Discrete sine transform for multi-scale realized volatility measures

In this study we present a new realized volatility estimator based on a combination of the multi-scale regression and discrete sine transform (DST) approaches. Multi-scale estimators similar to that recently proposed by Zhang (2006) can, in fact, be constructed within a simple regression-based approach by exploiting the linear relation existing between the market microstructure bias and the realized volatilities computed at different frequencies. We show how such a powerful multi-scale regression approach can also be applied in the context of the Zhou [Nonlinear Modelling of High Frequency Financial Time Series, pp. 109–123, 1998] or DST orthogonalization of the observed tick-by-tick returns. Providing a natural orthonormal basis decomposition of observed returns, the DST permits the optimal disentanglement of the volatility signal of the underlying price process from the market microstructure noise. The robustness of the DST approach with respect to the more general dependent structure of the microstructure noise is also shown analytically. The combination of the multi-scale regression approach with DST gives a multi-scale DST realized volatility estimator similar in efficiency to the optimal Cramer–Rao bounds and robust against a wide class of noise contamination and model misspecification. Monte Carlo simulations based on realistic models for price dynamics and market microstructure effects show the superiority of DST estimators over alternative volatility proxies for a wide range of noise-to-signal ratios and different types of noise contamination. Empirical analysis based on six years of tick-by-tick data for the S&P 500 index future, FIB 30, and 30 year U.S. Treasury Bond future confirms the accuracy and robustness of DST estimators for different types of real data

Night-time measurements of HO<inf>x</inf> during the RONOCO project and analysis of the sources of HO<inf>2</inf>

Abstract. Measurements of the radical species OH and HO2 were made using the fluorescence assay by gas expansion (FAGE) technique during a series of night-time and daytime flights over the UK in summer 2010 and winter 2011. OH was not detected above the instrument's 1σ limit of detection during any of the night-time flights or during the winter daytime flights, placing upper limits on [OH] of 1.8 × 106 molecule cm−3 and 6.4 × 105 molecule cm−3 for the summer and winter flights, respectively. HO2 reached a maximum concentration of 3.2 × 108 molecule cm−3 (13.6 pptv) during a night-time flight on 20 July 2010, when the highest concentrations of NO3 and O3 were also recorded. An analysis of the rates of reaction of OH, O3, and the NO3 radical with measured alkenes indicates that the summer night-time troposphere can be as important for the processing of volatile organic compounds (VOCs) as the winter daytime troposphere. An analysis of the instantaneous rate of production of HO2 from the reactions of O3 and NO3 with alkenes has shown that, on average, reactions of NO3 dominated the night-time production of HO2 during summer and reactions of O3 dominated the night-time HO2 production during winter. This work was funded by the UK Natural Environment Research Council (NE/F004664/1). The authors would like to thank ground staff, engineers, scientists, and pilots involved in RONOCO for making this project a success. Airborne data were obtained using the BAe 146-301 Atmospheric Research Aircraft (ARA) flown by Directflight Ltd. and managed by the Facility for Airborne Atmospheric Measurements (FAAM), which is a joint entity of the Natural Environment Research Council (NERC) and the Met Office.This is the final version of the article. It first appeared from Copernicus Publications via http://dx.doi.org/10.5194/acp-15-8179-201

The impact of emotional well-being on long-term recovery and survival in physical illness: a meta-analysis

This meta-analysis synthesized studies on emotional well-being as predictor of the prognosis of physical illness, while in addition evaluating the impact of putative moderators, namely constructs of well-being, health-related outcome, year of publication, follow-up time and methodological quality of the included studies. The search in reference lists and electronic databases (Medline and PsycInfo) identified 17 eligible studies examining the impact of general well-being, positive affect and life satisfaction on recovery and survival in physically ill patients. Meta-analytically combining these studies revealed a Likelihood Ratio of 1.14, indicating a small but significant effect. Higher levels of emotional well-being are beneficial for recovery and survival in physically ill patients. The findings show that emotional well-being predicts long-term prognosis of physical illness. This suggests that enhancement of emotional well-being may improve the prognosis of physical illness, which should be investigated by future research

Night-time measurements of HOx during the RONOCO project and analysis of the sources of HO2

Measurements of the radical species OH and HO2 were made using the fluorescence assay by gas expansion (FAGE) technique during a series of night-time and daytime flights over the UK in summer 2010 and winter 2011. OH was not detected above the instrument's 1σ limit of detection during any of the night-time flights or during the winter daytime flights, placing upper limits on [OH] of 1.8 × 106 molecule cm−3 and 6.4 × 105 molecule cm−3 for the summer and winter flights, respectively. HO2 reached a maximum concentration of 3.2 × 108 molecule cm−3 (13.6 pptv) during a night-time flight on 20 July 2010, when the highest concentrations of NO3 and O3 were also recorded. An analysis of the rates of reaction of OH, O3, and the NO3 radical with measured alkenes indicates that the summer night-time troposphere can be as important for the processing of volatile organic compounds (VOCs) as the winter daytime troposphere. An analysis of the instantaneous rate of production of HO2 from the reactions of O3 and NO3 with alkenes has shown that, on average, reactions of NO3 dominated the night-time production of HO2 during summer and reactions of O3 dominated the night-time HO2 production during winter

Search for direct pair production of the top squark in all-hadronic final states in proton-proton collisions at s√=8 TeV with the ATLAS detector

