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235 results on '"Alexeev V"'

1. Tweets versus broadsheets: Sentiment impact on stock markets around the world

Author

Gan, B, Alexeev, V, Yeung, D, Gan, B, Alexeev, V, and Yeung, D

Abstract

We contrast sentiment derived from social and news media to investigate its impact across 14 international markets. We find that heightened media sentiment during nontrading periods significantly affects the next day's opening returns even after accounting for the previous-day activity. Markedly, only the US market exhibits strong reactions to social media, whereas other markets are more responsive to the news. We find that most variability in overnight returns is explained by sentiment aggregated 3 h before markets open. Our findings suggest that the overnight sentiment does not simply subsume previous-day market activity but contains additional information that helps improve predictability in return forecasting models.

Published
2024

2. Nonstandard Errors

Author

MENKVELD, AJ, DREBER, A, HOLZMEISTER, F, HUBER, J, JOHANNESSON, M, KIRCHLER, M, NEUSÜß, S, RAZEN, M, WEITZEL, U, ABAD‐DÍAZ, D, ABUDY, M, MANO, N, MARCHAL, A, MARTINEAU, C, MAZZOLA, F, MELOSO, D, MI, MG, MIHET, R, MOHAN, V, MOINAS, S, ANGEL, JJ, GEMAYEL, R, MOORE, D, MU, L, MURAVYEV, D, MURPHY, D, NESZVEDA, G, NEUMEIER, C, NIELSSON, U, NIMALENDRAN, M, NOLTE, S, NORDEN, LL, GERRITSEN, D, AVETIKIAN, AT, O'NEILL, P, OBAID, K, ØDEGAARD, BA, ÖSTBERG, P, PAGNOTTA, E, PAINTER, M, PALAN, S, PALIT, IJ, PARK, A, GIL‐BAZO, J, PASCUAL, R, BACH, A, PASQUARIELLO, P, PASTOR, L, PATEL, V, PATTON, AJ, PEARSON, ND, PELIZZON, L, PELLI, M, PELSTER, M, GILDER, D, PÉRIGNON, C, PFIFFER, C, BAIDOO, E, PHILIP, R, PLÍHAL, T, PRAKASH, P, PRESS, O, PRODROMOU, T, PROKOPCZUK, M, PUTNINS, T, GLOSTEN, LR, QIAN, Y, RAIZADA, G, RAKOWSKI, D, BAKALLI, G, RANALDO, A, REGIS, L, REITZ, S, RENAULT, T, RENJIE, RW, RENO, R, GOMEZ, T, RIDDIOUGH, SJ, RINNE, K, RINTAMÄKI, P, RIORDAN, R, BAO, L, RITTMANNSBERGER, T, LONGARELA, IR, ROESCH, D, ROGNONE, L, ROSEMAN, B, GORBENKO, A, ROŞU, I, ROY, S, RUDOLF, N, RUSH, SR, RZAYEV, K, BARBON, A, RZEŹNIK, AA, SANFORD, A, SANKARAN, H, SARKAR, A, GRAMMIG, J, SARNO, L, SCAILLET, O, SCHARNOWSKI, S, SCHENK‐HOPPÉ, KR, SCHERTLER, A, SCHNEIDER, M, BASHCHENKO, O, SCHROEDER, F, SCHÜRHOFF, N, SCHUSTER, P, GRÉGOIRE, V, SCHWARZ, MA, SEASHOLES, MS, SEEGER, NJ, SHACHAR, O, SHKILKO, A, SHUI, J, SIKIC, M, BINDRA, PC, SIMION, G, SMALES, LA, GÜÇBILMEZ, U, SÖDERLIND, P, SOJLI, E, SOKOLOV, K, SÖNKSEN, J, SPOKEVICIUTE, L, STEFANOVA, D, SUBRAHMANYAM, MG, SZASZI, B, BJØNNES, GH, TALAVERA, O, ADRIAN, T, TANG, Y, TAYLOR, N, THAM, W, THEISSEN, E, THIMME, J, TONKS, I, TRAN, H, TRAPIN, L, TROLLE, AB, BLACK, JR, HAGSTRÖMER, B, VADUVA, MA, VALENTE, G, VAN NESS, RA, VASQUEZ, A, VEROUSIS, T, VERWIJMEREN, P, VILHELMSSON, A, VILKOV, G, VLADIMIROV, V, VOGEL, S, HAMBUCKERS, J, BLACK, BS, VOIGT, S, WAGNER, W, WALTHER, T, WEISS, P, VAN DER WEL, M, WERNER, IM, WESTERHOLM, PJ, WESTHEIDE, C, WIKA, HC, HAPNES, E, WIPPLINGER, E, BOGOEV, D, WOLF, M, WOLFF, CCP, WOLK, L, WONG, W, WRAMPELMEYER, J, WU, Z, XIA, S, XIU, D, HARRIS, JH, XU, K, XU, C, CORREA, SB, YADAV, PK, YAGÜE, J, YAN, C, YANG, A, YOO, W, YU, W, YU, Y, HARRIS, L, YU, S, YUESHEN, BZ, YUFEROVA, D, BONDARENKO, O, ZAMOJSKI, M, ZAREEI, A, ZEISBERGER, SM, ZHANG, L, ZHANG, SS, ZHANG, X, HARTMANN, S, ZHAO, L, ZHONG, Z, ZHOU, ZI, ZHOU, C, BOS, CS, ZHU, XS, ZOICAN, M, ZWINKELS, R, BOSCH‐ROSA, C, BOURI, E, HASSE, J, BROWNLEES, C, CALAMIA, A, CAO, VN, CAPELLE‐BLANCARD, G, ROMERO, LMC, CAPORIN, M, CARRION, A, CASKURLU, T, CHAKRABARTY, B, CHEN, J, HAUTSCH, N, CHERNOV, M, CHEUNG, W, CHINCARINI, LB, CHORDIA, T, CHOW, S, CLAPHAM, B, COLLIARD, J, COMERTON‐FORDE, C, CURRAN, E, DAO, T, HE, X, DARE, W, DAVIES, RJ, DE BLASIS, R, DE NARD, GF, DECLERCK, F, DEEV, O, DEGRYSE, H, DEKU, SY, DESAGRE, C, VAN DIJK, MA, HEATH, D, DIM, C, DIMPFL, T, DONG, YJ, DRUMMOND, PA, DUDDA, T, DUEVSKI, T, DUMITRESCU, A, DYAKOV, T, DYHRBERG, AH, DZIELIŃSKI, M, AIT‐SAHALIA, Y, EKSI, A, KALAK, IE, ELLEN, ST, EUGSTER, N, EVANS, MDD, FARRELL, M, FELEZ‐VINAS, E, FERRARA, G, FERROUHI, EM, FLORI, A, HEDIGER, S, FLUHARTY‐JAIDEE, JT, FOLEY, SDV, FONG, KYL, FOUCAULT, T, FRANUS, T, FRANZONI, F, FRIJNS, B, FRÖMMEL, M, FU, SM, FÜLLBRUNN, SC, HENDERSHOTT, T, GAN, B, GAO, G, GEHRIG, TP, HIBBERT, AM, HJALMARSSON, E, HOELSCHER, SA, HOFFMANN, P, HOLDEN, CW, HORENSTEIN, AR, HUANG, W, HUANG, D, AKMANSOY, O, HURLIN, C, ILCZUK, K, IVASHCHENKO, A, IYER, SR, JAHANSHAHLOO, H, JALKH, N, JONES, CM, JURKATIS, S, JYLHÄ, P, KAECK, AT, ALCOCK, JT, KAISER, G, KARAM, A, KARMAZIENE, E, KASSNER, B, KAUSTIA, M, KAZAK, E, KEARNEY, F, VAN