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We argue for incorporating the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation at zero displacement is typically negative, and cross-correlations at nonzero displacements are positive and decay geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are useful for assessing the validity of the frequently-assumed independence of latent price and microstructure noise, for explaining observed cross-correlation patterns, for predicting as-yet undiscovered patterns, and for making informed conjectures as to improved volatility estimation methods.
The future of securitization
(2008)
Securitization is a financial innovation that experiences a boom-bust cycle, as many other innovations before. This paper analyzes possible reasons for the breakdown of primary and secondary securitization markets, and argues that misaligned incentives along the value chain are the primary cause of the problems. The illiquidity of asset and interbank markets, in this view, is a market failure derived from ill-designed mechanisms of coordinating financial intermediaries and investors. Thus, illiquidity is closely related to the design of the financial chains. Our policy conclusions emphasize crisis prevention rather than crisis management, and the objective is to restore a “comprehensive incentive alignment”. The toe-hold for strengthening regulation is surprisingly small. First, we emphasize the importance of equity piece retention for the long-term quality of the underlying asset pool. As a consequence, equity piece allocation needs to be publicly known, alleviating market pricing. Second, on a micro level, accountability of managers can be improved by compensation packages aiming at long term incentives, and penalizing policies with destabilizing effects on financial markets. Third, on a macro level, increased transparency relating to effective risk transfer, risk-related management compensation, and credible measurement of rating performance stabilizes the valuation of financial assets and, hence, improves the solvency of financial intermediaries. Fourth, financial intermediaries, whose risk is opaque, may be subjected to higher capital requirements.
Proteorhodopsin (PR) originally isolated from uncultivated γ-Proteobacterium as a result of biodiversity screens, is highly abundant ocean wide. PR, a Type I retinal binding protein with 26% sequence identity, is a bacterial homologue of Bacteriorhodopsin (BR). The members within this family share about 78% of sequence identity and display a 40 nm difference in the absorption spectra. This property of the PR family members provides an excellent model system for understanding the mechanism of spectral tuning. Functionally PR is a photoactive proton pump and is suggested to exhibit a pH dependent vectorality of proton transfer. This raises questions about its potential role as pH dependent regulator. The abundance of PR in huge numbers within the cell, its widespread distribution ocean wide at different depths hints towards the involvement of PR in utilization of solar energy, energy metabolism and carbon recycling in the Sea. Contrary to BR, which is known to be a natural 2D crystal, no such information is available for PR til date. Neither its functional mechanism nor its 3D structure has been resolved so far. This PhD project is an attempt to gain a deeper insight so as to understand structural and functional characterization of PR. The approach combines the potentials of 2D crystallography, Atomic Force Microscopy and Solid State NMR techniques for characterization of this protein. Wide range of crystalline conditions was obtained as a result of 2D crystallization screens. This hints towards dominant protein protein interactions. Considering the high number of PR molecules reported per cell, it is likely that driven by such interactions, the protein has a native dense packing in the environment. The projection map represented low resolution of these crystals but suggested a donut shape oligomeric arrangement of protein in a hexagonal lattice with unit cell size of 87Å*87Å. Preliminary FTIR measurements indicated that the crystalline environment does not obstruct the photocycle of PR and K as well as M intermediate states could be identified. Single molecule force spectroscopy and atomic force microscopy on these 2D crystals was used to probe further information about the oligomeric state and nature of unfolding. The data revealed that protein predominantly exists as hexamers in crystalline as well as densely reconstituted regions but a small percentage of pentamers is also observed. The unfolding mechanism was similar to the other relatively well-characterized members of rhodopsin family. A good correlation of the atomic force microscopy and the electron microscopy data was achieved. Solid State NMR of the isotopically labeled 2D crystalline preparations using uniformly and selectively labeling schemes, allowed to obtain high quality SSNMR spectra with typical 15N line width in the range of 0.6-1.2 ppm. The measured 15N chemical shift value of the Schiff base in the 2D crystalline form was observed to be similar to the Schiff base chemical shift values for the functionally active reconstituted samples. This provides an indirect evidence for the active functionality of the protein and hence the folding. The first 15N assignment has been achieved for the Tryptophan with the help of Rotational Echo Double Resonance experiments. The 2D Cross Polarization Lee Goldberg measurements reflect the dynamic state of the protein inspite of restricted mobility in the crystalline state. The behavior of lipids as measured by 31P from the lipid head group showed that the lipids are not tightly bound to the protein but behave more like the lipid bilayer. The 13C-13C homonulear correlation experiments with optimized mixing time based on build up curve analysis, suggest that it is possible to observe individual resonances as seen in case of glutamic acid. The signal to noise was good enough to record a decent spectrum in a feasible period. The selective unlabeling is an efficient method for reduction in the spectral overlap. However, more efficient labeling schemes are required for further characterization. The present spectral resolution is good for individual amino acid investigation but for uniformly labeled samples, further improvement is required.
