Statistical properties of short term price trends in high frequency stock market data

We investigated distributions of short term price trends for high frequency stock market data. A number of trends as a function of their lengths was measured. We found that such a distribution does not fit to results following from an uncorrelated stochastic process. We proposed a simple model with a memory that gives a qualitative agreement with real data.Comment: 10 pages, 9 figures, in ver. 2 one chapter adde

Usefulness of image guidance in the surgical treatment of petrous apex cholesterol granuloma

The petrous apex is a pyramid-shaped structure, located medial to the inner ear and the intrapetrous segment of the internal carotid artery. Lesions of the petrous apex can be surgically treated through different surgical routes. Because of the important neurovascular structures located inside the temporal bone, anatomical 3D knowledge is paramount. For this reason, image-guided surgery could represent a useful tool. We report the case of a young woman who came to our observation for a trigeminal neuralgia due to a petrous apex cholesterol granuloma. The lesion was treated through the placement of a drainage tube via an infracochlear approach, with the aid of neuronavigation and intraoperative MRI. Preoperative CT scan images and intraoperative MRI images were fused for surgical planning. The accuracy of the neuronavigation system has proved to be good, and the safety of the procedure was enhanced. Therefore, neuronavigation and intraoperative MRI, though not available in all neurootological centres, should be considered useful tools in these challenging procedures

Virtual volatility

We introduce the concept of virtual volatility. This simple but new measure shows how to quantify the uncertainty in the forecast of the drift component of a random walk. The virtual volatility also is a useful tool in understanding the stochastic process for a given portfolio. In particular, and as an example, we were able to identify mean reversion effect in our portfolio. Finally, we briefly discuss the potential practical effect of the virtual volatility on an investor asset allocation strategy.Comment: 15 pages, 2 figures, elsart.cls, Accepted to Physica A. Added few comments that clarify data used for empirical wor

Asymmetric Conditional Volatility in International Stock Markets

Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to appraise the hypothesis under which the conditional mean and the conditional variance of stock returns are asymmetric functions of past information. We compare the results for the Portuguese Stock Market Index PSI 20 with six other Stock Market Indices, namely the S&P 500, FTSE100, DAX 30, CAC 40, ASE 20, and IBEX 35. In order to assess asymmetric volatility we use autoregressive conditional heteroskedasticity specifications known as TARCH and EGARCH. We also test for asymmetry after controlling for the effect of macroeconomic factors on stock market returns using TAR and M-TAR specifications within a VAR framework. Our results show that the conditional variance is an asymmetric function of past innovations raising proportionately more during market declines, a phenomenon known as the leverage effect. However, when we control for the effect of changes in macroeconomic variables, we find no significant evidence of asymmetric behaviour of the stock market returns. There are some signs that the Portuguese Stock Market tends to show somewhat less market efficiency than other markets since the effect of the shocks appear to take a longer time to dissipate.Comment: 11 pages, 3 figure

Penggunaan Metode Perangkap Agar-agar Dengan Penambahan Pakan Ikan Untuk Penelitian Juvenil Udang Di Perairan Morosari, Demak

Tujuan penelitian ini adalah untuk mengetahui jenis juvenil udang di perairan Morosari; mengetahui kelimpahan juvenil udang, mengetahui keterkaitan antara kelimpahan dengan lokasi, perlakuan pakan atau tanpa pakan, dan waktu dan mengetahui hubungan panjang dan berat juvenil udang di perairan Morosari, Demak. Materi yang digunakan dalam penelitian ini adalah juvenil udang yang tertangkap dengan metode perangkap agar- agar di perairan Morosari, Demak. Metode perangkap agar-agar sebagai materi utama dengan perlakuan pemberian tambahan pakan yang kemudian akan diletakkan dua lokasi pada perairan sungai dan muara Morosari, Demak. Metode penelitian yang dilakukan adalah metode studi kasus untuk mengamati juvenil udang yang tertangkap dengan metode perangkap agar- agar dan berada di lokasi pengamatan selama bulan November sampai bulan Desember 2013 . Pengamatan juvenil udang yang dilakukan berlokasi di perairan muara dan sungai dengan tiga titik tiap perairan dengan perendaman alat perangkap selama 24 jam dan interval satu minggu sekali selama 4 minggu. Selanjutnya melakukan identifikasi jenis juvenil udang serta melakukan perhitungan analisis data dan konversi hasil dari satuan ekor menjadi individu / m2. Hasil pengamatan juvenil udang di lokasi penelitian yang didapatkan dengan metode perangkap agar-agar pada ekosistem sungai dan muara terdiri dari genus Macrobrachium dan genus Penaeus. Jumlah individu juvenil udang yang tertangkap berjumlah seluruhnya 64 individu atau dikonversi menjadi 426 individu/m2. Genus Macrobrachium sebanyak 62 individu atau dikonversi menjadi 413 individu/m2 dan genus Penaeus sebanyak 2 ekor atau dikonversi menjadi 13 individu/m2. Dengan menggunakan taraf kepercayaan 60% terlihat adanya keterkaitan antara kelimpahan dengan faktor pakan/ tanpa pakan dengan nilai P sebesar 0,44 dan tidak adanya keterkaitan antara kelimpahan dengan faktor lokasi dan waktu dengan nilai P sebesar 0,6341 dan 0,5269. Sifat pertumbuhan dari udang Macrobrachium dengan kisaran ukuran 5-20 mm adalah allometrik negatif yaitu pertambahan panjang udang Macrobrachium lebih cepat daripada pertambahan beratnya. The purpose of this study was to knowing the type of juvenile shrimp in the waters of Morosari, Demak, determine the potential distribution of juvenile shrimp; Knowing the relationship between abundance and the location, treated feed or without food, and time; and to study the relation between the length and weight of juvenile shrimp. The material used in this study were juvenile shrimp which caught with agar trap methods in the waters Morosari, Demak. Agar trap method as the main material with the additional of fish feed which will then be put on the river and estuary of Morosari, Demak. The research method was the case study method to observe juvenile shrimp were caught with methods that trap and observations at the scene during the months of November until December 2013. Observations of juvenile shrimp was done at river and estuary waters in three locations with interval of 24 hours. Furthermore, it was identifying the species of juvenile shrimp and the data analysis. Observations of juvenile shrimp in the study site were obtained with the agar trap method in the river and estuary ecosystems consisting the genus of Macrobrachium and Penaeus. The number of individual juvenile shrimp were caught completely totaled 64 individual or 426 individual/m2. The genus Macrobrachium 62 individual or 413 individual/m2 and Penaeus 2 individual or 13.33 individual/m2. By using a 60 % confidence level shown there is a correlation between the abundance by a factor of feed / no feed with a P value of 0.44 and no correlation between abundance by a factor of location and time with a P value of 0.6341 and 0.5269.The nature of the growth of the shrimp Macrobrachium was negative allometric mean the length of the shrimp Macrobrachium was faster than the increase of weight