scholarly journals Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk

2021 ◽  
Vol 12 (2) ◽  
pp. 647-682 ◽  
Author(s):  
Torben G. Andersen ◽  
Martin Thyrsgaard ◽  
Viktor Todorov
Keyword(s):  
High Frequency ◽  
Opposite Effect ◽  
Functional Limit ◽  
Cross Sectional ◽  
Macroeconomic News ◽  
Market Index ◽  
Cross Sectional Dimension ◽  
Large Panel ◽  
The Cross ◽  
Over Time

We study the temporal behavior of the cross‐sectional distribution of assets' market exposure, or betas, using a large panel of high‐frequency returns. The asymptotic setup has the sampling frequency of returns increasing to infinity, while the time span of the data remains fixed, and the cross‐sectional dimension of the panel is either fixed or increasing. We derive functional limit results for the cross‐sectional distribution of betas evolving over time. We demonstrate, for constituents of the S&P 500 market index, that the dispersion in betas is elevated at the market open and gradually declines over the trading day. This intraday pattern varies significantly over time and reacts to information shocks such as clustered earning announcements and releases of macroeconomic news. We find that earnings news increase beta dispersion while FOMC announcements have the opposite effect on market betas.

scholarly journals The HIV/STI Epidemic Potential of Dynamic Sexual Networks of Men Who Have Sex With Men in Atlanta and San Francisco

2020 ◽  
Author(s):  
Emeli J. Anderson ◽  
Kevin M. Weiss ◽  
Martina M. Morris ◽  
Travis H. Sanchez ◽  
Pragati Prasad ◽  
...  
Keyword(s):  
San Francisco ◽  
Network Connectivity ◽  
Parameter Estimates ◽  
Sexual Networks ◽  
Age Group ◽  
Exponential Random Graph Models ◽  
Cross Sectional ◽  
The Cross ◽  
Over Time ◽  
Age Category

ABSTRACTBackgroundThe potential speed through which a pathogen may circulate in a network is a function of network connectivity. Network features like degree (number of ongoing partnerships) determine the cross-sectional network connectivity. The overall transmission potential of a pathogen involves connectivity over time, which can be measured using the forward reachable path (FRP). We modeled dynamic sexual networks of MSM in San Francisco and Atlanta to estimate the FRP as a predictor of HIV/STI epidemic potential.MethodsWe used exponential random graph models to obtain parameter estimates for each city’s sexual network and then simulated the complete networks over time. The FRP was estimated in each city overall and stratified by demographics.ResultsThe overall mean and median FRPs were higher in San Francisco than in Atlanta, suggesting a greater epidemic potential for HIV and STIs in San Francisco. At one year, in both cities, the average FRP among casual partnerships was highest in the youngest age group and lowest in the oldest age group, contrasting with the cross-sectional network parameters we estimated, where the youngest age category had the lowest mean degree and the oldest age category had the highest mean degree.ConclusionsThe FRP results correspond to the observed STI epidemics but not HIV epidemics between the cities. In San Francisco, rates of HIV have been declining over the last few years, whereas they have been steady in Atlanta. The FRP by age group resulted in fundamentally different conclusions about connectivity in the network compared with the cross-sectional network measures.

Multivariate Model for Defining Changes in Maximal Physical Working Capacity of Men, Ages 25 to 70 Years

1992 ◽  
Vol 36 (2) ◽  
pp. 171-174 ◽  
Author(s):  
Andrew S. Jackson ◽  
Earl F. Beard ◽  
Larry T. Wier ◽  
J. E. Stuteville
Keyword(s):  
Physical Activity ◽  
Body Fat ◽  
Multivariate Model ◽  
Percent Body Fat ◽  
Physical Working Capacity ◽  
Working Capacity ◽  
Cross Sectional ◽  
Exercise Habits ◽  
The Cross ◽  
Over Time

The purpose of this study was to develop a multivariate model with cross-sectional data that defined the decline in VO2max over time, and cross-validate the model with longitudinal data. The cross-sectional sample consisted of 1,608 healthy men who ranged in age from 25 to 70 years. VO2max was directly measured during a maximum Bruce treadmill stress test. Regression analysis showed that the cross-sectional age and VO2max relationship was linear, r = 0.45 and the age decline in VO2max was 0.48 ml/kg/min/year. Multiple regression developed the multivariate model from age, percent body fat (%fat), self-report physical activity (SR-PA), and the interaction of SR-PA and %fat (R = 0.793). Accounting for the variance in percent body fat and exercise habits decreased the influence of age on the decline of VO2max to just −0.27 ml/kg/min/year. This showed that much of decline in maximal physical working capacity was due to physical activity level and percent body fat, not aging. The multivariate equation was applied to the data of the longitudinal sample of 156 men who had been tested twice (Mean AgeΔ = 3.1 ± 1.2 years). The correlation between the measured and estimated change in VO2max over time (ΔVO2max) was 0.75. The results of the study showed that changes in body composition and exercise habits had more of an influence on changes in maximal physical working capacity than aging. The developed model provides a useful way to quantify the changes in physical working capacity with aging.

