The long-run relationship between the spot and futures markets under multiple regime-shifts: Evidence from Turkish derivatives exchange

The paper examines the long-run relationships between the spot and future prices of Istanbul Stock Exchange 30 index (ISE-30) and foreign currencies including the Turkish Lira-US Dollar (TL/USD) and Turkish Lira-Euro (TL/EUR). We analyze the weekly data covering the period from February 9, 2005 to October 17, 2012. Considering structural breaks is important for our analysis since our period consists of recent financial crisis. Therefore, we employ the unit root tests developed by Carrion-i-Silvestre et al. (2009) and the Maki’s (2012) cointegration test allowing for an unknown number of breaks. We find that spot and the futures prices are cointegrated in the long-run after we consider structural breaks in our data. Our results indicate that the markets are efficient.     

The dynamic relations among return volatility,trading imbalance,and trading volume in futures markets

Trading imbalances reflect the quality of market information and may contain more information than the number of trades or trading volume. In order to better understand how trading imbalances play a role different from traditional variables (i.e., number of trades and trading volume) in explaining volatility, we use intraday data to examine the dynamic relations among return volatility, trading imbalances, and traditional variables for E-mini S&P 500 futures and Japanese Yen futures contracts, respectively. The Granger-causality tests indicate strong feedback effects between volatility and trading variables, confirming the information-based and hedging-based trading. We also compare the results of the traditional volumes and trading imbalances through variance decomposition and impulse responses analysis. It is shown that the sequential arrival of private information through trading imbalance is more important in explaining return volatility than the traditional variables, which are a proxy for the public information.     

Intraday trade and quote dynamics: A Cox regression analysis

In this paper we apply the Cox proportional hazards model with an automated forward variable selection algorithm to identify the prominent market microstructure variables affecting the arrival rates of the trade and response quote processes. We use this flexible data-driven modeling approach to empirically examine the informational dynamics of individual securities and the economic similarities in trade and response quote dynamics across samples without imposing a structured relationship on the data.     

Financial markets sentiment analysis: developing a specialized Lexicon

Journal of Intelligent Information Systems - Natural language processing in specific domains such as financial markets requires the knowledge of domain ontology. Therefore, developing a...     

Global analysis of the relationships among a vegetation index,precipitation and land surface temperature

Abstract. This study is designed to examine the spatial variability of the relationships among global NDVI (Normalized Difference Vegetation Index) data, remotely-sensed land surface temperature data, and gridded station precipitation data as well as to investigate the potential for the combined use of NDVI and temperature data for global bioclimate monitoring. The relationships among the three variables are examined using single and multiple temporal correlations and the analysis is augmented by the computation of the first annual harmonic of each parameter. In addition, the global variability of growing season liming is analysed using a proxy for the onset and conclusion of the growing season, based upon slopes of the NDVI time series.

The NDVI data set as processed for this study has significant sources of systematic error, which include aerosol and cloud contamination, orbital drift, and instrument degradation. This analysis provides insight into the manner in which the relationships among NDVI, precipitation and remotely-sensed land surface temperature vary geographically, in spite of the data noise. Due to excessive systemic error, anomalies of this NDVI data set are not highly correlated with precipitation, or multiply correlated with temperature to precipitation. Greater immediate promise for interannual bioclimate monitoring is contained in the proxies presented here for the growing season onset and length.     

Reformulating the HMM as a trajectory model by imposing explicit relationships between static and dynamic feature vector sequences

In the present paper, a trajectory model, derived from a hidden Markov model (HMM) by imposing explicit relationships between static and dynamic feature vector sequences, is developed and evaluated. The derived model, named a trajectory HMM, can alleviate two limitations of the standard HMM, which are (i) piece-wise constant statistics within a state and (ii) conditional independence assumption of state output probabilities, without increasing the number of model parameters. In the present paper, a Viterbi-type training algorithm based on the maximum likelihood criterion is also derived. The performance of the trajectory HMM was evaluated both in speech recognition and synthesis. In a speaker-dependent continuous speech recognition experiment, the trajectory HMM achieved an error reduction over the corresponding standard HMM. Subjective listening test results showed that the introduction of the trajectory HMM improved the naturalness of synthetic speech.     

