Real-time price discovery in stock, bond and foreign exchange markets

We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean jumps; hence high-frequency stock, bond and exchange rate dynamics are linked to fundamentals. The details of the linkages are particularly intriguing as regards equity markets. We show that equity markets react differently to the same news depending on the state of the economy, with bad news having a positive impact during expansions and the traditionally-expected negative impact during recessions. We rationalize this by temporal variation in the competing "cash flow" and "discount rate" effects for equity valuation. This finding helps explain the time-varying correlation between stock and bond returns, and the relatively small equity market news effect when averaged across expansions and recessions. Lastly, relying on the pronounced heteroskedasticity in the high-frequency data, we document important contemporaneous linkages across all markets and countries over-and-above the direct news announcement effects. JEL Klassifikation: F3, F4, G1, C

Phase stability analysis in Fe-Pt and Co-Pt alloy systems: An augmented space study

We have studied the problem of phase stability in Fe-Pt and Co-Pt alloy systems. We have used the orbital peeling technique in the conjunction of augmented space recursion based on the tight binding linear orbital method as the method for the calculation of pair interaction energies. In particular, we have generalized our earlier technique to take into account of magnetic effects for the cases where the magnetic transition is higher than the order disorder chemical transition temperature as in the case of Co$_3$Pt. Our theoretical results obtained within this framework successfully reproduce the experimentally observed trends.Comment: 17 pages, 9 Figures. Accepted for publication in Journal of Physics : Condensed Matte

Modeling tick-by-tick realized correlations

A tree-structured heterogeneous autoregressive (tree-HAR) process is proposed as a simple and parsimonious model for the estimation and prediction of tick-by-tick realized correlations. The model can account for different time and other relevant predictors’ dependent regime shifts in the conditional mean dynamics of the realized correlation series. Testing the model on S&P 500 Futures and 30-year Treasury Bond Futures realized correlations, empirical evidence that the tree-HAR model reaches a good compromise between simplicity and flexibility is provided. The model yields accurate single- and multi-step out-of-sample forecasts. Such forecasts are also better than those obtained from other standard approaches, in particular when the final goal is multi-period forecasting

Driving calmodulin protein towards conformational shift by changing ionization states of select residues

Proteins are complex systems made up of many conformational sub-states which are mainly determined by the folded structure. External factors such as solvent type, temperature, pH and ionic strength play a very important role in the conformations sampled by proteins. Here we study the conformational multiplicity of calmodulin (CaM) which is a protein that plays an important role in calcium signaling pathways in the eukaryotic cells. CaM can bind to a variety of other proteins or small organic compounds, and mediates different physiological processes by activating various enzymes. Binding of calcium ions and proteins or small organic molecules to CaM induces large conformational changes that are distinct to each interacting partner. In particular, we discuss the effect of pH variation on the conformations of CaM. By using the pKa values of the charged residues as a basis to assign protonation states, the conformational changes induced in CaM by reducing the pH are studied by molecular dynamics simulations. Our current view suggests that at high pH, barrier crossing to the compact form is prevented by repulsive electrostatic interactions between the two lobes. At reduced pH, not only is barrier crossing facilitated by protonation of residues, but also conformations which are on average more compact are attained. The latter are in accordance with the fluorescence resonance energy transfer experiment results of other workers. The key events leading to the conformational change from the open to the compact conformation are (i) formation of a salt bridge between the N-lobe and the linker, stabilizing their relative motions, (ii) bending of the C-lobe towards the N-lobe, leading to a lowering of the interaction energy between the two-lobes, (iii) formation of a hydrophobic patch between the two lobes, further stabilizing the bent conformation by reducing the entropic cost of the compact form, (iv) sharing of a Ca+2 ion between the two lobes

Screened Coulomb interactions in metallic alloys: II Screening beyond the single-site and atomic sphere approximations

A quantitative description of the configurational part of the total energy of metallic alloys with substantial atomic size difference cannot be achieved in the atomic sphere approximation: It needs to be corrected at least for the multipole moment interactions in the Madelung part of the one-electron potential and energy. In the case of a random alloy such interactions can be accounted for only by lifting the atomic sphere and single-site approximations, in order to include the polarization due to local environment effects. Nevertheless a simple parameterization of the screened Coulomb interactions for the ordinary single-site methods, including the generalized perturbation method, is still possible. We obtained such a parameterization for bulk and surface NiPt alloys, which allows one to obtain quantitatively accurate effective interactions in this system.Comment: 24 pages, 2 figure

Prophylaxis for venous thromboembolic disease in pregnancy and the early postnatal period

