Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model¤

This paper presents a simple rational expectations model of intertemporal asset pricing. It shows that state-independent heterogeneous risk aversion of investors is likely to generate declining aggregate relative risk aversion. This leads to predictability of asset returns and high and persistent volatility. Stock market crashes may be observed if relative risk aversion differs strongly across investors. Then aggregate relative risk aversion may sharply increase given a small impairment in fundamentals so that asset prices may strongly decline. Changes in aggregate relative risk aversion may also lead to resistance and support levels as used in technical analysis. For numerical illustration we propose an analytical asset price formula.Aggregate relative risk aversion, Equilibrium asset price processes, Excess Volatility, Return predictability, Stock market crashes

Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model

This paper presents a simple rational expectations model of intertemporal asset pricing. It shows that heterogeneous risk aversion of investors is likely to generate declining aggregate relative risk aversion. This leads to predictability of asset returns and high and persistent volatility. Stock market crashes may be observed if relative risk aversion differs strongly across investors. Then aggregate relative risk aversion may sharply increase given a small impairment in fundamentals so that asset prices may strongly decline. Changes in aggregate relative risk aversion may also lead to resistance and support levels as used in technical analysis. For numerical illustration we propose an analytical asset price formula.Aggregate relative risk aversion, Equilibrium asset price processes, Excess Volatility, Return predictability, Stock market crashes

Why Do Asset Prices Not Follow Random Walks?

This paper analyzes the e¤ect of non-constant elasticity of the pricing kernel on asset return characteristics in a rational expectations model. It is shown that declining elasticity of the pricing kernel can lead to predictability of asset returns and high and persistent volatility. Also, declining elasticity helps to motivate technical analysis and to explain stock market crashes. Moreover, based on a general characterization of the pricing kernel, we propose analytical asset price processes which can be tested empirically. The numerical analysis reveals strong deviations from the geometric Brownian motion which are caused by declining elasticity of the pricing kernel.Pricing Kernel, Viable asset price processes, Serial correlation, Heteroskedasticity, Stock market crashes

Rapid Nestling Mortality in Arctic Peregrine Falcons due to the Biting Effects of Black Flies

This note describes nestling mortality in Arctic Peregrine Falcons (Falco peregrinus tundrius) due to the biting effects of blood-feeding black flies (Diptera: Simuliidae). At a nest site near Rankin Inlet, Nunavut, Canada (62˚49′ N, 92˚05′ W), a brood of four nestlings died on 20 July 2013 from the direct effects of severe bites attributed to black flies. Within three hours of the onset of blood-feeding, black flies had caused widespread, uniformly distributed hemorrhagic coalescent lesions over the head and body of all nestlings. Approximately seven hours after the first flies appeared, the female falcon removed the carcasses of the dead nestlings from the nest. Nestlings at eight additional sites also suffered the effects of biting black flies in 2013, resulting in the deaths of 13 of 35 nestlings. A less pronounced outbreak also occurred in 2012 and resulted in the deaths of seven nestlings at four sites. No nestling mortality due to black flies has been documented in any other year from 1982 through 2015. To our knowledge, these observations document the northernmost lethal attack by ornithophilic black flies in North America.Cet article décrit des événements de mortalité d’oisillons chez le faucon pèlerin (Falco peregrinus tundrius) causés par des morsures de mouches noires hématophages (Diptera : Simuliidae). À un site de nidification près de Rankin Inlet, Nunavut, Canada (62˚49′ N, 92˚05′ O), les quatre oisillons d’une couvée sont morts le 20 juillet 2013 des effets directs de morsures sévères attribuables aux mouches noires. Dans les trois heures suivant le début de l’activité des hématophages, les mouches noires avaient causé des lésions hémorragiques et coalescentes uniformément distribuées sur la tête et le corps des oisillons. Environ sept heures après l’apparition des premières mouches, la femelle a retiré les carcasses des oisillons morts du nid. Des oisillons à huit autres sites de nidification ont également subi les effets des mouches noires hématophages en 2013, entraînant la mortalité de 13 oisillons sur un total de 35. Une émergence moins prononcée s’est aussi produite en 2012 et a causé la mort de sept oisillons à quatre sites de nidification. Aucune mortalité d’oisillons causée par les mouches noires n’a été documentée de 1982 à 2015. À notre connaissance, ces observations documentent les attaques létales par les mouches noires ornithophiles les plus nordiques en Amérique du Nord

Slowdown of Circumpolar Deepwater flow during the Late Neogene: Evidence from a mudwave field at the Argentine continental slope

Geochemical evidence from boreholes suggests enhanced transport of Northern Component Water (NCW) to southern latitudes from about 6 Ma onwards. However, information on how this change in transport influenced the intensity and position of current systems is sparse. Here we use seismic reflection profiles interpreted together with bathymetric data to investigate current derived deposits at the central Argentine Margin. Upslope migrating mudwaves overlying a late Miocene erosional unconformity provide evidence that Circumpolar Deepwater (CDW) flow slowed down with the onset of NCW inflow. During the last ~3 Ma changes in dimensions and migration rates of the waves are small indicating continuous bottom current flow conditions similar to today with only minor variations in flow speed, suggesting that the Deep Western Boundary Current (DWBC) in the western south Atlantic as observed today, has been a pervasive feature of the global thermohaline circulation system during the Plio-/Pleistocene

Bestimmung der Aktivitätsverteilung in Gebinden mit geringfügig radioaktivem, Material unter Verwendung großflächiger, unkollimierter, feststehender Gamma-Szintillationsdetektoren

