Measuring equity market integration using uncorrelated information flows: Tokyo, London and New York

Equity markets do not pass all overnight information into prices instantly at the opening of trade. We adjust open-to-close return series for non-instantaneous information absorption and then use adjusted series to measure integration among three major equity markets. Because the adjusted daytime return series are uncorrelated, we can accurately measure the size, and identify the sources, of transmissions. Overnight news, as represented by foreign open-to-close returns, explains 13% of opening price variation (close-toopen returns) in NewYork, 14% in Tokyo and 30% in London. ForNewYork and Tokyo, the largest influences come from the market that trades immediately prior (London and New York respectively) whereas opening price variation in London is linked closer with New York than Tokyo. Foreign volatility spillovers are also significant, and subject to asymmetric effects

Annuitization and asset allocation with HARA utility

A new explanation for the well-known reluctance of retirees to buy life annuities is due to Milevsky and Young (2002, 2003): Since the decision to purchase longevity insurance is largely irreversible, in uncertain environments a real option to delay annuitization (RODA) generally has value. Milevsky and Young analytically identify and numerically estimate the RODA in a setting of constant relative risk aversion. This paper presents an extension to the case of HARA (or GLUM) preferences, the simplest representation of a consumption habit. The precise date of annuitization can no longer be ascertained with certainty in advance. This paper derives an approximation whereby the agent precommits. The effect of increasing the subsistence consumption rate on the timing of annuity purchase is similar to the effect of increasing the curvature parameter of the utility function. As in the CRRA case studied by Milevsky and Young, delayed annuitization is associated with optimistic predictions of the Sharpe ratio and divergence between annuity purchaser and provider predictions of mortality.24 page(s

Valuing volatility spillovers

We show that volatility spillovers are large enough to matter to investors. We demonstrate that standard deviations of returns to mean-variance portfolios of European equities fall by 11.5% at daily, weekly, and monthly rebalancing horizons when volatility spillovers are included in covariance forecasts. We estimate the conditional second moment matrix of (synchronized) daily index returns for the London, Frankfurt and Paris stock markets via two asymmetric dynamic conditional correlation models (A-DCC): the unrestricted model includes volatility spillovers and the restricted model does not. We combine covariance forecasts from the restricted and unrestricted models with a wide range of assumed returns relatives via a polar co-ordinates method, and compute out-of-sample realized portfolio returns and variances for testing. DieboldMariano tests confirm that most risk reductions are statistically significant. Stochastic dominance tests indicate that portfolios accounting for volatility spillover would be preferred by risk adverse agents

Unobservable shocks as carriers of contagion

We propose an identified structural GARCH model to disentangle the dynamics of financial market crises. We distinguish between the hypersensitivity of a domestic market in crisis to news from foreign non-crisis markets, and the contagion imported to a tranquil domestic market from foreign crises. The model also enables us to connect unobserved structural shocks with their source markets using variance decompositions and to compare the size and dynamics of impulses during crises periods with tranquil period impulses. To illustrate, we apply the method to data from the 19971998 Asian financial crisis which consists of a complicated set of interacting crises. We find significant hypersensitivity and contagion between these markets but also show that links may strengthen or weaken. Impulse response functions for an equally-weighted equity portfolio show the increasing dominance of Korean and Hong Kong shocks during the crises and covariance responses demonstrate multiple layers of contagion effects

Ecology of Urban Bees: A Review of Current Knowledge and Directions for Future Study

Urban bee ecology is an emerging field that holds promise for advancing knowledge of bee community dynamics and promoting bee conservation. Published studies of bee communities in urban and suburban habitats are fewer than those documenting bees in agricultural and wildland settings. As land lost to urbanization is predicted to increase in coming years the necessity of studying urban bee populations is growing. We reviewed 59 publications on urban bee ecology with the following goals, to assess current knowledge, to highlight areas in need of further research, and to suggest applications of study findings to bee conservation. Methodological variation between studies was discussed in the context of data interpretation. Identified trends in urban areas included the following, negative correlation between bee species richness and urban development, cavity-nesters increase in abundance in urban habitats, and floral specialists are scarce. Future directions for studying urban bee ecology include incorporation of landscape-scale assessments, conducting manipulative experiments and actively designing urban bee habitats. We include descriptions of plant and habitat management techniques derived from our research in northern and southern California urban habitats to promote development of bee-friendly habitats

Correction: Montesinos et al. Phenotyping almond orchards for architectural traits influenced by rootstock choice. Horticulturae 2021, 7, 159

Error in Figure/Table. In the original publication [1], there was a mistake in Figure 2 as published; it contained incorrect names for the cultivars. The correct figure is shown below this paragraph..

Accuracy of Ultrasonography-Guided Fine-Needle Aspiration in Detecting Persistent Nodal Disease After Chemoradiotherapy

IMPORTANCE: Few patients with persistent adenopathy following chemoradiotherapy (CRT) for head and neck squamous cell carcinoma harbor viable disease. Improved selectivity for surgical salvage is needed to prevent unnecessary salvage neck dissection. OBJECTIVE: To determine whether ultrasonography-guided fine-needle aspiration (FNA) can be used to identify viable cancer cells in the lymph nodes of patients with persistent radiographic adenopathy following CRT. DESIGN, SETTING, AND PARTICIPANTS: A pilot study included patients undergoing preoperative ultrasonography-guided FNA of lymph nodes considered suspicious on radiography prior to planned neck dissection at a quaternary care facility from February 28, 2011, to March 18, 2013. Data analysis was performed from April 28 to December 24, 2013. Patients treated for head and neck squamous cell carcinoma with CRT who were determined to have persistent neck disease on a 6-week posttreatment computed tomographic scan of the neck and scheduled for salvage neck dissection were considered candidates for this pilot study. All patients enrolled in the study underwent ultrasonography-guided FNA of the suspicious lymph nodes within 2 weeks of the planned neck dissection. The cytopathologist reading the samples was blinded to the patient's identity. EXPOSURES: Fine-needle aspiration with a 23- to 25-gauge needle following CRT. MAIN OUTCOMES AND MEASURES: The accuracy of ultrasonography-guided FNA cytologic results was compared with the standard of surgical pathologic examination of neck dissection specimens. RESULTS: Fourteen patients (11 [79%] men; mean [SD] age, 57.8 [11.2] years) were enrolled in this pilot study; data were collected on 17 lymph nodes. Among these 14 patients with incomplete radiographic clinical response, 17 lymph node aspirations were performed. Ultrasonography-guided FNA identified squamous cell carcinoma in the aspirates of 4 (80%) of the 5 nodes with squamous cell carcinoma identified on pathologic testing and confirmed the absence of disease in the remaining 12 (71%) lymph nodes. The statistical analysis of these results revealed a sensitivity of 80%; specificity, 100%; positive predictive value, 100%; and negative predictive value, 92.3%. The diagnostic accuracy of ultrasonography-guided FNA at detecting residual persistent cancer was 88%. CONCLUSIONS AND RELEVANCE: This pilot study suggests that ultrasonography-guided FNA may be a feasible ancillary diagnostic imaging tool to imaging to assess patients with radiographic persistent disease prior to consideration of salvage neck dissection

The time resolution of the St. Petersburg paradox

A resolution of the St. Petersburg paradox is presented. In contrast to the standard resolution, utility is not required. Instead, the time-average performance of the lottery is computed. The final result can be phrased mathematically identically to Daniel Bernoulli's resolution, which uses logarithmic utility, but is derived using a conceptually different argument. The advantage of the time resolution is the elimination of arbitrary utility functions.Comment: 20 pages, 1 figur