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We propose a new framework for modelling the time dependence in duration processes being in force on financial markets. The pioneering ACD model introduced by Engle and Russell (1998) will be extended in a manner that the duration process will be accompanied by an unobservable stochastic process. The Discrete Mixture ACD framework provides us with a general methodology which puts the idea into practice. It is established by introducing a discrete-valued latent regime variable which can be justified in the light of recent market microstructure theories. The empirical application demonstrates its ability to capture specific characteristics of intraday transaction durations while alternative approaches fail. JEL classification: C41, C22, C25, C51, G14.
In recent methodological work the well known ACD approach, originally introduced by Engle and Russell (1998), has been supplemented by the involvement of an unobservable stochastic process which accompanies the underlying process of durations via a discrete mixture of distributions. The Mixture ACD model, emanating from the specialized proposal of De Luca and Gallo (2004), has proved to be a moderate tool for description of financial duration data. The use of one and the same family of ordinary distributions has been common practice until now. Our contribution incites to use the rich parameterized comprehensive family of distributions which allows for interacting different distributional idiosyncrasies. JEL classification: C41, C22, C25, C51, G14.
We propose a new framework for modelling the time dependence in duration processes being in force on financial markets. The pioneering ACD model introduced by Engle and Russell (1998) will be extended in a manner that the duration process will be accompanied by an unobservable stochastic process. The Discrete Mixture ACD framework provides us with a general methodology which puts the idea into practice. It is established by introducing a discrete-valued latent regime variable which can be justified in the light of recent market microstructure theories. The empirical application demonstrates its ability to capture specific characteristics of intraday transaction durations while alternative approaches fail. JEL classification: C41, C22, C25, C51, G14.
In recent methodological work the well known ACD approach, originally introduced by Engle and Russell (1998), has been supplemented by the involvement of an unobservable stochastic process which accompanies the underlying process of durations via a discrete mixture of distributions. The Mixture ACD model, emanating from the specialized proposal of De Luca and Gallo (2004), has proved to be a moderate tool for description of financial duration data. The use of one and the same family of ordinary distributions has been common practice until now. Our contribution incites to use the rich parameterized comprehensive family of distributions which allows for interacting different distributional idiosyncrasies. JEL classification: C41, C22, C25, C51, G14
We propose a new framework for modeling time dependence in duration processes. The ACD approach introduced by Engle and Russell (1998) will be extended so that the conditional expectation of the durations depends on an unobservable stochastic process which is modeled via a Markov chain. The Markov switching ACD model (MSACD) is a flexible tool for description of financial duration processes. The introduction of a latent information regime variable can be justified in the light of recent market microstructure theories. In an empirical application we show that the MSACD approach is able to capture specific characteristics of inter trade durations while alternative ACD models fail. JEL classification: C41, C22, C25, C51, G14
Compactness is introduced as a new method to search for the onset of the quark matter transition in relativistic heavy ion collisions. That transition supposedly leads to stronger compression and higher compactness of the source in coordinate space. That effect could be observed via pion interferometry. We propose to measure the compactness of the source in the appropriate principal axis frame of the compactness tensor in coordinate space.
The equation of state for the pion gas is analyzed within the third virial approximation. The second virial coeffcient is found from the pi pi -scattering data, while the third one is considered as a free parameter. The proposed model leads to a first-order phase transition from the pion gas to a more dense phase at the temperature Tpt < 136 MeV. Due to relatively low temperature this phase transition cannot be related to the deconfinement. This suggests that a new phase of hadron matter hot pion liquid may exist.
The statistical coalescence model for the production of open and hidden charm is considered within the canonical ensemble formulation. The data for the J/psi multiplicity in Pb+Pb collisions at 158 A·GeV are used for the model prediction of the open charm yield. We find a strong enhancement of the open charm production, by a factor of about 2 4, over the standard hard-collision model extrapolation from nucleon-nucleon to nucleus-nucleus collisions. A possible mechanism of the open charm enhancement in A+A collisions at the SPS energies is proposed.
