Evaluating interval forecasts of high-frequency financial data

A number of methods of evaluating the validity of interval forecasts of financial data are analysed, and illustrated using intraday FTSE100 index futures returns. Some existing interval forecast evaluation techniques, such as the Markov chain approach of Christoffersen (1998), are shown to be inappropriate in the presence of periodic heteroscedasticity. Instead, we consider a regression-based test, and a modified version of Christoffersen's Markov chain test for independence, and analyse their properties when the financial time series exhibit periodic volatility. These approaches lead to different conclusions when interval forecasts of FTSE100 index futures returns generated by various GARCH(1,1) and periodic GARCH(1,1) models are evaluated.

Using high-frequency water quality data to assess sampling strategies for the EU Water Framework Directive

The EU Water Framework Directive (WFD) requires that the ecological and chemical status of water bodies in Europe should be assessed, and action taken where possible to ensure that at least "good" quality is attained in each case by 2015. This paper is concerned with the accuracy and precision with which chemical status in rivers can be measured given certain sampling strategies, and how this can be improved. High-frequency (hourly) chemical data from four rivers in southern England were subsampled to simulate different sampling strategies for four parameters used for WFD classification: dissolved phosphorus, dissolved oxygen, pH and water temperature. These data sub-sets were then used to calculate the WFD classification for each site. Monthly sampling was less precise than weekly sampling, but the effect on WFD classification depended on the closeness of the range of concentrations to the class boundaries. In some cases, monthly sampling for a year could result in the same water body being assigned to three or four of the WFD classes with 95% confidence, due to random sampling effects, whereas with weekly sampling this was one or two classes for the same cases. In the most extreme case, the same water body could have been assigned to any of the five WFD quality classes. Weekly sampling considerably reduces the uncertainties compared to monthly sampling. The width of the weekly sampled confidence intervals was about 33% that of the monthly for P species and pH, about 50% for dissolved oxygen, and about 67% for water temperature. For water temperature, which is assessed as the 98th percentile in the UK, monthly sampling biases the mean downwards by about 1 °C compared to the true value, due to problems of assessing high percentiles with limited data. Low-frequency measurements will generally be unsuitable for assessing standards expressed as high percentiles. Confining sampling to the working week compared to all 7 days made little difference, but a modest improvement in precision could be obtained by sampling at the same time of day within a 3 h time window, and this is recommended. For parameters with a strong diel variation, such as dissolved oxygen, the value obtained, and thus possibly the WFD classification, can depend markedly on when in the cycle the sample was taken. Specifying this in the sampling regime would be a straightforward way to improve precision, but there needs to be agreement about how best to characterise risk in different types of river. These results suggest that in some cases it will be difficult to assign accurate WFD chemical classes or to detect likely trends using current sampling regimes, even for these largely groundwater-fed rivers. A more critical approach to sampling is needed to ensure that management actions are appropriate and supported by data.

Mechatronic design of a high frequency probe for haptic interaction

Current force feedback, haptic interface devices are generally limited to the display of low frequency, high amplitude spatial data. A typical device consists of a low impedance framework of one or more degrees-of-freedom (dof), allowing a user to explore a pre-defined workspace via an end effector such as a handle, thimble, probe or stylus. The movement of the device is then constrained using high gain positional feedback, thus reducing the apparent dof of the device and conveying the illusion of hard contact to the user. Such devices are, however, limited to a narrow bandwidth of frequencies, typically below 30Hz, and are not well suited to the display of surface properties, such as object texture. This paper details a device to augment an existing force feedback haptic display with a vibrotactile display, thus providing a means of conveying low amplitude, high frequency spatial information of object surface properties. 1. Haptics and Haptic Interfaces Haptics is the study of human touch and interaction with the external environment via touch. Information from the human sense of touch can be classified in to two categories, cutaneous and kinesthetic. Cutaneous information is provided via the mechanoreceptive nerve endings in the glabrous skin of the human hand. It is primarily a means of relaying information regarding small-scale details in the form of skin stretch, compression and vibration.