Cobra: a light-weight tool for static and dynamic program analysis

Static source code analysis tools have become indispensable for the development of reliable software applications. The best analyzers can reveal subtle flaws in a code base, but they can also be slow. In part this is due to the collection of detailed information about the possible data and control flow of an application to support the broadest possible range of analyses. For larger code bases it is not unusual that even the best of breed static analyzers can take an hour or more to complete an analysis. In this paper we describe a framework for a much faster, but more light-weight type of static analysis that can support interactive use for standard types of queries. The Cobra tool we designed for this purpose can scale to explore millions of lines of code interactively. The tool is mostly language agnostic, and can therefore easily be configured to resolve even dynamic program analysis queries.     

Development,global futures and IS research: a polemic

In this paper, I discuss the meaning of the term development as something of concern for all individuals, groups, organizations and societies, and I argue that many different global futures are possible depending on how well we succeed in realising our development goals and aspirations. Information and communication technologies are deeply implicated in approaches to development and in making global futures, and I argue the need for IS research which addresses a diversity of development arenas with context-specific studies, broadly critical in their approach, and aimed at making a better world with technology. I draw implications for action on the part of IS researchers in terms of research agenda, teaching activities, publishing, and institution building.     

Disentangling the relationships between plant pigments and the photochemical reflectance index reveals a new approach for remote estimation of carotenoid content

The Photochemical Reflectance Index (PRI) is used as an indicator of leaf and plant canopy photosynthetic efficiency. However, the photosynthetic efficiency-PRI relationship has been shown to be inconsistent over time, likely due to changes in foliar pigment content.We measured reflectance spectra and biochemical properties from 24 leaves of two deciduous tree species and acquired pigment and reflectance data from the Leaf Optical Properties EXperiment database for an additional nine species. These data were used as inputs for the PROSPECT-5 leaf optical model. We found measurements of PRI to be significantly (p < 0.05) correlated with chlorophyll content, carotenoid content, and the carotenoid/chlorophyll ratio. However, only the PRI-carotenoid/chlorophyll ratio relationship was consistent across all analyses. Two predictive equations were derived from PROSPECT-5 simulations: a curvilinear PRI model (PRI(clm)) predicted the carotenoid/chlorophyll ratio (r² = 0.99), and a linear model using the chlorophyll index (CI(lm)) predicted chlorophyll content (r² = 0.98). Multiplying PRI(clm) with CI(lm) canceled the influence of chlorophyll content on PRI(clm) and thus allowed for prediction of carotenoid content from 11 deciduous tree species (r² = 0.83). Our results confirm that the PRI is significantly influenced by chlorophyll and carotenoid pools and demonstrate a new approach for non-destructive estimation of leaf carotenoid content using the PRI. Because variation in foliar physiological status is known to relate to leaf carotenoid content and the carotenoid/chlorophyll ratio, convolving the PRI with a chlorophyll index is likely to be useful for understanding the photosynthetic performance of deciduous vegetation across a wide range of temporal periods, ranging from daily to seasonal time scales.     

Multitemporal analysis of land surface temperature using NOAA-AVHRR: preliminary relationships between climatic anomalies and forest fires

Advanced Very High Resolution Radiometer (AVHRR) National Oceanic and Atmospheric Administration (NOAA)-14 imagery was used to analyse changes in land surface temperature in an area of Central Mexico during the course of each dry season (November–April) for the period 1996–2000. Daily surface temperature was obtained by the split-window method and cloud-free monthly composites were subsequently built. This value was related to maximum air temperatures recorded at meteorological stations and to forest fires detected from night-time images. During 1996–1997 and 1997–1998 (El Niño) dry seasons, monthly surface temperature ranged from 35°C to 46°C and from 33°C to 51°C, respectively; during 1998–1999 (La Niña) and 1999–2000 it was lower, ranging from 28°C to 47°C, and from 28°C to 41°C, respectively. At the end of El Niño, land surface temperatures higher than 50°C were registered, and 730 forest fires were detected, suggesting that this temperature increment also contributed to the vulnerability of vegetation to fire. It is concluded that land surface temperature during the first four months of the dry season can be used as a variable for modelling the probability of forest fire occurrence, in combination with other environmental variables. Similarities between land surface temperature and maximum air temperature suggest the potential use of NOAA-AVHRR imagery for evaluating El Niño/La Niña effects on the continental surface.     

