Why is Price Discovery in Credit Default Swap Markets News-Specific?

Abstract: We analyse daily lead-lag patterns in US equity and credit default swap (CDS) returns. We first document that equity returns robustly lead CDS returns. However, we find that the CDSlag is due to common (and not firm-specific) news and arises predominantly in response to positive (instead of negative) equity market news. We provide an explanation for this newsspecific price discovery based on dealers in the CDS market exploiting their informational advantage vis-à-vis institutional investors with hedging demands. In support of this explanation we find that the CDS-lag and its newsspecificity are related to various firm-level proxies for hedging demand in the cross-section as well measures for economy-wide informational asymmetries over time.price discovery;CDS;hedging demand;informational asymmetries

Why is Price Discovery in Credit Default Swap Markets News-Specific?

Abstract: We analyse daily lead-lag patterns in US equity and credit default swap (CDS) returns. We first document that equity returns robustly lead CDS returns. However, we find that the CDSlag is due to common (and not firm-specific) news and arises predominantly in response to positive (instead of negative) equity market news. We provide an explanation for this newsspecific price discovery based on dealers in the CDS market exploiting their informational advantage vis-à-vis institutional investors with hedging demands. In support of this explanation we find that the CDS-lag and its news-specificity are related to various firm-level proxies for hedging demand in the cross-section as well measures for economy-wide informational asymmetries over time.

Computation of Kolmogorov's Constant in Magnetohydrodynamic Turbulence

In this paper we calculate Kolmogorov's constant for magnetohydrodynamic turbulence to one loop order in perturbation theory using the direct interaction approximation technique of Kraichnan. We have computed the constants for various $E^u(k)/E^b(k)$, i.e., fluid to magnetic energy ratios when the normalized cross helicity is zero. We find that $K$ increases from 1.47 to 4.12 as we go from fully fluid case $(E^b=0)$ to a situation when $E^u/E^b=0.5$, then it decreases to 3.55 in a fully magnetic limit $(E^u=0)$. When $E^u/E^b=1$, we find that $K=3.43$.Comment: Latex, 10 pages, no figures, To appear in Euro. Phys. Lett., 199

SUMER: Solar Ultraviolet Measurements of Emitted Radiation

The SUMER (solar ultraviolet measurements of emitted radiation) experiment is described. It will study flows, turbulent motions, waves, temperatures and densities of the plasma in the upper atmosphere of the Sun. Structures and events associated with solar magnetic activity will be observed on various spatial and temporal scales. This will contribute to the understanding of coronal heating processes and the solar wind expansion. The instrument will take images of the Sun in EUV (extreme ultra violet) light with high resolution in space, wavelength and time. The spatial resolution and spectral resolving power of the instrument are described. Spectral shifts can be determined with subpixel accuracy. The wavelength range extends from 500 to 1600 angstroms. The integration time can be as short as one second. Line profiles, shifts and broadenings are studied. Ratios of temperature and density sensitive EUV emission lines are established

Alfv\`en wave phase-mixing and damping in the ion cyclotron range of frequencies

Aims. To determine the effect of the Hall term in the generalised Ohm's law on the damping and phase mixing of Alfven waves in the ion cyclotron range of frequencies in uniform and non-uniform equilibrium plasmas. Methods. Wave damping in a uniform plasma is treated analytically, whilst a Lagrangian remap code (Lare2d) is used to study Hall effects on damping and phase mixing in the presence of an equilibrium density gradient. Results. The magnetic energy associated with an initially Gaussian field perturbation in a uniform resistive plasma is shown to decay algebraically at a rate that is unaffected by the Hall term to leading order in k^2di^2 where k is wavenumber and di is ion skin depth. A similar algebraic decay law applies to whistler perturbations in the limit k^2di^2>>1. In a non-uniform plasma it is found that the spatially-integrated damping rate due to phase mixing is lower in Hall MHD than it is in MHD, but the reduction in the damping rate, which can be attributed to the effects of wave dispersion, tends to zero in both the weak and strong phase mixing limits

Comment on "Are periodic solar wind number density structures formed in the solar corona?" by N. M. Viall et al., 2009, Geophys. Res. Lett., 36, L23102, doi:10.1029/2009GL041191

