Consumption habit and international stock returns

We use the consumption-based asset pricing model with habit formation to study the predictability and cross-section of returns from the international equity markets. We find that the predictability of returns from many developed countries' equity markets is explained in part by changing prices of risks associated with consumption relative to habit at the world as well as local levels. We also provide an exploratory investigation of the cross-sectional implications of the model under the complete world market integration hypothesis and find that the model performs mildly better than the traditional consumption-based model. the unconditional and conditional world CAPMs and a three-factor international asset pricing model. (C) 2004 Elsevier B.V. All rights reserved.

Using extreme value theory to measure value-at-risk for daily electricity spot prices

The recent deregulation in electricity markets worldwide has heightened the importance of risk management in energy markets. Assessing Value-at-Risk (VaR) in electricity markets is arguably more difficult than in traditional financial markets because the distinctive features of the former result in a highly unusual distribution of returns-electricity returns are highly volatile, display seasonalities in both their mean and volatility, exhibit leverage effects and clustering in volatility, and feature extreme levels of skewness and kurtosis. With electricity applications in mind, this paper proposes a model that accommodates autoregression and weekly seasonals in both the conditional mean and conditional volatility of returns, as well as leverage effects via an EGARCH specification. In addition, extreme value theory (EVT) is adopted to explicitly model the tails of the return distribution. Compared to a number of other parametric models and simple historical simulation based approaches, the proposed EVT-based model performs well in forecasting out-of-sample VaR. In addition, statistical tests show that the proposed model provides appropriate interval coverage in both unconditional and, more importantly, conditional contexts. Overall, the results are encouraging in suggesting that the proposed EVT-based model is a useful technique in forecasting VaR in electricity markets. (c) 2005 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.

Simulation of a complete reflected shock tunnel showing a vortex mechanism for flow contamination

Simulations of a complete reflected shock tunnel facility have been performed with the aim of providing a better understanding of the flow through these facilities. In particular, the analysis is focused on the premature contamination of the test flow with the driver gas. The axisymmetric simulations model the full geometry of the shock tunnel and incorporate an iris-based model of the primary diaphragm rupture mechanics, an ideal secondary diaphragm and account for turbulence in the shock tube boundary layer with the Baldwin-Lomax eddy viscosity model. Two operating conditions were examined: one resulting in an over-tailored mode of operation and the other resulting in approximately tailored operation. The accuracy of the simulations is assessed through comparison with experimental measurements of static pressure, pitot pressure and stagnation temperature. It is shown that the widely-accepted driver gas contamination mechanism in which driver gas 'jets' along the walls through action of the bifurcated foot of the reflected shock, does not directly transport the driver gas to the nozzle at these conditions. Instead, driver gas laden vortices are generated by the bifurcated reflected shock. These vortices prevent jetting of the driver gas along the walls and convect driver gas away from the shock tube wall and downstream into the nozzle. Additional vorticity generated by the interaction of the reflected shock and the contact surface enhances the process in the over-tailored case. However, the basic mechanism appears to operate in a similar way for both the over-tailored and the approximately tailored conditions.

The temporal and spatial limits of compensation for fixational eye movements

High-fidelity eye tracking is combined with a perceptual grouping task to provide insight into the likely mechanisms underlying the compensation of retinal image motion caused by movement of the eyes. The experiments describe the covert detection of minute temporal and spatial offsets incorporated into a test stimulus. Analysis of eye motion on individual trials indicates that the temporal offset sensitivity is actually due to motion of the eye inducing artificial spatial offsets in the briefly presented stimuli. The results have strong implications for two popular models of compensation for fixational eye movements, namely efference copy and image-based models. If an efference copy model is assumed, the results place constraints on the spatial accuracy and source of compensation. If an image-based model is assumed then limitations are placed on the integration time window over which motion estimates are calculated. (c) 2006 Elsevier Ltd. All rights reserved.