Two routes for bipolar information processing,and a blind spot in between

This position paper addresses the question of why, whilst the human brain is apparently geared to process information of mixed polarities, human reasoners sometimes fail to deal appropriately with simple instances of mixed evidence or mixed prospects. From a dual‐process perspective of thinking, two mental routes for bipolar information processing are identified. One is biologically acquired and evolution tied, and the other is the product of a cultural elaboration of rational norms. In between the two routes, a blind spot accounts for failures of bipolar information processing. © 2008 Wiley Periodicals, Inc.     

PATHMASTER: modelling differential diagnosis as "dynamic competition" between systematic analysis and disease-directed deduction

PATHMASTER is an expert system under development to assist in teaching histopathologic differential diagnosis. The system incorporates two "orthogonal" representations of the knowledge required to perform differential diagnosis. One representation groups histopathologic features around the anatomic structures of liver tissue, the second representation groups the features around the diseases in which they occur. Using these two representations, PATHMASTER models the process of diagnosis as a "dynamic competition" between systematic analysis and disease-directed deduction. By varying two parameters of PATHMASTER's underlying mathematical model, the interplay between these factors can be varied.     

新连接性指数与脂肪醇气相色谱保留指数的关系

基于定量结构-色谱保留相关(QSRR)研究醇类化合物的保留性质具有重要意义.通过对脂肪醇的研究,考虑到烷基和羟基的差异,修正文献,重新定义脂肪醇分子中顶点原子特征值ti,并在邻接矩阵的基础上构建新的连接性指数mL.运用多元线性回归法,将0阶指数0L、1阶指数1L与25种脂肪醇,在6种固定相(SE-30,OV-3,OV-...     

Plant location decisions in the ethanol industry: a dynamic and spatial analysis

Computational Economics - As a process relevant to the evolution of modern agriculture in North America, in this research we examine simulated ethanol plant location decisions. Due to the inherent...     

Superstars and outsiders in online markets: An empirical analysis of electronic books

Recent rapid growth in electronic book sales has raised a critical question for publishers and bookstores: do e-books cannibalize or increase print sales? In this article, we compare the best-selling titles sold on www.Amazon.com in print or electronic Kindle formats during the period from November 2007 to July 2010. Using econometric methods, we find that the cannibalization of print sales by e-books is more likely to occur for superstar titles written by successful authors. However, we find that a new segment of successful electronic titles that are not best-selling in print format emerge; these books would probably have been unpopular without the new Kindle store and therefore this new distribution channel has expanded the market. We refer to these titles as digital outsiders. The latter are characterized not only by lower prices but also by older release dates. They also include titles that are only released in electronic format. We then argue that electronic books increase the market viability of old print releases. Finally we identify a category that we call print-preferred books that are top sellers in print but not as e-books for reasons of color, graphics, or the need to navigate non-linearly, a style to which the current generation of e-book readers are not well adapted.     

Stochastic scheduling: A short history of index policies and new approaches to index generation for dynamic resource allocation

In the 1970’s John Gittins discovered that multi-armed bandits, an important class of models for the dynamic allocation of a single key resource among a set of competing projects, have optimal solutions of index form. At each decision epoch such policies allocate the resource to whichever project has the largest Gittins index. Since the 1970’s, Gittins’ index result together with a range of developments and reformulations of it have constituted an influential stream of ideas and results contributing to research into the scheduling of stochastic objects. We give a brief account of many of the most important contributions to this work and proceed to describe how index theory has recently been developed to produce strongly performing heuristic policies for the dynamic allocation of a divisible resource to a collection of stochastic projects (or bandits). A limitation on this work concerns the need for the structural requirement of indexability which is notoriously difficult to establish. We introduce a general framework for the development of index policies for dynamic resource allocation which circumvents this difficulty. We utilise this framework to generate index policies for two model classes of independent interest. Their performance is evaluated in an extensive numerical study.     

Changing relationships between users and DP specialists: Group discussion report

This is a report of a process. That process produced ideas resulting from an open discussion between individuals from differing backgrounds and representing a variety of viewpoints.The results are presented without editorial comment. They should be used to launch ideas and discussions as well as to suggest approaches to solutions applied in actual settings.