KERVEL, V, KHAN, SA, KHOMYN, MK, ALEXEEV, V, KLEIN, T, KLEIN, O, KLOS, A, KOETTER, M, KOLOKOLOV, A, KORAJCZYK, RA, KOZHAN, R, KRAHNEN, JP, KUHLE, P, KWAN, A, ALOOSH, A, LAJAUNIE, Q, LAM, FYEC, LAMBERT, M, LANGLOIS, H, LAUSEN, J, LAUTER, T, LEIPPOLD, M, LEVIN, V, LI, Y, LI, H, AMATO, L, LIEW, CY, LINDNER, T, LINTON, O, LIU, J, LIU, A, LLORENTE, G, LOF, M, LOHR, A, LONGSTAFF, F, LOPEZ‐LIRA, A, AMAYA, D, MANKAD, S, MENKVELD, AJ, DREBER, A, HOLZMEISTER, F, HUBER, J, JOHANNESSON, M, KIRCHLER, M, NEUSÜß, S, RAZEN, M, WEITZEL, U, ABAD‐DÍAZ, D, ABUDY, M, MANO, N, MARCHAL, A, MARTINEAU, C, MAZZOLA, F, MELOSO, D, MI, MG, MIHET, R, MOHAN, V, MOINAS, S, ANGEL, JJ, GEMAYEL, R, MOORE, D, MU, L, MURAVYEV, D, MURPHY, D, NESZVEDA, G, NEUMEIER, C, NIELSSON, U, NIMALENDRAN, M, NOLTE, S, NORDEN, LL, GERRITSEN, D, AVETIKIAN, AT, O'NEILL, P, OBAID, K, ØDEGAARD, BA, ÖSTBERG, P, PAGNOTTA, E, PAINTER, M, PALAN, S, PALIT, IJ, PARK, A, GIL‐BAZO, J, PASCUAL, R, BACH, A, PASQUARIELLO, P, PASTOR, L, PATEL, V, PATTON, AJ, PEARSON, ND, PELIZZON, L, PELLI, M, PELSTER, M, GILDER, D, PÉRIGNON, C, PFIFFER, C, BAIDOO, E, PHILIP, R, PLÍHAL, T, PRAKASH, P, PRESS, O, PRODROMOU, T, PROKOPCZUK, M, PUTNINS, T, GLOSTEN, LR, QIAN, Y, RAIZADA, G, RAKOWSKI, D, BAKALLI, G, RANALDO, A, REGIS, L, REITZ, S, RENAULT, T, RENJIE, RW, RENO, R, GOMEZ, T, RIDDIOUGH, SJ, RINNE, K, RINTAMÄKI, P, RIORDAN, R, BAO, L, RITTMANNSBERGER, T, LONGARELA, IR, ROESCH, D, ROGNONE, L, ROSEMAN, B, GORBENKO, A, ROŞU, I, ROY, S, RUDOLF, N, RUSH, SR, RZAYEV, K, BARBON, A, RZEŹNIK, AA, SANFORD, A, SANKARAN, H, SARKAR, A, GRAMMIG, J, SARNO, L, SCAILLET, O, SCHARNOWSKI, S, SCHENK‐HOPPÉ, KR, SCHERTLER, A, SCHNEIDER, M, BASHCHENKO, O, SCHROEDER, F, SCHÜRHOFF, N, SCHUSTER, P, GRÉGOIRE, V, SCHWARZ, MA, SEASHOLES, MS, SEEGER, NJ, SHACHAR, O, SHKILKO, A, SHUI, J, SIKIC, M, BINDRA, PC, SIMION, G, SMALES, LA, GÜÇBILMEZ, U, SÖDERLIND, P, SOJLI, E, SOKOLOV, K, SÖNKSEN, J, SPOKEVICIUTE, L, STEFANOVA, D, SUBRAHMANYAM, MG, SZASZI, B, BJØNNES, GH, TALAVERA, O, ADRIAN, T, TANG, Y, TAYLOR, N, THAM, W, THEISSEN, E, THIMME, J, TONKS, I, TRAN, H, TRAPIN, L, TROLLE, AB, BLACK, JR, HAGSTRÖMER, B, VADUVA, MA, VALENTE, G, VAN NESS, RA, VASQUEZ, A, VEROUSIS, T, VERWIJMEREN, P, VILHELMSSON, A, VILKOV, G, VLADIMIROV, V, VOGEL, S, HAMBUCKERS, J, BLACK, BS, VOIGT, S, WAGNER, W, WALTHER, T, WEISS, P, VAN DER WEL, M, WERNER, IM, WESTERHOLM, PJ, WESTHEIDE, C, WIKA, HC, HAPNES, E, WIPPLINGER, E, BOGOEV, D, WOLF, M, WOLFF, CCP, WOLK, L, WONG, W, WRAMPELMEYER, J, WU, Z, XIA, S, XIU, D, HARRIS, JH, XU, K, XU, C, CORREA, SB, YADAV, PK, YAGÜE, J, YAN, C, YANG, A, YOO, W, YU, W, YU, Y, HARRIS, L, YU, S, YUESHEN, BZ, YUFEROVA, D, BONDARENKO, O, ZAMOJSKI, M, ZAREEI, A, ZEISBERGER, SM, ZHANG, L, ZHANG, SS, ZHANG, X, HARTMANN, S, ZHAO, L, ZHONG, Z, ZHOU, ZI, ZHOU, C, BOS, CS, ZHU, XS, ZOICAN, M, ZWINKELS, R, BOSCH‐ROSA, C, BOURI, E, HASSE, J, BROWNLEES, C, CALAMIA, A, CAO, VN, CAPELLE‐BLANCARD, G, ROMERO, LMC, CAPORIN, M, CARRION, A, CASKURLU, T, CHAKRABARTY, B, CHEN, J, HAUTSCH, N, CHERNOV, M, CHEUNG, W, CHINCARINI, LB, CHORDIA, T, CHOW, S, CLAPHAM, B, COLLIARD, J, COMERTON‐FORDE, C, CURRAN, E, DAO, T, HE, X, DARE, W, DAVIES, RJ, DE BLASIS, R, DE NARD, GF, DECLERCK, F, DEEV, O, DEGRYSE, H, DEKU, SY, DESAGRE, C, VAN DIJK, MA, HEATH, D, DIM, C, DIMPFL, T, DONG, YJ, DRUMMOND, PA, DUDDA, T, DUEVSKI, T, DUMITRESCU, A, DYAKOV, T, DYHRBERG, AH, DZIELIŃSKI, M, AIT‐SAHALIA, Y, EKSI, A, KALAK, IE, ELLEN, ST, EUGSTER, N, EVANS, MDD, FARRELL, M, FELEZ‐VINAS, E, FERRARA, G, FERROUHI, EM, FLORI, A, HEDIGER, S, FLUHARTY‐JAIDEE, JT, FOLEY, SDV, FONG, KYL, FOUCAULT, T, FRANUS, T, FRANZONI, F, FRIJNS, B, FRÖMMEL, M, FU, SM, FÜLLBRUNN, SC, HENDERSHOTT, T, GAN, B, GAO, G, GEHRIG, TP, HIBBERT, AM, HJALMARSSON, E, HOELSCHER, SA, HOFFMANN, P, HOLDEN, CW, HORENSTEIN, AR, HUANG, W, HUANG, D, AKMANSOY, O, HURLIN, C, ILCZUK, K, IVASHCHENKO, A, IYER, SR, JAHANSHAHLOO, H, JALKH, N, JONES, CM, JURKATIS, S, JYLHÄ, P, KAECK, AT, ALCOCK, JT, KAISER, G, KARAM, A, KARMAZIENE, E, KASSNER, B, KAUSTIA, M, KAZAK, E, KEARNEY, F, VAN KERVEL, V, KHAN, SA, KHOMYN, MK, ALEXEEV, V, KLEIN, T, KLEIN, O, KLOS, A, KOETTER, M, KOLOKOLOV, A, KORAJCZYK, RA, KOZHAN, R, KRAHNEN, JP, KUHLE, P, KWAN, A, ALOOSH, A, LAJAUNIE, Q, LAM, FYEC, LAMBERT, M, LANGLOIS, H, LAUSEN, J, LAUTER, T, LEIPPOLD, M, LEVIN, V, LI, Y, LI, H, AMATO, L, LIEW, CY, LINDNER, T, LINTON, O, LIU, J, LIU, A, LLORENTE, G, LOF, M, LOHR, A, LONGSTAFF, F, LOPEZ‐LIRA, A, AMAYA, D, and MANKAD, S

