Reliability factors in business software: volatility, requirements and end-users

Many business-oriented software applications are subject to frequent changes in requirements. This paper shows that, ceteris paribus, increases in the volatility of system requirements decrease the reliability of software. Further, systems that exhibit high volatility during the development phase are likely to have lower reliability during their operational phase. In addition to the typically higher volatility of requirements, end-users who specify the requirements of business-oriented systems are usually less technically oriented than people who specify the requirements of compilers, radar tracking systems or medical equipment. Hence, the characteristics of software reliability problems for business-oriented systems are likely to differ significantly from those of more technically oriented systems.

The value of idiosyncratic markers and changes to conserved tRNA sequences from the mitochondrial genome of hard ticks (Acari: Ixodida: Ixodidae) for phylogenetic inference

Idiosyncratic markers are features of genes and genomes that are so unusual that it is unlikely that they evolved more than once in a lineage of organisms. Here we explore further the potential of idiosyncratic markers and changes to typically conserved tRNA sequences for phylogenetic inference. Hard ticks were chosen as the model group because their phylogeny has been studied extensively. Fifty-eight candidate markers from hard ticks ( family Ixodidae) and 22 markers from the subfamily Rhipicephalinae sensu lato were mapped onto phylogenies of these groups. Two of the most interesting markers, features of the secondary structure of two different tRNAs, gave strong support to the hypothesis that species of the Prostriata ( Ixodes spp.) are monophyletic. Previous analyses of genes and morphology did not strongly support this relationship, instead suggesting that the Prostriata is paraphyletic with respect to the Metastriata ( the rest of the hard ticks). Parallel or convergent evolution was not found in the arrangements of mitochondrial genes in ticks nor were there any reversals to the ancestral arthropod character state. Many of the markers identified were phylogenetically informative, whereas others should be informative with study of additional taxa. Idiosyncratic markers and changes to typically conserved nucleotides in tRNAs that are phylogenetically informative were common in this data set, and thus these types of markers might be found in other organisms.

Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico

This paper investigates the hypotheses that the recently established Mexican stock index futures market effectively serves the price discovery function, and that the introduction of futures trading has provoked volatility in the underlying spot market. We test both hypotheses simultaneously with daily data from Mexico in the context of a modified EGARCH model that also incorporates possible cointegration between the futures and spot markets. The evidence supports both hypotheses, suggesting that the futures market in Mexico is a useful price discovery vehicle, although futures trading has also been a source of instability for the spot market. Several managerial implications are derived and discussed. (C) 2004 Elsevier B.V. All rights reserved.

Canonical valuation of options in the presence of stochastic volatility

Proposed by M. Stutzer (1996), canonical valuation is a new method for valuing derivative securities under the risk-neutral framework. It is non-parametric, simple to apply, and, unlike many alternative approaches, does not require any option data. Although canonical valuation has great potential, its applicability in realistic scenarios has not yet been widely tested. This article documents the ability of canonical valuation to price derivatives in a number of settings. In a constant-volatility world, canonical estimates of option prices struggle to match a Black-Scholes estimate based on historical volatility. However, in a more realistic stochastic-volatility setting, canonical valuation outperforms the Black-Scholes model. As the volatility generating process becomes further removed from the constant-volatility world, the relative performance edge of canonical valuation is more evident. In general, the results are encouraging that canonical valuation is a useful technique for valuing derivatives. (C) 2005 Wiley Periodicals, Inc.