Volatility timing : how best to forecast portfolio exposures

This paper investigates how best to forecast optimal portfolio weights in the context of a volatility timing strategy. It measures the economic value of a number of methods for forming optimal portfolios on the basis of realized volatility. These include the traditional econometric approach of forming portfolios from forecasts of the covariance matrix, and a novel method, where a time series of optimal portfolio weights are constructed from observed realized volatility and directly forecast. The approach proposed here of directly forecasting portfolio weights shows a great deal of merit. Resulting portfolios are of equivalent economic benefit to a number of competing approaches and are more stable across time. These findings have obvious implications for the manner in which volatility timing is undertaken in a portfolio allocation context.

The relationship between implied and realized volatility : evidence from the Australian stock index option market

This paper examines the relationship between the volatility implied in option prices and the subsequently realized volatility by using the S&P/ASX 200 index options (XJO) traded on the Australian Stock Exchange (ASX) during a period of 5 years. Unlike stock index options such as the S&P 100 index options in the US market, the S&P/ASX 200 index options are traded infrequently and in low volumes, and have a long maturity cycle. Thus an errors-in-variables problem for measurement of implied volatility is more likely to exist. After accounting for this problem by instrumental variable method, it is found that both call and put implied volatilities are superior to historical volatility in forecasting future realized volatility. Moreover, implied call volatility is nearly an unbiased forecast of future volatility.

The potential to mitigate global warming with no-tillage management is only realized when practised in the long term

No-tillage (NT) management has been promoted as a practice capable of offsetting greenhouse gas (GHG) emissions because of its ability to sequester carbon in soils. However, true mitigation is only possible if the overall impact of NT adoption reduces the net global warming potential (GWP) determined by fluxes of the three major biogenic GHGs (i.e. CO2, N2O, and CH4). We compiled all available data of soil-derived GHG emission comparisons between conventional tilled (CT) and NT systems for humid and dry temperate climates. Newly converted NT systems increase GWP relative to CT practices, in both humid and dry climate regimes, and longer-term adoption (>10 years) only significantly reduces GWP in humid climates. Mean cumulative GWP over a 20-year period is also reduced under continuous NT in dry areas, but with a high degree of uncertainty. Emissions of N2O drive much of the trend in net GWP, suggesting improved nitrogen management is essential to realize the full benefit from carbon storage in the soil for purposes of global warming mitigation. Our results indicate a strong time dependency in the GHG mitigation potential of NT agriculture, demonstrating that GHG mitigation by adoption of NT is much more variable and complex than previously considered, and policy plans to reduce global warming through this land management practice need further scrutiny to ensure success.

Semi-parametric forecasting of realized volatility

Forecasts generated by time series models traditionally place greater weight on more recent observations. This paper develops an alternative semi-parametric method for forecasting that does not rely on this convention and applies it to the problem of forecasting asset return volatility. In this approach, a forecast is a weighted average of historical volatility, with the greatest weight given to periods that exhibit similar market conditions to the time at which the forecast is being formed. Weighting is determined by comparing short-term trends in volatility across time (as a measure of market conditions) by means of a multivariate kernel scheme. It is found that the semi-parametric method produces forecasts that are significantly more accurate than a number of competing approaches at both short and long forecast horizons.

The benefit of modeling jumps in realized volatility for risk prediction : evidence from Chinese mainland stocks

Recent literature has focused on realized volatility models to predict financial risk. This paper studies the benefit of explicitly modeling jumps in this class of models for value at risk (VaR) prediction. Several popular realized volatility models are compared in terms of their VaR forecasting performances through a Monte Carlo study and an analysis based on empirical data of eight Chinese stocks. The results suggest that careful modeling of jumps in realized volatility models can largely improve VaR prediction, especially for emerging markets where jumps play a stronger role than those in developed markets.

Comparison of intraspecific genetic structure among related chironomids (Diptera) from New Zealand and Patagonia : disparity between potential and realized dispersal

Population genetic studies of freshwater invertebrate taxa in New Zealand and South America are currently few despite the geologically and climatically dynamic histories of these regions. The focus of our study was a comparison of the influence on realized dispersal of 2 closely related nonbiting midges (Chironomidae) of population fragmentation on these separated austral land masses. We used a 734-base pair (bp) fragment of cytochrome c oxidase subunit I (COI) to investigate intraspecific genetic structure in Naonella forsythi Boothroyd in New Zealand and Ferringtonia patagonica Edwards in Patagonia. We proposed hypotheses about their potential dispersal and, hence, expected patterns of genetic structure in these 2 species based on published patterns for the closely related Australian taxon Echinocladius martini Cranston. Genetic structure revealed for both N. forsythi and F. patagonica was characterized by several highly divergent (2.0–10.5%) lineages of late Miocene–Pliocene age within each taxon that were not geographically localized. Many were distributed widely. This pattern differed greatly from population structure in E. martini, which was typified by much greater endemicity of divergent genetic lineages. Nevertheless, diversification of lineages in all 3 taxa appeared to be temporally congruent with the onset of late Miocene glaciations in the southern hemisphere that may have driven fragmentation of suitable habitat, promoting isolation of populations and divergence in allopatry. We argue that differences in realized dispersal post-isolation may be the result of differing availability of suitable habitat in interglacial periods.

