Short-term autocorrelation in Australian equities

This paper examines the statistical and economic significance of short-term autocorrelation in Australian equities. We document large negative first-order autocorrelation in individual stock returns. Preliminary results suggest this autocorrelation is economically significant, as two simple trading strategies based on the autocorrelation structure appear to yield large risk-adjusted returns. Further analysis, however, shows that these results are driven by the inclusion of small-capitalisation and low-priced stocks which are vulnerable to a number of market-microstructure-related problems. After revising the dataset to mitigate these problems, little evidence of economic significance remains.

On the robustness of short-term interest rate models

This paper investigates the robustness of a range of short–term interest rate models. We examine the robustness of these models over different data sets, time periods, sampling frequencies, and estimation techniques. We examine a range of popular one–factor models that allow the conditional mean (drift) and conditional variance (diffusion) to be functions of the current short rate. We find that parameter estimates are highly sensitive to all of these factors in the eight countries that we examine. Since parameter estimates are not robust, these models should be used with caution in practice.

Are there non-linearities in short-term interest rates?

The present paper investigates the characteristics of short-term interest rates in several countries. We examine the importance of nonlinearities in the mean reversion and volatility of short-term interest rates. We examine various models that allow the conditional mean (drift) and conditional variance (diffusion) to be functions of the current short rate.We find that different markets require different models. In particular, we find evidence of nonlinear mean reversion in some of the countries that we examine, linear mean reversion in others and no mean reversion in some countries. For all countries we examine, there is strong evidence of the need for the volatility of interest rate changes to be highly sensitive to the level of the short-term interest rate. Out-of-sample forecasting performance of one-factor short rate models is poor, stemming from the inability of the models to accommodate jumps and discontinuities in the time series data.

Short-term spatial diffusion in sigma o+ o- optical molasses

We have measured the spatial diffusion of atoms in a three-dimensional sigma(+)-sigma(-) optical molasses over twenty milliseconds timescale, starting from the initial interaction of the atoms with the molasses. We find that the diffusion constants agree well with a linear model for these short time scales and also compare favourably to other studies of diffusion made over longer time scales. These measurements enable us to quantify the detection method known as freezing molasses. We discuss this method, for detecting and measuring the momentum distribution of cold atoms, which relies on the slow diffusion of atoms in optical molasses to produce a freeze-frame of the spatial distribution of the atoms. This method enables a longer interrogation interval, providing a greatly increased signal-to-noise ratio. (C) 1998 Elsevier Science B.V.

Vaccine-induced Th1-type responses are dominant over Th2-type responses in the short term whereas pre-existing Th2 responses are dominant in the longer term

The effect of adjuvant on induction of human papillomavirus type 16 E7 protein-specific cytotoxic T lymphocytes (CTL) and immunoglobulin G (IgG)(2a) antibody was studied in C57BL/6 J mice immunized with various adjuvants and E7 protein. Quil-A adjuvant, but not complete Freund's adjuvant (CFA) or Algammulin, induced a T-helper 1 (Th1)-type response to E7, which was characterized by CTL activity against a tumour cell line transfected with E7 protein and by E7-specific IgG(2a). All tested adjuvants elicited comparable levels of E7-specific IgG(1). The longest duration and greatest magnitude of CTL response was seen following two immunizations with the highest dose of E7 and Quil-A. Simultaneous immunization with a Th1 and a T helper 2 (Th2)-promoting adjuvant gave a Th1-type response. However, E7 and Quil-A were unable to induce a Th1-type response (as measured by the inability to generate anti-E7 IgG(2a) antibody) in animals with a pre-existing Th2-type response to E7. These results suggest that saponin adjuvants may be suitable for immunotherapy in humans where a Th1-type response is sought, provided that there is no pre existing Th2-type response to the antigen.

Trends in the incidence, severity, and short-term outcome of stroke in Perth, Western Australia

Background and Purpose-This report describes trends in the key indices of cerebrovascular disease over 6 years from the end of the 1980s in a geographically defined segment of the city of Perth, Western Australia. Methods-Identical methods were used to find and assess all cases of suspected stroke in a population of approximately 134 000 residents in a triangular area of the northern suburbs of Perth. Case fatality was measured as vital status at 28 days after the onset of symptoms. Data for first-ever strokes and for all strokes for equivalent periods of 12 months in 1989-1990 and 1995-1996 were compared by age-standardized rates and proportions and Poisson regression. Results-There were 355 strokes in 328 patients and 251 first-ever strokes (71%) for 1989-1990 and 290 events in 281 patients and 213 first-ever strokes (73%) for 1995-1996. In Poisson models including age and period, overall trends in the incidence of both first-ever strokes (rate ratio = 0.75; 95% confidence limits, 0.63, 0.90) and all strokes (rate ratio = 0.73; 95% confidence limits, 0.62, 0.85) were obviously significant, but only the changes in men were independently significant. Case fatality did not change, and the balance between hemorrhagic and occlusive strokes in 1995-1996 was almost indistinguishable from that observed in 1989-1990. Conclusions-Our results, which are the only longitudinal population-based data available for Australia for key indices of stroke, suggest that it is a change in the frequency of stroke, rather than its outcome, that is chiefly responsible nationally for the fall in mortality from cerebrovascular disease.