We discuss that hadron-induced atmospheric air showers from ultra-high energy cosmic rays are sensitive to QCD interactions at very small momentum fractions x where nonlinear effects should become important. The leading partons from the projectile acquire large random transverse momenta as they pass through the strong field of the target nucleus, which breaks up their coherence. This leads to a steeper x_F-distribution of leading hadrons as compared to low energy collisions, which in turn reduces the position of the shower maximum Xmax. We argue that high-energy hadronic interaction models should account for this effect, caused by the approach to the black-body limit, which may shift fits of the composition of the cosmic ray spectrum near the GZK cutoff towards lighter elements. We further show that present data on Xmax(E) exclude that the rapid ~ 1/x^0.3 growth of the saturation boundary (which is compatible with RHIC and HERA data) persists up to GZK cutoff energies. Measurements of pA collisions at LHC could further test the small-x regime and advance our understanding of high density QCD significantly.
We investigate the properties of charge neutral equilibrium cold quark matter within the Nambu Jona-Lasinio model. The calculations are carried out for di erent ratios of coupling constants characterizing the vector and scalar 4 fermion interaction, xi = GV /GS. It is shown that for xi < 0.4 matter is self bound and for xi < 0.65 it has a first order phase transition of the liquid gas type. The Gibbs conditions in the mixed phase are applied for the case of two chemical potentials associated with the baryon number and electric charge. The characteristics of the quark stars are calculated for xi = 0, 0.5 and 1. It is found that the phase transition leads to a strong density variation at the surface of these stars. For xi = 1 the properties of quark stars show behaviors typical for neutron stars. At >< 0.4 the stars near to the maximum mass have a large admixture of strange quarks in their interiors. PACS number: 14.65.-q, 26.60.+c, 97.10.-q
We develop an interregional version of the standard textbook input-output model, that is extended with respect to the inclusion of the consumption expenditures and income generation process into the endogenous part of the input-output table. We also introduce a new method for deriving a two-region version of an interregional input-output table from original input-output tables for an overall economy and one of its regions. In an empirical assessment of the economic effects of the Frankfurt Airport, the interregional model is successfully employed. It is shown, that the model is capable of reducing the degree of overestimation of economic effects that results from inappropriate use of national input-output tables in the assessment of regional impact effects.
Sharing of substructures like subterms and subcontexts in terms is a common method for space-efficient representation of terms, which allows for example to represent exponentially large terms in polynomial space, or to represent terms with iterated substructures in a compact form. We present singleton tree grammars as a general formalism for the treatment of sharing in terms. Singleton tree grammars (STG) are recursion-free context-free tree grammars without alternatives for non-terminals and at most unary second-order nonterminals. STGs generalize Plandowski's singleton context free grammars to terms (trees). We show that the test, whether two different nonterminals in an STG generate the same term can be done in polynomial time, which implies that the equality test of terms with shared terms and contexts, where composition of contexts is permitted, can be done in polynomial time in the size of the representation. This will allow polynomial-time algorithms for terms exploiting sharing. We hope that this technique will lead to improved upper complexity bounds for variants of second order unification algorithms, in particular for variants of context unification and bounded second order unification.
The properties of strange hadronic matter are studied in the context of the modified quark-meson coupling model using two substantially di erent sets of hyperon-hyperon (Y Y ) interactions. The first set is based on the Nijmegen hard core potential model D with slightly attractive Y Y interactions. The second potential set is based on the recent SU(3) extension of the Nijmegen soft-core potential NSC97 with strongly attractive Y Y interactions which may allow for deeply bound hypernuclear matter. The results show that, for the first potential set, the hyperon does not appear at all in the bulk at any baryon density and for all strangeness fractions. The binding energy curves of the resulting N system vary smoothly with density and the system is stable (or metastable if we include the weak force). However, the situation is drastically changed when using the second set where the hyperons appear in the system at large baryon densities above a critical strangeness fraction. We find strange hadronic matter undergoes a first order phase transition from a N system to a N for strangeness fractions fS > 1.2 and baryonic densities exceeding twice ordinary nuclear matter density. Furthermore, it is found that the system built of N is deeply bound. This phase transition a ects significantly the equation of state which becomes much softer and a substantial drop in energy density and pressure are detected as the phase transition takes place. PACS:21.65.+f, 24.85.+p, 12.39Ba
The quark-molecular-dynamics model is used to study microscopically the dynamics of the coloured quark phase and the subsequent hadron formation in relativistic S+Au collisions at the CERN-SPS. Particle spectra and hadron ratios are compared to both data and the results of hadronic transport calculations. The non-equilibrium dynamics of hadronization and the loss of correlation among quarks are studied.
