Boundary layer structure of an explosive cyclone

A detailed analysis of the horizontal boundary layer structure of the warm front of an open ocean explosive cyclone in Intensive Observation Period (IOP) 2 of the Experiment on Rapidly Intensifying Cyclones in the Atlantic (ERICA) is conducted. Data for this study consists of aircraft data averaged over one minute supplimented by satellite and drifting buoy observations. Analysis of surface winds and fluxes was done using the Brown-Liu Marine PBL model. Results show a PBL which differs from that found in typical cyclones, with large latent heat fluxes south of the warm front and with relatively weak sensible heat fluxes about the warm front. Boundary layer stratification was stable north of the warm front and unstable south of the warm front. A mechanism for moist frontogenesis is proposed whereby the destabilizing effects of the latent heat flux enhances frictional convergence along the warm front. These fluxes warm and moisten the cyclone's warm sector, enhancing unstable convection along the warm front and thereby enhancing the vertical motion. This enhanced vertical motion would strengthen the geostrophic deformation of the theta sub epsilon gradient and potentially enhance cyclogenesis.http://archive.org/details/boundarylayerstr1094530722Lieutenant, United States NavyApproved for public release; distribution is unlimited

Stock price distributions and news:evidence from index options

We estimate the shape of the distribution of stock prices using data from options on the underlying asset, and test whether this distribution is distorted in a systematic manner each time a particular news event occurs. In particular we look at the response of the FTSE100 index to market wide announcements of key macroeconomic indicators and policy variables. We show that the whole distribution of stock prices can be distorted on an event day. The shift in distributional shape happens whether the event is characterized as an announcement occurrence or as a measured surprise. We find that larger surprises have proportionately greater impact, and that higher moments are more sensitive to events however characterised

Volatility transmission between stock and bond markets

A two-factor no-arbitrage model is used to provide a theoretical link between stock and bond market volatility. While this model suggests that short-term interest rate volatility may, at least in part, drive both stock and bond market volatility, the empirical evidence suggests that past bond market volatility affects both markets and feeds back into short-term yield volatility. The empirical modelling goes on to examine the (time-varying) correlation structure between volatility in the stock and bond markets and finds that the sign of this correlation has reversed over the last 20 years. This has important implications far portfolio selection in financial markets. © 2005 Elsevier B.V. All rights reserved

EXPANDING PUBLIC ACCESS TO HISTORIC RESOURCES: A CASE STUDY OF THE PHILADELPHIA ARCHITECTS AND BUILDINGS PROJECT

Digital archives have become an important tool in the field of historic preservation. They help to remove geographical barriers for professionals while providing an ever-increasing number of interested citizens with a connection to the history of their neighborhoods. Cultural heritage institutions around the country are utilizing these web-based information management systems to further their aims of public outreach and improved access to architectural records. Each institution has a different goals and approaches, creating a wide variety of individual projects. To date, there has been no assessment of the role of these resources in preservation research. This thesis is a case study of one effort in particular, the Philadelphia Architects and Buildings Project. To assess its use as a tool in historic preservation, the themes of the historic preservation movement and its attempts at outreach. With this contextual information established, the Philadelphia Architects and Buildings project is examined to determine its strengths as a preservation tool and ways in which its position could be strengthened in the future

The effects of Big Bang on the gilt-edged market : term structure movements and market efficiency

This study is concerned with the impact of the 1986 Stock Market deregulation, or Big Bang, on the efficiency of the United Kingdom government securities market. The main theoretical finding is that the change to dual capacity dealing with negotiated commissions cannot be justified economically without the inclusion of a best execution rule for broker/dealers. The empirical section of the study has three parts. The first part uses established and new autocorrelation techniques to test market efficiency in the traditional weak-form efficient market hypothesis paradigm. The second part tests market efficiency through an analysis of pricing residuals from fitting term structure curves. A new method to fit these curves is developed. The third section tests market efficiency by examining evidence of anomalies in the shape and movements of the term structure. From all three sources, there is strong evidence that the changes introduced by Big Bang improved efficiency in the gilt-edged market

Small firm effects in the UK stock market

This thesis will be concerned with investigating the empirical characteristics of stock returns, forUKfirms which are distinguished by market value. The primary aimof thisworkis to identify whether there are differences between the behaviour of large and small firm retums. A substantial amount of attention has recently focused upon how firm size influences the behaviour of stock returns in US markets, but, the role that firm size might have in determining the behaviour of stock returns in UK markets has received very little attention. The aim of this thesis is to redress this imbalance. The first part of this study will be concerned with showing that the returns of small firms are more predictable than the returns of large firms. The second part of this study will show that the relationship between risk and return depends on firm size. The third and final part of this thesis will show that not only are the mean returns of large and small firms different but that there are also important differences in the conditional variances of large and small firms. In all three parts of this thesis, important differences between the behaviour of large and small firm returns are documented for the first time

A shape-based decomposition of the yield adjustment term in the arbitrage-free Nelson and Siegel (AFNS) model of the yield curve

The appealing feature of the arbitrage-free Nelson-Siegel model of the yield curve is the ability to capture movements in the yield curve through readily interpretable shifts in its level, slope or curvature, all within a dynamic arbitrage-free framework. To ensure that the level, slope and curvature factors evolve so as not to admit arbitrage, the model introduces a yield-adjustment term. This paper shows how the yield-adjustment term can also be decomposed into the familiar level, slope and curvature elements plus some additional readily interpretable shape adjustments. This means that, even in an arbitrage-free setting, it continues to be possible to interpret movements in the yield curve in terms of level, slope and curvature influences. © 2014 © 2014 Taylor & Francis

Earnings and hindsight bias: An experimental study

We conduct prediction experiments where subjects estimate, and later reconstruct probabilities of upcoming events. Subjects also value state-contingent claims on these events. We find that hindsight bias is greater for events where subjects earned more money