Larger Spreads Research Articles

IABSE Task Group 3.1 Benchmark Results. Part 2: Numerical Analysis of a Three-Degree-of-Freedom Bridge Deck Section Based on Experimental Aerodynamics

IABSE Task Group 3.1 has the mandate to define reference results for the validation of methodologies and programs used to study both stability and buffeting responses of long-span bridges. To this end, the working group set up a benchmark procedure consisting of several steps with increasing complexity to define reference results useful for this validation. The simplest step (1.1a) was presented in Part 1. In this paper (Part 2), the contributions and reference results of the second sub-step (1.1c) are discussed. It consists of the simulation of the aeroelastic response of a three-degree-of-freedom bridge deck section forced by turbulent wind, using experimental aerodynamic coefficients measured in a wind tunnel. The increase in complexity, compared to the previous step, involves the experimental definition of unsteady force coefficients that are defined in a limited range of reduced velocities, and inclusion of the lateral motion and horizontal turbulent wind velocity components. Comparison of the different outputs, obtained by Task Group 3.1 participants with the same input data, is presented, revealing differences that are not always negligible. Moreover, the increase in complexity of the test case results in larger spreads of the results compared to the fully analytical case, analysed in Part 1.

Corporate Reputation, Debt Contracting, and Bank Loans: Evidence from Data Breaches

Operational risk poses unique challenges to corporations around the world. However, little is known about the consequences of risk management vulnerabilities on financing costs and firm outcomes. In this paper, I document substantial and persistent effects on financing costs and debt contracting caused by risk management vulnerabilities following data breaches of public firms. Exploiting data breach events between 2005 and 2015, I find that lenders charge breached firms 15 to 20 percent larger spreads, and tighten covenant intensity, consistent with a shift in control rights over cash flows. The effect is larger for breaches of financial information or malicious cyber-attacks, and for firms with lower attention to risk management. Moreover, financial and operating leverage increases, profitability drops, and firms face a higher probability of default. Ex-ante mispricing by banks does not explain these findings.

Dynamic Adverse Selection and Liquidity

Does a larger fraction of informed trading generate more illiquidity, as measured by the bid--ask spread? We answer this question in the negative in the context of a dynamic dealer market where the fundamental value follows a random walk, provided we consider the long run (stationary) equilibrium. More informed traders tend to generate more adverse selection and hence larger spreads, but at the same time cause faster learning by the market makers and hence smaller spreads. This latter effect offsets the adverse selection effect when the trading frequency is equal to one, and dominates at larger frequencies.

LET-weighted doses effectively reduce biological variability in proton radiotherapy planning

Variations in proton relative biological effectiveness (RBE) with linear energy transfer (LET) remain one of the largest sources of uncertainty in proton radiotherapy. This work seeks to identify metrics which can be applied to mitigate these effects in treatment optimisation, and quantify their effectiveness. Three different metrics—dose, dose × LET and an LET-weighted dose defined as where is the dose-averaged LET—were compared with in vitro experimental studies of proton RBE and clinical treatment plans incorporating RBE models. In each system the biological effects of protons were plotted against these metrics to quantify the degree of variation introduced by unaccounted-for RBE uncertainties. As expected, the LET-dependence of RBE introduces significant variability in the biological effects of protons when plotted against dose alone. Plotting biological effects against dose × LET significantly over-estimated the impact of LET on cell survival, and typically produced even larger spreads in biological effect. LET-weighted dose was shown to have superior correlation to biological effect in both experimental data and clinical plans. For prostate and medulloblastoma treatment plans, the average RBE-associated variability in biological effect is ±5% of the prescribed dose, but is reduced to less than 1% using LET-weighting. While not a replacement for full RBE models, simplified metrics such as this LET-weighted dose can be used to account for the majority of variability which arises from the LET-dependence of RBE with reduced need for biological parameterisation. These metrics may be used to identify regions in normal tissues which may see unexpectedly high effects due to end-of-range elevations of RBE, or as part of a more general tool for biological optimisation in proton therapy.

Caught in the Cross-Fire: Creditor Reaction to the Threat of Hedge Fund Activism

This paper examines how the threat of hedge fund activism (HFA) affects creditors. Within HFA rampant industries, firms with an ex ante high likelihood of being targeted experience significant increases in bond yield and default probability, and deteriorations in credit ratings. In loan initiations, threatened firms face larger spreads and a greater number of restrictive covenants. At the same time, these firms repurchase shares, decrease cash holdings and issue new debt – policy changes that tend to enhance share value but may jeopardize creditor interests. We find that the negative creditor effects are more pronounced in firms with greater improvement in equity performance and poor governance, and in years with more frequent interventions – in particular hostile interventions. Our paper brings additional insight into the role of HFA as an external governance mechanism.

