Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market

In this paper, we examine the impact of market activity on the percentage bid-ask spreads of S&P 100 index options using transactions data. We propose a new market microstructure theory which we call derivative hedge theory, in which option market percentage spreads will be inversely related to the option market maker's ability to hedge his positions in the underlying market, as measured by the liquidity of the latter market. In a perfect hedge world, spreads arise from the illiquidity of the underlying market, rather than from inventory risk or informed trading in the option market itself. We find option market volume is not a significant determinant of option market spreads. This finding leads us to question the use of volume as a measure of liquidity and supports the derivative hedge theory. Option market spreads are positively related to spreads in the underlying market, again supporting our theory. However, option market duration does affect option market spreads, with very slow and very fast option markets both leading to bigger spreads. The fast market result would be predicted by the asymmetric information theory. Inventory model predicts big spreads in slow markets. Neither result would be observed if the underlying securities market provided a perfect hedge. We interpret these mixed results as meaning that the option market maker is able to only imperfectly hedge his positions in the underlying securities market. Our result of insignificant options volume casts doubt on the price discovery argument between stock and option market (Easley, O'Hara, and Srinivas (1998)). Asymmetric information costs in either market are naturally passed to the other market maker's hedgeing and therefore it is unimportant where the informed traders trade.

An Efficient Targeting Strategy for Multiobject Spectrograph Surveys: the Sloan Digital Sky Survey "Tiling" Algorithm

Large surveys using multiobject spectrographs require automated methods for deciding how to efficiently point observations and how to assign targets to each pointing. The Sloan Digital Sky Survey (SDSS) will observe around 10 6 spectra from targets distributed over an area of about 10,000 deg2, using a multiobject fiber spectrograph that can simultaneously observe 640 objects in a circular field of view (referred to as a "tile") 1°.49 in radius. No two fibers can be placed closer than 55Prime; during the same observation; multiple targets closer than this distance are said to "collide." We present here a method of allocating fibers to desired targets given a set of tile centers that includes the effects of collisions and that is nearly optimally efficient and uniform. Because of large-scale structure in the galaxy distribution (which form the bulk of the SDSS targets), a naive covering of the sky with equally spaced tiles does not yield uniform sampling. Thus, we present a heuristic for perturbing the centers of the tiles from the equally spaced distribution that provides more uniform completeness. For the SDSS sample, we can attain a sampling rate of greater than 92% for all targets, and greater than 99% for the set of targets that do not collide with each other, with an efficiency greater than 90% (defined as the fraction of available fibers assigned to targets). The methods used here may prove useful to those planning other large surveys

Young Adult, Adult Learner and Faculty Perceptions on the Integration of Diversity and Social Justice Education in the Classroom

As diversity within the classroom soars, evaluating the curriculum and assessing perceptions about the integration of diversity and social justice education is integral

Separation, Fractionation and Mineralogy of Clays in Soils

This paper describes a working method for separation, fractionation and identification of colloid and colloidal clay minerals in soils. Technical information pertains to super-centrifugation, electron-microscopy and X-ray diffraction. On the basis of these techniques, twenty-two samples have been investigated in conjunction with a soil stud of pumping pavements. Soils were first dispersed and separated by gravity sedimentation. Fractionation was accomplished by controlled super-centrifugation. The separated fractions were purified and then analyzed by X-ray diffraction. Computed size fractions were checked by shadow castings and lineal dimensions on electron micrographs. Results include identification of the mineral or minerals present and the properties of the natural sample from which the colloidal fractions were extracted. These methods furnish a basis for more extensive research relating the behavior of the clay minerals and their contributions to the properties of soils

