Bayesian modeling of financial returns: A relationship between volatility and trading volume

The modified mixture model with Markov switching volatility specification is introduced to analyze the relationship between stock return volatility and trading volume. We propose to construct an algorithm based on Markov chain Monte Carlo simulation methods to estimate all the parameters in the model using a Bayesian approach. The series of returns and trading volume of the British Petroleum stock will be analyzed. Copyright © 2009 John Wiley & Sons, Ltd.     

Raman polarization analysis of highly crystalline polyethylene fiber

The complex orientation dependence in space of Raman active vibrations in the orthorhombic structure of polyethylene (PE) is discussed in terms of Raman tensor elements as intrinsic physical parameters of the lattice. Building upon the symmetry assignment of these vibrational modes, we systematically studied, from both theoretical and experimental viewpoints, the changes of polarized intensity for the A_g and the B_2g + B_3g vibrational modes with respect to PE molecular orientation. After explicitly expanding the Raman selection rules associated with the A_g and the B_2g + B_3g modes, introducing them into general expressions of the orientation distribution function, and validating them by means of a least‐square fitting procedure on experimental data, we compare here two mesostructural models for a highly crystallized and self‐aligned PE fiber structure. Stereological arguments are shown concerning the arrangement of orthorhombic fibrils in such a sample that unfold the correct values of five independent Raman tensor elements for orthorhombic PE. Copyright © 2010 John Wiley & Sons, Ltd.     

Linking numbers in local quantum field theory

Linking numbers appear in local quantum field theory in the presence of tensor fields, which are closed two-forms on Minkowski space. Given any pair of such fields, it is shown that the commutator of the corresponding intrinsic (gauge-invariant) vector potentials, integrated about spacelike separated, spatial loops, are elements of the center of the algebra of all local fields. Moreover, these commutators are proportional to the linking numbers of the underlying loops. If the commutators are different from zero, the underlying two-forms are not exact (i.e. there do not exist local vector potentials for them). The theory then necessarily contains massless particles. A prominent example of this kind, due to J.E. Roberts, is given by the free electromagnetic field and its Hodge dual. Further examples with more complex mass spectrum are presented in this article.

     

Schauder estimates for elliptic equations in Banach spaces associated with stochastic reaction–diffusion equations

We consider some reaction–diffusion equations perturbed by white noise and prove Schauder estimates for the elliptic problem associated with the generator of the corresponding transition semigroup, defined in the Banach space of continuous functions. This requires the proof of some new interpolation result.     

Full C1,α-regularity for free and constrained local minimizers of elliptic variational integrals¶with nearly linear growth

We consider local minimizers of elliptic variational integrals with integrand f of nearly linear growth. In the scalar case N= 1 a side condition of the type u≥Φ may be incorporated, for N > 1 u is an unconstrained minimizer and f is required just to depend on the modulus of Du. We show in both cases that u has H?lder continuous first derivatives in the interior of the domain Ω.     

Mononuclear heterocyclic rearrangement. Note I. Kinetic study of the rearrangement of the phenylhydrazone of 3-benzoyl-5-phenyl-1,2,4-oxadiazole into 2,5-diphenyl-4-benzoylamino-1,2,3-triazole

The rates of the mononuclear heterocyclic rearrangement of the phenylhydrazone of 3-benzoyl-5-phenyl-1,2,4-oxadiazole (1) into 2,5-diphenyl-4-benzoylamino-1,2,3-triazole (II) have heen measured in dioxane/water (50:50, v:v) in the range of pS⁺ 3.8–12.2 at various temperatures and the activation parameters determined. On the basis of the results obtained, we present evidence for the occurrence of two different types of reaction: the first, base-catalyzed; the second, pS⁺ -independent. In the base-catalyzed range the catalysis is of the general type.     

Chlorodifluoroacetyl Azide, ClF(2)CC(O)N(3): Preparation, Properties, and Decomposition

Chlorodifluoroacetyl azide, ClF(2)CC(O)N(3), was prepared and characterized by IR (gas, Ar matrix), Raman (liquid), UV-vis (gas), and (19)F, (13)C NMR spectroscopy. The vibrational spectra were analyzed in terms of a single conformer, gauche-syn, where the Cl-C and the N(α)═N(β) bonds are gauche and syn to the C═O bond, respectively. The photo and thermal decomposition reactions of the azide were studied with the aid of matrix isolation. In both cases, a new isocyanate species ClF(2)CNCO was produced and characterized by matrix IR spectroscopy. The conformational properties and the Curtius rearrangement pathways of this new carbonyl azide were theoretically explored, which suggest the preference of a concerted over stepwise decomposition for the global minimum gauche-syn conformer.     

Torsional splittings in the diode laser slit-jet spectra of the ν6 fundamental of 1-chloro-1,1-difluoroethane (HCFC-142b)

High resolution infrared spectra (0.001 cm⁻¹ FWHM) have been measured for mixtures of 1-chloro-1,1-difluoroethane in Ne, expanded in a supersonic planar jet. The ν₆ fundamental, infrared active with a dominant parallel transition moment, exhibits a remarkable splitting of about 0.035 cm⁻¹ for both ³⁵Cl and ³⁷Cl isotopomers. Several mechanisms of interaction of ν₆ with states with high torsional excitation are critically examined to explain the observed effect. It is concluded that the observed torsional splitting patterns can be explained in terms of a torsional Coriolis interaction between ν₆ and a highly excited torsional mode, 6ν₁₈. A full numerical analysis, performed including a torsional Coriolis term in the Hamiltonian, shows that the interaction mechanism requires a torsional barrier height of about 1270 cm⁻¹.     

Electrolytic Oxidation of Thiocyanate and Selenocyanate Salts and the Photoelectrochemical Effect.

New photosensitive materials can be obtained by electrochemical oxidation of thiocyanate and selenocyanate salts. Using (K,Na)SCN eutectic melt, the formation of an electrodic deposit, with photoelectrochemical properties, has already been reported by us. To improve the photoelectrochemical characteristics of the deposit, futher investigations were carried out in the following sistems: selenocyanate ammoniate, KSCH-Acetamide eutectic mixture and KSCN ethylene carbonate solution:. Attempts to obtain a massive deposit in the ammoniate solution were unsuccessful due to ammonia oxidation. Measurements performed on the other KSCN systems show that temperature is a parameter of remarkable importance. In fact, lowering the temperature one obtains a decrease on formation of parathiocyanogen on behalf of the polytrithiocyanogen, the species that gives rise to the photoeffect.