An object-oriented neural network approach to short-term traffic forecasting

This paper discusses an object-oriented neural network model that was developed for predicting short-term traffic conditions on a section of the Pacific Highway between Brisbane and the Gold Coast in Queensland, Australia. The feasibility of this approach is demonstrated through a time-lag recurrent network (TLRN) which was developed for predicting speed data up to 15 minutes into the future. The results obtained indicate that the TLRN is capable of predicting speed up to 5 minutes into the future with a high degree of accuracy (90-94%). Similar models, which were developed for predicting freeway travel times on the same facility, were successful in predicting travel times up to 15 minutes into the future with a similar degree of accuracy (93-95%). These results represent substantial improvements on conventional model performance and clearly demonstrate the feasibility of using the object-oriented approach for short-term traffic prediction. (C) 2001 Elsevier Science B.V. All rights reserved.

Prior calcium channel blockade and short-term survival following acute myocardial infarction

There is concern over the safety of calcium channel blockers (CCBs) in acute coronary disease. We sought to determine if patients taking calcium channel blockers (CCBs) at the time of admission with acute myocardial infarction (AMI) had a higher case-fatality compared with those taking beta-blockers or neither medication. Clinical and drug treatment variables at the time of hospital admission predictive of survival at 28 days were examined in a community-based registry of patients aged under 65 years admitted to hospital for suspected AMI in Perth, Australia, between 1984 and 1993. Among 7766 patients, 1291 (16.6%) were taking a CCB and 1259 (16.2%) a betablocker alone at hospital admission. Patients taking CCBs had a worse clinical profile than those taking a beta-blocker alone or neither drug (control group), and a higher unadjusted 28-day mortality (17.6% versus 9.3% and 11.1% respectively, both P < 0.001). There was no significant heterogeneity with respect to mortality between nifedipine, diltiazem, or verapamil when used alone, or with a beta-blocker. After adjustment for factors predictive of death at 28 days, patients taking a CCB were found not to have an excess chance of death compared with the control group (odds ratio [OR] 1.06, 95% confidence interval [CI]; 0.87, 1.30), whereas those taking a beta-blocker alone had a lower odds of death (OR 0.75, 95% CI; 0.59, 0.94). These results indicate that established calcium channel blockade is not associated with an excess risk of death following AMI once other differences between patients are taken into account, but neither does it have the survival advantage seen with prior beta-blocker therapy.

Stimulating dormancy release and emergence of annual ryegrass (Lolium rigidum) seeds using short-term hydrated storage in darkness

Experiments were performed to determine whether the dormancy release effect of hydrated storage in darkness (dark-stratification) is common amongst annual ryegrass populations and has the potential to occur under field conditions. Dormant seeds from all populations tested (22) became sensitive to light during dark-stratification, enabling them to germinate when subsequently exposed to light. Under controlled temperature (25/15degreesC), light (12-h photoperiod), and hydration (solidified agar-water) conditions, more seeds germinated by 28 days if the first 14 days were in darkness followed by exposure to light for 12 h per day than if they were exposed to light throughout or darkness throughout. Constraint over the conditions imposed during dark-stratification and germination was gradually reduced to investigate whether the dormancy release effect was diminished. Dark-stratification was effective in promoting germination when performed under natural diurnal temperatures, and burial in moist soil provided suitable conditions for dark-stratification to occur. The surface of moist soil, with natural diurnal temperatures and sunlight, was suitable for germination of dark-stratified seeds. Dark-stratification is a quick and effective means to enhance the sensitivity of dormant annual ryegrass seeds to light, enabling the majority of the population to germinate. However, large quantities of light are required to promote germination of dark-stratified seeds, so buried seeds must be moved to the soil surface to allow exposure to adequate light for germination.

Short-term and long-term cardiovascular actions of different doses of perindopril in the rabbit

Short-term (one week) and chronic (six week) cardiovascular effects of orally administered perindopril were examined in the rabbit to demonstrate if short-term results can predict chronic outcomes. In short-term treatment, five doses of perindopril were examined in random order separated by a one week recovery period in each of six rabbits. Two doses of perindopril which resulted in a moderate hypotensive effect (-14 mmHg) and no hypotensive effect, respectively, were then selected for long-term treatment. Each rabbit in the short-term study received perindopril in doses of 0.01, 0.06, 0.32, 1.8 and 10 mg kg(-1) day(-1) for a week at a time. Rabbits on long-term treatment received either 0.3 or 0.01 mg kg(-1) day(-1) perindopril for six weeks. All rabbits had their mean arterial blood pressure (MAP) and heart rate recorded throughout treatment. Plasma angiotensin I (AngI), perindoprilat, angiotensin converting enzyme (ACE) inhibition were also assayed. Perindopril treatment for one week produced a dose-dependent hypotensive effect with the threshold dose, 0.06 mg kg(-1) day(-1), producing a 6.5+/-1.8 mmHg fall in MAP. The highest dose (10.0 mg kg(-1) day(-1)) produced a large fall in blood pressure of -29.6+/-4.2 mmHg. The 0.01 and 0.06 mg kg(-1) day(-1) doses of perindopril produced an average 2.65 fold increase in plasma AngI levels compared to the initial control. The three higher doses (0.32-10.0 mg kg(-1) day(-1)) of perindopril produced an equivalent 5.7 fold increase in plasma AngI levels compared to the initial controls. However, over six weeks 0.01 mg kg(-1) day(-1) perindopril induced a similar decrease in MAP as the 30 fold higher dose (-9.3 mmHg compared to -11.7 mmHg,). This was in spite of a 3 fold difference in plasma perindoprilat concentrations between the high and low dose perindopril groups. Plasma ACE inhibition was >80% with both doses of perindopril. The results indicate that while perindopril decreases MAP in a dose-dependent manner in short-term (one week) periods, over longer treatment times (six weeks) low concentrations of perindopril, non-hypotensive with shortterm treatment, may be as anti-hypertensive as considerably higher doses. (C) 1996 The Italian Pharmacological Society.