Intake rates and the functional response in shorebirds (Charadriiformes) eating macro-invertebrates

As field determinations take much effort, it would be useful to be able to predict easily the coefficients describing the functional response of free-living predators, the function relating food intake rate to the abundance of food organisms in the environment. As a means easily to parameterise an individual-based model of shorebird Charadriiformes populations, we attempted this for shorebirds eating macro-invertebrates. Intake rate is measured as the ash-free dry mass (AFDM) per second of active foraging; i.e. excluding time spent on digestive pauses and other activities, such as preening. The present and previous studies show that the general shape of the functional response in shorebirds eating approximately the same size of prey across the full range of prey density is a decelerating rise to a plateau, thus approximating the Holling type 11 ('disc equation') formulation. But field studies confirmed that the asymptote was not set by handling time, as assumed by the disc equation, because only about half the foraging time was spent in successfully or unsuccessfully attacking and handling prey, the rest being devoted to searching. A review of 30 functional responses showed that intake rate in free-living shorebirds varied independently of prey density over a wide range, with the asymptote being reached at very low prey densities (< 150/m(-2)). Accordingly, most of the many studies of shorebird intake rate have probably been conducted at or near the asymptote of the functional response, suggesting that equations that predict intake rate should also predict the asymptote. A multivariate analysis of 468 'spot' estimates of intake rates from 26 shorebirds identified ten variables, representing prey and shorebird characteristics, that accounted for 81 % of the variance in logarithm-transformed intake rate. But four-variables accounted for almost as much (77.3 %), these being bird size, prey size, whether the bird was an oystercatcher Haematopus ostralegus eating mussels Mytilus edulis, or breeding. The four variable equation under-predicted, on average, the observed 30 estimates of the asymptote by 11.6%, but this discrepancy was reduced to 0.2% when two suspect estimates from one early study in the 1960s were removed. The equation therefore predicted the observed asymptote very successfully in 93 % of cases. We conclude that the asymptote can be reliably predicted from just four easily measured variables. Indeed, if the birds are not breeding and are not oystercatchers eating mussels, reliable predictions can be obtained using just two variables, bird and prey sizes. A multivariate analysis of 23 estimates of the half-asymptote constant suggested they were smaller when prey were small but greater when the birds were large, especially in oystercatchers. The resulting equation could be used to predict the half-asymptote constant, but its predictive power has yet to be tested. As well as predicting the asymptote of the functional response, the equations will enable research workers engaged in many areas of shorebird ecology and behaviour to estimate intake rate without the need for conventional time-consuming field studies, including species for which it has not yet proved possible to measure intake rate in the field.

Accounting for management costs in sensitivity analyses of matrix population models

Traditional sensitivity and elasticity analyses of matrix population models have been used to p inform management decisions, but they ignore the economic costs of manipulating vital rates. For exam le, the growth rate of a population is often most sensitive to changes in adult survival rate, but this does not mean that increasing that rate is the best option for managing the population because it may be much more expensive than other options. To explore how managers should optimize their manipulation of vital rates, we incorporated the cost of changing those rates into matrix population models. We derived analytic expressions for locations in parameter space where managers should shift between management of fecundity and survival, for the balance between fecundity and survival management at those boundaries, and for the allocation of management resources to sustain that optimal balance. For simple matrices, the optimal budget allocation can often be expressed as simple functions of vital rates and the relative costs of changing them. We applied our method to management of the Helmeted Honeyeater (Lichenostomus melanops cassidix; an endangered Australian bird) and the koala (Phascolarctos cinereus) as examples. Our method showed that cost-efficient management of the Helmeted Honeyeater should focus on increasing fecundity via nest protection, whereas optimal koala management should focus on manipulating both fecundity and survival simultaneously, These findings are contrary to the cost-negligent recommendations of elasticity analysis, which would suggest focusing on managing survival in both cases. A further investigation of Helmeted Honeyeater management options, based on an individual-based model incorporating density dependence, spatial structure, and environmental stochasticity, confirmed that fecundity management was the most cost-effective strategy. Our results demonstrate that decisions that ignore economic factors will reduce management efficiency.

Using integrated metamodeling to define OO design patterns with object-z and UML

Three important goals in describing software design patterns are: generality, precision, and understandability. To address these goals, this paper presents an integrated approach to specifying patterns using Object-Z and UML. To achieve the generality goal, we adopt a role-based metamodeling approach to define patterns. With this approach, each pattern is defined as a pattern role model. To achieve precision, we formalize role concepts using Object-Z (a role metamodel) and use these concepts to define patterns (pattern role models). To achieve understandability, we represent the role metamodel and pattern role models visually using UML. Our pattern role models provide a precise basis for pattern-based model transformations or refactoring approaches.