scholarly journals Information Percolation

2010 ◽  
Vol 2 (1) ◽  
pp. 100-111 ◽  
Author(s):  
Darrell Duffie ◽  
Gaston Giroux ◽  
Gustavo Manso
Keyword(s):  
Rate Of Convergence ◽  
Explicit Solution ◽  
Common Interest ◽  
Cross Sectional ◽  
Individual Agent ◽  
Large Market ◽  
The Mean ◽  
The Cross ◽  
Over Time

We study the “percolation” of information of common interest through a large market as agents encounter and reveal information to each other over time. We provide an explicit solution for the dynamics of the cross-sectional distribution of posterior beliefs. We also show that convergence of the cross-sectional distribution of beliefs to a common posterior is exponential and that the rate of convergence does not depend on the size of the groups of agents that meet. The rate of convergence is merely the mean rate at which an individual agent is matched. (JEL D83)

scholarly journals Concerted changes in tropical forest structure and dynamics: evidence from 50 South American long-term plots

2004 ◽  
Vol 359 (1443) ◽  
pp. 421-436 ◽  
Author(s):  
S. L. Lewis ◽  
O. L. Phillips ◽  
T. R. Baker ◽  
J. Lloyd ◽  
Y. Malhi ◽  
...  
Keyword(s):  
Tropical Forest ◽  
Net Primary Productivity ◽  
Basal Area ◽  
Mortality Rates ◽  
Stem Density ◽  
Cross Sectional ◽  
The Cross ◽  
Stem Mortality ◽  
Over Time

Several widespread changes in the ecology of old–growth tropical forests have recently been documented for the late twentieth century, in particular an increase in stem turnover (pan–tropical), and an increase in above–ground biomass (neotropical). Whether these changes are synchronous and whether changes in growth are also occurring is not known. We analysed stand–level changes within 50 long–term monitoring plots from across South America spanning 1971–2002. We show that: (i) basal area (BA: sum of the cross–sectional areas of all trees in a plot) increased significantly over time (by 0.10 ±; 0.04 m 2 ha −1 yr −1 , mean ± 95%CI) as did both (ii) stand–level BA growth rates (sum of the increments of BA of surviving trees and BA of new trees that recruited into a plot); and (iii) stand–level BA mortality rates (sum of the cross–sectional areas of all trees that died in a plot). Similar patterns were observed on a per–stem basis: (i) stem density (number of stems per hectare; 1 hectare is 10 4 m 2 ) increased significantly over time ( 0.94 ± 0.63 stems ha −1 yr −1 ); as did both (ii) stem recruitment rates; and (iii) stem mortality rates. In relative terms, the pools of BA and stem density increased by 0.38 ± 0.15% and 0.18 ± 0.12% yr −1 , respectively. The fluxes into and out of these pools—stand–level BA growth, stand–level BA mortality, stem recruitment and stem mortality rates—increased, in relative terms, by an order of magnitude more. The gain terms (BA growth, stem recruitment) consistently exceeded the loss terms (BA loss, stem mortality) throughout the period, suggesting that whatever process is driving these changes was already acting before the plot network was established. Large long–term increases in stand–level BA growth and simultaneous increases in stand BA and stem density imply a continent–wide increase in resource availability which is increasing net primary productivity and altering forest dynamics. Continent–wide changes in incoming solar radiation, and increases in atmospheric concentrations of CO 2 and air temperatures may have increased resource supply over recent decades, thus causing accelerated growth and increased dynamism across the world's largest tract of tropical forest.

scholarly journals Strength and Stiffness Behavior of Earthquake Resistant Pedestrian LVL Timber Bridge

2021 ◽  
Vol 11 (2) ◽  
pp. 53-57
Author(s):  
Bernardinus Herbudiman ◽  
Delima Delima ◽  
Yosafat Aji Pranata
Keyword(s):  
Environmental Damage ◽  
Bridge Structure ◽  
Element Analysis ◽  
Cross Sectional ◽  
Bridge Superstructures ◽  
Cross Sectional Dimension ◽  
Earthquake Resistant ◽  
Beam Type ◽  
The Cross ◽  
Strength And Stiffness

