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.     

Mapping Properties of a Projection Related to the Helmholtz Equation

We study the continuity properties of a projection derived from a recent characterization of Herglotz Wave Functions in the plane. Herglotz Wave Functions are the entire solutions of the Helmholtz equation which have L²-Far-Field-Pattern. The behavior of this projection is reminiscent of the Disc Multiplier Operator on both L^p and mixed L^p-normed spaces. In particular a Kakeya type set plays a central role in our analysis. As a consequence we answer a question posed by Alvarez, Folch-Gabayet and Pérez-Esteva.     

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.     

Asymptotic properties of computationally efficient alternative estimators for a class of multivariate normal models

Parameters of Gaussian multivariate models are often estimated using the maximum likelihood approach. In spite of its merits, this methodology is not practical when the sample size is very large, as, for example, in the case of massive georeferenced data sets. In this paper, we study the asymptotic properties of the estimators that minimize three alternatives to the likelihood function, designed to increase the computational efficiency. This is achieved by applying the information sandwich technique to expansions of the pseudo-likelihood functions as quadratic forms of independent normal random variables. Theoretical calculations are given for a first-order autoregressive time series and then extended to a two-dimensional autoregressive process on a lattice. We compare the efficiency of the three estimators to that of the maximum likelihood estimator as well as among themselves, using numerical calculations of the theoretical results and simulations.     

Proximality and Chebyshev sets

This paper is a companion to a lecture given at the Prague Spring School in Analysis in April 2006. It highlights four distinct variational methods of proving that a finite dimensional Chebyshev set is convex and hopes to inspire renewed work on the open question of whether every Chebyshev set in Hilbert space is convex.     

Correction: Phytol-based novel adjuvants in vaccine formulation: 1. assessment of safety and efficacy during stimulation of humoral and cell-mediated immune responses

This is a correction article.     

Molecular addressing? Studies on light-induced reorientation in liquid-crystalline side chain polymers

Polarized light leads to an effective reorientation of the optic axis in the glassy state of liquid-crystalline side chain polymers containing azobenzene mesogenic groups, via a trans-cis and cis-trans isomerization. Using a combination of U V and IR dichroitic studies it is shown for copolymers consisting of chromophores (azobenzene) and non-chromophores (phenylbenzoate) that only the chromophores are reoriented by light as far as the glassy state is concerned. Individual chromophores are thus addressed by photoselection. Photoselection in the fluid nematic state, on the other hand, leads also to a reorientation of the non-chromophores.     

Liquid crystal side chain polysiloxanes containing various proportions of non-mesogenic units

Recent studies have established that side chain polymeric liquid crystals composed of mesogenic and non-mesogenic side groups keep their liquid-crystalline properties even for a low proportion of mesogens. We show that the detailed structures of three kinds of new diluted liquid crystal polysiloxanes depend on the nature of the co-substituent as well as on the proportion of the silicon sites occupied by the mesogenic groups. Mixtures of these systems with low molar mass liquid crystals were also investigated in terms of compatibility and/or stabilization of smectic A phases.     

On worst-case aggregation analysis for network location problems

Network location problems occur when new facilities must be located on a network, and the network distances between new and existing facilities are important. In urban, regional, or geographic contexts, there may be hundreds of thousands (or more) of existing facilities, in which case it is common to aggregate existing facilities, e.g. represent all the existing facility locations in a zip code area by a centroid. This aggregation makes the size of the problem more manageable for data collection and data processing purposes, as well as for purposes of analysis; at the same time, it introduces errors, and results in an approximating location problem being solved. There seems to be relatively little theory for doing aggregation, or evaluating the results of aggregation; most approaches are based on experimentation or computational studies. We propose a theory that has the potential to improve the means available for doing aggregation.This research was supported in part by the National Science Foundation, Grant No. DDM-9023392.