Apparent age spreads in clusters and the role of stellar rotation

We use the Geneva Syclist isochrone models that include the effects of stellar rotation to investigate the role that rotation has on the resulting colour-magnitude diagram (CMD) of young and intermediate age clusters. We find that if a distribution of rotation velocities exists within the clusters, rotating stars will remain on the main sequence (MS) for longer, appearing to be younger than non-rotating stars within the same cluster. This results in an extended main sequence turn-off (eMSTO) that appears at young ages ($\sim30$~Myr) and lasts beyond 1~Gyr. If this eMSTO is interpreted as an age spread, the resulting age spread is proportional to the age of the cluster, i.e. young clusters ($<100$~Myr) appear to have small age spreads (10s of Myr) whereas older clusters ($\sim1$~Gyr) appear to have much larger spreads, up to a few hundred Myr. We compare the predicted spreads for a sample of rotation rates to observations of young and intermediate age clusters, and find a strong correlation between the measured 'age spread' and the age of the cluster, in good agreement with models of stellar rotation. This suggests that the 'age spreads' reported in the literature may simply be the result of a distribution of stellar rotation velocities within clusters.

Foreign Exchange Markets with Last Look

We examine the Foreign Exchange (FX) spot price spreads with and without Last Look on the transaction. We assume that brokers are risk-neutral and they quote spreads so that losses to latency arbitrageurs (LAs) are recovered from other traders in the FX market. These losses are reduced if the broker can reject, ex-post, loss-making trades by enforcing the Last Look option which is a feature of some trading venues in FX markets. For a given rejection threshold the risk-neutral broker quotes a spread to the market so that her expected profits are zero. When there is only one venue, we find that the Last Look option reduces quoted spreads. If there are two venues we show that the market reaches an equilibrium where traders have no incentive to migrate. The equilibrium can be reached with both venues coexisting, or with only one venue surviving. Moreover, when one venue enforces Last Look and the other one does not, counterintuitively, it may be the case that the Last Look venue quotes larger spreads.

Blended-Source Ocean-Bottom Seismic Acquisition

This article, written by JPT Technology Editor Chris Carpenter, contains highlights of paper OTC 25226, “Blended-Source Ocean-Bottom Seismic Acquisition,” by C.D.T. Walker, FairfieldNodal; D.J. Monk, Apache Corporation; and D.B. Hays, FairfieldNodal, prepared for the 2014 Offshore Technology Conference, Houston, 5–8 May. The paper has not been peer reviewed. The offshore application of blended, or simultaneous-source, seismic acquisition has been comparatively limited. For ocean-bottom seismic (OBS) applications, survey durations can be almost halved with a modest increase in costs by firing more than one source into the receiver spread simultaneously. In this paper, the authors describe the acquisition of what is believed to be the world’s largest ocean-bottom survey—more than 2200 km2—by use of two blended sources and a very large receiver spread. Introduction Blended, or simultaneous, sources have been introduced recently in land seismic operations, with dramatic improvements in both crew productivity and data quality. Their application offshore, however, has been relatively limited. For towed-streamer surveys, the firing of more than one source at a time increases the fold of coverage and hence data quality but does not reduce acquisition time; for OBS, however, the use of two or more blended sources can have a dramatic impact on survey duration and hence cost. The challenge has been how to ensure not only that data quality is not lost when multiple sources are fired at once but also that technical downtime of the equipment on the seafloor is minimized. Traditionally, the performance of OBS systems has been hampered by the inherent technical downtime experienced by all contractors operating ocean-bottom systems; the terminations, connectors, power distribution, and data-telemetry components within a traditional ocean-bottom- cable (OBC) system are inherently prone to failure because of the intrinsic nature of the cable-deployment-and- recovery cycle, during which the cables are stressed and destressed every time they are laid onto or recovered from the seabed. It is akin to recovering the full streamer spread at every line change for towed-streamer operations. The desire to improve operational performance was the driving force behind the development of autonomous nodal systems, and the extreme reliability of these systems has allowed ever larger seafloor spreads to be operated, with multiple benefits.