The flying geese model, a theory of industrial development in latecomer economies, was developed in the 1930s by the Japanese economist Akamatsu Kaname (1896–1974). While rarely known in western countries, it is highly prominent in Japan and seen as the main economic theory underlying Japan’s economic assistance to developing countries. Akamatsu’s original interpretation of the flying geese model differs fundamentally from theories of western origin, such as the neoclassical model and Raymond Vernon’s product cycle theory. These differences include the roles of factors and linkages in economic development, the effects of demand and supply, as well as the dynamic and dialectical character of Akamatsu’s thinking. Later reformulations of the flying geese model, pioneered by Kojima Kiyoshi, attempt to combine aspects of Akamatsu’s theory with neoclassical thinking. This can be described as the “westernization” of the flying geese model. It is this reformulated interpretation that has become popular in Japan’s political discourse, a process that might be explained by the change in Japan’s perspective from that of a developing to that of an advanced economy. The position taken by Japan in its recent controversy with the World Bank, however, shows that many basic elements of Akamatsu’s thinking are still highly influential within both Japan’s academia and its government and are therefore relevant for understanding current debates on development theory.
A model based on chiral SU(3)-symmetry in nonlinear realisation is used for the investigation of nuclei, superheavy nuclei, hypernuclei and multistrange nuclear objects (so called MEMOs). The model works very well in the case of nuclei and hypernuclei with one Lambda-particle and rules out MEMOs. Basic observables which are known for nuclei and hypernuclei are reproduced satisfactorily. The model predicts Z=120 and N=172, 184 and 198 as the next shell closures in the region of superheavy nuclei. The calculations have been performed in self-consistent relativistic mean field approximation assuming spherical symmetry. The parameters were adapted to known nuclei.
We calculate prompt photon production in high-energy nuclear collisions. We focus on the broadening of the intrinsic transverse momenta of the partons in the initial state from nuclear effects, and their influence on the prompt photon pt distribution. Comparing to WA98 data from Pb+Pb collisions at s = 17.4A GeV we find evidence for the presence of nuclear broadening at high pt in this hard process. Below pt < 2.7 GeV the photon distribution is due to small momentum transfer processes. At RHIC energy, s = 200A GeV, the e ect of intrinsic transverse momentum on the spectrum of prompt photons is less prominent. The region pt = 3 4 GeV would be the most promising for studying the nuclear broadening e ects at that energy. Below pt = 2 3 GeV the contribution from large momentum transfers flattens out, and we expect that region to be dominated by soft contributions.
We calculate prompt photon production in high-energy nuclear collisions. We focus on the broadening of the intrinsic transverse momenta of the partons in the initial state from nuclear e ects, and their influence on the prompt photon pt distribution. Comparing to WA98 data from Pb+Pb collisions at s = 17.4A GeV we find evidence for the presence of nuclear broadening at high pt in this hard process. Below pt < 2.7 GeV the photon distribution is due to small momentum transfer processes. At RHIC energy, s = 200A GeV, the e ect of intrinsic transverse momentum on the spectrum of prompt photons is less prominent. The region pt = 3 4 GeV would be the most promising for studying the nuclear broadening effects at that energy. Below pt = 2 3 GeV the contribution from large momentum transfers flattens out, and we expect that region to be dominated by soft contributions.