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

Excessive functions of continuous time Markov chains

AbstractWe consider transient continuous time Markov chains P(t) with P′ij(0)=qiΠij for i≠j and −qi for i=j. We assume 0<qi<∞ for all i. Then 1/qi is the mean time the process remains in state i, and Π is the transition matrix of the imbedded jump process. We let q be a diagonal matrix with diagonal entries qi.A non-negative function h is P(t)-excessive (invariant) if h≥P(t)h, (h=P(t) h) for all t. It is Π-superregular (regular) if h≥Πh (h=Πh). Our main results characterize the excessive functions of the minimal process in terms of q and Π. These results can also be used to characterize excessive functions of certain non-minimal processes

Microsphere plate detectors used with a compact Mott polarimeter for time-of-flight studies

A compact retarding-potential Mott polarimeter combined with microsphere plates (MSP) as electron detectors was built to perform spin-resolved time-of-flight electron spectroscopy. The comparison of the performance of MSP and channeltron detectors shows that the MSP detector has a better time resolution but a lower efficiency. The overall time resolution of the system was determined to be 350 ps using synchrotron radiation pulses

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

Comparative effects of selected non-caffeinated rehydration sports drinks on short-term performance following moderate dehydration

<p>Abstract</p> <p>Background</p> <p>The effect of moderate dehydration and consequent fluid replenishment on short-duration maximal treadmill performance was studied in eight healthy, fit (VO_2max= 49.7 ± 8.7 mL kg^-1min^-1) males aged 28 ± 7.5 yrs.</p> <p>Methods</p> <p>The study involved a within subject, blinded, crossover, placebo design. Initially, all subjects performed a baseline exercise test using an individualized treadmill protocol structured to induce exhaustion in 7 to 10 min. On each of the three subsequent testing days, the subjects exercised at 70-75% VO_2maxfor 60 min at 29-33°C, resulting in a dehydration weight loss of 1.8-2.1% body weight. After 60 min of rest and recovery at 22 C, subjects performed the same treadmill test to voluntary exhaustion, which resulted in a small reduction in VO_2maxand a decline in treadmill performance by 3% relative to the baseline results. Following another 60 min rest and recovery, subjects ingested the same amount of fluid lost in the form of one of three lemon-flavored, randomly assigned commercial drinks, namely Crystal Light (placebo control), Gatorade^®and Rehydrate Electrolyte Replacement Drink, and then repeated the treadmill test to voluntary exhaustion.</p> <p>Results</p> <p>VO_2maxreturned to baseline levels with Rehydrate, while there was only a slight improvement with Gatorade and Crystal Light. There were no changes in heart rate or ventilation with all three different replacement drinks. Relative to the dehydrated state, a 6.5% decrease in treadmill performance time occurred with Crystal Light, while replenishment with Gatorade, which contains fructose, glucose, sodium and potassium, resulted in a 2.1% decrease. In contrast, treatment with Rehydrate, which comprises fructose, glucose polymer, calcium, magnesium, sodium, potassium, amino acids, thiols and vitamins, resulted in a 7.3% increase in treadmill time relative to that of the dehydrated state.</p> <p>Conclusions</p> <p>The results indicate that constituents other than water, simple transportable monosaccharides and sodium are important for maximal exercise performance and effective recovery associated with endurance exercise-induced dehydration.</p

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