In this paper, we present an open-source parsing environment (Tübingen Linguistic Parsing Architecture, TuLiPA) which uses Range Concatenation Grammar (RCG) as a pivot formalism, thus opening the way to the parsing of several mildly context-sensitive formalisms. This environment currently supports tree-based grammars (namely Tree-Adjoining Grammars (TAG) and Multi-Component Tree-Adjoining Grammars with Tree Tuples (TT-MCTAG)) and allows computation not only of syntactic structures, but also of the corresponding semantic representations. It is used for the development of a tree-based grammar for German.
This paper investigates the relation between TT-MCTAG, a formalism used in computational linguistics, and RCG. RCGs are known to describe exactly the class PTIME; simple RCG even have been shown to be equivalent to linear context-free rewriting systems, i.e., to be mildly context-sensitive. TT-MCTAG has been proposed to model free word order languages. In general, it is NP-complete. In this paper, we will put an additional limitation on the derivations licensed in TT-MCTAG. We show that TT-MCTAG with this additional limitation can be transformed into equivalent simple RCGs. This result is interesting for theoretical reasons (since it shows that TT-MCTAG in this limited form is mildly context-sensitive) and, furthermore, even for practical reasons: We use the proposed transformation from TT-MCTAG to RCG in an actual parser that we have implemented.
TT-MCTAG lets one abstract away from the relative order of co-complements in the final derived tree, which is more appropriate than classic TAG when dealing with flexible word order in German. In this paper, we present the analyses for sentential complements, i.e., wh-extraction, thatcomplementation and bridging, and we work out the crucial differences between these and respective accounts in XTAG (for English) and V-TAG (for German).
Developing linguistic resources, in particular grammars, is known to be a complex task in itself, because of (amongst others) redundancy and consistency issues. Furthermore some languages can reveal themselves hard to describe because of specific characteristics, e.g. the free word order in German. In this context, we present (i) a framework allowing to describe tree-based grammars, and (ii) an actual fragment of a core multicomponent tree-adjoining grammar with tree tuples (TT-MCTAG) for German developed using this framework. This framework combines a metagrammar compiler and a parser based on range concatenation grammar (RCG) to respectively check the consistency and the correction of the grammar. The German grammar being developed within this framework already deals with a wide range of scrambling and extraction phenomena.
In this paper we present a parsing architecture that allows processing of different mildly context-sensitive formalisms, in particular Tree-Adjoining Grammar (TAG), Multi-Component Tree-Adjoining Grammar with Tree Tuples (TT-MCTAG) and simple Range Concatenation Grammar (RCG). Furthermore, for tree-based grammars, the parser computes not only syntactic analyses but also the corresponding semantic representations.