Abstract

ABSTRACTIn statistics, samples are drawn from a population in a data‐generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence‐generating process (EGP). We claim that EGP variation across researchers adds uncertainty—nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for more reproducible or higher rated research. Adding peer‐review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants.

Published
2024

3. Non-Standard Errors

Author

Menkveld, AJ, Dreber, A, Holzmeister, F, Huber, J, Johanneson, M, Kirchler, M, Razen, M, Weitzel, U, Abad, D, Abudy, MM, Adrian, T, Gregoire, V, Hagströmer, B, Hambuckers, J, Hapnes, E, Harris, JH, Harris, L, Hartmann, S, Hasse, J-B, Hautsch, N, He, X-ZT, Ait-Sahalia, Y, Heath, D, Hediger, S, Hendershott, TJ, Hibbert, AM, Hjalmarsson, E, Hoelscher, S, Hoffmann, P, Holden, CW, Horenstein, AR, Huang, W, Akmansoy, O, Huang, D, Hurlin, C, Ivashchenko, A, Iyer, SR, Jahanshahloo, H, Jalkh, N, Jones, CM, Jurkatis, S, Jylha, P, Kaeck, A, Alcock, J, Kaiser, G, Karam, A, Karmaziene, E, Kassner, B, Kaustia, M, Kazak, E, Kearney, F, van Kervel, V, Khan, S, Khomyn, M, Alexeev, V, Klein, T, Klein, O, Klos, A, Koetter, M, Krahnen, JP, Kolokolov, A, Korajczyk, RA, Kozhan, R, Kwan, A, Lajaunie, Q, Aloosh, A, Lam, FYEC, Lambert, M, Langlois, H, Lausen, J, Lauter, T, Leippold, M, Levin, V, Li, Y, Li, MH, Liew, CY, Amato, L, Lindner, T, Linton, OB, Liu, J, Liu, A, Llorente-Alvarez, J-G, Lof, M, Lohr, A, Longstaff, FA, Lopez-Lira, A, Mankad, S, Amaya, D, Mano, N, Marchal, A, Martineau, C, Mazzola, F, Meloso, DC, Mihet, R, Mohan, V, Moinas, S, Moore, D, Mu, L, Angel, JJ, Muravyev, D, Murphy, D, Neszveda, G, Neumeier, C, Nielsson, U, Nimalendran, M, Nolte, S, Nordén, LL, O'Neill, P, Obaid, K, Bach, A, Ødegaard, BA, Östberg, P, Painter, M, Palan, S, Palit, I, Park, A, Pascual Gascó, R, Pasquariello, P, Pastor, L, Patel, V, Baidoo, E, Patton, AJ, Pearson, ND, Pelizzon, L, Pelster, M, Pérignon, C, Pfiffer, C, Philip, R, Plíhal, T, Prakash, P, Press, O-A, Bakalli, G, Prodromou, T, Putnins, TJ, Raizada, G, Rakowski, DA, Ranaldo, A, Regis, L, Reitz, S, Renault, T, Wang, R, Renò, R, Barbon, A, Riddiough, S, Rinne, K, Rintamäki, P, Riordan, R, RITTMANNSBERGER, T, Rodríguez Longarela, I, Rösch, D, Rognone, L, Roseman, B, Rosu, I, Bashchenko, O, Roy, S, Rudolf, N, Rush, S, Rzayev, K, Rzeźnik, A, Sanford, A, Sankaran, H, Sarkar, A, Sarno, L, Scaillet, O, Bindra, PC, Scharnowski, S, Schenk-Hoppé, KR, Schertler, A, Schneider, M, Schroeder, F, Schürhoff, N, Schuster, P, Schwarz, MA, Seasholes, MS, Seeger, N, Bjonnes, GH, Shachar, O, Shkilko, A, Shui, J, Sikic, M, Simion, G, Smales, LA, Söderlind, P, Sojli, E, Sokolov, K, Spokeviciute, L, Black, JR, Stefanova, D, Subrahmanyam, MG, Neusüss, S, Szaszi, B, Talavera, O, Tang, Y, Taylor, N, Tham, WW, Theissen, E, Thimme, J, Black, BS, Tonks, I, Tran, H, Trapin, L, Trolle, AB, Vaduva, M, Valente, G, Van Ness, RA, Vasquez, A, Verousis, T, Verwijmeren, P, Bohorquez, S, Vilhelmsson, A, Vilkov, G, Vladimirov, V, Vogel, S, Voigt, S, Wagner, W, Walther, T, Weiss, P, van der Wel, M, Werner, IM, Bondarenko, O, Westerholm, PJ, Westheide, C, Wipplinger, E, Wolf, M, Wolff, CCP, Wolk, L, Wong, WK, Wrampelmeyer, J, Wu, Z-X, Xia, S, Bos, CS, Xiu, D, Xu, K, Xu, C, Yadav, PK, Yagüe, J, Yan, C, Yang, A, Yoo, W, Yu, W, Yu, S, Bosch-Rosa, C, Yueshen, BZ, Yuferova, D, Zamojski, M, Zareei, A, Zeisberger, S, Zhang, S, Zhang, X, Zhong, Z, Zhou, ZI, Zhou, C, Bouri, E, Zhu, X, Zoican, M, Zwinkels, RCJ, Chen, J, Duevski, T, Gao, G, Gemayel, R, Gilder, D, Kuhle, P, Pagnotta, E, Brownlees, CT, Pelli, M, Sönksen, J, Zhang, L, Ilczuk, K, Bogoev, D, Qian, Y, Wika, HC, Yu, Y, Zhao, L, Mi, M, Calamia, A, Bao, L, Cao, VN, Capelle-Blancard, G, Capera, L, Caporin, M, Carrion, A, Caskurlu, T, Chakrabarty, B, Chernov, M, Cheung, WMY, Chincarini, LB, Chordia, T, Chow, SC, Clapham, B, Colliard, J-E, Comerton-Forde, C, Curran, E, Dao, T, Dare, W, Davies, RJ, De Blasis, R, De Nard, G, Declerck, F, Deev, O, Degryse, H, Deku, S, Desagre, C, Van Dijk, MA, Dim, C, Dimpfl, T, Dong, YJ, Drummond, P, Dudda, T, Dumitrescu, A, Dyakov, T, Dyhrberg, AH, Dzieliński, M, Eksi, A, El Kalak, I, ter Ellen, S, Eugster, N, Evans, MDD, Farrell, M, Félez-Viñas, E, Ferrara, G, FERROUHI, EM, Flori, A, Fluharty-Jaidee, J, Foley, S, Fong, KYL, Foucault, T, Franus, T, Franzoni, FA, Frijns, B, Frömmel, M, Fu, S, Füllbrunn, S, Gan, B, Gehrig, T, Gerritsen, D, Gil-Bazo, J, Glosten, LR, Gomez, T, Gorbenko, A, Güçbilmez, U, Grammig, J, Menkveld, AJ, Dreber, A, Holzmeister, F, Huber, J, Johanneson, M, Kirchler, M, Razen, M, Weitzel, U, Abad, D, Abudy, MM, Adrian, T, Gregoire, V, Hagströmer, B, Hambuckers, J, Hapnes, E, Harris, JH, Harris, L, Hartmann, S, Hasse, J-B, Hautsch, N, He, X-ZT, Ait-Sahalia, Y, Heath, D, Hediger, S, Hendershott, TJ, Hibbert, AM, Hjalmarsson, E, Hoelscher, S, Hoffmann, P, Holden, CW, Horenstein, AR, Huang, W, Akmansoy, O, Huang, D, Hurlin, C, Ivashchenko, A, Iyer, SR, Jahanshahloo, H, Jalkh, N, Jones, CM, Jurkatis, S, Jylha, P, Kaeck, A, Alcock, J, Kaiser, G, Karam, A, Karmaziene, E, Kassner, B, Kaustia, M, Kazak, E, Kearney, F, van Kervel, V, Khan, S, Khomyn, M, Alexeev, V, Klein, T, Klein, O, Klos, A, Koetter, M, Krahnen, JP, Kolokolov, A, Korajczyk, RA, Kozhan, R, Kwan, A, Lajaunie, Q, Aloosh, A, Lam, FYEC, Lambert, M, Langlois, H, Lausen, J, Lauter, T, Leippold, M, Levin, V, Li, Y, Li, MH, Liew, CY, Amato, L, Lindner, T, Linton, OB, Liu, J, Liu, A, Llorente-Alvarez, J-G, Lof, M, Lohr, A, Longstaff, FA, Lopez-Lira, A, Mankad, S, Amaya, D, Mano, N, Marchal, A, Martineau, C, Mazzola, F, Meloso, DC, Mihet, R, Mohan, V, Moinas, S, Moore, D, Mu, L, Angel, JJ, Muravyev, D, Murphy, D, Neszveda, G, Neumeier, C, Nielsson, U, Nimalendran, M, Nolte, S, Nordén, LL, O'Neill, P, Obaid, K, Bach, A, Ødegaard, BA, Östberg, P, Painter, M, Palan, S, Palit, I, Park, A, Pascual Gascó, R, Pasquariello, P, Pastor, L, Patel, V, Baidoo, E, Patton, AJ, Pearson, ND, Pelizzon, L, Pelster, M, Pérignon, C, Pfiffer, C, Philip, R, Plíhal, T, Prakash, P, Press, O-A, Bakalli, G, Prodromou, T, Putnins, TJ, Raizada, G, Rakowski, DA, Ranaldo, A, Regis, L, Reitz, S, Renault, T, Wang, R, Renò, R, Barbon, A, Riddiough, S, Rinne, K, Rintamäki, P, Riordan, R, RITTMANNSBERGER, T, Rodríguez Longarela, I, Rösch, D, Rognone, L, Roseman, B, Rosu, I, Bashchenko, O, Roy, S, Rudolf, N, Rush, S, Rzayev, K, Rzeźnik, A, Sanford, A, Sankaran, H, Sarkar, A, Sarno, L, Scaillet, O, Bindra, PC, Scharnowski, S, Schenk-Hoppé, KR, Schertler, A, Schneider, M, Schroeder, F, Schürhoff, N, Schuster, P, Schwarz, MA, Seasholes, MS, Seeger, N, Bjonnes, GH, Shachar, O, Shkilko, A, Shui, J, Sikic, M, Simion, G, Smales, LA, Söderlind, P, Sojli, E, Sokolov, K, Spokeviciute, L, Black, JR, Stefanova, D, Subrahmanyam, MG, Neusüss, S, Szaszi, B, Talavera, O, Tang, Y, Taylor, N, Tham, WW, Theissen, E, Thimme, J, Black, BS, Tonks, I, Tran, H, Trapin, L, Trolle, AB, Vaduva, M, Valente, G, Van Ness, RA, Vasquez, A, Verousis, T, Verwijmeren, P, Bohorquez, S, Vilhelmsson, A, Vilkov, G, Vladimirov, V, Vogel, S, Voigt, S, Wagner, W, Walther, T, Weiss, P, van der Wel, M, Werner, IM, Bondarenko, O, Westerholm, PJ, Westheide, C, Wipplinger, E, Wolf, M, Wolff, CCP, Wolk, L, Wong, WK, Wrampelmeyer, J, Wu, Z-X, Xia, S, Bos, CS, Xiu, D, Xu, K, Xu, C, Yadav, PK, Yagüe, J, Yan, C, Yang, A, Yoo, W, Yu, W, Yu, S, Bosch-Rosa, C, Yueshen, BZ, Yuferova, D, Zamojski, M, Zareei, A, Zeisberger, S, Zhang, S, Zhang, X, Zhong, Z, Zhou, ZI, Zhou, C, Bouri, E, Zhu, X, Zoican, M, Zwinkels, RCJ, Chen, J, Duevski, T, Gao, G, Gemayel, R, Gilder, D, Kuhle, P, Pagnotta, E, Brownlees, CT, Pelli, M, Sönksen, J, Zhang, L, Ilczuk, K, Bogoev, D, Qian, Y, Wika, HC, Yu, Y, Zhao, L, Mi, M, Calamia, A, Bao, L, Cao, VN, Capelle-Blancard, G, Capera, L, Caporin, M, Carrion, A, Caskurlu, T, Chakrabarty, B, Chernov, M, Cheung, WMY, Chincarini, LB, Chordia, T, Chow, SC, Clapham, B, Colliard, J-E, Comerton-Forde, C, Curran, E, Dao, T, Dare, W, Davies, RJ, De Blasis, R, De Nard, G, Declerck, F, Deev, O, Degryse, H, Deku, S, Desagre, C, Van Dijk, MA, Dim, C, Dimpfl, T, Dong, YJ, Drummond, P, Dudda, T, Dumitrescu, A, Dyakov, T, Dyhrberg, AH, Dzieliński, M, Eksi, A, El Kalak, I, ter Ellen, S, Eugster, N, Evans, MDD, Farrell, M, Félez-Viñas, E, Ferrara, G, FERROUHI, EM, Flori, A, Fluharty-Jaidee, J, Foley, S, Fong, KYL, Foucault, T, Franus, T, Franzoni, FA, Frijns, B, Frömmel, M, Fu, S, Füllbrunn, S, Gan, B, Gehrig, T, Gerritsen, D, Gil-Bazo, J, Glosten, LR, Gomez, T, Gorbenko, A, Güçbilmez, U, and Grammig, J

Published
2024

5. Measurement of the pi^+ meson polarizabilities via the gamma p->gamma pi^+ n reaction

Author

Ahrens, J., Alexeev, V. M., Annand, J. R. M., Arends, H. J., Beck, R., Caselotti, G., Cherepnya, S. N., Drechsel, D., Fil'kov, L. V., F"ohl, K., Giller, I., Grabmayr, P., Hehl, T., Hornidge, D., Kashevarov, V. L., Kotulla, M., Krambrich, D., Krusche, B., Lang, M., McGeorge, J. C., MacGregor, I. J. D., Metag, V., Moinester, M., Novotny, R., Pfeiffer, M., Rost, M., Schadmand, S., Scherer, S., Thomas, A., Unkmeir, C., and Walcher, Th.

Subjects
Nuclear Experiment, High Energy Physics - Experiment, High Energy Physics - Phenomenology, Nuclear Theory
Abstract

An experiment on the radiative pi^+ meson photoproduction from the proton (gamma p->gamma pi^+ n) was carried out at the Mainz Microtron MAMI in the kinematic region 537 MeV

Published
2004
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6. Latest Results from the Heidelberg-Moscow Double Beta Decay Experiment

Author

Klapdor-Kleingrothaus, H. V., Dietz, A., Baudis, L., Heusser, G., Krivosheina, I. V., Kolb, S., Majorovits, B., Paes, H., Strecker, H., Alexeev, V., Balysh, A., Bakalyarov, A., Belyaev, S. T., Lebedev, V. I., and Zhukov, S.