SU-E-J-208: Fast and Accurate Auto-Segmentation of Abdominal Organs at Risk for Online Adaptive Radiotherapy

Purpose:Various studies have demonstrated that online adaptive radiotherapy by real‐time re‐optimization of the treatment plan can improve organs‐at‐risk (OARs) sparing in the abdominal region. Its clinical implementation, however, requires fast and accurate auto‐segmentation of OARs in CT scans acquired just before each treatment fraction. Autosegmentation is particularly challenging in the abdominal region due to the frequently observed large deformations. We present a clinical validation of a new auto‐segmentation method that uses fully automated non‐rigid registration for propagating abdominal OAR contours from planning to daily treatment CT scans.Methods:OARs were manually contoured by an expert panel to obtain ground truth contours for repeat CT scans (3 per patient) of 10 patients. For the non‐rigid alignment, we used a new non‐rigid registration method that estimates the deformation field by optimizing local normalized correlation coefficient with smoothness regularization. This field was used to propagate planning contours to repeat CTs. To quantify the performance of the auto‐segmentation, we compared the propagated and ground truth contours using two widely used metrics‐ Dice coefficient (Dc) and Hausdorff distance (Hd). The proposed method was benchmarked against translation and rigid alignment based auto‐segmentation.Results:For all organs, the auto‐segmentation performed better than the baseline (translation) with an average processing time of 15 s per fraction CT. The overall improvements ranged from 2% (heart) to 32% (pancreas) in Dc, and 27% (heart) to 62% (spinal cord) in Hd. For liver, kidneys, gall bladder, stomach, spinal cord and heart, Dc above 0.85 was achieved. Duodenum and pancreas were the most challenging organs with both showing relatively larger spreads and medians of 0.79 and 2.1 mm for Dc and Hd, respectively.Conclusion:Based on the achieved accuracy and computational time we conclude that the investigated auto‐segmentation method overcomes an important hurdle to the clinical implementation of online adaptive radiotherapy.Partial funding for this work was provided by Accuray Incorporated as part of a research collaboration with Erasmus MC Cancer Institute.

An Ensemble Downscaling Prediction Experiment for Medium-Range Forecast of the Daily Mean Surface Temperature Distribution over Northeastern Japan during Summer

To assess medium-range forecasts of detailed spatial distributions of the daily mean temperature, an ensemble downscaling forecast experiment was conducted using the Japan Meteorological Agency (JMA) nonhydrostatic model (NHM) with horizontal resolutions of 25 km and 5 km. Special attention was paid to the anomalously cool summers over northeastern Japan caused by northeasterly winds called Yamase. The results are validated against the daily mean surface temperatures observed by the Automated Meteorological Data Acquisition System (AMeDAS) in the study area. Ensemble mean downscaling forecasts can successfully extract reliable signals with information about local circulations. The ensemble mean forecasts reduce the root mean square errors of the daily mean surface temperature by 15 % compared to single downscaling forecasts. The ensemble spreads also indicate the possibility of making probabilistic predictions that consider the effects of local circulations in addition to large-scale motions. The ensemble downscaling forecasts have 80 % larger spreads than the global forecasts with the JMA global spectral model at a resolution TL159L60 and approach the theoretical value. An empirical orthogonal function (EOF) analysis indicates that the predictability depends on the EOF modes. The predictable periods are 8 days for the homogeneous mode over northeastern Japan, 5 days for the Yamase mode (east-west mode), and 2 days for the north-south mode. The dynamical downscaling can properly predict the amplitudes of the EOF modes. In particular, the dynamical downscaling can predict 90 % of the Yamase mode, as compared to 20 % prediction of the global model for the same mode.

Bank Reputation in the Private Debt Market

We examine the impact of lead arrangers’ reputation on the design of loan contracts such as spread and fees charged. Controlling for the non-randomness of the lender-borrower match (self-selection bias), we find that the reputation of top tier arrangers leads to higher spreads, and that top tier arrangers retain larger fractions of their loans in their syndicates. These larger spreads are especially pronounced for borrowers without credit rating that have the most to gain from the certification assumed by virtue of a loan contract with a top tier arranger. This certification channel differs from the one found in public markets, where certification leads to a reduced spread offered to the best clients. These differences between public and private markets can be explained by differences in the way they operate and are structured. Interestingly, the effect is strongest for transactions done after the changes in the banking regulations (including the Riegle-Neal Interstate Banking and Branching Efficiency Act of 1994) that led to significant consolidations in the banking industry, including among the largest commercial banks.