Women and Halakha Shiur
(2008)
Cellular metabolism can be envisaged by fluorescence lifetime imaging of fluorophores sensitive to specific intracellular factors such as [H+], [Ca2+], [O2], membrane potential, temperature, polarity of the probe environment, and alterations in the conformation and interactions of macromolecules. Lifetime measurements of the probes allow the quantitative determination of the intracellular factors. Fluorescence microscopy taking advantage of time-correlated single photon counting is a novel method that outperforms all other techniques with its single photon sensitivity and picoseconds time resolution. In this work, a time- and space-correlated single photon counting system was established to investigate the behavior of 2-(4-(dimethylamino)styryl)-1-methylpyridinium iodide (DASPMI) in living cells. DASPMI is known to selectively stain mitochondria in living cells. The uptake and fluorescence intensity of DASPMI in mitochondria is a dynamic measure of membrane potential. Hence, an endeavour was made to elucidate the mechanism of DASPMI fluorescence by obtaining spectrally-resolved fluorescence decays in different solvents. A bi-exponential decay model was sufficient to globally describe the wavelength dependent fluorescence in ethanol and chloroform. While in glycerol, a three-exponential decay model was necessary for global analysis. In the polar low-viscous solvent water, a mono-exponential decay model fitted the decay data. The sensitivity of DASPMI fluorescence to solvent viscosity was analysed using various proportions of glycerol/ethanol mixtures. The lifetimes were found to increase with increasing solvent viscosity. The negative amplitudes of the short lifetime component found in chloroform and glycerol at the longer wavelengths validated the formation of new excited state species from the initially excited state. Time-resolved emission spectra in chloroform and glycerol showed a biphasic increase of spectral width and emission maxima. The spectral width had an initial fast increase within 150 ps and a near constant thereafter. A two-state model based on solvation of the initially excited state and further formation of TICT state has been proposed to explain the excited state kinetics and has been substantiated by the de-composition of time-resolved spectra. The knowledge of DASPMI photophysics in a variety of solvents now provides the means of deducing complex physiological parameters of mitochondria from its behavior in living cells. Spatially-resolved fluorescence decays from single mitochondria or only very few organelles of XTH2 cells signified distinctive three-exponential decay kinetics of viscous environment. Based on DASPMI photophysics in a variety of solvents, these lifetimes have been attributed to the fluorescence from locally excited state (LE), intramolecular charge transfer state (ICT) and twisted intramolecular charge transfer (TICT) state. A considerable variation in lifetime among mitochondria of different morphology and within single cell was evident corresponding to the high physiological variations within single cells. Considerable shortening of the short lifetime component (τ1) under high membrane potential condition, such as in the presence of ATP and/or substrate, was similar to quenching and dramatic decrease of lifetime in polar solvents. Under these conditions τ2 and τ3 increased with decreasing contribution. Upon treatment with ionophore nigericin, hyperpolarization of mitochondria resulted in remarkable shortening of τ1 from 159 ps to 38 ps. Inhibiting respiration by cyanide resulted in notable increase of mean lifetime and decrease of mitochondrial fluorescence. Increase of DASPMI fluorescence on conditions elevating mitochondrial membrane potential has been attributed to uptake according Nernst distributions, to de-localisation of π electrons, quenching processes of the methyl pyridinium moiety and restricted torsional dynamics at the mitochondrial inner membrane. Accordingly, determination of anisotropy in DASPMI stained mitochondria in living XTH2 cells, revealed dependence of anisotropy on membrane potential. Such changes in anisotropy attributed to restriction of the torsional dynamics about the flexible single bonds neighboring the olefinic double bond revealed the previously known sub-mitochondrial zones with higher membrane potential along its length. Membrane-potential-dependent changes in anisotropy have further been demonstrated in senescent chick embryo fibroblasts. In conclusion, spectroscopic observations of excited-state kinetics of DASPMI in solvents and its behavior in living cells had revealed for the first time its localisation, mechanism of voltage sensitive fluorescence and its membrane-potential-dependent anisotropy in living cells. The simultaneous dependence of DASPMI photophysics on mitochondrial inner membrane viscosity and transmembrane potential has been highlighted.