Subjects
High Energy Physics - Phenomenology
Abstract

New results for the double beta decay of 76Ge are presented. They are extracted from Data obtained with the HEIDELBERG-MOSCOW, which operates five enriched 76Ge detectors in an extreme low-level environment in the GRAN SASSO. The two neutrino accompanied double beta decay is evaluated for the first time for all five detectors with a statistical significance of 47.7 kg y resulting in a half life of (T_(1/2))^(2nu) = [1.55 +- 0.01 (stat) (+0.19) (-0.15) (syst)] x 10^(21) years. The lower limit on the half-life of the 0nu beta-beta decay obtained with pulse shape analysis is (T_(1/2))^(0_nu) > 1.9 x 10^(25) [3.1 x 10^(25)] years with 90% C.L. (68% C.L.) (with 35.5 kg y). This results in an upper limit of the effective Majorana neutrino mass of 0.35 eV (0.27 eV). No evidence for a Majoron emitting decay mode or for the neutrinoless mode is observed., Comment: 14 pages, revtex, 6 figures, Talk was presented at third International Conference ' Dark Matter in Astro and Particle Physics' - DARK2000, to be publ. in Proc. of DARK2000, Springer (2000). Please look into our HEIDELBERG Non-Accelerator Particle Physics group home page: http://www.mpi-hd.mpg.de/non_acc/

Published
2001
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7. Degenerations of Prym varieties

Author

Alexeev, V., Birkenhake, Ch., and Hulek, K.

Subjects
Mathematics - Algebraic Geometry, 14K10, 14D06
Abstract

Let $(C,\iota)$ be a stable curve with an involution. Following a classical construction one can define its Prym variety $P$, which in this case turns out to be a semiabelian group variety and usually not complete. In this paper we study the question whether there are ``good'' compactifications of $P$ in analogy to compactified Jacobians. The answer to this question depends on whether we consider degenerations of principally polarized Prym varieties or degenerations with the induced (non-principal) polarization. We describe degeneration data of such degenerations. The main application of our theory lies in the case of degenerations of principally polarized Prym varieties where we ask whether such a degeneration depends on a given one-parameter family containing $(C,\iota)$ or not. This allows us to determine the indeterminacy locus of the Prym map., Comment: Final version, to appear in Crelle Journal. 51 pages, 15 *.eps pictures

Published
2001

8. Experiments on the generation of long wavelength edge radiation along directions nearly coincident with the axis of a straight section of the 'Pakhra' synchrotron

Author

Alexeev, V. I. and Bessonov, E. G.

Subjects
Physics - Classical Physics
Abstract

Generation of long wavelength edge radiation along directions nearly coincident with the axes of straight sections of storage rings and synchrotrons is discussed. The removal of destructive interference from the superimposed edge radiation patterns of a straight section on the synchrotron "Pakhra" has been observed experimentally., Comment: 8 pages, LaTeX, Presented to Proc. IV Int. Symp. Radiation from Relativistic Electrons in periodic Structures, (RREPS'99) September 13-16, 1999, Lake Baikal, Russia (Proc. will be published in Nucl. Instr. Meth.). Figures were replaced

Published
2000
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9. Limits on the Majorana neutrino mass in the 0.1 eV range

Author

Baudis, L., Dietz, A., Heusser, G., Klapdor-Kleingrothaus, H. V., Krivosheina, I. V., Kolb, St., Majorovits, B., Melnikov, V. F., Paes, H., Schwamm, F., Strecker, H., Alexeev, V., Balysh, A., Bakalyarov, A., Belyaev, S. T., Lebedev, V. I., and Zhukov, S.

Subjects
High Energy Physics - Experiment
Abstract

The Heidelberg-Moscow experiment gives the most stringent limit on the Majorana neutrino mass. After 24 kg yr of data with pulse shape measurements, we set a lower limit on the half-life of the neutrinoless double beta decay in 76Ge of T_1/2 > 5.7 * 10^{25} yr at 90% C.L., thus excluding an effective Majorana neutrino mass greater than 0.2 eV. This allows to set strong constraints on degenerate neutrino mass models., Comment: 6 pages (latex) including 3 postscript figures and 2 tables

Published
1999
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11. New limits on dark--matter WIMPs from the Heidelberg--Moscow experiment

Author

Baudis, L., Hellmig, J., Heusser, G., Klapdor--Kleingrothaus, H. V., Kolb, S., Majorovits, B., Päs, H., Ramachers, Y., Strecker, H., Alexeev, V., Bakalyarov, A., Balysh, A., Belyaev, S. T., Lebedev, V. I., and Zhukov, S.

Subjects
High Energy Physics - Experiment
Abstract

New results after 0.69 kg yr of measurement with an enriched 76Ge detector of the Heidelberg--Moscow experiment with an active mass of 2.758 kg are presented. An energy threshold of 9 keV and a background level of 0.042 counts/(kg d keV) in the energy region between 15 keV and 40 keV was reached.The derived limits on the WIMP--nucleon cross section are the most stringent limits on spin--independent interactions obtained to date by using essentially raw data without background subtraction., Comment: 8 pages (latex) including 5 postscript figures and 2 tables. To appear in Phys. Rev. D, 15. December 1998

Published
1998
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12. Non-Standard Errors