Bank reputation in the private debt market

We examine the impact of lead arrangers' reputation on the design of loan contracts such as spread and fees charged. Controlling for the non-randomness of the lender–borrower match (self-selection bias), we find that the reputation of top tier arrangers leads to higher spreads, and that top tier arrangers retain larger fractions of their loans in their syndicates. These larger spreads are especially pronounced for borrowers without credit rating that have the most to gain from the certification assumed by virtue of a loan contract with a top tier arranger. This certification channel differs from the one found in public markets, where certification leads to a reduced spread offered to the best clients. These differences between public and private markets can be explained by differences in the way they operate and are structured. Interestingly, the effect is strongest for transactions done after the changes in the banking regulations (including the Riegle-Neal Interstate Banking and Branching Efficiency Act of 1994) that led to significant consolidations in the banking industry, including among the largest commercial banks.

Bank Reputation in the Private Debt Market

We examine the impact of lead arrangers' reputation on the design of loan contracts such as spread, fees and the inclusion of restrictive covenants. Controlling for the non-randomness of the lender-borrower match (self-selection bias), we find that the reputation of top tier arrangers leads to higher spreads, and that top tier arrangers retain larger fractions of their loans in their syndicates. These larger spreads are especially pronounced for borrowers without credit rating that have the most to gain from the certification assumed by virtue of a loan contract with a top tier arranger. Top tier arrangers are able to select the best deals and thereby sell larger portions of their loans to syndicate banks. This certification channel differs from the one found in public markets (Fang, 2005), where certification leads to a reduced spread offered to the best clients. In the private syndicated loan market, certification seems to be through the higher retention of loans by the lead arranger-however, only for borrowers without credit rating. We find no evidence of certification for rated borrowers. These differences between public and private markets can be explained by differences in the way they operate and are structured. Interestingly, the effect is strongest for transactions done after the changes in the banking regulations (including the Riegle-Neal Interstate Banking and Branching Efficiency Act of 1994) that led to significant consolidations in the banking industry, including among the largest commercial banks. Consistent with the overall results on spreads, top tier arrangers charge lower arranger fees only to borrowers with credit ratings that have little need for additional certification by lenders.

Weather and Time Series Determinants of Liquidity in a Limit Order Market

When liquidity is measured by the bid-ask spread or price impact, markets with more trading activity are typically more liquid than markets with less trading activity. But showing a causal connection from trading activity to spreads is difficult because these variables are endogenous. In the case of Finland's fully electronic limit order market, we use deseasonalized sunshine as an instrument for trading activity, and find that indeed higher trading activity causes lower spreads in the time series. We introduce another instrument for spreads and show that causality runs the other way as well: lower bid-ask spreads invite more trading activity. By using the lagged CBOE Volatility Index as an instrument, we also find that an exogenous increase in intra-day volatility causes larger spreads.

Measuring the impact of option market activity on the stock market: Bivariate point process models of stock and option transactions

I apply the bivariate Autoregressive Conditional Duration model of Engle and Lunde [2003. Trade and quotes: a bivariate point process. Journal of Financial Econometrics 1, 159–188] to stock and option market transactions. The first model uses option trades and stock trades. Shocks to option trade/option trade durations have a significant impact on option trade/stock trade durations. Higher implied volatility, larger stock and option market order imbalances, larger stock trades, larger spreads, smaller depths in the stock market and faster trading in the stock and option markets are all associated with faster trading in both markets. In the second model, option trade/option trade timing leads option trade/stock quote timing and several information-related stock and option market covariates impact the expected inter-market event durations.

Bank Reputation in the Private Debt Market

We examine the impact of lead arrangers’ reputation on the design of loan contracts such as spread and fees charged. Controlling for the non-randomness of the lender-borrower match (self-selection bias), we find that the reputation of top tier arrangers leads to higher spreads, and that top tier arrangers retain larger fractions of their loans in their syndicates. These larger spreads are especially pronounced for borrowers without credit rating that have the most to gain from the certification assumed by virtue of a loan contract with a top tier arranger. This certification channel differs from the one found in public markets, where certification leads to a reduced spread offered to the best clients. These differences between public and private markets can be explained by differences in the way they operate and are structured. Interestingly, the effect is strongest for transactions done after the changes in the banking regulations (including the Riegle-Neal Interstate Banking and Branching Efficiency Act of 1994) that led to significant consolidations in the banking industry, including among the largest commercial banks.

