few days/minutes, while the seismic moment can decrease by a factor of 6. Notably, the moment of aseismic slip (M0=109Nm) obtained during the nucleation phase modelled in our study is of the same order as the detection limit of local strain measurements using strain meters. These findings have significant implications for earthquake early warning systems, as the duration and moment of the nucleation phase will affect the likelihood of timely precursory signal detection. Interestingly, aseismic slip has been measured up to a few months before some recent large earthquakes, although in a different tectonic context than the model developed here, rekindling interest in the nucleation phase of earthquakes. In addition, our results have important implications for short and long term earthquake forecasting, as crustal fluid migration during the interseismic period may control fault strength and earthquake recurrence intervals

Diffuse Atomic and Molecular Gas near IC443

We present an analysis of results on absorption from Ca II, Ca I, K I, and the molecules CH+, CH, C2, and CN that probes gas interacting with the supernova remnant IC443. The eleven directions sample material across the visible nebula and beyond its eastern edge. Most of the neutral material, including the diatomic molecules, is associated with the ambient cloud detected via H I and CO emission. Analysis of excitation and chemistry yields gas densities that are typical of diffuse molecular gas. The low density gas probed by Ca II extends over a large range in velocities, from -120 to +80 km/s in the most extreme cases. This gas is distributed among several velocity components, unlike the situation for the shocked molecular clumps, whose emission occurs over much the same range but as very broad features. The extent of the high-velocity absorption suggests a shock velocity of 100 km/s for the expanding nebula.Comment: To be published in Ap

Internal-external cross-validation helped to evaluate the generalizability of prediction models in large clustered datasets

OBJECTIVE: To illustrate how to evaluate the need of complex strategies for developing generalizable prediction models in large clustered datasets. STUDY DESIGN AND SETTING: We developed eight Cox regression models to estimate the risk of heart failure using a large population-level dataset. These models differed in the number of predictors, the functional form of the predictor effects (non-linear effects and interaction) and the estimation method (maximum likelihood and penalization). Internal-external cross-validation was used to evaluate the models' generalizability across the included general practices. RESULTS: Among 871,687 individuals from 225 general practices, 43,987 (5.5%) developed heart failure during a median follow-up time of 5.8 years. For discrimination, the simplest prediction model yielded a good concordance statistic, which was not much improved by adopting complex strategies. Between-practice heterogeneity in discrimination was similar in all models. For calibration, the simplest model performed satisfactorily. Although accounting for non-linear effects and interaction slightly improved the calibration slope, it also led to more heterogeneity in the observed/expected ratio. Similar results were found in a second case study involving patients with stroke. CONCLUSION: In large clustered datasets, prediction model studies may adopt internal-external cross-validation to evaluate the generalizability of competing models, and to identify promising modelling strategies

Electron beam spot size stabilization for radiographic application

The authors have demonstrated through computer simulations that self-biasing the target can effectively control the ion column which causes radial pinching of the electron beam, resulting in the growth of spot size on target. This method has the unique features in simplicity and non-intrusiveness in its implementation into radiographic systems. The concept is being actively explored experimentally at the Integrated Test Stand (ITS)