Detecting intraday periodicities with application to high frequency exchange rates

Many recent papers have documented periodicities in returns, return volatility, bid–ask spreads and trading volume, in both equity and foreign exchange markets. We propose and employ a new test for detecting subtle periodicities in time series data based on a signal coherence function. The technique is applied to a set of seven half-hourly exchange rate series. Overall, we find the signal coherence to be maximal at the 8-h and 12-h frequencies. Retaining only the most coherent frequencies for each series, we implement a trading rule that is based on these observed periodicities. Our results demonstrate in all cases except one that, in gross terms, the rules can generate returns that are considerably greater than those of a buy-and-hold strategy, although they cannot retain their profitability net of transactions costs. We conjecture that this methodology could constitute an important tool for financial market researchers which will enable them to detect, quantify and rank the various periodic components in financial data better.

Does high-frequency repetitive transcranial magnetic stimulation produce residual and/or cumulative effects within an experimental session?

A common procedure for studying the effects on cognition of repetitive transcranial magnetic stimulation (rTMS) is to deliver rTMS concurrent with task performance, and to compare task performance on these trials versus on trials without rTMS. Recent evidence that TMS can have effects on neural activity that persist longer than the experimental session itself, however, raise questions about the assumption of the transient nature of rTMS that underlies many concurrent (or "online") rTMS designs. To our knowledge, there have been no studies in the cognitive domain examining whether the application of brief trains of rTMS during specific epochs of a complex task may have effects that spill over into subsequent task epochs, and perhaps into subsequent trials. We looked for possible immediate spill-over and longer-term cumulative effects of rTMS in data from two studies of visual short-term delayed recognition. In 54 subjects, 10-Hz rTMS trains were applied to five different brain regions during the 3-s delay period of a spatial task, and in a second group of 15 subjects, electroencephalography (EEG) was recorded while 10-Hz rTMS was applied to two brain areas during the 3-s delay period of both spatial and object tasks. No evidence for immediate effects was found in the comparison of the memory probe-evoked response on trials that were vs. were not preceded by delay-period rTMS. No evidence for cumulative effects was found in analyses of behavioral performance, and of EEG signal, as a function of task block. The implications of these findings, and their relation to the broader literature on acute vs. long-lasting effects of rTMS, are considered.

The signature of ENSO in the Northern Hemisphere midlatitude seasonal mean flow and high-frequency intraseasonal variability

The impact of pronounced positive and negative sea surface temperature (STT) anomalies in the tropical Pacific associated with the El Niño/Southern Oscillation (ENSO) phenomenon on the atmospheric circulation in the Northern Hemisphere extratropics during the boreal winter season is investigated. This includes both the impact on the seasonal mean flow and on the intraseasonal variability on synoptic time scales. Moreover, the interaction between the transient fluctuations on these times scales and the mean circulation is examined. Both data from an ensemble of five simulations with the ECHAM3 atmospheric general circulation model at a horizontal resolution of T42 each covering the period from 1979 through 1992 and operational analyses from ECMWF for the corresponding period are examined. In each of the simulations observed SSTs for the period of investigation are given as lower boundary forcing, but different atmospheric initial conditions are prescribed. The simulations with ECHAM3 reveal a distinct impact of the pronounced SST-anomalies in the tropical Pacific on the atmospheric circulation in the Northern Hemisphere extratropics during El Niño as well as during La Niña events. These changes in the atmospheric circulation, which are found to be highly significant in the Pacific/North American as well as in the Atlantic/European region, are consistent with the essential results obtained from the analyses. The pronounced SST-anomalies in the tropical Pacific lead to changes in the mean circulation, which are characterized by typical circulation patterns. These changes in the mean circulation are accompanied by marked variations of the activity of the transient fluctuations on synoptic time scales, that are changes in both the kinetic energy on these time scales and the atmospheric transports of momentum and heat accomplished by the short baroclinic waves. The synoptic disturbances, on the other hand, play also an important role in controlling the changes in the mean circulation associated with the ENSO phenomenon. They maintain these typical circulation patterns via barotropic, but counteract them via baroclinic processes. The hypothesis of an impact of the ENSO phenomenon in the Atlantic/European region can be supported. As the determining factor the intensification (reduction) of the Aleutian low and the simultaneous reduction (intensification) of the Icelandic low during El Niño and during La Niña events respectively, is identified. The changes in the intensity of the Aleutian low during the ENSO-events are accompanied by an alteration of the transport of momentum caused by the short baroclinic waves over the North American continent in such a way that the changes in the intensity of the Icelandic low during El Niño as well as during La Niña events are maintained.