A bridge is a structure which is used to connect two areas separate by obstacles. The environmental damage caused a number of reductions in the production of timber, and by that, the LVL timber which is a high quality processed or engineered timber is chosen. This research determined the design of the timber bridge structure for pedestrian with simple beam type and earthquake resistant. The load in this bridge is referring to the SNI 1725:2016 and SNI 2833:2008, the design of the girder and the connection is referring to SNI 7973:2013, and the deflection is referring to the LFRD for Highway Bridge Superstructures. The timber bridge is designed to have a span of 10 metres long and 3 metres wide. The modeling and designing of the wooden bridge are using an application called SAP2000 based on finite element analysis. Result obtained from this research indicated that the longitudinal dimension of the girder is 360 mm x 630 mm and the cross sectional dimension is 180 mm x 270 mm. The number of bolts and lock screws needed on the connection among the longitudinal girders are 40 pieces, between the longitudinal girders and the cross sectional girders is three pieces, and between the railing and the slab are two pieces. Based on the stiffness review, the results showed that the bridge deflection that occurred was lower than the permit deflection

scholarly journals Analisis Numerik Kuat Lentur Balok Support Beam Curve Tile Beton Semi Pracetak Dengan Variasi Panjang Bentangan

2020 ◽  
Vol 8 (2) ◽  
pp. 61-69
Author(s):  
Yoga Ornando ◽  
Ismeddiyanto ◽  
Iskandar Romey Sitompul
Keyword(s):  
Precast Concrete ◽  
Bending Moment ◽  
Maximum Load ◽  
Crack Pattern ◽  
Beam Length ◽  
Pure Bending ◽  
Element Analysis ◽  
Cross Sectional ◽  
Cross Sectional Dimension ◽  
The Cross

Semi precast slab is a combination of precast concrete which consist of the support beam and curve tile with the cast in place concrete. During the working process, support beam will support the entire load until the slab becomes solid. The study aims to identify the effect of using variations of support beam length towards deflection-load relationship, moment-curvature, crack pattern and cross-sectional dimensions caused by pure bending moments with the same maximum load. The variations of the support beam length are L = 3000 mm, L = 4000 mm, L = 5000 mm and L = 6000 mm which can affect the cross-sectional dimensions of the support beam. The method used in this study was the numerical method by using Abaqus 6.14 CAE software. Abaqus is one of the finite element analysis (FEA) programs to model and analysis the elements of the structure. The loading applied was an axial load which has increased until the support beam failed. The numerical analysis results are the increase of cross section dimension as the increasing of support beam length. The cross-sectional dimension are 100 mm x 60 mm; 110 mm x 65 mm; 110 mm x 70 mm; and 115 mm x 75 mm. The maximum load (Pmaks) was relative same while the support beam length increased are 1,52 kN; 1,53 kN; 1,53 kN and 1,55 kN. The collapse pattern on the support beam was a pure bending crack at the most significant bending moment region. The crack pattern showed the crack on the pull side of the beam in the direction of the stirrups.Semi precast slab is a combination of precast concrete which consist of the support beam and curve tile with the cast in place concrete. During the working process, support beam will support the entire load until the slab becomes solid. The study aims to identify the effect of using variations of support beam length towards deflection-load relationship, moment-curvature, crack pattern and cross-sectional dimensions caused by pure bending moments with the same maximum load. The variations of the support beam length are L = 3000 mm, L = 4000 mm, L = 5000 mm and L = 6000 mm which can affect the cross-sectional dimensions of the support beam. The method used in this study was the numerical method by using Abaqus 6.14 CAE software. Abaqus is one of the finite element analysis (FEA) programs to model and analysis the elements of the structure. The loading applied was an axial load which has increased until the support beam failed. The numerical analysis results are the increase of cross section dimension as the increasing of support beam length. The cross-sectional dimension are 100 mm x 60 mm; 110 mm x 65 mm; 110 mm x 70 mm; and 115 mm x 75 mm. The maximum load (Pmaks) was relative same while the support beam length increased are 1,52 kN; 1,53 kN; 1,53 kN and 1,55 kN. The collapse pattern on the support beam was a pure bending crack at the most significant bending moment region. The crack pattern showed the crack on the pull side of the beam in the direction of the stirrups.

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