			Home About us Contact

Potential Limit (potential + limit)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	50%

Selected Abstracts

The limits to stock index arbitrage: Examining S&P 500 futures and SPDRS

THE JOURNAL OF FUTURES MARKETS, Issue 12 2008
Nivine Richie
This study examines factors affecting stock index spot versus futures pricing and arbitrage opportunities by using the S&P 500 cash index and the S&P 500 Standard and Poor's Depository Receipt (SPDR) Exchange-Traded Fund (ETF) as "underlying cash assets." Potential limits to arbitrage when using the cash index are the staleness of the underlying cash index, trading costs, liquidity (volume) issues of the underlying assets, the existence of sufficient time to execute profitable arbitrage transactions, short sale restrictions, and the extent to which volatility affects mispricing. Alternatively, using the SPDR ETF as the underlying asset mitigates staleness and trading cost problems as well as the effects of volatility associated with the staleness of the cash index. Minute-by-minute prices are compared over different volatility levels to determine how these factors affect the limits of S&P 500 futures arbitrage. Employing the SPDR as the cash asset examines whether a liquid tradable single asset with low trading costs can be used for pricing and arbitrage purposes. The analysis examines how long mispricing lasts, the impact of volatility on mispricing, and whether sufficient volume exists to implement arbitrage. The minute-by-minute liquidity of the futures market is examined using a new transaction volume futures database. The results show that mispricings exist regardless of the choice of the underlying cash asset, with more negative mispricings for the SPDR relative to the S&P 500 cash index. Furthermore, mispricings are more frequent in high- and mid-volatility months than in low-volatility months and are associated with higher volume during high-volatility months. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:1182,1205, 2008 [source]

Climatic limits for the present distribution of beech (Fagus L.) species in the world

JOURNAL OF BIOGEOGRAPHY, Issue 10 2006
Jingyun Fang
Abstract Aim, Beech (Fagus L., Fagaceae) species are representative trees of temperate deciduous broadleaf forests in the Northern Hemisphere. We focus on the distributional limits of beech species, in particular on identifying climatic factors associated with their present range limits. Location, Beech species occur in East Asia, Europe and West Asia, and North America. We collated information on both the southern and northern range limits and the lower and upper elevational limits for beech species in each region. Methods, In total, 292 lower/southern limit and 310 upper/northern limit sites with available climatic data for all 11 extant beech species were collected by reviewing the literature, and 13 climatic variables were estimated for each site from climate normals at nearby stations. We used principal components analysis (PCA) to detect climatic variables most strongly associated with the distribution of beech species and to compare the climatic spaces for the different beech species. Results, Statistics for thermal and moisture climatic conditions at the lower/southern and upper/northern limits of all world beech species are presented. The first two PCA components accounted for 70% and 68% of the overall variance in lower/southern and upper/northern range limits, respectively. The first PCA axis represented a thermal gradient, and the second a moisture gradient associated with the world-wide distribution pattern of beech species. Among thermal variables, growing season warmth was most important for beech distribution, but winter low temperature (coldness and mean temperature for the coldest month) and climatic continentality were also coupled with beech occurrence. The moisture gradient, indicated by precipitation and moisture indices, showed regional differences. American beech had the widest thermal range, Japanese beeches the most narrow; European beeches occurred in the driest climate, Japanese beeches the most humid. Climatic spaces for Chinese beech species were between those of American and European species. Main conclusions, The distributional limits of beech species were primarily associated with thermal factors, but moisture regime also played a role. There were some regional differences in the climatic correlates of distribution. The growing season temperature regime was most important in explaining distribution of Chinese beeches, whilst their northward distribution was mainly limited by shortage of precipitation. In Japan, distribution limits of beech species were correlated with summer temperature, but the local dominance of beech was likely to be dependent on snowfall and winter low temperature. High summer temperature was probably a limiting factor for southward extension of American beech, while growing season warmth seemed critical for its northward distribution. Although the present distribution of beech species corresponded well to the contemporary climate in most areas, climatic factors could not account for some distributions, e. g., that of F. mexicana compared to its close relative F. grandifolia. It is likely that historical factors play a secondary role in determining the present distribution of beech species. The lack of F. grandifolia on the island of Newfoundland, Canada, may be due to inadequate growing season warmth. Similarly, the northerly distribution of beech in Britain has not reached its potential limit, perhaps due to insufficient time since deglaciation to expand its range. [source]

Disulfide Bond Substitution by Directed Evolution in an Engineered Binding Protein

CHEMBIOCHEM, Issue 8 2009
Antoine Drevelle Dr.
Abstract Breaking ties: The antitumour protein, neocarzinostatin (NCS), is one of the few drug-carrying proteins used in human therapeutics. However, the presence of disulfide bonds limits this protein's potential development for many applications. This study describes a generic directed-evolution approach starting from NCS-3.24 (shown in the figure complexed with two testosterone molecules) to engineer stable disulfide-free NCS variants suitable for a variety of purposes, including intracellular applications. The chromoprotein neocarzinostatin (NCS) has been intensively studied for its antitumour properties. It has recently been redesigned as a potential drug-carrying scaffold. A potential limit of this protein scaffold, especially for intracellular applications, is the presence of disulfide bonds. The objective of this work was to create a disulfide-free NCS-derived scaffold. A generic targeted approach was developed by using directed evolution methods. As a starting point we used a previously engineered NCS variant in which a hapten binding site had been created. A library was then generated in which cysteine Cys88 and Cys93 and neighbouring residues were randomly substituted. Variants that preserved the hapten binding function were selected by phage display and further screened by colony filtration methods. Several sequences with common features emerged from this process. The corresponding proteins were expressed, purified and their biophysical properties characterised. How these selected sequences rescued folding ability and stability of the disulfide-free protein was carefully examined by using calorimetry and the results were interpreted with molecular simulation techniques. [source]

Indirect tax reform and the role of exemptions

FISCAL STUDIES, Issue 4 2001
John Creedy
Abstract This paper examines the question of whether indirect tax rates should be uniform, using four different modelling strategies. First, marginal tax reform is examined. This is concerned with the optimal direction of small changes in effective indirect tax rates and requires considerably less information than the calculation of optimal rates. Second, the welfare effects of a partial shift from the current indirect tax system in Australia towards a goods and services tax (GST) are considered, with particular emphasis on differences between household types and the role of exemptions. Third, in view of the stress on a distributional role for exemptions of certain goods from a GST, the potential limits to such redistribution are considered. The fourth approach examines the extent of horizontal inequity and reranking that can arise when there are non-uniform tax rates. These inequities arise essentially because of preference heterogeneity. [source]