The water quality of the River Enborne, UK: observations from high-frequency Monitoring in a rural, lowland river system

This paper reports the results of a 2-year study of water quality in the River Enborne, a rural river in lowland England. Concentrations of nitrogen and phosphorus species and other chemical determinands were monitored both at high-frequency (hourly), using automated in situ instrumentation, and by manual weekly sampling and laboratory analysis. The catchment land use is largely agricultural, with a population density of 123 persons km−2. The river water is largely derived from calcareous groundwater, and there are high nitrogen and phosphorus concentrations. Agricultural fertiliser is the dominant source of annual loads of both nitrogen and phosphorus. However, the data show that sewage effluent discharges have a disproportionate effect on the river nitrogen and phosphorus dynamics. At least 38% of the catchment population use septic tank systems, but the effects are hard to quantify as only 6% are officially registered, and the characteristics of the others are unknown. Only 4% of the phosphorus input and 9% of the nitrogen input is exported from the catchment by the river, highlighting the importance of catchment process understanding in predicting nutrient concentrations. High-frequency monitoring will be a key to developing this vital process understanding.

Characterising phosphorus and nitrate inputs to a rural river using high-frequency concentration-flow relationships

The total reactive phosphorus (TRP) and nitrate concentrations of the River Enborne, southern England, were monitored at hourly interval between January 2010 and December 2011. The relationships between these high-frequency nutrient concentration signals and flow were used to infer changes in nutrient source and dynamics through the annual cycle and each individual storm event, by studying hysteresis patterns. TRP concentrations exhibited strong dilution patterns with increasing flow, and predominantly clockwise hysteresis through storm events. Despite the Enborne catchment being relatively rural for southern England, TRP inputs were dominated by constant, non-rain-related inputs from sewage treatment works (STW) for the majority of the year, producing the highest phosphorus concentrations through the spring–summer growing season. At higher river flows, the majority of the TRP load was derived from within-channel remobilisation of phosphorus from the bed sediment, much of which was also derived from STW inputs. Therefore, future phosphorus mitigation measures should focus on STW improvements. Agricultural diffuse TRP inputs were only evident during storms in the May of each year, probably relating to manure application to land. The nitrate concentration–flow relationship produced a series of dilution curves, indicating major inputs from groundwater and to a lesser extent STW. Significant diffuse agricultural inputs with anticlockwise hysteresis trajectories were observed during the first major storms of the winter period. The simultaneous investigation of high-frequency time series data, concentration–flow relationships and hysteresis behaviour through multiple storms for both phosphorus and nitrate offers a simple and innovative approach for providing new insights into nutrient sources and dynamics.

High-frequency water quality monitoring in an urban catchment: hydrochemical dynamics, primary production and implications for the Water Framework Directive

This paper describes the hydrochemistry of a lowland, urbanised river-system, The Cut in England, using in situ sub-daily sampling. The Cut receives effluent discharges from four major sewage treatment works serving around 190,000 people. These discharges consist largely of treated water, originally abstracted from the River Thames and returned via the water supply network, substantially increasing the natural flow. The hourly water quality data were supplemented by weekly manual sampling with laboratory analysis to check the hourly data and measure further determinands. Mean phosphorus and nitrate concentrations were very high, breaching standards set by EU legislation. Though 56% of the catchment area is agricultural, the hydrochemical dynamics were significantly impacted by effluent discharges which accounted for approximately 50% of the annual P catchment input loads and, on average, 59% of river flow at the monitoring point. Diurnal dissolved oxygen data demonstrated high in-stream productivity. From a comparison of high frequency and conventional monitoring data, it is inferred that much of the primary production was dominated by benthic algae, largely diatoms. Despite the high productivity and nutrient concentrations, the river water did not become anoxic and major phytoplankton blooms were not observed. The strong diurnal and annual variation observed showed that assessments of water quality made under the Water Framework Directive (WFD) are sensitive to the time and season of sampling. It is recommended that specific sampling time windows be specified for each determinand, and that WFD targets should be applied in combination to help identify periods of greatest ecological risk. This article is protected by copyright. All rights reserved.