Die Verwendung von großflächigen Gamma-Detektoren zeichnet sich durch hohe Effektivität und damit geringe Messzeit aus. Dagegen sind mit ihnen keine hohen Ortsauflösungen bei der Rekonstruktion der Aktivitätsverteilung möglich. Zur Untersuchung der Rekonstruierbarkeit unbekannter Aktivitätsverteilungen werden zwei in der Tomographie gebräuchliche Verfahren verglichen, ein algebraisches (iterativ) und ein analytisches (gefilterte Rückprojektion). Beide Verfahren erbringen qualitativ ähnliche Ergebnisse. Reale Aktivitätsverteilungen werden nach beiden Verfahren zufriedenstellend rekonstruiert

A Wireless Angle and Position Tracking Concept for Live Data Control of Advanced, Semi-Automated Manufacturing Processes

Despite recent industrial automation advances, small series production still requires a considerable amount of manual work, and training, and monitoring of workers is consuming a significant amount of time and manpower. Adopting live monitoring of the stages in manual production, along with the comprehensive representation of production steps, may help resolve this problem. For ergonomic live support, the overall system presented in this paper combines localization, torque control, and a rotation counter in a novel approach to monitor of semi-automated manufacturing processes. A major challenge in this context is tracking, especially hand-guided tools, without the disruptions and restrictions necessary with rigid position encoders. In this paper, a promising measurement concept involving wireless wave-based sensors for close-range position tracking in industrial surroundings is proposed. By using simple beacons, the major share of processing is transferred to fixed nodes, allowing for reduced hardware size and power consumption for the wireless mobile units. This requires designated localization approaches relying on only relative phase information, similar to the proposed Kalman-filter-based-beam-tracking approach. Measurement results show a beam-tracking accuracy of about 0.58 ∘ in azimuth and 0.89 ∘ in elevation, resulting in an overall tracking accuracy of about 3.18 cm

Chloroflexi Dominate the Deep-Sea Golf Ball Sponges Craniella zetlandica and Craniella infrequens Throughout Different Life Stages

Deep-sea sponge grounds are underexplored ecosystems that provide numerous goods and services to the functioning of the deep-sea. This study assessed the prokaryotic diversity in embryos, recruits, and adults of Craniella zetlandica and Craniella infrequens, common and abundant representatives of deep-sea sponge grounds in the North Atlantic. Our results reveal that symbiont transmission in the two Craniella sponge species likely occurs vertically, as highly similar microbial consortia have been identified in adults, embryos, and recruits. Moreover, transmission electron microscopy revealed high abundances of sponge-associated microorganisms, among which Chloroflexi (SAR202) were identified as common representatives by amplicon sequencing and fluorescence in situ hybridization (FISH). Equal diversity metrices, a similar overall prokaryotic community composition and a distinct dominance of the phylum Chloroflexi within all life stages are the key findings of our analyses. Information such as presented here provide understanding on the recruitment of deep-sea sponge holobionts which is needed to develop integrated management tools of such vulnerable marine ecosystems

Survey of State-of-the-art NDA Methods Applicable to UF6 Cylinders - IAEA Task n 07/TAU-04

In the framework of a project aiming to establish an unattended measurement station at an isotope enrichment facility, IAEA required a study to describe the state of the art of NDA methods applicable to UF6 cylinders. The objective of the present work is to provide a feasibility assessment study of all known NDA techniques applicable to the quantitative verification of all uranium categories involved in an enrichment processing plant. The quantification of the UF6 cylinders covers: - the determination of the enrichment, - the confirmation the UF6 mass ( assumed to have been previously weighted by the plant operator and independently verified by inspectors), - the assay of the UF6 homogeneity. The different hypothesis and practical constraints to be taken into account for the study requirements are [1]: - the cylinders to be considered are either 30B type ( product) or 48Y type ( feed and tail), - the enriched uranium is either from natural origin or reprocessed uranium, - the cylinders must be assayed at various temperatures, - the distance between the cylinder and the detector must be at least 50 cm to allow for safe movements of the cylinders, - the UF6 mass determination would be accurate within 10% for low enriched uranium, 15% for natural uranium and 20% for depleted uranium, - the enrichment determination must be given with a total uncertainty which does not excess: ¿ 4.5% for low enriched uranium product, ¿ 9.5% for natural uranium, ¿ 18% for depleted uranium, - the measurements have to be performed in 5 minutes and in remote mode to minimize the intrusion on normal plant operator. With the objectives and assumptions as described above in mind, this document first gives an overview of the radiation properties of UF6 (chapter A) as well as some practical considerations regarding the 48Y and 30B cylinders (chapter B). The next part reviews the classical NDA methods applicable to UF6 and refers to intense measurement campaigns carried out in the years 70 -80 (chapter C), whereas the chapter D is dedicated to specific studies involving more recent techniques such as analysis of delayed neutrons and delayed photons. The most appropriate techniques will be then investigated in chapter E. The study will be based on our own results of previous measurement campaigns (235U determination with gamma detectors with germanium or LaBr3 detectors) and on MCNP simulations (passive and active neutron methods).JRC.G.8-Nuclear securit

Properties of vacuum arcs generated by switching RMF contacts at different ignition positions

The influence of initiation behavior of the drawn arc on the arc motion, on arc characteristics during the active phase, as well as on the post-arc parameters, was studied. The study was focused on arc dynamics, determination of the anode surface temperature after current interruption, and diagnostics of metal vapor density after current zero crossing. Different optical diagnostics, namely high-speed camera video enhanced by narrow-band optical filters, near infrared spectroscopy, and optical absorption spectroscopy was applied. The initiation behavior of the drawn arc had a clear influence on arc parameters. Higher local electrode temperature occurs in case of the electrodes with ignition point near the outer electrode boundary. This further causes an enhanced density of chromium vapor, even in cases with lower arc duration. The results of this study are important for design development of switching RMF contacts for future green energy applications. © 2020 by the authors. Licensee MDPI, Basel, Switzerland