Likelihood-based estimation of the regression model with scrambled responses

A significant problem in the collection of responses to potentially sensitive questions, such as relating to illegal, immoral or embarrassing activities, is non-sampling error due to refusal to respond or false responses. Eichhorn & Hayre (1983) suggested the use of scrambled responses to reduce this form of bias. This paper considers a linear regression model in which the dependent variable is unobserved but for which the sum or product with a scrambling random variable of known distribution, is known. The performance of two likelihood-based estimators is investigated, namely of a Bayesian estimator achieved through a Markov chain Monte Carlo (MCMC) sampling scheme, and a classical maximum-likelihood estimator. These two estimators and an estimator suggested by Singh, Joarder & King (1996) are compared. Monte Carlo results show that the Bayesian estimator outperforms the classical estimators in almost all cases, and the relative performance of the Bayesian estimator improves as the responses become more scrambled.

A model of specification-based testing of interactive systems

In this paper we present a model of specification-based testing of interactive systems. This model provides the basis for a framework to guide such testing. Interactive systems are traditionally decomposed into a functionality component and a user interface component; this distinction is termed dialogue separation and is the underlying basis for conceptual and architectural models of such systems. Correctness involves both proper behaviour of the user interface and proper computation by the underlying functionality. Specification-based testing is one method used to increase confidence in correctness, but it has had limited application to interactive system development to date.

Melphalan dosing regimens for management of recurrent melanoma by isolated limb perfusion: Application of a physiological pharmacokinetic model based on melphalan distribution in the isolated perfused rat hindlimb

The optimal dosing schedule for melphalan therapy of recurrent malignant melanoma in isolated limb perfusions has been examined using a physiological pharmacokinetic model with data from isolated rat hindlimb perfusions (IRHP), The study included a comparison of melphalan distribution in IRHP under hyperthermia and normothermia conditions. Rat hindlimbs were perfused with Krebs-Henseleit buffer containing 4.7% bovine serum albumin at 37 or 41.5 degrees C at a flow rate of 4 ml/min. Concentrations of melphalan in perfusate and tissues were determined by high performance liquid chromatography with fluorescence detection, The concentration of melphalan in perfusate and tissues was linearly related to the input concentration. The rate and amount of melphalan uptake into the different tissues was higher at 41.5 degrees C than at 37 degrees C. A physiological pharmacokinetic model was validated from the tissue and perfusate time course of melphalan after melphalan perfusion. Application of the model involved the amount of melphalan exposure in the muscle, skin and fat in a recirculation system was related to the method of melphalan administration: single bolus > divided bolus > infusion, The peak concentration of melphalan in the perfusate was also related to the method of administration in the same order, Infusing the total dose of melphalan over 20 min during a 60 min perfusion optimized the exposure of tissues to melphalan whilst minimizing the peak perfusate concentration of melphalan. It is suggested that this method of melphalan administration may be preferable to other methods in terms of optimizing the efficacy of melphalan whilst minimizing the limb toxicity associated with its use in isolated limb perfusion.

A mathematical model for Escherichia coli debris size reduction during high pressure homogenisation based on grinding theory

Experimental data for E. coli debris size reduction during high-pressure homogenisation at 55 MPa are presented. A mathematical model based on grinding theory is developed to describe the data. The model is based on first-order breakage and compensation conditions. It does not require any assumption of a specified distribution for debris size and can be used given information on the initial size distribution of whole cells and the disruption efficiency during homogenisation. The number of homogeniser passes is incorporated into the model and used to describe the size reduction of non-induced stationary and induced E. coil cells during homogenisation. Regressing the results to the model equations gave an excellent fit to experimental data ( > 98.7% of variance explained for both fermentations), confirming the model's potential for predicting size reduction during high-pressure homogenisation. This study provides a means to optimise both homogenisation and disc-stack centrifugation conditions for recombinant product recovery. (C) 1997 Elsevier Science Ltd.