A collocation method for high frequency scattering by convex polygons

We consider the problem of scattering of a time-harmonic acoustic incident plane wave by a sound soft convex polygon. For standard boundary or finite element methods, with a piecewise polynomial approximation space, the computational cost required to achieve a prescribed level of accuracy grows linearly with respect to the frequency of the incident wave. Recently Chandler–Wilde and Langdon proposed a novel Galerkin boundary element method for this problem for which, by incorporating the products of plane wave basis functions with piecewise polynomials supported on a graded mesh into the approximation space, they were able to demonstrate that the number of degrees of freedom required to achieve a prescribed level of accuracy grows only logarithmically with respect to the frequency. Here we propose a related collocation method, using the same approximation space, for which we demonstrate via numerical experiments a convergence rate identical to that achieved with the Galerkin scheme, but with a substantially reduced computational cost.

A Galerkin boundary element method for high frequency scattering by convex polygons

In this paper we consider the problem of time-harmonic acoustic scattering in two dimensions by convex polygons. Standard boundary or finite element methods for acoustic scattering problems have a computational cost that grows at least linearly as a function of the frequency of the incident wave. Here we present a novel Galerkin boundary element method, which uses an approximation space consisting of the products of plane waves with piecewise polynomials supported on a graded mesh, with smaller elements closer to the corners of the polygon. We prove that the best approximation from the approximation space requires a number of degrees of freedom to achieve a prescribed level of accuracy that grows only logarithmically as a function of the frequency. Numerical results demonstrate the same logarithmic dependence on the frequency for the Galerkin method solution. Our boundary element method is a discretization of a well-known second kind combined-layer-potential integral equation. We provide a proof that this equation and its adjoint are well-posed and equivalent to the boundary value problem in a Sobolev space setting for general Lipschitz domains.

Boundary integral methods in high frequency scattering

In this article we review recent progress on the design, analysis and implementation of numerical-asymptotic boundary integral methods for the computation of frequency-domain acoustic scattering in a homogeneous unbounded medium by a bounded obstacle. The main aim of the methods is to allow computation of scattering at arbitrarily high frequency with finite computational resources.

Do High-Frequency Eddies Contribute to Low-Frequency Teleconnection Tendencies?*

An isentropic potential vorticity (PV) budget analysis is employed to examine the role of synoptic transients, advection, and nonconservative processes as forcings for the evolution of the low-frequency PV anomalies locally and those associated with the North Atlantic Oscillation (NAO) and the Pacific–North American (PNA) pattern. Specifically, the rate of change of the low-frequency PV is expressed as a sum of tendencies due to divergence of eddy transport, advection by the low-frequency flow (hereafter referred to as advection), and the residual nonconservative processes. The balance between the variances and covariances of these terms is illustrated using a novel vector representation. It is shown that for most locations, as well as for the PNA pattern, the PV variability is dominantly driven by advection. The eddy forcing explains a small amount of the tendency variance. For the NAO, the role of synoptic eddy fluxes is found to be stronger, explaining on average 15% of the NAO tendency variance. Previous studies have not assessed quantitively how the various forcings balance the tendency. Thus, such studies may have overestimated the role of eddy fluxes for the evolution of teleconnections by examining, for example, composites and regressions that indicate maintenance, rather than evolution driven by the eddies. The authors confirm this contrasting view by showing that during persistent blocking (negative NAO) episodes the eddy driving is relatively stronger.