The fine structure of volatility feedback II: overnight and intra-day effects

We decompose, within an ARCH framework, the daily volatility of stocks into overnight and intra-day contributions. We find, as perhaps expected, that the overnight and intra-day returns behave completely differently. For example, while past intra-day returns affect equally the future intra-day and overnight volatilities, past overnight returns have a weak effect on future intra-day volatilities (except for the very next one) but impact substantially future overnight volatilities. The exogenous component of overnight volatilities is found to be close to zero, which means that the lion's share of overnight volatility comes from feedback effects. The residual kurtosis of returns is small for intra-day returns but infinite for overnight returns. We provide a plausible interpretation for these findings, and show that our Intra-Day/Overnight model significantly outperforms the standard ARCH framework based on daily returns for Out-of-Sample predictions

JAPANESE DEMAND FOR WHEAT PROTEIN QUANTITY AND QUALITY

Ladd and Martin's hedonic pricing model is extended to include the interactive effect of noncontracted characteristics on the value of contracted characteristics. Marginal values of wheat protein in the Japanese import market are estimated using the interactive effects of noncontracted dough/flour characteristics typically proxied by protein. Protein value is linked positively to farinograph stability, a prime factor in blending different flours. Three high protein wheats maintained about the same marginal value of protein. The marginal value for the two low protein wheats appear more end-use dependant. They varied in a $2.00/ton range depending on protein absorption, stability, and extensibility.Demand and Price Analysis,

Confidence Bounds for the Estimation of the Volume Phase Fraction from a Single Image in a Nickel Base Superalloy

We propose an image-based framework to evaluate the uncertainty in the estimation of the volume fraction of specific microstructures based on the observation of a single section. These microstructures consist of cubes organized on a cubic mesh, such as monocrystalline nickel base superalloys. The framework is twofold: a model-based stereological analysis allows relating two-dimensional image observations to three-dimensional microstructure features, and a spatial statistical analysis allows computing approximate confidence bounds while assessing the representativeness of the image. The reliability of the method is assessed on synthetic models. Volume fraction estimation variances and approximate confidence intervals are computed on real superalloy images in the context of material characterizatio

Thermalizing a telescope in Antarctica: Analysis of ASTEP observations

The installation and operation of a telescope in Antarctica represent particular challenges, in particular the requirement to operate at extremely cold temperatures, to cope with rapid temperature fluctuations and to prevent frosting. Heating of electronic subsystems is a necessity, but solutions must be found to avoid the turbulence induced by temperature fluctua- tions on the optical paths. ASTEP 400 is a 40 cm Newton telescope installed at the Concordia station, Dome C since 2010 for photometric observations of fields of stars and their exoplanets. While the telescope is designed to spread star light on several pixels to maximize photometric stability, we show that it is nonetheless sensitive to the extreme variations of the seeing at the ground level (between about 0.1 and 5 arcsec) and to temperature fluctuations between --30 degrees C and --80 degrees C. We analyze both day-time and night-time observations and obtain the magnitude of the seeing caused by the mirrors, dome and camera. The most important effect arises from the heating of the primary mirror which gives rise to a mirror seeing of 0.23 arcsec K--1 . We propose solutions to mitigate these effects.Comment: Appears in Astronomical Notes / Astronomische Nachrichten, Wiley-VCH Verlag, 2015, pp.1-2

American Branch Report 1996

The seventh annual dinner of the American branch was held at the I Matti restaurant in Washington, D.C. on 29 December 1996. There was no formal programme, but the traditional toast was offered and greetings were delivered from members who could not attend. Those present particularly appreciated the messages from Kathleen and Bill Adams and from Harriet Williams. While we enjoyed excellent Italian food, there was lively conversation about recent works on George Eliot, film versions of various nineteenth-century novels, and our own projects and recent reading. Those in attendance were Marjorie Goss, Shoshana Knapp, Lee Pierson, Meri-Jane Rochelson, Ed Smith, and Linda K. Robertson. Ed Smith volunteered to prepare a Special Session proposal on George Eliot for next year\u27s Modern Language Association convention in Toronto

Nucleation and growth mechanisms of trivalent chromium conversion coatings on 2024-T3 aluminium alloy

Nucleation and growth mechanisms of trivalent chromium conversion coatings on 2024 aluminium alloy (AA 2024) were studied. Nucleation of 25 nm diameter nodules was observed on the ridges of the scalloped structure of degreased and desmutted AA 2024 after very short time of conversion treatment corresponding to the formation of a 12 nm thick precursor layer. Then, the composition of this layer evolved and concomitantly a chromium and zirconium outer layer deposited on top of it. Rather long-lasting anticorrosive properties were measured even for conversion coatings formed after short exposure to the conversion bath, except for the precursor layer