The Impact of Property Type Diversification on REIT Liquidity

Executive Summary. This paper examines the degree to which property type diversification affects the liquidity of the market for real estate investment trusts. The findings reveal that investments in financial assets are correlated with higher spreads, effective spreads, and trading volumes. The findings also reveal that underlying property types affect liquidity measures. Generally, more volatile underlying property types are reflected in larger spreads, effective spreads, and adverse selection measures. Diversification across either the mortgage equity or property type spectrum is accompanied by reduced liquidity, a result at odds with diversification studies that examine diversification across SIC codes. The evidence suggests that withinindustry diversification may denote the existence of hard-to-value managerial redeployment options, which are difficult to value and are penalized by the market in the form of reduced market liquidity.

Internal promotion competitions in firms

Using a sample of skilled workers from a cross section of establishments in four metropolitan areas of the United States, I present evidence suggesting that promotions are determined by relative worker performance. I then estimate a structural model of promotion tournaments (treating as endogenous promotions, worker performance, and the wage spread from promotion) that simultaneously accounts for worker and firm behavior and how the interaction of these behaviors gives rise to promotions. The results are consistent with the predictions of tournament theory that employers set wage spreads to induce optimal performance levels, and that workers are motivated by larger spreads.

The Effect of Sintering-Redispersion on the Selective Aromatic Yield on Supported Platinum Catalysts

The dispersion of supported platinum-containing catalysts was determined by the pulse chemisorption technique. Two catalyst loadings for the monometallic catalyst and a bimetallic catalyst were investigated: 0.3%Pt/Al 2 O 3 , 0.6%Pt/Al 2 O 3 and 0.3%Pt–0.3%Re/Al 2 O 3 . Results confirm the usually observed trend that dispersions after oxidation are higher than those after reduction. The redispersion profiles peaked at a sintering temperature of 550°C for all catalysts studied. However, the bimetallic catalyst was found to redisperse at all treatment temperatures while the monometallic catalysts sinter and redisperse at various treatment temperatures. The atomic migration model was proposed as a suitable model for the prediction of the particle size distribution (PSD) as it lends itself easily to the prediction of sintering and redispersion phenomena. The computer simulation for the catalyst resulted in the calculation of dispersion generated PSD, for the oxygen sintered catalyst and the reduced catalyst after sintering. The general PSD profiles for both sintering situations show the same pattern of shift to larger particle sizes after specific temperatures. At a temperature transition of 500–550°C, the PSD shifted to lower particle sizes for the 0.3%Pt/Al 2 O 3 and the 0.6%Pt/Al 2 O 3 catalysts. Above 550°C, the PSD shifted to higher particle sizes with larger spreads. On the bimetallic catalyst, the shift of the PSD to the left occurred at two temperature transitions: one at 500–550°C and the other at 750–800°C. The selective aromatic yield was studied on a catalyst sintered at various temperatures and reduced at 500°C. At 500°C, toluene was the sole product of the reforming reaction of n-heptane on 0.3 %Pt/ Al 2 O 3 catalyst; on the bimetallic catalyst surface, toluene as the sole product of reaction occurred a sintering temperature of 800°C. Although the PSD for the sintered PSD on 0.6%Pt/Al 2 O 3 catalyst was quite similar to that of the 0.3%Pt/Al 2 O 3 catalyst, no aromatization products were formed on this catalyst. Aromatization selectivity was attributed to three-atom ensembles of triangular symmetry of small Pt aggregates (Biloen et al ., 1980; Paal, 1980, 2003). If this reaction occurs, it can indicate the presence of facets with (111) symmetry produced during sintering and redispersion.

Strategic promotion tournaments and worker performance

In this analysis I study promotion schemes as human resource management strategies by which the firm can realize strategic goals by motivating workers to higher levels of effort and performance. Using information on promotions, wages, and performance for professional workers in a cross-section of establishments in four metropolitan areas of the United States, I investigate empirically the proposition that firms strategically organize promotion tournaments to motivate workers to higher levels of performance. I present evidence suggesting that relative performance of workers determines promotions, supporting the notion of internal promotion competitions in which internal hiring policies and fixed job slots combine to create competitions among workers of a given rank in a firm. I then estimate a structural model of promotion tournaments that simultaneously accounts for worker and firm behavior and how the interaction of these behaviors gives rise to promotions. The results are consistent with the prediction of tournament theory that workers are motivated by larger spreads. Copyright © 2006 John Wiley & Sons, Ltd.