Improved fidelity of triggered entangled photons from single quantum dots

We demonstrate the on-demand emission of polarisation-entangled photon pairs from the biexciton cascade of a single InAs quantum dot embedded in a GaAs/AlAs planar microcavity. Improvements in the sample design blue shifts the wetting layer to reduce the contribution of background light in the measurements. Results presented show that >70% of the detected photon pairs are entangled. The high fidelity of the (|HxxHx>+|VxxVx>)/2^0.5 state that we determine is sufficient to satisfy numerous tests for entanglement. The improved quality of entanglement represents a significant step towards the realisation of a practical quantum dot source compatible with applications in quantum information.Comment: 9 pages. Paper is available free of charge at http://www.iop.org/EJ/abstract/1367-2630/8/2/029/, see also 'A semiconductor source of triggered entangled photon pairs', R. M. Stevenson et al., Nature 439, 179 (2006

DISTRIBUTION AND MOVEMENTS OF BOTTLENOSE DOLPHINS (TURSIOPS TRUNCATUS) ALONG THE NORTHERN SOUTH CAROLINA COAST: A RESEARCH PARTNERSHIP WITH ECOTOURISM

Assessments of bottlenose dolphin stocks rely on current information about the distribution and abundance of specific populations. We partnered with two ecotourism dolphin watch businesses to investigate bottlenose dolphins along the northern South Carolina coast. The temporal and spatial distribution of dolphins was examined by comparing dorsal fin images from research-based surveys with photo-identification efforts from commercial dolphin watch groups. Matches between survey locations and times revealed patterns of seasonal residency, potential migratory dispersal between seasons, and variable patterns for home range size. An enhanced understanding of the structure of local populations will contribute to the management of local fisheries, ecotour operations, and coastal ocean health

An Efficient Targeting Strategy for Multiobject Spectrograph Surveys: the Sloan Digital Sky Survey “Tiling” Algorithm

Large surveys using multiobject spectrographs require automated methods for deciding how to efficiently point observations and how to assign targets to each pointing. The Sloan Digital Sky Survey (SDSS) will observe around 106 spectra from targets distributed over an area of about 10,000 deg2 , using a multiobject fiber spectrograph that can simultaneously observe 640 objects in a circular field of view (referred to as a ‘‘ tile ’’) 1= 49 in radius. No two fibers can be placed closer than 5500 during the same observation; multiple targets closer than this distance are said to ‘‘ collide.’’ We present here a method of allocating fibers to desired targets given a set of tile centers that includes the effects of collisions and that is nearly optimally efficient and uniform. Because of large-scale structure in the galaxy distribution (which form the bulk of the SDSS targets), a naive covering of the sky with equally spaced tiles does not yield uniform sampling. Thus, we present a heuristic for perturbing the centers of the tiles from the equally spaced distribution that provides more uniform completeness. For the SDSS sample, we can attain a sampling rate of greater than 92% for all targets, and greater than 99% for the set of targets that do not collide with each other, with an efficiency greater than 90% (defined as the fraction of available fibers assigned to targets). The methods used here may prove useful to those planning other large surveys

Doping-tunable thermal emission from plasmon polaritons in semiconductor epsilon-near-zero thin films

We utilize the unique dispersion properties of leaky plasmon polaritons in epsilon-near-zero (ENZ) thin films to demonstrate thermal radiation control. Owing to its highly flat dispersion above the light line, a thermally excited leaky wave at the ENZ frequency out-couples into free space without any scattering structures, resulting in a narrowband, wide-angle, p-polarized thermal emission spectrum. We demonstrate this idea by measuring angle-and polarization-resolved thermal emission spectra from a single layer of unpatterned, doped semiconductors with deep-subwavelength film thickness (d/lambda(0) similar to 6 x 10(-3), where d is the film thickness and lambda(0) is the free space wavelength). We show that this semiconductor ENZ film effectively works as a leaky wave thermal radiation antenna, which generates far-field radiation from a thermally excited mode. The use of semiconductors makes the radiation frequency highly tunable by controlling doping densities and also facilitates device integration with other components. Therefore, this leaky plasmon polariton emission from semiconductor ENZ films provides an avenue for on-chip control of thermal radiation. (C) 2014 AIP Publishing LLCopen0