Forecasting high-frequency futures returns using online langevin dynamics

Forecasting the returns of assets at high frequency is the key challenge for high-frequency algorithmic trading strategies. In this paper, we propose a jump-diffusion model for asset price movements that models price and its trend and allows a momentum strategy to be developed. Conditional on jump times, we derive closed-form transition densities for this model. We show how this allows us to extract a trend from high-frequency finance data by using a Rao-Blackwellized variable rate particle filter to filter incoming price data. Our results show that even in the presence of transaction costs our algorithm can achieve a Sharpe ratio above 1 when applied across a portfolio of 75 futures contracts at high frequency. © 2011 IEEE.

Prices need no preferences: social trends determine decisions in experimental markets for pain relief.

OBJECTIVE: A standard view in health economics is that, although there is no market that determines the "prices" for health states, people can nonetheless associate health states with monetary values (or other scales, such as quality adjusted life year [QALYs] and disability adjusted life year [DALYs]). Such valuations can be used to shape health policy, and a major research challenge is to elicit such values from people; creating experimental "markets" for health states is a theoretically attractive way to address this. We explore the possibility that this framework may be fundamentally flawed-because there may not be any stable values to be revealed. Instead, perhaps people construct ad hoc values, influenced by contextual factors, such as the observed decisions of others. METHOD: The participants bid to buy relief from equally painful electrical shocks to the leg and arm in an experimental health market based on an interactive second-price auction. Thirty subjects were randomly assigned to two experimental conditions where the bids by "others" were manipulated to follow increasing or decreasing price trends for one, but not the other, pain. After the auction, a preference test asked the participants to choose which pain they prefer to experience for a longer duration. RESULTS: Players remained indifferent between the two pain-types throughout the auction. However, their bids were differentially attracted toward what others bid for each pain, with overbidding during decreasing prices and underbidding during increasing prices. CONCLUSION: Health preferences are dissociated from market prices, which are strongly referenced to others' choices. This suggests that the price of health care in a free-market has the capacity to become critically detached from people's underlying preferences.

Designing Inclusive Futures

This book is the result of the fourth CWUAAT workshop held in Cambridge, England in April 2008.

Thorium energy futures

The potential for thorium as an alternative or supplement to uranium in fission power generation has long been recognised, and several reactors, of various types, have already operated using thorium-based fuels. Accelerator Driven Subcritical (ADS) systems have benefits and drawbacks when compared to conventional critical thorium reactors, for both solid and molten salt fuels. None of the four options - liquid or solid, with or without an accelerator - can yet be rated as better or worse than the other three, given today's knowledge. We outline the research that will be necessary to lead to an informed choice. Copyright © 2012 by IEEE.

Innovation, the diesel engine and vehicle markets: Evidence from OECD engine patents

This paper uses a patent data set to identify factors fostering innovation of diesel engines between 1974 and 2010 in the OECD region. The propensity of engine producers to innovate grew by 1.9 standard deviations after the expansion of the car market, by 0.7 standard deviations following a shift in the EU fuel economy standard, and by 0.23 standard deviations. The propensity to develop emissions control techniques was positively influenced by pollution control laws introduced in Japan, in the US, and in the EU, but not with the expansion of the car market. Furthermore, a decline in loan rates stimulated the propensity to develop emissions control techniques, which were simultaneously crowded out by increases in publicly-funded transport research and development. Innovation activities in engine efficiency are explained by market size, loan rates and by (Organisation for Economic Cooperation and Development) diesel prices, inclusive of taxes. Price effects on innovation, outweigh that of the US corporate average fuel economy standards. Innovation is also positively influenced by past transport research and development. © 2014 Elsevier Ltd.