Market Expectations And Probability Distributions Implicit In Option Prices

This paper investigates whether specific characteristics of the returns distributions implied by options prices constitute useful information for the purpose of predicting changes in market direction. The key distributional characteristics we focus on are skewness, kurtosis, and the probability weight in the extreme tails of the implied distributions. We present a new methodology for extracting the returns distributions and apply it to S&P 500 index futures-options prices for twenty days surrounding the four largest market reversals in calendar 2001

Invariant nature of substituted element in metal-hexacyanoferrate

The chemical substitution of a transition metal (M) is an effective method to improve the functionality of materials. In order to design the highly functional materials, we first have to know the local structure and electronic state around the substituted element. Here, we systematically investigated the local structure and electronic state of the host (Mh) and guest (Mg) transition metals in metal-hexacyanoferrate (M-HCF), Na x (Mh, Mg)[Fe(CN)6] y (1.40 < x < 1.60 and 0.85 < y < 0.90), by means of extended X-ray absorption fine structure (EXAFS) and X-ray absorption near-edge structure (XANES) analyses. The EXAFS and XANES analyses revealed that the local structure and electronic state around Mg are essentially the same as those in the pure compound, i.e, Mg-HCF. Such an invariant nature of Mg in M-HCF is in sharp contrast with that in layered oxide, in which the Mg valence changes so that local Mg-O distance (d M-Og) approaches the Mh-O distance (d M-Oh)

Dielectric response of BaTiO electronic states under AC fields via microsecond time-resolved X-ray absorption spectroscopy

This research was performed under the approval of the Photon Factory Program Advisory Committee (PF-PAC; Contract Numbers 2015G580, 2017G587, and 2019G614) and was financially supported by JSPS KAKENHI Grant Numbers 18H01153 , 19H02426 , and 18K19126 . The experiment for measuring spectra in Fig. 6 (b) was performed on beamline BM26A (proposal MA 2731) at the European Synchrotron Radiation Facility (ESRF), Grenoble, France. We are grateful to Local Contact at the ESRF for providing assistance in using beamline BM26A. Institute of Solid State Physics, University of Latvia as the Center of Excellence has received funding from the European Union’s Horizon 2020 Framework Programme H2020-WIDESPREAD-01-2016-2017-TeamingPhase2 under grant agreement No. 739508, project CAMART². © 2021 Acta Materialia Inc. Published by Elsevier Ltd. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/ )For the first time, the dielectric response of a BaTiO thin film under an AC electric field is investigated using microsecond time-resolved X-ray absorption spectroscopy at the Ti K-edge in order to clarify correlated contributions of each constituent atom on the electronic states. Intensities of the pre-edge peak and shoulder structure just below the main edge increase with an increase in the amplitude of the applied electric field, whereas that of the main peak decreases in an opposite manner. Based on the multiple scattering theory, the increase and decrease of the and main peaks are simulated for different Ti off-center displacements. Our results indicate that these spectral features reflect the inter- and intra-atomic hybridization of Ti 3 with O 2 and Ti 4 respectively. In contrast, the shoulder structure is not affected by changes in the Ti off-center displacement but is susceptible to the effect of the corner site Ba ions. This is the first experimental verification of electronic contribution of Ba to polarization reversal.----/ / /---- This is open access article of S. Kato, N. Nakajima, S. Yasui, S. Yasuhara, D. Fu, J. Adachi, H. Nitani, Y. Takeichi, A. Anspoks, Dielectric response of BaTiO3 electronic states under AC fields via microsecond time-resolved X-ray absorption spectroscopy (DOI 10.1016/j.actamat.2021.116681), Acta Materialia, Volume 207, 2021,116681 - under the CC BY license (http://creativecommons.org/licenses/by/4.0/ )Photon Factory Program Advisory Committee (PF-PAC; Contract Numbers 2015G580, 2017G587, and 2019G614); JSPS KAKENHI Grant Numbers 18H01153 , 19H02426 , and 18K19126; Institute of Solid State Physics, University of Latvia as the Center of Excellence has received funding from the European Union’s Horizon 2020 Framework Programme H2020-WIDESPREAD-01-2016-2017-TeamingPhase2 under grant agreement No. 739508, project CAMART²

Genetic Patterns in Peripheral Marine Populations of the Fusilier Fish Caesio Cuning Within the Kuroshio Current

Aim: Mayr’s central‐peripheral population model (CCPM) describes the marked differences between central and peripheral populations in genetic diversity, gene flow, and census size. When isolation leads to genetic divergence, these peripheral populations have high evolutionary value and can influence biogeographic patterns. In tropical marine species with pelagic larvae, powerful western‐boundary currents have great potential to shape the genetic characteristics of peripheral populations at latitudinal extremes. We tested for the genetic patterns expected by the CCPM in peripheral populations that are located within the Kuroshio Current for the Indo‐Pacific reef fish, Caesio cuning. Methods: We used a panel of 2,677 SNPs generated from restriction site‐associated DNA (RAD) sequencing to investigate genetic diversity, relatedness, effective population size, and spatial patterns of population connectivity from central to peripheral populations of C. cuning along the Kuroshio Current. Results: Principal component and cluster analyses indicated a genetically distinct lineage at the periphery of the C. cuning species range and examination of SNPs putatively under divergent selection suggested potential for local adaptation in this region. We found signatures of isolation‐by‐distance and significant genetic differences between nearly all sites. Sites closest to the periphery exhibited increased within‐population relatedness and decreased effective population size. Main Conclusions: Despite the potential for homogenizing gene flow along the Kuroshio Current, peripheral populations in C. cuning conform to the predictions of the CCPM. While oceanography, habitat availability, and dispersal ability are all likely to shape the patterns found in C. cuning across this central‐peripheral junction, the impacts of genetic drift and natural selection in increasing smaller peripheral populations appear to be probable influences on the lineage divergence found in the Ryukyu Islands

Deepwater overflow through Luzon Strait

Author Posting. © American Geophysical Union, 2006. This article is posted here by permission of American Geophysical Union for personal use, not for redistribution. The definitive version was published in Journal of Geophysical Research 111 (2006): C01002, doi:10.1029/2005JC003139.This study examines water property distributions in the deep South China Sea and adjoining Pacific Ocean using all available hydrographic data. Our analysis reveals that below about 1500 m there is a persistent baroclinic pressure gradient driving flow from the Pacific into the South China Sea through Luzon Strait. Applying hydraulic theory with assumptions of zero potential vorticity and flat bottom to the Luzon Strait yields a transport estimate of 2.5 Sv (1 Sv=106 m3 s-1). Some implications of this result include: (i) a residence time of less than 30 years in the deep South China Sea, (ii) a mean diapycnal diffusivity as large as 10-3 m2 s-1, and (iii) an abyssal upwelling rate of about 3×10-6 m s-1. These quantities are consistent with residence times based on oxygen consumption rates. The fact that all of the inflowing water must warm up before leaving the basin implies that this marginal sea contributes to the water mass transformations that drive the meridional overturning circulation in the North Pacific. Density distributions within the South China Sea basin suggest a cyclonic deep boundary current system, as might be expected for an overflow-driven abyssal circulation.This study was supported by National Science Foundation (NSF) through Grant OCE00-95906 and by Japan Marine Science and Technology Center through its sponsorship of the International Pacific Research center (IPRRC). Support is also from NSF grant OCE-0325102