The results of a search for direct pair production of the scalar partner to the top quark using an integrated luminosity of 20.1fb−1 of proton–proton collision data at √s = 8 TeV recorded with the ATLAS detector at the LHC are reported. The top squark is assumed to decay via t˜→tχ˜01 or t˜→ bχ˜±1 →bW(∗)χ˜01 , where χ˜01 (χ˜±1 ) denotes the lightest neutralino (chargino) in supersymmetric models. The search targets a fully-hadronic final state in events with four or more jets and large missing transverse momentum. No significant excess over the Standard Model background prediction is observed, and exclusion limits are reported in terms of the top squark and neutralino masses and as a function of the branching fraction of t˜ → tχ˜01 . For a branching fraction of 100%, top squark masses in the range 270–645 GeV are excluded for χ˜01 masses below 30 GeV. For a branching fraction of 50% to either t˜ → tχ˜01 or t˜ → bχ˜±1 , and assuming the χ˜±1 mass to be twice the χ˜01 mass, top squark masses in the range 250–550 GeV are excluded for χ˜01 masses below 60 GeV

Observation of associated near-side and away-side long-range correlations in √sNN=5.02 TeV proton-lead collisions with the ATLAS detector

Two-particle correlations in relative azimuthal angle (Δϕ) and pseudorapidity (Δη) are measured in √sNN=5.02  TeV p+Pb collisions using the ATLAS detector at the LHC. The measurements are performed using approximately 1  μb-1 of data as a function of transverse momentum (pT) and the transverse energy (ΣETPb) summed over 3.1<η<4.9 in the direction of the Pb beam. The correlation function, constructed from charged particles, exhibits a long-range (2<|Δη|<5) “near-side” (Δϕ∼0) correlation that grows rapidly with increasing ΣETPb. A long-range “away-side” (Δϕ∼π) correlation, obtained by subtracting the expected contributions from recoiling dijets and other sources estimated using events with small ΣETPb, is found to match the near-side correlation in magnitude, shape (in Δη and Δϕ) and ΣETPb dependence. The resultant Δϕ correlation is approximately symmetric about π/2, and is consistent with a dominant cos⁡2Δϕ modulation for all ΣETPb ranges and particle pT

Theorems on existence and global dynamics for the Einstein equations

This article is a guide to theorems on existence and global dynamics of solutions of the Einstein equations. It draws attention to open questions in the field. The local-in-time Cauchy problem, which is relatively well understood, is surveyed. Global results for solutions with various types of symmetry are discussed. A selection of results from Newtonian theory and special relativity that offer useful comparisons is presented. Treatments of global results in the case of small data and results on constructing spacetimes with prescribed singularity structure or late-time asymptotics are given. A conjectural picture of the asymptotic behaviour of general cosmological solutions of the Einstein equations is built up. Some miscellaneous topics connected with the main theme are collected in a separate section.Comment: Submitted to Living Reviews in Relativity, major update of Living Rev. Rel. 5 (2002)

Search for R-parity-violating supersymmetry in events with four or more leptons in sqrt(s) =7 TeV pp collisions with the ATLAS detector

A search for new phenomena in final states with four or more leptons (electrons or muons) is presented. The analysis is based on 4.7 fb−1 of $\sqrt{s}=7\;\mathrm{TeV}$ proton-proton collisions delivered by the Large Hadron Collider and recorded with the ATLAS detector. Observations are consistent with Standard Model expectations in two signal regions: one that requires moderate values of missing transverse momentum and another that requires large effective mass. The results are interpreted in a simplified model of R-parity-violating supersymmetry in which a 95% CL exclusion region is set for charged wino masses up to 540 GeV. In an R-parity-violating MSUGRA/CMSSM model, values of m 1/2 up to 820 GeV are excluded for 10 < tan β < 40

A systematic review of dietary, nutritional, and physical activity interventions for the prevention of prostate cancer progression and mortality

PURPOSE: Given the long-term, although potentially fatal, nature of prostate cancer, there is increasing observational evidence for the reduction in disease progression and mortality through changes in lifestyle factors. METHODS: We systematically reviewed dietary, nutritional, and physical activity randomized interventions aimed at modifying prostate cancer progression and disease-specific mortality, including a detailed assessment of risk of bias and methodological quality. RESULTS: Forty-four randomized controlled trials of lifestyle interventions, with prostate cancer progression or mortality outcomes, were identified. Substantial heterogeneity of the data prevented a meta-analysis. The included trials involved 3,418 prostate cancer patients, median 64 men per trial, from 13 countries. A trial of a nutritional supplement of pomegranate seed, green tea, broccoli, and turmeric; a trial comparing flaxseed, low-fat diet, flaxseed, and low-fat diet versus usual diet; and a trial supplementing soy, lycopene, selenium, and coenzyme Q10, all demonstrated beneficial effects. These trials were also assessed as having low risk of bias and high methodological quality (as were seven other trials with no evidence of benefit). The remaining trials were either underpowered, at high or unclear risk of bias, inadequately reported, of short duration or measured surrogate outcomes of unproven relationship to mortality or disease progression, which precluded any benefits reported being reliable. CONCLUSION: Large, well-designed randomized trials with clinical endpoints are recommended for lifestyle modification interventions. ELECTRONIC SUPPLEMENTARY MATERIAL: The online version of this article (doi:10.1007/s10552-015-0659-4) contains supplementary material, which is available to authorized users