Author

Menkveld, A.J., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Razen, M., Weitzel, G.U., Abad, D., Abudy, M., Adrian, T., Ait-Sahalia, Y., Akmansoy, O., Alcock, J., Alexeev, V., Aloosh, A., Amato, L., Amaya, D., Angel, J., Bach, A., Baidoo, E., Bakalli, G., Barbon, A., Bashchenko, O., Bindra, P.C., Bjonnes, G.H., Black, J., Black, B.S., Bohorquez, S., Bondarenko, O., Bos, C.S., Bosch-Rosa, C., Bouri, E., Brownlees, C.T., Calamia, A., Cao, V.N., Capelle-Blancard, G., Capera, L., Caporin, M., Carrion, A., Caskurlu, T., Chakrabarty, B., Chernov, M., Cheung, W.M., Chincarini, L.B., Chordia, T., Chow, S.C., Clapham, B., Colliard, J.-E., Comerton-Forde, C., Curran, E., Dao, T., Dare, W., Davies, R.J., Blasis, R. De, Nard, G. De, DeClerck, F., Deev, O., Degryse, H., Deku, S., Desagre, C., Dijk, M.A van, Dim, C., Dimpfl, T., Dong, Y., Drummond, P., Dudda, T., Dumitrescu, A., Dyakov, T., Dyhrberg, A.H., Dzieliński, M., Eksi, A., Kalak, I. El, Ellen, S. ter, Eugster, N., Evans, M.D.D., Farrell, M., Félez-Viñas, E., Ferrara, G., Ferrouhi, E.M., Flori, A., Fluharty-Jaidee, J., Foley, S., Fong, K.Y.L., Foucault, T., Franus, T., Franzoni, F.A., Frijns, B., Frömmel, M., Fu, S., Füllbrunn, S.C., Gan, B., Gehrig, T., Gerritsen, D., Gil-Bazo, J., Glosten, L.R., Gomez, T., Gorbenko, A., Güçbilmez, U., Grammig, J., Gregoire, V., Hagströmer, B., Hambuckers, J., Hapnes, E., Harris, J.H., Harris, L., Hartmann, S., Hasse, J.-B., Hautsch, N., He, X., Heath, D., Hediger, S., Hendershott, T., Hibbert, A.M., Hjalmarsson, E., Hoelscher, S.A., Hoffmann, P., Holden, C.W., Horenstein, A.R., Huang, W., Huang, D., Hurlin, C., Ivashchenko, A., Iyer, S.R., Jahanshahloo, H., Jalkh, N., Jones, C.M., Jurkatis, S., Jylha, P., Kaeck, A., Kaiser, G., Karam, A., Karmaziene, E., Kassner, B., Kaustia, M., Kazak, E., Kearney, F., Kervel, V. van, Khan, S., Khomyn, M., Klein, T., Klein, O., Klos, A., Koetter, M., Krahnen, J.P., Kolokolov, A., Korajczyk, R.A., Kozhan, R., Kwan, A., Lajaunie, Q., Lam, F.E.C., Lambert, M., Langlois, H., Lausen, J., Lauter, T., Leippold, M., Levin, V., Li, Y., Li, H., Liew, C.Y., Lindner, T., Linton, O.B., Liu, J., Liu, A., Llorente, G., Lof, M., Lohr, A., Longstaff, F.A., Lopez-Lira, A., Mankad, S., Mano, N., Marchal, A., Martineau, C., Mazzola, F., Meloso, D., Mihet, R., Mohan, V., Moinas, S., Moore, D., Mu, L., Muravyev, D., Murphy, D., Neszveda, G., Neumeier, C., Nielsson, U., Nimalendran, M., Nolte, S., Norden, L.L., O'Neill, P., Obaid, K., Ødegaard, B.A., Östberg, P., Painter, M., Palan, S., Palit, I., Park, A., Pascual, R., Pasquariello, P., Pastor, L., Patel, V., Patton, A.J., Pearson, N.D., Pelizzon, L., Pelster, M., Pérignon, C., Pfiffer, C., Philip, R., Plíhal, T., Prakash, P., Press, O.-A., Prodromou, T., Putniņš, T.J., Raizada, G., Rakowski, D.A., Ranaldo, A., Regis, L., Reitz, S., Renault, T., Renjie, R.W., Renò, R., Riddiough, S., Rinne, K., Rintamäki, P., Riordan, R., Rittmannsberger, T., Rodríguez-Longarela, I., Rösch, D., Rognone, L., Roseman, B., Rosu, I., Roy, S., Rudolf, N., Rush, S., Rzayev, K., Rzeźnik, A., Sanford, A., Sankaran, H., Sarkar, A., Sarno, L., Scaillet, O., Scharnowski, S., Schenk-Hoppé, K.R., Schertler, A., Schneider, M., Schroeder, F., Schürhoff, N., Schuster, P., Schwarz, M.A., Seasholes, M.S., Seeger, N., Shachar, O., Shkilko, A., Shui, J., Sikic, M., Simion, G., Smales, L.A., Söderlind, P., Sojli, E., Sokolov, K., Spokeviciute, L., Stefanova, D., Subrahmanyam, M.G., Neusüss, S., Szaszi, B., Talavera, O., Tang, Y., Taylor, N., Tham, W.W., Theissen, E., Thimme, J., Tonks, I., Tran, H., Trapin, L., Trolle, A.B., Valente, G., Ness, R.A. Van, Vasquez, A., Verousis, T., Verwijmeren, P., Vilhelmsson, A., Vilkov, G., Vladimirov, V., Vogel, S., Voigt, S., Wagner, W., Walther, T., Weiss, P., Wel, M. van der, Werner, I.M., Westerholm, P.J., Westheide, C., Wipplinger, E., Wolf, M., Wolff, C.C.P., Wolk, L., Wong, W.-K., Wrampelmeyer, J., Xia, S., Xiu, D., Xu, K., Xu, C., Yadav, P.K., Yagüe, J., Yan, C., Yang, A., Yoo, W., Yu, W., Yu, S., Yueshen, B.Z., Yuferova, D., Zamojski, M., Zareei, A., Zeisberger, S.M., Zhang, S.S., Zhang, X., Zhong, Z., Zhou, Z.I., Zhou, C., Zhu, X.S., Zoican, M., Zwinkels, R.C.J., Chen, J., Duevski, T., Gao, G., Gemayel, R., Gilder, D. de, Kuhle, P., Pagnotta, E., Pelli, M., Sönksen, J., Zhang, L., Ilczuk, K., Bogoev, D., Qian, Y., Wika, H.C., Yu, Y., Zhao, L., Mi, M., Bao, L., Vaduva, A., Prokopczuk, P., Avetikian, A., Wu, Z.-X., Menkveld, A.J., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Razen, M., Weitzel, G.U., Abad, D., Abudy, M., Adrian, T., Ait-Sahalia, Y., Akmansoy, O., Alcock, J., Alexeev, V., Aloosh, A., Amato, L., Amaya, D., Angel, J., Bach, A., Baidoo, E., Bakalli, G., Barbon, A., Bashchenko, O., Bindra, P.C., Bjonnes, G.H., Black, J., Black, B.S., Bohorquez, S., Bondarenko, O., Bos, C.S., Bosch-Rosa, C., Bouri, E., Brownlees, C.T., Calamia, A., Cao, V.N., Capelle-Blancard, G., Capera, L., Caporin, M., Carrion, A., Caskurlu, T., Chakrabarty, B., Chernov, M., Cheung, W.M., Chincarini, L.B., Chordia, T., Chow, S.C., Clapham, B., Colliard, J.-E., Comerton-Forde, C., Curran, E., Dao, T., Dare, W., Davies, R.J., Blasis, R. De, Nard, G. De, DeClerck, F., Deev, O., Degryse, H., Deku, S., Desagre, C., Dijk, M.A van, Dim, C., Dimpfl, T., Dong, Y., Drummond, P., Dudda, T., Dumitrescu, A., Dyakov, T., Dyhrberg, A.H., Dzieliński, M., Eksi, A., Kalak, I. El, Ellen, S. ter, Eugster, N., Evans, M.D.D., Farrell, M., Félez-Viñas, E., Ferrara, G., Ferrouhi, E.M., Flori, A., Fluharty-Jaidee, J., Foley, S., Fong, K.Y.L., Foucault, T., Franus, T., Franzoni, F.A., Frijns, B., Frömmel, M., Fu, S., Füllbrunn, S.C., Gan, B., Gehrig, T., Gerritsen, D., Gil-Bazo, J., Glosten, L.R., Gomez, T., Gorbenko, A., Güçbilmez, U., Grammig, J., Gregoire, V., Hagströmer, B., Hambuckers, J., Hapnes, E., Harris, J.H., Harris, L., Hartmann, S., Hasse, J.-B., Hautsch, N., He, X., Heath, D., Hediger, S., Hendershott, T., Hibbert, A.M., Hjalmarsson, E., Hoelscher, S.A., Hoffmann, P., Holden, C.W., Horenstein, A.R., Huang, W., Huang, D., Hurlin, C., Ivashchenko, A., Iyer, S.R., Jahanshahloo, H., Jalkh, N., Jones, C.M., Jurkatis, S., Jylha, P., Kaeck, A., Kaiser, G., Karam, A., Karmaziene, E., Kassner, B., Kaustia, M., Kazak, E., Kearney, F., Kervel, V. van, Khan, S., Khomyn, M., Klein, T., Klein, O., Klos, A., Koetter, M., Krahnen, J.P., Kolokolov, A., Korajczyk, R.A., Kozhan, R., Kwan, A., Lajaunie, Q., Lam, F.E.C., Lambert, M., Langlois, H., Lausen, J., Lauter, T., Leippold, M., Levin, V., Li, Y., Li, H., Liew, C.Y., Lindner, T., Linton, O.B., Liu, J., Liu, A., Llorente, G., Lof, M., Lohr, A., Longstaff, F.A., Lopez-Lira, A., Mankad, S., Mano, N., Marchal, A., Martineau, C., Mazzola, F., Meloso, D., Mihet, R., Mohan, V., Moinas, S., Moore, D., Mu, L., Muravyev, D., Murphy, D., Neszveda, G., Neumeier, C., Nielsson, U., Nimalendran, M., Nolte, S., Norden, L.L., O'Neill, P., Obaid, K., Ødegaard, B.A., Östberg, P., Painter, M., Palan, S., Palit, I., Park, A., Pascual, R., Pasquariello, P., Pastor, L., Patel, V., Patton, A.J., Pearson, N.D., Pelizzon, L., Pelster, M., Pérignon, C., Pfiffer, C., Philip, R., Plíhal, T., Prakash, P., Press, O.-A., Prodromou, T., Putniņš, T.J., Raizada, G., Rakowski, D.A., Ranaldo, A., Regis, L., Reitz, S., Renault, T., Renjie, R.W., Renò, R., Riddiough, S., Rinne, K., Rintamäki, P., Riordan, R., Rittmannsberger, T., Rodríguez-Longarela, I., Rösch, D., Rognone, L., Roseman, B., Rosu, I., Roy, S., Rudolf, N., Rush, S., Rzayev, K., Rzeźnik, A., Sanford, A., Sankaran, H., Sarkar, A., Sarno, L., Scaillet, O., Scharnowski, S., Schenk-Hoppé, K.R., Schertler, A., Schneider, M., Schroeder, F., Schürhoff, N., Schuster, P., Schwarz, M.A., Seasholes, M.S., Seeger, N., Shachar, O., Shkilko, A., Shui, J., Sikic, M., Simion, G., Smales, L.A., Söderlind, P., Sojli, E., Sokolov, K., Spokeviciute, L., Stefanova, D., Subrahmanyam, M.G., Neusüss, S., Szaszi, B., Talavera, O., Tang, Y., Taylor, N., Tham, W.W., Theissen, E., Thimme, J., Tonks, I., Tran, H., Trapin, L., Trolle, A.B., Valente, G., Ness, R.A. Van, Vasquez, A., Verousis, T., Verwijmeren, P., Vilhelmsson, A., Vilkov, G., Vladimirov, V., Vogel, S., Voigt, S., Wagner, W., Walther, T., Weiss, P., Wel, M. van der, Werner, I.M., Westerholm, P.J., Westheide, C., Wipplinger, E., Wolf, M., Wolff, C.C.P., Wolk, L., Wong, W.-K., Wrampelmeyer, J., Xia, S., Xiu, D., Xu, K., Xu, C., Yadav, P.K., Yagüe, J., Yan, C., Yang, A., Yoo, W., Yu, W., Yu, S., Yueshen, B.Z., Yuferova, D., Zamojski, M., Zareei, A., Zeisberger, S.M., Zhang, S.S., Zhang, X., Zhong, Z., Zhou, Z.I., Zhou, C., Zhu, X.S., Zoican, M., Zwinkels, R.C.J., Chen, J., Duevski, T., Gao, G., Gemayel, R., Gilder, D. de, Kuhle, P., Pagnotta, E., Pelli, M., Sönksen, J., Zhang, L., Ilczuk, K., Bogoev, D., Qian, Y., Wika, H.C., Yu, Y., Zhao, L., Mi, M., Bao, L., Vaduva, A., Prokopczuk, P., Avetikian, A., and Wu, Z.-X.

Abstract

31 mei 2023, Contains fulltext : 240328.pdf (Author’s version preprint ) (Open Access), In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in sample estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty: non-standard errors. To study them, we let 164 teams test six hypotheses on the same sample. We find that non-standard errors are sizeable, on par with standard errors. Their size (i) co-varies only weakly with team merits, reproducibility, or peer rating, (ii) declines significantly after peer-feedback, and (iii) is underestimated by participants.

Published
2023

13. Integrated Variance of Irregularly Spaced High-Frequency Data: A State Space Approach Based on Pre-Averaging

Author

Alexeev, V, Chen, J, Ignatieva, K, Alexeev, V, Chen, J, and Ignatieva, K

Abstract

We propose a new state space model to estimate the Integrated Variance (IV) in the presence of microstructure noise. Applying the pre-averaging sampling scheme to the irregularly spaced high-frequency data, we derive equidistant efficient price approximations to calculate the noise-contaminated realised variance (NCRV), which is used as an IV estimator. The theoretical properties of the new volatility estimator are illustrated and compared with those of the realised volatility. We highlight the robustness of the new estimator to market microstructure noise (MMN). The pre-averaging sampling effectively eliminates the influence of the MMN component on the NCRV series. The empirical illustration features the EUR/USD exchange rate and provides evidence of a superior performance in volatility forecasting at very high sampling frequencies.

