224 research outputs found
Time-varying bond market integration and the impact of financial crises
No full textThis paper studies the dynamics of market integration in government bond markets. We utilise a new approach based on Pukthuanthong and Roll (2009) to investigate time-varying integration in 38 markets. We explore the impact of crisis periods, alongside differences in sample length, region, development and whether EMU and EU markets show obvious different integration from non-EU markets. Finally, we examine the effects of bonds' maturities on market integration. Considering the effects of factor heteroscedasticity and contagion during crisis periods, adjusted market integration is notably higher than implied by the Pukthuanthong and Roll (2009) measure. Developed markets experience increasing market integration over time, more than emerging markets. Most emerging markets provide little evidence of greater market integration. The EMU markets become almost fully integrated after the introduction of the Euro. Market integration also increases with maturity
Measuring market integration during crisis periods
Get PDFPukthuanthong and Roll (2009) measure the degree of market integration by the percentage of a market’s returns explained by global risk factors. However, during periods of crisis characterised by high volatility, their measure may be biased. This paper investigates the determinants of the explanatory power in a multi-factor model during global crises. We show that the explanatory power is influenced by factor heteroscedasticity, changes in factor loadings and residual heteroscedasticity. Using a counterfactual analysis, we establish an empirical framework to examine the effects of each element on integration for 53 financial markets during six recent crisis periods. We find the unconditional market integration is much lower for most markets during a period of crisis than implied. Both factor heteroscedasticity and the existence of contagion during crises account for this difference
Enhanced Degradation of RDX by Shewanella putrefaciens CN32 and Iron Bearing Soil Minerals
No full text
Equivariant Hypergraph Neural Networks
No full textMany problems in computer vision and machine learning can be cast as learning on hypergraphs that represent higher-order relations. Recent approaches for hypergraph learning extend graph neural networks based on message passing, which is simple yet fundamentally limited in modeling long-range dependencies and expressive power. On the other hand, tensor-based equivariant neural networks enjoy maximal expressiveness, but their application has been limited in hypergraphs due to heavy computation and strict assumptions on fixed-order hyperedges. We resolve these problems and present Equivariant Hypergraph Neural Network (EHNN), the first attempt to realize maximally expressive equivariant layers for general hypergraph learning. We also present two practical realizations of our framework based on hypernetworks (EHNN-MLP) and self-attention (EHNN-Transformer), which are easy to implement and theoretically more expressive than most message passing approaches. We demonstrate their capability in a range of hypergraph learning problems, including synthetic k-edge identification, semi-supervised classification, and visual keypoint matching, and report improved performances over strong message passing baselines. Our implementation is available at https://github.com/jw9730/ehnn
New return anomalies and new-Keynesian ICAPM
Get PDFI propose a new multi-factor asset pricing model with new-Keynesian factors to explain stock return anomalies from 1972Q1 to 2009Q2. This new model explains the average returns across testing portfolios formed on financial distress, momentum, and standardized unexpected earnings with misspecification-robust statistics. Test portfolios formed on net stock issues and total accruals are also partly explained by new-Keynesian factors. Two monetary policy factors play an important role in explaining these new anomalies. The credit aspect of these new anomalies suggests an economic rationale for the model through capital market imperfections and the credit channel of monetary policy mechanism. © 2013 The Author
Origami-Based Flexible and Simple Tubular Polymer Electrolyte Membrane Fuel Cell Stack
No full textFlexible
energy devices are essential for future small and flexible
devices, and there are many challenges to create deformable energy
devices. In this study, we developed a lightweight and flexible passive
air-breathing polymer electrolyte membrane fuel cell (PEMFC) stack
with a flexible 3D structure using a straw-like tubular design. This
stack is lighter than a conventional PEMFC stack because it contains
a smaller number of components. By applying a conical design, the
device was easily assembled with the units connected in series using
banded-type connections (i.e., without clamps or fixing parts). Moreover,
for the first time, a conical reverse truss origami design was applied
to the tubular PEMFC, which enabled 3D movement and reduced the volume
of the PEMFC. The flexible tubular PEMFC is expected to be an energy
source for small devices and can be used to replace wires or external
fuel pipelines in devices that require mechanical movement
Swan boat
No full textWe designed and implemented a pervasive game called Swan Boat that targets the bland and tedious nature of running on a treadmill, making it fun through social interaction and immersive game play. We developed Swan Boat on top of PSD, a platform for pervasive games, and using the Interactive Treadmill hardware. We conducted a user study to evaluate our game
Structural modification of electrode for anion exchange membrane fuel cell by controlling ionomer dispersion
No full textAn appropriate electrode microstructure design should be necessary to achieve high-performance anion exchange membrane fuel cells (AEMFCs). In general, the electrodes are fabricated from catalyst slurries which contain self-assembled agglomerates of catalyst particles with ionomer dispersed in a solvent. Therefore, solvent nature greatly affects the microstructure of the electrode, such as the pore structure and the formation of triple-phase boundaries for electrochemical reactions. Here, we investigate the influence of solvent on the microstructure of I2 ionomer-based electrode and its performance using three alcohol-based solvents (ethanol, 2-propanol, and 2-methyl-2-propanol [tBuOH)) with different dielectric constants and similar boiling points. Various physical and electrochemical characterization confirmed that the electrode pore structure changes significantly depending on the type of solvent while the electrochemically active surface area hardly changes. Furthermore, the efect of the three electrodes with different pore structures on AEMFC performance is observed for anode and cathode, respectively. It is demonstrated that the porous electrode with large pores is more advantageous in performance than a dense electrode at both the anode and the cathode for AEMFC. Consequently, the membrane electrode assembly with porous tBuOH-based electrodes exhibits more than 40% higher performance (1.32 W cm(-2)) than dense ethanol-based electrodes (0.94 W cm(-2)).11Nsciescopu
New return anomalies and new-Keynesian ICAPM
No full textI propose a new multi-factor asset pricing model with new-Keynesian factors to explain stock return anomalies from 1972Q1 to 2009Q2. This new model explains the average returns across testing portfolios formed on financial distress, momentum, and standardized unexpected earnings with misspecification-robust statistics. Test portfolios formed on net stock issues and total accruals are also partly explained by new-Keynesian factors. Two monetary policy factors play an important role in explaining these new anomalies. The credit aspect of these new anomalies suggests an economic rationale for the model through capital market imperfections and the credit channel of monetary policy mechanism. © 2013 The Author
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