Explaining Stochastic Volatility in Asset Prices

We develop a theoretical model that replicates three observed phenomena in securities markets: serial correlation in trades; serial correlation in squared price changes (conditional heteroskedasticity); and more persistent serial correlation in trades than in squared price changes. In the model exogenous news is captured by signals that informed agents receive. Agents trade anonymously through a market specialist, who does not receive a signal. We show that entry and exit of informed traders following the arrival of news produces serial correlation in the number of trades and serial correlation in squared price changes. Because the bid-ask spread of the market specialist tends to shrink as individuals trade and reveal their information, the serial correlation in trades is more persistent than the serial correlation in squared price changes.

Adaptive Testing in ARCH Models

Existing specification tests for conditional heteroskedasticity are derived under the assumption that the density of the innovation, or standardized error, is Gaussian, despite the fact that many recent empirical studies provide evidence that this density is not Gaussian. We obtain specification tests for conditional heteroskedasticity under the assumption that the innovation density is a member of a general family of densities. Our test statistics maximize asymptotic local power and weighted average power criteria for the general family of densities. We establish both first order and second order theory for our procedures. Monte Carlo simulations indicate that asymptotic power gains are achievable in finite samples. We apply the tests to shock futures data sampled at high frequency and find evidence of conditional heteroskedasticity in the residuals from a GARCH(1,1) model, indicating that the standard (1,1) specification is not adequate

Adaptive Testing in ARCH Models

Existing specification tests for conditional heteroskedasticity are derived under the assumption that the density of the innovation, or standardized error, is Gaussian, despite the fact that many recent empirical studies provide evidence that this density is not Gaussian. We obtain specification tests for conditional heteroskedasticity under the assumption that the innovation density is a member of a general family of densities. Our test statistics maximize asymptotic local power and weighted average power criteria for the general family of densities. We establish both first order and second order theory for our procedures. Monte Carlo simulations indicate that asymptotic power gains are achievable in finite samples. We apply the tests to shock futures data sampled at high frequency and find evidence of conditional heteroskedasticity in the residuals from a GARCH(1,1) model, indicating that the standard (1,1) specification is not adequate.Adaptive estimation, ARCH, efficient, semiparametric model, testing

Adaptive estimation in time series regression models

This work develops adaptive estimators for a linear regression model with serially correlated errors. We show that these results continue to hold when the order of the ARMA process characterizing the errors is unknown. The finite sample results are promising, indicating that substantial efficiency gains may be possible for samples as small as 50 observations. We use these estimators to investigate the behavior of the forward foreign exchange market

Obtaining Critical Values for Test of Markov Regime Switching

Abstract For Markov regime-switching models, testing for the possible presence of more than one regime requires the use of a non-standard test statistic. Carter and Steigerwald (2013, Journal of Econometric Methods) derive in detail the analytic steps needed to implement the test of Markov regime-switching proposed by Cho and White (2007, Econometrica). We summarize the implementation steps and address the computational issues that arise. A new command to compute regime-switching critical values, rscv, is introduced and presented in the context of empirical research

Magnetic phase transition in V2O3 nanocrystals

V2O3 nanocrystals can be synthesized through hydrothermal reduction of VO(OH)2 using hydrazine as a reducing agent. Addition of different ligands to the reaction produces nanoparticles, nanorods and nanoplatelets of different sizes. Small nanoparticles synthesized in this manner show suppression of the magnetic phase transition to lower temperatures. Using muon spin relaxation spectroscopy and synchrotron x-ray diffraction, it is determined that the volume fraction of the high-temperature phase, characterized by a rhombohedral structure and paramagnetism, gradually declines with decreasing temperature, in contrast to the sharp transition observed in bulk V2O3.Comment: 6 pages, 6 figure

Adsorption of 2,2 '-dithiodipyridine as a tool for the assembly of silver nanoparticles

Silver nanostructured thin films stabilized by 2,2’-dithiodipyridine (2dtpy) were prepared. The Ag nanoparticles were obtained by treating the complex [Ag(2dtpy)]NO3 with NaBH4 in a methanol–toluene mixture. The films were transferred to borosilicate glass slips by a dip-coating method and were found to consist of Ag nanoparticles possibly linked via 2dtpy molecules. Surface-enhanced Raman scattering (SERS) studies have offered the possibility of investigating the adsorption modes of 2dtpy at the Ag nanoparticle surfaces in the fil

Determination of the structure and geometry of N-heterocyclic carbenes on Au(111) using high-resolution spectroscopy

N-heterocyclic carbenes (NHCs) bind very strongly to transition metals due to their unique electronic structure featuring a divalent carbon atom with a lone pair in a highly directional sp(2)-hybridized orbital. As such, they can be assembled into monolayers on metal surfaces that have enhanced stability compared to their thiol-based counterparts. The utility of NHCs to form such robust self-assembled monolayers (SAMs) was only recently recognized and many fundamental questions remain. Here we investigate the structure and geometry of a series of NHCs on Au(111) using high-resolution X-ray photoelectron spectroscopy and density functional theory calculations. We find that the N-substituents on the NHC ring strongly affect the molecule-metal interaction and steer the orientation of molecules in the surface layer. In contrast to previous reports, our experimental and theoretical results provide unequivocal evidence that NHCs with N-methyl substituents bind to undercoordinated adatoms to form flat-lying complexes. In these SAMs, the donor-acceptor interaction between the NHC lone pair and the undercoordinated Au adatom is primarily responsible for the strong bonding of the molecules to the surface. NHCs with bulkier N-substituents prevent the formation of such complexes by forcing the molecules into an upright orientation. Our work provides unique insights into the bonding and geometry of NHC monolayers; more generally, it charts a clear path to manipulating the interaction between NHCs and metal surfaces using traditional coordination chemistry synthetic strategies

Semences et séquences génétiques en open source ? Expériences récentes et stratégies futures

Le concept d'open source appliqué aux semences végétales a un avenir prometteur. Ce concept inverse la logique du système de propriété intellectuelle pour une ressource renouvelable que l'on rend disponible en la sortant du domaine exclusif de la propriété intellectuelle. Aujourd'hui, les instruments juridiques font encore défaut pour établir un cadre légal complet. Toutefois, le concept d'open source, que l'on pourrait traduire ici par licence libre et ouverte, engendre au fil du temps une masse critique d'utilisateurs et de soutiens qui entraîne une légitimité sociale grandissante. À terme, cette légitimité pourrait renforcer le pouvoir juridique. L'extension future à d'autres matériels dans différents contextes doit être réfléchie en s'appuyant sur les expériences actuelles de semences sous licences libres et ouvertes conduites aux États-Unis, en Europe et en Afrique