Asymmetric responses of international stock markets to trading volume

The major goal of this paper is to examine the hypothesis that stock returns and return volatility are asymmetric, threshold nonlinear, functions of change in trading volume. A minor goal is to examine whether return spillover effects also display such asymmetry. Employing a double-threshold GARCH model with trading volume as a threshold variable, we find strong evidence supporting this hypothesis in five international market return series. Asymmetric causality tests lend further support to our trading volume threshold model and conclusions. Specifically, an increase in volume is positively associated, while decreasing volume is negatively associated, with the major price index in four of the five markets. The volatility of each series also displays an asymmetric reaction, four of the markets display higher volatility following increases in trading volume. Using posterior odds ratio, the proposed threshold model is strongly favored in three of the five markets, compared to a US news double threshold GARCH model and a symmetric GARCH model. We also find significant nonlinear asymmetric return spillover effects from the US market.     

Deacetalisation-bicyclisation routes to novel polycyclic heterocycles using stannous chloride dihydrate

The stannous chloride dihydrate-mediated deprotection-bicyclisation of a range of amides possessing a pendant acetal group is reported. These mild reaction conditions have been used to prepare a number of ring-fused heterocyclic compounds, some in enantiomerically pure form, which should be of interest both in their own right and as building blocks for the production of more complex target molecules.     

Backward extensions of subnormal operators

The concept of backward extension for subnormal weighted shifts is generalized to arbitrary subnormal operators. Several differences and similarities in these contexts are explored, with emphasis on the structure of the underlying measures.

     

An experimental investigation of Curle's theory of aerodynamic noise generation by a stationary body in a turbulent air stream

Bies et al. (J. Sound Vib. 204(4) (1997) 631) investigated Curle's theory (Proc. R. Soc. Ser. A 231 (1955) 505) published in 1955 over a wide range of flow speeds from about 50-200 m/s and found only partial agreement with the experimental data. Here the experimental investigation has been repeated allowing the data to be recorded in a format amenable to analysis, which was not previously possible.Reintroduction of a term neglected by Curle has been found necessary as Curle's compact source condition ensures so low a radiation impedance that the effect cannot be detected in the jet background noise. The reintroduction of the term, which has been neglected, allows his analysis to include radiation from sources not compact but less than half a wavelength in characteristic dimension. It is shown that the power ratio defined as the measured sound power divided by Curle's amended prediction converges to about 3 whereas Curle predicts that the power ratio should converge to 1 as the wave number converges to zero. The introduction of the empirically determined constant 3 into Curle's prediction brings the measurements into very good agreement with prediction over the entire range of the non-dimensional wave numbers from about 0.4 to 3.2.     

A Variable Neighborhood Search for the Multi Depot Vehicle Routing Problem with Time Windows

The aim of this paper is to propose an algorithm based on the philosophy of the Variable Neighborhood Search (VNS) to solve Multi Depot Vehicle Routing Problems with Time Windows. The paper has two main contributions. First, from a technical point of view, it presents the first application of a VNS for this problem and several design issues of VNS algorithms are discussed. Second, from a problem oriented point of view the computational results show that the approach is competitive with an existing Tabu Search algorithm with respect to both solution quality and computation times.     

An Electroacoustic Investigation of Concentrated Aqueous Suspensions of Calcium Pyrophosphate

The zeta potential of concentrated suspensions of calcium pyrophosphate were investigated using electroacoustics. The particles were negatively charged over the entire pH range studied. It proved impossible to reduce the pH of the suspension below 1.8, but the iso electric point could be estimated to occur at approximately pH 1. Two commercially available dispersants (one cationic and one anionic) were then added in small increments to the suspension in order to follow the change in zeta potential as the dispersants adsorbed onto the particles. From the shape of the curve it was possible to estimate the optimum adsorbed amount of dispersant required to fully coat the particles. The cationic dispersant adsorbed strongly and the optimum dosage was estimated at 2.5 ml of active polymer/kg of powder. Anionic dispersants are known to adsorb onto negatively charged ceramic oxide particles, but the anionic dispersant used in this study did not adsorb onto the negatively charged calcium pyrophosphate particles.     

Steepest Descent, CG, and Iterative Regularization of Ill-Posed Problems

The state of the art iterative method for solving large linear systems is the conjugate gradient (CG) algorithm. Theoretical convergence analysis suggests that CG converges more rapidly than steepest descent. This paper argues that steepest descent may be an attractive alternative to CG when solving linear systems arising from the discretization of ill-posed problems. Specifically, it is shown that, for ill-posed problems, steepest descent has a more stable convergence behavior than CG, which may be explained by the fact that the filter factors for steepest descent behave much less erratically than those for CG. Moreover, it is shown that, with proper preconditioning, the convergence rate of steepest descent is competitive with that of CG.This revised version was published online in October 2005 with corrections to the Cover Date.