Maize and rice constitute some of the most important cereals cultivated in the world, being used as staple food for people especially in Africa. The rice moth, Corcyra cephalonica, and the maize weevil, Sitophilus zeamais, are major pests of stored grains in the tropics. The use of parasitoids in biological pest control is already common in different agricultural and horticultural fields. At present, grain managers tend to look at alternatives to chemicals to control insects in stored grain. Lariophagus distinguendus (Förster) is a synovigenic, solitary larval and pupal ectoparasitoid of several beetle species that infest stored goods. The ability for long-range host finding of this parasitoid mediated by volatiles has been shown (Steidle & Schöller 1997). Habrobracon hebetor (Say) is a gregarious ectoparasitoid of many lepidopterous pests. This wasp occurs naturally in the stored grain ecosystem (Keever & al. 1985) where it attacks several pyralid moths, including the rice moth, Corcyra cephalonica. The present study was conducted to assess the host finding of the two parasitoids H. hebetor and L. distinguendus.
Jüdische Grabsteinepigraphik: R. Yosef Trani (1568-1639), R. Akiva Eger (d. 1837), R. David Hoffmann (d. 1921)
The enigmatic R. David Lida
(2008)
Chemical ozone loss in winter 1991–1992 is recalculated based on observations of the HALOE satellite instrument, Version 19, ER-2 aircraft measurements and balloon data. HALOE satellite observations are shown to be reliable in the lower stratosphere below 400 K, at altitudes where the measurements are most likely disturbed by the enhanced sulfate aerosol loading, as a result of the Mt.~Pinatubo eruption in June 1991. Significant chemical ozone loss (13–17 DU) is observed below 380 K from Kiruna balloon observations and HALOE satellite data between December 1991 and March 1992. For the two winters after the Mt. Pinatubo eruption, HALOE satellite observations show a stronger extent of chemical ozone loss towards lower altitudes compared to other Arctic winters between 1991 and 2003. In spite of already occurring deactivation of chlorine in March 1992, MIPAS-B and LPMA balloon observations indicate that chlorine was still activated at lower altitudes, consistent with observed chemical ozone loss occurring between February and March and April. Large chemical ozone loss of more than 70 DU in the Arctic winter 1991–1992 as calculated in earlier studies is corroborated here.
During the APE-THESEO mission in the Indian Ocean the Myasishchev Design Bureau stratospheric research aircraft M55 Geophysica performed a flight over and within the inner core region of tropical cyclone Davina. Measurements of total water, water vapour, temperature, aerosol backscattering, ozone and tracers were made and are discussed here in comparison with the averages of those quantities acquired during the campaign time frame. Temperature anomalies in the tropical tropopause layer (TTL), warmer than average in the lower part and colder than average in the upper TTL were observed. Ozone was strongly reduced compared to its average value, and thick cirrus decks were present up to the cold point, sometimes topped by a layer of very dry air. Evidence for meridional transport of trace gases in the stratosphere above the cyclone was observed and perturbed water distribution in the TTL was documented. The paper discuss possible processes of dehydration induced by the cirrus forming above the cyclone, and change in the chemical tracer and water distribution in the lower stratosphere 400–430 K due to meridional transport from the mid-latitudes and link with Davina. Moreover it compares the data prior and after the cyclone passage to discuss its actual impact on the atmospheric chemistry and thermodynamics.
Appropriate precautions in the case of flood occurrence often require long lead times (several days) in hydrological forecasting. This in turn implies large uncertainties that are mainly inherited from the meteorological precipitation forecast. Here we present a case study of the extreme flood event of August 2005 in the Swiss part of the Rhine catchment (total area 34 550 km2). This event caused tremendous damage and was associated with precipitation amounts and flood peaks with return periods beyond 10 to 100 years. To deal with the underlying intrinsic predictability limitations, a probabilistic forecasting system is tested, which is based on a hydrological-meteorological ensemble prediction system. The meteorological component of the system is the operational limited-area COSMO-LEPS that downscales the ECMWF ensemble prediction system to a horizontal resolution of 10 km, while the hydrological component is based on the semi-distributed hydrological model PREVAH with a spatial resolution of 500 m. We document the setup of the coupled system and assess its performance for the flood event under consideration. We show that the probabilistic meteorological-hydrological ensemble prediction chain is quite effective and provides additional guidance for extreme event forecasting, in comparison to a purely deterministic forecasting system. For the case studied, it is also shown that most of the benefits of the probabilistic approach may be realized with a comparatively small ensemble size of 10 members.