Location of formation of periodic solar wind number density structures is discussed. Observation of proton and alpha anticorrelation in these structures [Viall et al., 2009] indicates that taking into account that bulk velocity of aplha-particles is higher than that of proton the place of formation for these structures should be located at distance less 0.002 AU from place of observation.Comment: 6 pages, submitted in GR

Prolonged decrease in heart rate variability after elective hip arthroplasty

The pattern of postoperative heart rate variability may provide insight into the response of the autonomic nervous system to anaesthesia and surgery. We have obtained spectral (fast Fourier transform) and non-spectral indices of heart rate variability from electrocardiographic recordings, sampled during continuous perioperative Holter monitoring in 15 otherwise healthy patients with an uncomplicated postoperative course, undergoing elective hip arthroplasty with either spinal or general anaesthesia. In both groups, total spectral energy (0.01-1 Hz), low-frequency spectral energy (0.01-0.15 Hz) and high-frequency spectral energy (0.15-0.40 Hz) decreased after surgery to 32% (95% confidence interval (Cl) 10.5; P <0.01), 29% (95% Cl 12.5; P <0.07; and 33% (95% Cl 12.5; P <0.01) of their preoperative values, respectively, and these indices remained suppressed for up to 5 days. Non-spectral indices decreased to a similar extent. These findings indicate a substantial and prolonged postoperative decrease in both parasympathetic and sympathetic influence on the sinus nod

Possible Disintegrating Short-Period Super-Mercury Orbiting KIC 12557548

We report here on the discovery of stellar occultations, observed with Kepler, that recur periodically at 15.685 hour intervals, but which vary in depth from a maximum of 1.3% to a minimum that can be less than 0.2%. The star that is apparently being occulted is KIC 12557548, a K dwarf with T_eff = 4400 K and V = 16. Because the eclipse depths are highly variable, they cannot be due solely to transits of a single planet with a fixed size. We discuss but dismiss a scenario involving a binary giant planet whose mutual orbit plane precesses, bringing one of the planets into and out of a grazing transit. We also briefly consider an eclipsing binary, that either orbits KIC 12557548 in a hierarchical triple configuration or is nearby on the sky, but we find such a scenario inadequate to reproduce the observations. We come down in favor of an explanation that involves macroscopic particles escaping the atmosphere of a slowly disintegrating planet not much larger than Mercury. The particles could take the form of micron-sized pyroxene or aluminum oxide dust grains. The planetary surface is hot enough to sublimate and create a high-Z atmosphere; this atmosphere may be loaded with dust via cloud condensation or explosive volcanism. Atmospheric gas escapes the planet via a Parker-type thermal wind, dragging dust grains with it. We infer a mass loss rate from the observations of order 1 M_E/Gyr, with a dust-to-gas ratio possibly of order unity. For our fiducial 0.1 M_E planet, the evaporation timescale may be ~0.2 Gyr. Smaller mass planets are disfavored because they evaporate still more quickly, as are larger mass planets because they have surface gravities too strong to sustain outflows with the requisite mass-loss rates. The occultation profile evinces an ingress-egress asymmetry that could reflect a comet-like dust tail trailing the planet; we present simulations of such a tail.Comment: 14 pages, 7 figures; submitted to ApJ, January 10, 2012; accepted March 21, 201

Alfv\'en Reflection and Reverberation in the Solar Atmosphere

Magneto-atmospheres with Alfv\'en speed [a] that increases monotonically with height are often used to model the solar atmosphere, at least out to several solar radii. A common example involves uniform vertical or inclined magnetic field in an isothermal atmosphere, for which the Alfv\'en speed is exponential. We address the issue of internal reflection in such atmospheres, both for time-harmonic and for transient waves. It is found that a mathematical boundary condition may be devised that corresponds to perfect absorption at infinity, and, using this, that many atmospheres where a(x) is analytic and unbounded present no internal reflection of harmonic Alfv\'en waves. However, except for certain special cases, such solutions are accompanied by a wake, which may be thought of as a kind of reflection. For the initial-value problem where a harmonic source is suddenly switched on (and optionally off), there is also an associated transient that normally decays with time as O(t-1) or O(t-1 ln t), depending on the phase of the driver. Unlike the steady-state harmonic solutions, the transient does reflect weakly. Alfv\'en waves in the solar corona driven by a finite-duration train of p-modes are expected to leave such transients.Comment: Accepted by Solar Physic