Published
2023

15. Non-Standard Errors

Author

Menkveld, A.J., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Razen, M., Weitzel, G.U., Abad, D., Abudy, M., Adrian, T., Ait-Sahalia, Y., Akmansoy, O., Alcock, J., Alexeev, V., Aloosh, A., Amato, L., Amaya, D., Angel, J., Bach, A., Baidoo, E., Bakalli, G., Barbon, A., Bashchenko, O., Bindra, P.C., Bjonnes, G.H., Black, J., Black, B.S., Bohorquez, S., Bondarenko, O., Bos, C.S., Bosch-Rosa, C., Bouri, E., Brownlees, C.T., Calamia, A., Cao, V.N., Capelle-Blancard, G., Capera, L., Caporin, M., Carrion, A., Caskurlu, T., Chakrabarty, B., Chernov, M., Cheung, W.M., Chincarini, L.B., Chordia, T., Chow, S.C., Clapham, B., Colliard, J.-E., Comerton-Forde, C., Curran, E., Dao, T., Dare, W., Davies, R.J., Blasis, R. De, Nard, G. De, DeClerck, F., Deev, O., Degryse, H., Deku, S., Desagre, C., Dijk, M.A van, Dim, C., Dimpfl, T., Dong, Y., Drummond, P., Dudda, T., Dumitrescu, A., Dyakov, T., Dyhrberg, A.H., Dzieliński, M., Eksi, A., Kalak, I. El, Ellen, S. ter, Eugster, N., Evans, M.D.D., Farrell, M., Félez-Viñas, E., Ferrara, G., Ferrouhi, E.M., Flori, A., Fluharty-Jaidee, J., Foley, S., Fong, K.Y.L., Foucault, T., Franus, T., Franzoni, F.A., Frijns, B., Frömmel, M., Fu, S., Füllbrunn, S.C., Gan, B., Gehrig, T., Gerritsen, D., Gil-Bazo, J., Glosten, L.R., Gomez, T., Gorbenko, A., Güçbilmez, U., Grammig, J., Gregoire, V., Hagströmer, B., Hambuckers, J., Hapnes, E., Harris, J.H., Harris, L., Hartmann, S., Hasse, J.-B., Hautsch, N., He, X., Heath, D., Hediger, S., Hendershott, T., Hibbert, A.M., Hjalmarsson, E., Hoelscher, S.A., Hoffmann, P., Holden, C.W., Horenstein, A.R., Huang, W., Huang, D., Hurlin, C., Ivashchenko, A., Iyer, S.R., Jahanshahloo, H., Jalkh, N., Jones, C.M., Jurkatis, S., Jylha, P., Kaeck, A., Kaiser, G., Karam, A., Karmaziene, E., Kassner, B., Kaustia, M., Kazak, E., Kearney, F., Kervel, V. van, Khan, S., Khomyn, M., Klein, T., Klein, O., Klos, A., Koetter, M., Krahnen, J.P., Kolokolov, A., Korajczyk, R.A., Kozhan, R., Kwan, A., Lajaunie, Q., Lam, F.E.C., Lambert, M., Langlois, H., Lausen, J., Lauter, T., Leippold, M., Levin, V., Li, Y., Li, H., Liew, C.Y., Lindner, T., Linton, O.B., Liu, J., Liu, A., Llorente, G., Lof, M., Lohr, A., Longstaff, F.A., Lopez-Lira, A., Mankad, S., Mano, N., Marchal, A., Martineau, C., Mazzola, F., Meloso, D., Mihet, R., Mohan, V., Moinas, S., Moore, D., Mu, L., Muravyev, D., Murphy, D., Neszveda, G., Neumeier, C., Nielsson, U., Nimalendran, M., Nolte, S., Norden, L.L., O'Neill, P., Obaid, K., Ødegaard, B.A., Östberg, P., Painter, M., Palan, S., Palit, I., Park, A., Pascual, R., Pasquariello, P., Pastor, L., Patel, V., Patton, A.J., Pearson, N.D., Pelizzon, L., Pelster, M., Pérignon, C., Pfiffer, C., Philip, R., Plíhal, T., Prakash, P., Press, O.-A., Prodromou, T., Putniņš, T.J., Raizada, G., Rakowski, D.A., Ranaldo, A., Regis, L., Reitz, S., Renault, T., Renjie, R.W., Renò, R., Riddiough, S., Rinne, K., Rintamäki, P., Riordan, R., Rittmannsberger, T., Rodríguez-Longarela, I., Rösch, D., Rognone, L., Roseman, B., Rosu, I., Roy, S., Rudolf, N., Rush, S., Rzayev, K., Rzeźnik, A., Sanford, A., Sankaran, H., Sarkar, A., Sarno, L., Scaillet, O., Scharnowski, S., Schenk-Hoppé, K.R., Schertler, A., Schneider, M., Schroeder, F., Schürhoff, N., Schuster, P., Schwarz, M.A., Seasholes, M.S., Seeger, N., Shachar, O., Shkilko, A., Shui, J., Sikic, M., Simion, G., Smales, L.A., Söderlind, P., Sojli, E., Sokolov, K., Spokeviciute, L., Stefanova, D., Subrahmanyam, M.G., Neusüss, S., Szaszi, B., Talavera, O., Tang, Y., Taylor, N., Tham, W.W., Theissen, E., Thimme, J., Tonks, I., Tran, H., Trapin, L., Trolle, A.B., Valente, G., Ness, R.A. Van, Vasquez, A., Verousis, T., Verwijmeren, P., Vilhelmsson, A., Vilkov, G., Vladimirov, V., Vogel, S., Voigt, S., Wagner, W., Walther, T., Weiss, P., Wel, M. van der, Werner, I.M., Westerholm, P.J., Westheide, C., Wipplinger, E., Wolf, M., Wolff, C.C.P., Wolk, L., Wong, W.-K., Wrampelmeyer, J., Xia, S., Xiu, D., Xu, K., Xu, C., Yadav, P.K., Yagüe, J., Yan, C., Yang, A., Yoo, W., Yu, W., Yu, S., Yueshen, B.Z., Yuferova, D., Zamojski, M., Zareei, A., Zeisberger, S.M., Zhang, S.S., Zhang, X., Zhong, Z., Zhou, Z.I., Zhou, C., Zhu, X.S., Zoican, M., Zwinkels, R.C.J., Chen, J., Duevski, T., Gao, G., Gemayel, R., Gilder, D. de, Kuhle, P., Pagnotta, E., Pelli, M., Sönksen, J., Zhang, L., Ilczuk, K., Bogoev, D., Qian, Y., Wika, H.C., Yu, Y., Zhao, L., Mi, M., Bao, L., Vaduva, A., Prokopczuk, P., Avetikian, A., Wu, Z.-X., Menkveld, A.J., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Razen, M., Weitzel, G.U., Abad, D., Abudy, M., Adrian, T., Ait-Sahalia, Y., Akmansoy, O., Alcock, J., Alexeev, V., Aloosh, A., Amato, L., Amaya, D., Angel, J., Bach, A., Baidoo, E., Bakalli, G., Barbon, A., Bashchenko, O., Bindra, P.C., Bjonnes, G.H., Black, J., Black, B.S., Bohorquez, S., Bondarenko, O., Bos, C.S., Bosch-Rosa, C., Bouri, E., Brownlees, C.T., Calamia, A., Cao, V.N., Capelle-Blancard, G., Capera, L., Caporin, M., Carrion, A., Caskurlu, T., Chakrabarty, B., Chernov, M., Cheung, W.M., Chincarini, L.B., Chordia, T., Chow, S.C., Clapham, B., Colliard, J.-E., Comerton-Forde, C., Curran, E., Dao, T., Dare, W., Davies, R.J., Blasis, R. De, Nard, G. De, DeClerck, F., Deev, O., Degryse, H., Deku, S., Desagre, C., Dijk, M.A van, Dim, C., Dimpfl, T., Dong, Y., Drummond, P., Dudda, T., Dumitrescu, A., Dyakov, T., Dyhrberg, A.H., Dzieliński, M., Eksi, A., Kalak, I. El, Ellen, S. ter, Eugster, N., Evans, M.D.D., Farrell, M., Félez-Viñas, E., Ferrara, G., Ferrouhi, E.M., Flori, A., Fluharty-Jaidee, J., Foley, S., Fong, K.Y.L., Foucault, T., Franus, T., Franzoni, F.A., Frijns, B., Frömmel, M., Fu, S., Füllbrunn, S.C., Gan, B., Gehrig, T., Gerritsen, D., Gil-Bazo, J., Glosten, L.R., Gomez, T., Gorbenko, A., Güçbilmez, U., Grammig, J., Gregoire, V., Hagströmer, B., Hambuckers, J., Hapnes, E., Harris, J.H., Harris, L., Hartmann, S., Hasse, J.-B., Hautsch, N., He, X., Heath, D., Hediger, S., Hendershott, T., Hibbert, A.M., Hjalmarsson, E., Hoelscher, S.A., Hoffmann, P., Holden, C.W., Horenstein, A.R., Huang, W., Huang, D., Hurlin, C., Ivashchenko, A., Iyer, S.R., Jahanshahloo, H., Jalkh, N., Jones, C.M., Jurkatis, S., Jylha, P., Kaeck, A., Kaiser, G., Karam, A., Karmaziene, E., Kassner, B., Kaustia, M., Kazak, E., Kearney, F., Kervel, V. van, Khan, S., Khomyn, M., Klein, T., Klein, O., Klos, A., Koetter, M., Krahnen, J.P., Kolokolov, A., Korajczyk, R.A., Kozhan, R., Kwan, A., Lajaunie, Q., Lam, F.E.C., Lambert, M., Langlois, H., Lausen, J., Lauter, T., Leippold, M., Levin, V., Li, Y., Li, H., Liew, C.Y., Lindner, T., Linton, O.B., Liu, J., Liu, A., Llorente, G., Lof, M., Lohr, A., Longstaff, F.A., Lopez-Lira, A., Mankad, S., Mano, N., Marchal, A., Martineau, C., Mazzola, F., Meloso, D., Mihet, R., Mohan, V., Moinas, S., Moore, D., Mu, L., Muravyev, D., Murphy, D., Neszveda, G., Neumeier, C., Nielsson, U., Nimalendran, M., Nolte, S., Norden, L.L., O'Neill, P., Obaid, K., Ødegaard, B.A., Östberg, P., Painter, M., Palan, S., Palit, I., Park, A., Pascual, R., Pasquariello, P., Pastor, L., Patel, V., Patton, A.J., Pearson, N.D., Pelizzon, L., Pelster, M., Pérignon, C., Pfiffer, C., Philip, R., Plíhal, T., Prakash, P., Press, O.-A., Prodromou, T., Putniņš, T.J., Raizada, G., Rakowski, D.A., Ranaldo, A., Regis, L., Reitz, S., Renault, T., Renjie, R.W., Renò, R., Riddiough, S., Rinne, K., Rintamäki, P., Riordan, R., Rittmannsberger, T., Rodríguez-Longarela, I., Rösch, D., Rognone, L., Roseman, B., Rosu, I., Roy, S., Rudolf, N., Rush, S., Rzayev, K., Rzeźnik, A., Sanford, A., Sankaran, H., Sarkar, A., Sarno, L., Scaillet, O., Scharnowski, S., Schenk-Hoppé, K.R., Schertler, A., Schneider, M., Schroeder, F., Schürhoff, N., Schuster, P., Schwarz, M.A., Seasholes, M.S., Seeger, N., Shachar, O., Shkilko, A., Shui, J., Sikic, M., Simion, G., Smales, L.A., Söderlind, P., Sojli, E., Sokolov, K., Spokeviciute, L., Stefanova, D., Subrahmanyam, M.G., Neusüss, S., Szaszi, B., Talavera, O., Tang, Y., Taylor, N., Tham, W.W., Theissen, E., Thimme, J., Tonks, I., Tran, H., Trapin, L., Trolle, A.B., Valente, G., Ness, R.A. Van, Vasquez, A., Verousis, T., Verwijmeren, P., Vilhelmsson, A., Vilkov, G., Vladimirov, V., Vogel, S., Voigt, S., Wagner, W., Walther, T., Weiss, P., Wel, M. van der, Werner, I.M., Westerholm, P.J., Westheide, C., Wipplinger, E., Wolf, M., Wolff, C.C.P., Wolk, L., Wong, W.-K., Wrampelmeyer, J., Xia, S., Xiu, D., Xu, K., Xu, C., Yadav, P.K., Yagüe, J., Yan, C., Yang, A., Yoo, W., Yu, W., Yu, S., Yueshen, B.Z., Yuferova, D., Zamojski, M., Zareei, A., Zeisberger, S.M., Zhang, S.S., Zhang, X., Zhong, Z., Zhou, Z.I., Zhou, C., Zhu, X.S., Zoican, M., Zwinkels, R.C.J., Chen, J., Duevski, T., Gao, G., Gemayel, R., Gilder, D. de, Kuhle, P., Pagnotta, E., Pelli, M., Sönksen, J., Zhang, L., Ilczuk, K., Bogoev, D., Qian, Y., Wika, H.C., Yu, Y., Zhao, L., Mi, M., Bao, L., Vaduva, A., Prokopczuk, P., Avetikian, A., and Wu, Z.-X.