The main objective of the study presented in this paper was to develop an evaluation scheme which is suitable for spatially explicit groundwater vulnerability assessment according to the Water Framework Directive (WFD). Study area was the Hase river catchment, an area of about 3 000 km2 in north-west Germany which is dominated by livestock farming, in particular pig and poultry production. For the Hase river catchment, the first inventory of the WFD led to the conclusion that 98% of the catchment area is "unclear/unlikely" to reach a good groundwater status due to diffuse nitrogen emissions from agriculture. The groundwater vulnerability assessment was embedded in the PartizipA project ("Participative modelling, Actor and Ecosystem Analysis in Regions with Intensive Agriculture", www.partizipa.net), within which a so-called actors´ platform was established in the study area. The objective of the participatory process was to investigate the effects of the WFD on agriculture as well as to discuss groundwater protection measures which are suitable for an integration in the programme of measures. The study was conducted according to the vulnerability assessment concept of the Intergovernmental Panel on Climate Change, considering sensitivity, exposure and adaptive capacity. Sensitivity was computed using the DRASTIC index of natural groundwater pollution potential. Exposure (for a reference scenario) was computed using the STOFFBILANZ nutrient model. Several regional studies were analysed to evaluate the adaptive capacity. From these studies it was concluded that the adaptive capacity in the Hase river catchment is very low due to the economic importance of the agricultural sector which will be significantly affected by groundwater protection measures. As a consequence, the adaptive capacity was not considered any more in the vulnerability assessment. A groundwater vulnerability evaluation scheme is presented which enjoys the advantage that both exposure and sensitivity can be operationalized in a spatially resolved manner (500×500 m grid) by the two models mentioned above. The evaluation scheme was applied in the Hase river catchment. 21% of the catchment was classified as highly vulnerable, another 73% as medium vulnerable. Only 6% of the Hase river catchment has low vulnerability. Grid cells of the high vulnerability class are considered as priority areas for groundwater protection measures in the programme of measures of the WFD. Measures will be particularly effective in the north-eastern part of the catchment where groundwater vulnerability is mainly due to high nitrogen emissions.
Strong perturbations of the Arctic stratosphere during the winter 2002/2003 by planetary waves led to enhanced stretching and folding of the vortex. On two occasions the vortex in the lower stratosphere split into two secondary vortices that re-merged after some days. As a result of these strong disturbances the role of transport in and out of the vortex was stronger than usual. An advection and mixing simulation with the Chemical Lagrangian Model of the Stratosphere (CLaMS) utilising a suite of inert tracers tagging the original position of the air masses has been carried out. The results show a variety of synoptic and small scale features in the vicinity of the vortex boundary, especially long filaments peeling off the vortex edge and being slowly mixed into the mid latitude environment. The vortex folding events, followed by re-merging of different parts of the vortex led to strong filamentation of the vortex interior. During January, February, and March 2003 flights of the Russian high-altitude aircraft Geophysica were performed in order to probe the vortex, filaments and in one case the merging zone between the secondary vortices. Comparisons between CLaMS results and observations obtained from the Geophysica flights show in general good agreement. Several areas affected by both transport and strong mixing could be identified, allowing explanation of many of the structures observed during the flights. Furthermore, the CLaMS simulations allow for a quantification of the air mass exchange between mid latitudes and the vortex interior. The simulation suggests that after the formation of the vortex was completed, its interior remaind relatively undisturbed. Only during the two re-merging events were substantial amounts of extra-vortex air transported into the polar vortex. When in March the vortex starts weakening additional influence from lower latitudes becomes apparent in the model results. In the lower stratosphere export of vortex air leads only to a fraction of about 5% polar air in mid latitudes by the end of March. An upper limit for the contribution of ozone depleted vortex air on mid-latitude ozone loss is derived, indicating that the maximum final impact of dilution is on the order of 50%.