Microstructure Effects on Daily Return Volatility in Financial Markets

We simulate a series of daily returns from intraday price movements initiated by microstructure elements. Significant evidence is found that daily returns and daily return volatility exhibit first order autocorrelation, but trading volume and daily return volatility are not correlated, while intraday volatility is. We also consider GARCH effects in daily return series and show that estimates using daily returns are biased from the influence of the level of prices. Using daily price changes instead, we find evidence of a significant GARCH component. These results suggest that microstructure elements have a considerable influence on the return generating process.Comment: 15 pages, as presented at the Complexity Workshop in Aix-en-Provenc

Altered serological and cellular reactivity to H-2 antigens after target cell infection with vaccinia virus

MICE generate cytotoxic T lymphocytes (CTL) which are able to lyse virus infected target cells in vitro after infection with lymphocytic choriomeningitis virus (LCMV) and pox-viruses1−3. CTL kill syngeneic and semiallogenic infected cells but not allogenic infected targets. Target cell lysis in these systems seems to be restricted by H-2 antigens, especially by the K or D end of the major histocompatibility complex (MHC). In experiments where virus specific sensitised lymphocytes kill virus infected allogenic target cells4 the effector lymphocytes have not been characterised exactly. Recent investigations suggest that the active cell in this assay, at least in the measles infection, is a non-thymus derived cell (H. Kreth, personal communication). An H-2 restriction of cell mediated cytolysis (CMC) to trinitrophenol (TNP)-modified lymphocytes has also been described5. Zinkernagel and Doherty6 postulated that the CTL is directed against syngeneic H-2 antigens and viral antigens and they suggested an alteration of H-2 induced by the LCMV infection. Earlier7 we found a close topological relationship between H-2 antigens and the target antigen(s) responsible for CMC in the vaccinia system. Here we report experiments which were carried out to prove alteration of H-2 after infection of L-929 fibroblasts with vaccinia virus

First Passage Properties of the Erdos-Renyi Random Graph

We study the mean time for a random walk to traverse between two arbitrary sites of the Erdos-Renyi random graph. We develop an effective medium approximation that predicts that the mean first-passage time between pairs of nodes, as well as all moments of this first-passage time, are insensitive to the fraction p of occupied links. This prediction qualitatively agrees with numerical simulations away from the percolation threshold. Near the percolation threshold, the statistically meaningful quantity is the mean transit rate, namely, the inverse of the first-passage time. This rate varies non-monotonically with p near the percolation transition. Much of this behavior can be understood by simple heuristic arguments.Comment: 10 pages, 9 figures, 2-column revtex4 forma

A Search for Small-Scale Clumpiness in Dense Cores of Molecular Clouds

We have analyzed HCN(1-0) and CS(2-1) line profiles obtained with high signal-to-noise ratios toward distinct positions in three selected objects in order to search for small-scale structure in molecular cloud cores associated with regions of high-mass star formation. In some cases, ripples were detected in the line profiles, which could be due to the presence of a large number of unresolved small clumps in the telescope beam. The number of clumps for regions with linear scales of ~0.2-0.5 pc is determined using an analytical model and detailed calculations for a clumpy cloud model; this number varies in the range: ~2 10^4-3 10^5, depending on the source. The clump densities range from ~3 10^5-10^6 cm^{-3}, and the sizes and volume filling factors of the clumps are ~(1-3) 10^{-3} pc and ~0.03-0.12. The clumps are surrounded by inter-clump gas with densities not lower than ~(2-7) 10^4 cm^{-3}. The internal thermal energy of the gas in the model clumps is much higher than their gravitational energy. Their mean lifetimes can depend on the inter-clump collisional rates, and vary in the range ~10^4-10^5 yr. These structures are probably connected with density fluctuations due to turbulence in high-mass star-forming regions.Comment: 23 pages including 4 figures and 4 table

Molecular evolution of the membrane associated progesterone receptor in the Brachionus plicatilis (Rotifera, Monogononta) species complex

Author Posting. © Springer, 2010. This is the author's version of the work. It is posted here by permission of Springer for personal use, not for redistribution. The definitive version was published in Hydrobiologia 662 (2011): 99-106, doi:10.1007/s10750-010-0484-4.Many studies have investigated physiological roles of the membrane associated progesterone receptor (MAPR), but little is known of its evolution. Marked variations in response to exogenous progesterone have been reported for four brachionid rotifer species, suggesting differences in progesterone signaling and reception. Here we report sequence variation for the MAPR gene in the Brachionus plicatilis species complex. Phylogenetic analysis of this receptor is compared with relatedness based on cytochrome c oxidase subunit 1 sequences. Nonsynonymous to synonymous site substitution rate ratios, amino acid divergence, and variations in predicted phosphorylation sites are examined to assess evolution of the MAPR among brachionid clades.National Science Foundation grant BE/GenEn MCB-0412674E to TWS and DMW, and an NSF IGERT fellowship to HAS under DGE 0114400, supported this work

Velocity-resolved [CII] emission and [CII]/FIR Mapping along Orion with Herschel

We present the first 7.5'x11.5' velocity-resolved map of the [CII]158um line toward the Orion molecular cloud-1 (OMC-1) taken with the Herschel/HIFI instrument. In combination with far-infrared (FIR) photometric images and velocity-resolved maps of the H41alpha hydrogen recombination and CO J=2-1 lines, this data set provides an unprecedented view of the intricate small-scale kinematics of the ionized/PDR/molecular gas interfaces and of the radiative feedback from massive stars. The main contribution to the [CII] luminosity (~85%) is from the extended, FUV-illuminated face of the cloud G_0>500, n_H>5x10^3 cm^-3) and from dense PDRs (G_0~10^4, n_H~10^5 cm^-3) at the interface between OMC-1 and the HII region surrounding the Trapezium cluster. Around 15% of the [CII] emission arises from a different gas component without CO counterpart. The [CII] excitation, PDR gas turbulence, line opacity (from [13CII]) and role of the geometry of the illuminating stars with respect to the cloud are investigated. We construct maps of the [CII]/FIR and FIR/M_Gas ratios and show that [CII]/FIR decreases from the extended cloud component (10^-2-10^-3) to the more opaque star-forming cores (10^-3-10^-4). The lowest values are reminiscent of the "[CII] deficit" seen in local ultra-luminous IR galaxies hosting vigorous star formation. Spatial correlation analysis shows that the decreasing [CII]/FIR ratio correlates better with the column density of dust through the molecular cloud than with FIR/M_Gas. We conclude that the [CII] emitting column relative to the total dust column along each line of sight is responsible for the observed [CII]/FIR variations through the cloud.Comment: 21 pages, 17 figures. Accepted for publication in the Astrophysical Journal (2015 August 12). Figures 2, 6 and 7 are bitmapped to lower resolution. This is version 2 after minor editorial changes. Notes added after proofs include