Impact of US Macroeconomic Surprises on Stock Market Returns in Developed Economies

Macroeconomic conditions are known to affect risks factors and thereby influence asset returns within a given economy. We explore this link in a global setting. Given the dominant role the U.S. economy plays in the global economic environment, U.S. Macro economic shocks are expected to affect asset returns in other countries. The impact should be more pronounced in the developed economies where the U.S. is a large trading and capital-flows partner. Our results shows that residual returns and conditional volatilities in major developed economies are significantly impacted by US macroeconomic surprises. We identify U.S. macro economic shocks that have spillover impact on global asset returns over and above those transmitted through equity market returns. While return levels are significantly influenced by productivity and retail sales surprises, return conditional volatilities are mainly influenced by inflation, personal income, industrial production, leading indicators, and gross domestic product surprises.

Hierarchical Multiscale Adaptive Variable Fidelity Wavelet-based Turbulence Modeling with Lagrangian Spatially Variable Thresholding

The current work develops a wavelet-based adaptive variable fidelity approach that integrates Wavelet-based Direct Numerical Simulation (WDNS), Coherent Vortex Simulations (CVS), and Stochastic Coherent Adaptive Large Eddy Simulations (SCALES). The proposed methodology employs the notion of spatially and temporarily varying wavelet thresholding combined with hierarchical wavelet-based turbulence modeling. The transition between WDNS, CVS, and SCALES regimes is achieved through two-way physics-based feedback between the modeled SGS dissipation (or other dynamically important physical quantity) and the spatial resolution. The feedback is based on spatio-temporal variation of the wavelet threshold, where the thresholding level is adjusted on the fly depending on the deviation of local significant SGS dissipation from the user prescribed level. This strategy overcomes a major limitation for all previously existing wavelet-based multi-resolution schemes: the global thresholding criterion, which does not fully utilize the spatial/temporal intermittency of the turbulent flow. Hence, the aforementioned concept of physics-based spatially variable thresholding in the context of wavelet-based numerical techniques for solving PDEs is established. The procedure consists of tracking the wavelet thresholding-factor within a Lagrangian frame by exploiting a Lagrangian Path-Line Diffusive Averaging approach based on either linear averaging along characteristics or direct solution of the evolution equation. This innovative technique represents a framework of continuously variable fidelity wavelet-based space/time/model-form adaptive multiscale methodology. This methodology has been tested and has provided very promising results on a benchmark with time-varying user prescribed level of SGS dissipation. In addition, a longtime effort to develop a novel parallel adaptive wavelet collocation method for numerical solution of PDEs has been completed during the course of the current work. The scalability and speedup studies of this powerful parallel PDE solver are performed on various architectures. Furthermore, Reynolds scaling of active spatial modes of both CVS and SCALES of linearly forced homogeneous turbulence at high Reynolds numbers is investigated for the first time. This computational complexity study, by demonstrating very promising slope for Reynolds scaling of SCALES even at constant level of fidelity for SGS dissipation, proves the argument that SCALES as a dynamically adaptive turbulence modeling technique, can offer a plethora of flexibilities in hierarchical multiscale space/time adaptive variable fidelity simulations of high Reynolds number turbulent flows

Do FOMC Actions Speak Loudly? Evidence from Corporate Bond Credit Spreads

We find that Federal Open Market Committee (FOMC) actions (especially rate cuts) narrowed corporate credit spreads during the pre-crisis period of 2002-2007. During the 2008 crisis period, we find that both conventional cuts and quantitative easing decreased spreads. But FOMC inactions caused significant widening of spreads. The effects are especially large for speculative-grade and short-maturity bonds. Overall, the policy uncertainty during the crisis and macroeconomic theories during the pre-crisis period help to explain why FOMC announcements impacted credit spreads. The Fed’s actions targeted at promoting growth and/or providing systemic liquidity were especially noted by the corporate bond market. Keywords

Corporate Cash Holding, Agency Problems and Economic Policy Uncertainty

Consistent with the agency view of cash holdings, we document a strong negative relationship between economic policy uncertainty and corporate cash holdings for non-U.S. firms from 19 countries. Our results are robust to different measures of cash holdings and model specifications and survive after addressing endogeneity. We provide evidence that the decrease in cash holdings is moderated by shareholders\u27 ability to force managers to disgorge cash that fits consistently within the agency framework. Overall, results suggest that lowering cash holdings help alleviate agency problems in the presence of policy uncertainty and underscore the significance of country attributes in corporate finance

Guided wave optics in periodically poled KTP: quadratic nonlinearity and prospects for attosecond jitter characterization

For the first time to our knowledge, continuous nonsegmented channel waveguides in periodically poled KTiOPO4 with guided orthogonal polarizations are used to demonstrate type II background-free second harmonic generation in the telecom band with 1.6%/(W cm2) normalized conversion efficiency. This constitutes a 90-fold improvement in aggregate conversion efficiency over its free space counterpart. Simulations show that the guided wave device should enable the measurement of timing fluctuations of optical pulse trains at the attosecond level in an optical cross correlation scheme

Ultrafast nonlinear optical processes and free-carrier lifetime in silicon nanowaveguides

Abstract: We report self-consistent femtosecond studies of two-photon absorption, optical Kerreffect and free-carrier index and loss in silicon nanowaveguides using heterodyne pump-probe. Free-carrier lifetime was reduced to 33ps with only 8dB/cm added loss using proton bombardment

Femtosecond laser writing in the monoclinic RbPb2Cl5:Dy3+ crystal

Monoclinic RbPb2Cl5:Dy single crystal was tested for femtosecond laser writing at wavelength of 800nm. Dependence of permanent refractive index change upon input pulse energy was investigated. Non-linear coefficients of multiphoton absorption and self-focusing were measured. Kerr non-linear coefficient was found to be as high as 4.0*10-6 cm2/GW

1.2-km Timing-Stabilized, Polarization-Maintaining Fiber Link with Sub-Femtosecond Residual Timing Jitter

A 1.2-km timing-stabilized, polarization-maintaining fiber link based on balanced optical cross-correlationwas demonstrated with ~0.9 fs RMS timing jitter over 16 days and ~0.2 fs RMS timing jitter over 3 days

Microfabrication and Applications of Opto-Microfluidic Sensors

A review of research activities on opto-microfluidic sensors carried out by the research groups in Canada is presented. After a brief introduction of this exciting research field, detailed discussion is focused on different techniques for the fabrication of opto-microfluidic sensors, and various applications of these devices for bioanalysis, chemical detection, and optical measurement. Our current research on femtosecond laser microfabrication of optofluidic devices is introduced and some experimental results are elaborated. The research on opto-microfluidics provides highly sensitive opto-microfluidic sensors for practical applications with significant advantages of portability, efficiency, sensitivity, versatility, and low cost