Modelling CO2 adsorption and separation on experimentally-realized B40 fullerene

Searching for efficient solid sorbents for CO2 adsorption and separation is important for developing emergent carbon reduction and natural gas purification technology. This work, for the first time, has investigated the adsorption of CO2 on newly experimentally realized cage-like B40 fullerene (Zhai et al., 2014) based on density functional theory calculations. We find that the adsorption of CO2 on B40 fullerene involves a relatively large energy barrier (1.21 eV), however this can be greatly decreased to 0.35 eV by introducing an extra electron. A practical way to realize negatively charged B40 fullerene is then proposed by encapsulating a Li atom into the B40 fullerene (Li@B40). Li@B40 is found to be highly stable and can significantly enhance both the thermodynamics and kinetics of CO2 adsorption, while the adsorptions of N2, CH4 and H2 on the Li@B40 fullerene remain weak in comparison. Since B40 fullerene has been successfully synthesized in a most recent experiment, our results highlight a new promising material for CO2 capture and separation for future experimental validation.

Giving in Australia: Philanthropic Potential Beginning To Be Realized

Australia in a sense has two histories: that of its indigenous Aboriginal and Torres Strait Islander people based on a traditional culture of mutual dependence and reciprocal altruism (Turner, 1981) and the other from its eighteenth century colonization as a British penal outpost. These colonial overtones have proved an abiding cultural force. A dominant government presence, British legal platform, and ongoing sense that ‘the government will provide’ remain today (Liffman, 2008; McDonald & Scaife, 2011).

Blue-yellow ZnO homostructural light-emitting diode realized by metalorganic chemical vapor deposition technique

We report on the realization of ZnO homojunction light-emitting diodes (LEDs) fabricated by metalorganic chemical vapor deposition on (0001) ZnO bulk substrate. The p-type ZnO epilayer was formed by nitrogen incorporation using N2O gas as oxidizing and doping sources. Distinct electroluminescence (EL) emissions in the blue and yellow regions were observed at room temperature by the naked eye under forward bias. The EL peak energy coincided with the photoluminescence peak energy of the ZnO epilayer, suggesting that the EL emissions emerge from the ZnO epilayer. In addition, the current-voltage and light output-voltage characteristics of ZnO homojunction LEDs have also been studied. (c) 2006 American Institute of Physics.

Validation of a method for estimating realized annual fecundity in a multiple spawner, the long-snouted seahorse (Hippocampus guttulatus), using underwater visual census

The long-snouted seahorse (Hippocampus guttulatus) (Cuvier, 1829), was used to validate the pre-dictive accuracy of three progressively realistic models for estimating the realized annual fecundity of asyn-chronous, indeterminate, multiple spawners. Underwater surveys and catch data were used to estimate the duration of the reproductive season, female spawning frequency, male brooding frequency, and batch fecun-dity. The most realistic model, a generalization of the spawning fraction method, produced unbiased estimates of male brooding frequency (mean ±standard deviation [SD]=4.2 ±1.6 broods/year). Mean batch fecundity and realized annual fecundity were 213.9 (±110.9) and 903.6 (±522.4), respectively. However, females prepared significantly more clutches than the number of broods produced by males. Thus, methods that infer spawning frequency from patterns in female egg production may lead to significant overestimates of realized annual fecundity. The spawning fraction method is broadly applicable to many taxa that exhibit parental care and can be applied nondestructively to species for which conservation is a concern.

New generation of two-dimensional spintronic systems realized by coupling of Rashba and Dirac fermions

Intriguing phenomena and novel physics predicted for two-dimensional (2D) systems formed by electrons in Dirac or Rashba states motivate an active search for new materials or combinations of the already revealed ones. Being very promising ingredients in themselves, interplaying Dirac and Rashba systems can provide a base for next generation of spintronics devices, to a considerable extent, by mixing their striking properties or by improving technically significant characteristics of each other. Here, we demonstrate that in BiTeI@PbSb2Te4 composed of a BiTeI trilayer on top of the topological insulator (TI) PbSb2Te4 weakly- and strongly-coupled Dirac-Rashba hybrid systems are realized. The coupling strength depends on both interface hexagonal stacking and trilayer-stacking order. The weakly-coupled system can serve as a prototype to examine, e.g., plasmonic excitations, frictional drag, spin-polarized transport, and charge-spin separation effect in multilayer helical metals. In the strongly-coupled regime, within similar to 100 meV energy interval of the bulk TI projected bandgap a helical state substituting for the TI surface state appears. This new state is characterized by a larger momentum, similar velocity, and strong localization within BiTeI. We anticipate that our findings pave the way for designing a new type of spintronics devices based on Rashba-Dirac coupled systems.

High-frequency programmable acoustic wave device realized through ferroelectric domain engineering

Surface acoustic wave devices are extensively used in contemporary wireless communication devices. We used atomic force microscopy to form periodic macroscopic ferroelectric domains in sol-gel deposited lead zirconate titanate, where each ferroelectric domain is composed of many crystallites, each of which contains many microscopic ferroelastic domains. We examined the electro-acoustic characteristics of the apparatus and found a resonator behavior similar to that of an equivalent surface or bulk acoustic wave device. We show that the operational frequency of the device can be tailored by altering the periodicity of the engineered domains and demonstrate high-frequency filter behavior (>8GHz), allowing low-cost programmable high-frequency resonators. © 2014 AIP Publishing LLC.