Some women are at risk of forming blood clots in a deep vein during pregnancy, after a caesarean birth, or during the first few weeks after childbirth. If part of the clot breaks off and lodges in a blood vessel in the lungs, it can be life-threatening. Preventive treatments include blood-thinning drugs to prevent clots, support stockings, and exercise soon after the birth to keep circulation moving. However, some drugs might cause problems such as increased blood loss after the birth. Drugs used include heparin, low molecular weight heparin and aspirin. We included 16 randomised controlled studies in the review but only 13 trials with 1774 women contributed data for the outcomes of interest. We did not find enough evidence from the trials to be sure about the effects of these different preventive treatments.This means there is not enough evidence to show which are the best ways to prevent deep vein thrombosis (DVT) during or following pregnancy, or after a caesarean birth

Structure in the 3D Galaxy Distribution: I. Methods and Example Results

Three methods for detecting and characterizing structure in point data, such as that generated by redshift surveys, are described: classification using self-organizing maps, segmentation using Bayesian blocks, and density estimation using adaptive kernels. The first two methods are new, and allow detection and characterization of structures of arbitrary shape and at a wide range of spatial scales. These methods should elucidate not only clusters, but also the more distributed, wide-ranging filaments and sheets, and further allow the possibility of detecting and characterizing an even broader class of shapes. The methods are demonstrated and compared in application to three data sets: a carefully selected volume-limited sample from the Sloan Digital Sky Survey redshift data, a similarly selected sample from the Millennium Simulation, and a set of points independently drawn from a uniform probability distribution -- a so-called Poisson distribution. We demonstrate a few of the many ways in which these methods elucidate large scale structure in the distribution of galaxies in the nearby Universe.Comment: Re-posted after referee corrections along with partially re-written introduction. 80 pages, 31 figures, ApJ in Press. For full sized figures please download from: http://astrophysics.arc.nasa.gov/~mway/lss1.pd

Pathogenesis of an emerging pathogen - Crimean-Congo Hemorrhagic Fever Virus

Epithelial cells represent the first barrier to viral infection and the site of viral entry and release is often intimately connected with viral spread and pathogenesis. The plasma membrane of epithelial cells is polarized into an apical and basolateral domain separated by tight junctions (TJs). TJs also regulate paracellular permeability and can cause leakage upon deregulation. The key players underlying VHF pathogenesis are believed to be endothelial cells (ECs) and immune cells. Generally ECs can be targeted either directly by viral infection and/or indirectly by soluble mediators released from infected immune cells leading to the observed hemorrhage and vascular permeability. The main aims of this thesis were to study the direct and indirect effect of viral replication on epithelial and immune cells as a possible contribution to CCHF molecular pathogenesis. By studying the site of entry and release in polarized epithelial cells, we showed the entry and release of CCHFV to be preferentially basolateral. We studied the transepithelial electrical resistance (TER) over infected epithelial cells, and showed that CCHFV replication has no direct effect on epithelial permeability. Furthermore, we observed no effect of CCHFV on the localization of the TJ proteins occludin and ZO-1 in epithelial cells. Interestingly, CCHFV directly activates ECs upon infection as shown by upregulation of intercellular adhesion molecule 1 (ICAM-1), release of IL-6 and IL- 8 and most importantly increased adhesion of leukocytes. The finding that the increased vascular permeability and hemorrhage is most likely not caused by CCHFV induced TJ disassembly suggests that other cells are likely to be, at least partly, involved in pathogenesis and we therefore focused on the contribution of immune cells to pathogenesis. We showed that only monocyte-derived dendritic cells (moDCs) could be productively infected by CCHFV and that infection was followed by the release of tumor necrosis factor (TNF), IL-6 and IL-10. Interestingly, conditioned media from CCHFV-infected moDCs activated ECs as indicated by enhanced intercellular adhesion molecule 1 (ICAM-1) expression. This effect was shown to be dependent on TNF. The work presented in this thesis provides an insight into the direct and indirect interplay between epithelial cells and immune cells and provides data that could be used for further studies into the underlying mechanisms of CCHF pathogenesis. Importantly understanding the mechanisms behind CCHF pathogenesis is most likely needed for the future development of specific treatments and/or vaccines against CCHFV

Britain’s slow movement to a gender egalitarian equilibrium: parents and employment in the UK 2001–13

This article examines the working lives of British couple families across the first decade of the millennium using EU Labour Force Survey data (2001–13) taking a multiple equilibria approach. Some growth in dual full-time earners, increased working hours of mothers in part-time employment and a growing proportion of households with ‘non-standard’ working patterns are all identified, suggesting both a convergence and greater diversity in economic provisioning within parent couple households. Household employment patterns remain strongly associated with maternal education and family size but are becoming less sensitive to the age of the youngest child. The dual full-time earner model is growing in significance for British parents of young children but a new gender egalitarian equilibrium has not yet been reached