Abstract

Item does not contain fulltext, In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in sample estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty: non-standard errors. To study them, we let 164 teams test six hypotheses on the same sample. We find that non-standard errors are sizeable, on par with standard errors. Their size (i) co-varies only weakly with team merits, reproducibility, or peer rating, (ii) declines significantly after peer-feedback, and (iii) is underestimated by participants.

Published
2022

20. Agreement of Analytical and Simulation-Based Estimates of the Required Land Depth in Climate Models

Author

Steinert, N. J., González Rouco, Jesús Fidel, Melo Aguilar, C. A., García Pereira, Félix, García Bustamante, Elena, Vrese, P., Alexeev, V., Jungclaus, J. H., Lorenz, S. J., Hagemann, S., Steinert, N. J., González Rouco, Jesús Fidel, Melo Aguilar, C. A., García Pereira, Félix, García Bustamante, Elena, Vrese, P., Alexeev, V., Jungclaus, J. H., Lorenz, S. J., and Hagemann, S.

Abstract

This work was supported by the projects IlModelS, project no. CGL2014-726 59644-R and GReatModelS, project no. RTI2018-102305-B-C21. The work used resources of the Deutsches Klimarechenzentrum (DKRZ) granted by its Scientific Steering Committee (WLA) under project ID bm1026. Vladimir Alexeev was supported by the Interdisciplinary Research for Arctic Coastal Environments (InteRFACE) project through the Department of Energy, Office of Science, Biological and Environmental Research Program's Regional and Global Model Analysis program, and by NOAA project NA18OAR4590417. We also wish to thank Veronika Gayler for technical support on JSBACH and Christian Reick for helpful comments and discussion., Previous analytical and simulation-based analyses suggest that deeper land surface models are needed to realistically simulate the terrestrial thermal state in climate models, with implications for land-atmosphere interactions. Analytical approaches mainly focused on the subsurface propagation of harmonics such as the annual temperature signal, and a direct comparison with climate-change model output has been elusive. This study addresses the propagation of a harmonic pulse fitted to represent the timescale and amplitude of anthropogenic warming. Its comparison to land model simulations with stepwise increased bottom boundary depth leads to an agreement between the simulation-based and analytical frameworks for long-term climate trends. Any depth increase gradually decreases the relative error in the subsurface thermodynamics, and a minimum depth of 170 m is recommended to simulate the ground climate adequately. The approach provides an accurate estimate of the required land-model depth for climate-change simulations and assesses the relative bias in insufficiently deep land models. Plain Language Summary Many current-generation climate models have land components that are too shallow. Under climate change conditions, the long-term warming trend at the surface propagates deeper into the ground than the commonly used 3-10 m. Shallow models alter the terrestrial heat storage and distribution of temperatures in the subsurface, influencing the simulated land-atmosphere interactions. Previous studies focusing on annual timescales suggest that deeper models are required to match subsurface-temperature observations and the classic analytical heat conduction solution. However, for a systematic investigation of land-model deepening in the frame of anthropogenic climate change, the classic analytical solution is inaccurate because it does not mimic the timescale and amplitude of the simulated warming trend. This study intends to bridge the gap between analytical and simulatio, Ministerio de Economía y Competitividad (MINECO), Scientific Steering Committee (WLA), Interdisciplinary Research for Arctic Coastal Environments (InteRFACE) project through the Department of Energy, Office of Science, Biological and Environmental Research Program's Regional and Global Model Analysis program, NOAA project, Depto. de Física de la Tierra y Astrofísica, Fac. de Ciencias Físicas, TRUE, pub

Published
2021

21. Biases in variance of decomposed portfolio returns

Author

Alexeev, V, Ignatieva, K, Alexeev, V, and Ignatieva, K

Abstract

Significant portfolio variance biases arise when contrasting multiperiod portfolio returns based on the assumption of fixed continuously rebalanced portfolio weights as opposed to buy-and-hold weights. Empirical evidence obtained using S&P 500 constituents from 2003 to 2011 demonstrates that, compared with a buy-and-hold assumption, applying fixed weights led to decreased estimates of portfolio volatilities during 2003, 2005 and 2010, but caused a significant increase in volatility estimates in the more turbulent 2008 and 2011. This discrepancy distorts assessments of portfolio risk-adjusted performance when inappropriate weight assumptions are employed. Consequently, these variance biases have effect on statistical inference in factor models and may result in erroneous portfolio size recommendations for adequate diversification.

Published
2021

28. Biases in variance of decomposed portfolio returns

Author

Alexeev, V, Ignatieva, K, Alexeev, V, and Ignatieva, K

Abstract

Significant portfolio variance biases arise when contrasting multiperiod portfolio returns based on the assumption of fixed continuously rebalanced portfolio weights as opposed to buy‐and‐hold weights. Empirical evidence obtained using S&P 500 constituents from 2003 to 2011 demonstrates that, compared with a buy‐and‐hold assumption, applying fixed weights led to decreased estimates of portfolio volatilities during 2003, 2005 and 2010, but caused a significant increase in volatility estimates in the more turbulent 2008 and 2011. This discrepancy distorts assessments of portfolio risk‐adjusted performance when inappropriate weight assumptions are employed. Consequently, these variance biases have effect on statistical inference in factor models and may result in erroneous portfolio size recommendations for adequate diversification.

Published
2020

29. Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals

Author

Alexeev, V, Ignatieva, K, Liyanage, T, Alexeev, V, Ignatieva, K, and Liyanage, T

Abstract

AbstractThis paper investigates dependence among insurance claims arising from different lines of business (LoBs). Using bivariate and multivariate portfolios of losses from different LoBs, we analyse the ability of various copulas in conjunction with skewed generalised hyperbolic (GH) marginals to capture the dependence structure between individual insurance risks forming an aggregate risk of the loss portfolio. The general form skewed GH distribution is shown to provide the best fit to univariate loss data. When modelling dependency between LoBs using one-parameter and mixture copula models, we favour models that are capable of generating upper tail dependence, that is, when several LoBs have a strong tendency to exhibit extreme losses simultaneously. We compare the selected models in their ability to quantify risks of multivariate portfolios. By performing an extensive investigation of the in- and out-of-sample Value-at-Risk (VaR) forecasts by analysing VaR exceptions (i.e. observations of realised portfolio value that are greater than the estimated VaR), we demonstrate that the selected models allow to reliably quantify portfolio risk. Our results provide valuable insights with regards to the nature of dependence and fulfils one of the primary objectives of the general insurance providers aiming at assessing total risk of an aggregate portfolio of losses when LoBs are correlated.

Published
2020

31. Sensitivity to sentiment: News vs social media

Author

Gan, B, Alexeev, V, Bird, R, Yeung, D, Gan, B, Alexeev, V, Bird, R, and Yeung, D

Abstract

© 2019 We explore the rapidly changing social and news media landscape that is responsible for the dissemination of information vital to the efficient functioning of the financial markets. Using the sheer volume of social and news media activity, commonly known as buzz, we document three distinct regimes. We find that between 2011 and 2013 the news media coverage stimulates activity in social media. This is followed by a transition period of two-way causality. From 2016, however, changes in levels of social media activity seem to lead and generate news coverage volumes. We uncover similar evolution of lead-lag pattern between sentiment measures constructed from the tonality contained in textual data from social and news media posts. We discover that market variables exert stronger impact on investor sentiment than the other way around. We also find that return responses to social media sentiment almost doubled after the transition period, while return responses to news-based sentiment almost halved to its pre-transition level. The linkage between volatility and sentiment is much more persistent than that between returns and sentiment. Overall, our results suggest that social media is becoming the dominant media source.

Published
2020

34. Design of new hollow superconducting NbTi cables for fast cycling synchrotron magnets

Author

Khodzhibagiyan, H., Alexeev, V., Averichev, S., Drobin, V., Kovalenko, A., Smirnov, A., Starikov, A., Vladimirova, N., Moritz, G., Fischer, E., Potanina, L., Shikov, A., and Vedernikov, G.

Subjects
Acceleration (Mechanics) -- Observations, Dipole moments -- Research, Superconductive devices -- Research, Business, Electronics, Electronics and electrical industries
Abstract

Investigating two new options for hollow superconducting cables aimed at increasing structural current density were proposed and designed in the frameworks of R&D program for the future accelerator facility at GSI is presented. The data from cable short sample test are presented.

Published
2003

36. An emerging international network focused on permafrost coastal systems in transition

Author

Jones, Benjamin M., Tweedie, Craig E., Xiao, Ming, Alexeev, V. A., Baranskaya, Alisa, Belova, N., Bristol, Emily, Bull, Diana L., Guangqing, Chi, Dallimore, Scott, Erikson, Li H., Farquharson, Louise M., Flanary, Chris, Frederick, Jennifer, Fuchs, Matthias, Gibbs, Ann, Graybill, Jessica, Grigoriev, Mikhail N., Grosse, Guido, Günther, Frank, Halvorsen, Kathleen E., Isaev, Vladimir, Irrgang, Anna, Iwahana, Go, Jensen, Anne M., Jones, Craig Alexander, Kanevskiy, Mikhail, Kasper, Jeremy, Kinsman, Nicole, Kokin, Osip, Kroon, Aart, Lantuit, Hugues, Lantz, Trevor C., Liljedahl, Anna K., Lubbad, Raed, Maio, Christopher, Maslakov, Alexey, McClelland, James W, Mota, Alejandro, Nitze, Ingmar, Novikova, Anna V., Ogorodov, Stanislav A., Overbeck, J., Overduin, Pier Paul, Petrov, Andrey N., Richmond, Bruce, Romanovsky, Vladimir E., Rowland, Joel, Sachs, Torsten, Schuur, Edward. A. G., Shabanova, Natalya N., Sinitsyn, Anatoly, Shiklomanov, Nikolay, Streletskiy, Dmitry, Strzelecki, Matt C., Swanson, David, and Thomas, Matthew A.

Abstract

Perennially frozen ground and sea ice are key constituents of permafrost coastal systems, and their presence is the primary difference between temperate and high-latitude coastal processes. These systems are some of the most rapidly changing landscapes on Earth and, in the Arctic, are representative of the challenges being faced at the intersection between natural and anthropogenic systems. Permafrost thaw, in combination with increasing sea level and decreasing sea-ice cover, exposes arctic coastal and nearshore areas to rapid environmental and social changes. Based on decadal timescales, observations in the Arctic indicate an increase in permafrost coastal bluff erosion and storm surge flooding of low-lying ice-rich permafrost terrain. However, circum-arctic observations remain limited and the factors responsible for the apparent increase in arctic coastal dynamics are poorly constrained. A better understanding of permafrost coastal systems and how they are responding to changes in the Arctic is important since a high proportion of Arctic residents live on or near coastlines, and many derive their livelihood from terrestrial and nearshore marine resources. An expanding industrial, scientific, and commercial presence in the Arctic Ocean will also require advanced knowledge about permafrost coastlines as terrestrial access points. Since the issues involved span political, cultural, geographical, and disciplinary borders, an international network focused on permafrost coastal systems in transition is needed. An integrative network focused on permafrost coastal systems is required to realize and address the scale and complexity of the processes, dynamics, and responses of this system to physical, ecological, and social change. A primary focus of such an effort would be guided by the fact that the issues and impacts associated with permafrost coastal systems in transition are far greater than any single institution or discipline is capable of addressing alone. Future permafrost coastal system dynamics will challenge conventional wisdom as the system enters a new state impacting human decision making and adaptation planning, cultural heritage resources and ecosystems, and likely resulting in unforeseen challenges across the Arctic.

Published
2019

37. Asymmetric jump beta estimation with implications for portfolio risk management

Author

Alexeev, V, Urga, G, Yao, W, Alexeev, V, Urga, G, and Yao, W

Abstract

© 2019 We evaluate the impact of extreme market shifts on equity portfolios and study the difference in negative and positive reactions to market jumps with implications for portfolio risk management. Employing high-frequency data for the constituents of the S&P500 index over the period 2 January 2003 to 30 December 2017, we investigate to what extent the portfolio exposure to the downside and upside jumps can be mitigated. We contrast the risk exposure of individual stocks with those of the portfolios as the number of holdings increases. Varying the jump identification threshold, we show that the number of holdings required to stabilise portfolios’ sensitivities to negative jumps is higher than when positive jumps are considered and that the asymmetry is more prominent for more extreme events. Ignoring this asymmetry results in under-diversification of portfolios and increases exposure to sudden extreme negative market shifts.

Published
2019

38. Predictive blends: Fundamental Indexing meets Markowitz

Author

Pysarenko, S, Alexeev, V, Tapon, F, Pysarenko, S, Alexeev, V, and Tapon, F

Abstract

© 2019 Elsevier B.V. When constructing a portfolio of stocks, do you turn a blind eye to the firms’ future outlooks based on careful consideration of companies’ fundamentals, or do you ignore the stocks’ correlation structures which ensure the best diversification? The Fundamental Indexing (FI) and Markowitz mean-variance optimization (MVO) approaches are complementary but, until now, have been considered separately in the portfolio choice literature. Using data on S&P 500 constituents, we evaluate a novel portfolio construction technique that utilizes the benefits of both approaches. Relying on the idea of forecast averaging, we propose to blend the two previously mentioned techniques to provide investors with a clear binocular vision. The out-of-sample results of the blended portfolios attest to their superior performance when compared to common market benchmarks, and to portfolios constructed solely based on the FI or MVO methods. In pursuit of the optimal blend between the two distinct portfolio construction techniques, MVO and FI, we find that the ratio of market capitalization to GDP, being a leading indicator for an overpriced market, demonstrates remarkably advantageous properties. Our superior results cannot be explained by classic asset pricing models.

Published
2019

43. Exchange rate risk exposure and the value of European firms

Author

Parlapiano, F, Alexeev, V, Dungey, M, Parlapiano, F, Alexeev, V, and Dungey, M

Abstract

This paper presents a new assessment of the exposure of European firms to exchange rate fluctuations which takes into account the potential common drivers of exchange rates and equity market conditions. Using monthly data for European firms from 1999 to 2011, we assess the impact of unexpected fluctuations in the USD, JPY, GBP and CHF against the Euro, and show that the proportion of firms subject to exchange rate risk is considerably larger when estimation accounts for potential common drivers and firm-specific factors than otherwise. Firm exposure to exchange rate risk is affected by the level of international involvement, industry, firm size and country of origin. European firms with largely domestic operations reveal the greatest vulnerability to unexpected exchange rate movements, suggesting an opportunity to improve risk management for these companies.

Published
2017

44. Time-varying continuous and jump betas: The role of firm characteristics and periods of stress

Author

Alexeev, V, Dungey, M, Yao, W, Alexeev, V, Dungey, M, and Yao, W

Abstract

© 2016 Using high frequency data we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents over 2003-2011 generally exceed the corresponding continuous betas. Smaller stocks are more sensitive to discontinuities than their larger counterparts, and during periods of financial distress, high leverage stocks are more exposed to systematic risk. Higher credit ratings and lower volatility are each associated with smaller betas. Industry effects are also apparent. We use the estimates to show that discontinuous risk carries a significantly positive premium, but continuous risk does not.

Published
2017

45. Arctic Ocean heat impact on regional ice decay - a suggested positive feedback

Author

Ivanov, V., Alexeev, V., Koldunov, N.V., Repina, I., Sandoe, A.B., Smedsrud, L.H., and Smirnov, A.

Subjects
ddc:551
Abstract

Broad, long-living, ice-free areas in mid-winter northeast of Svalbard between 2011 and 2014 are investigated. The formation of these persistent and re-emerging anomalies is linked, hypothetically, with the increased seasonality of Arctic sea ice cover, enabling an enhanced influence of oceanic heat on sea ice, and in particular, heat transported by Atlantic Water. The ‘memory’ of ice-depleted conditions in summer is transferred to the fall season, through excess heat content in the upper mixed layer, which in turn transfers to mid-winter via thinner and younger ice. This thinner ice is more fragile and mobile, thus facilitating the formation of polynyas and leads. When openings in ice cover form along the Atlantic Water pathway, weak density stratification at the mixed layer base supports the development of thermohaline convection, which further entrains warm and salty water from deeper layers. Convection-induced upward heat flux from the Atlantic layer retards ice formation, either keeping ice thickness low or blocking ice formation entirely. Certain stages of this chain of events have been examined in a region north of Svalbard and Franz Joseph Land, between 80-83°N and 15-60°E, where the top hundred meters of Atlantic inflow through the Fram Strait cools and freshens rapidly. Complementary research methods, including statistical analyses of observations and numerical modelling, are used to support our basic concept that the recently observed retreat of sea ice northeast of Svalbard in winter may be explained by a positive feedback between summer ice decay and the growing influence of oceanic heat on a seasonal time scale.

Published
2016
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46. An anhydrobiotic insect, Polypedilum vanderplanki as a tool for astrobiology

Author

Gusev, Oleg, Sychev, V., Levinskikh, M., Novikova, N., Alexeev, V., Nakahara, Yuichi, Kikawada, Takahiro, and Okuda, Takashi

Subjects
exobiology, 宇宙生物学, fungi, 電離放射線, 幼虫, 国際宇宙ステーション, ネムリユスリカ, アンハイドロビオシス, anhydrobiotic larva, 高温環境, anhydrobiosis, International Space Station, high temperature environment, hydrated larva, 遺伝子発現, larva, ユスリカ, spaceborne experiment, gene expression, Polypedilum vanderplanki, ionizing radiation, chironomus fly, 宇宙実験, 乾燥休眠幼虫, 水分補給幼虫
Abstract

Larvae of African chironomid Polypedilum vanderplanki represent highly developed mechanism of anhydrobiotic conservation of metabolism which allowing them to stay alive for many years in the absence of water and be utilized as a model organisms in long-term projects, including the spaceflight. In this paper we shortly overview the main properties of anhydrobiosis of the larvae and describe the main space experiments where the insect was used as a model organism for investigation of influence of spaceflight environment of latent stages of invertebrates., 資料番号: AA0063706087

Published
2008

50. ХОНДРИТ КУНЯ–УРГЕНЧ Н5 И ЕГО КОСМОФИЗИЧЕСКИЕ ДАННЫЕ

Author

Alexeev, V. A., V.I.Vernadsky Institute of Geochemistry and Analytical Chemistry, Russian Academy of Sciences, Moscow, Gorin, V. D., Ivliev, А. І., Kashkarov, L. L., and Ustinova, G. K.

Subjects
UDC 523.681
Abstract

Виконано комплекснi дослiдження природної i наведеної (рент-генiвським i гамма-випромiнюванням) термолюмiнесценцiї, трекiв VH-ядер i космогенних радiонуклiдiв iзрiзними перiодами напiврозпаду в хондритi Куня–Ургенч Н5. Експериментальнi данi, результати кореляцiйного аналiзу i теоретичного моделювання використанi для реконструкцiї ударної-термiчної i радiацiйної iсторiї цього хондрита, оцiнки його доатмосферних розмiрiв i протяжностi орбiти, а також для характеристики радiацiйних умов у гелiосферi на спадi 22-го сонячного циклу. Выполнены комплексные исследования естественной инаведенной (рентгеновским и гамма-излучением) термолюминесценции, треков VH-ядер и космогенных радионуклидов с разными периодами полураспада в свежевыпавшем хондрите Куня–Ургенч Н5. Экспери-ментальные данные, результаты корреляционного анализа и теоретического моделирования использованыдля реконструкции ударно-термической и радиационной истории этого хондрита, оценки его доатмосферных размеров и протяженности орбиты, а также для характеристики радиационных условий в гелиосфере на спаде 22-го солнечного цикла. The fresh-fallen Kunya–Urgench H5 chondrite was studied in various aspects including natural and induced (X-rayand γ-ray) thermoluminescence, tracks of VH nuclei, and cosmogenic radionuclides with different half-lives. Theexperimental data, comparative analysis, and theoretical modelling were used to reconstruct the shock-thermal andradiation history of the chondrite, to estimate its preatmospheric size and orbit dimensions, and to characterizethe radiation conditions in the heliosphere during the decline of the 22nd solar cycle.

Published
2015

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