The cross-currency hedging performance of implied versus statistical forecasting models

This article examines the ability of several models to generate optimal hedge ratios. Statistical models employed include univariate and multivariate generalized autoregressive conditionally heteroscedastic (GARCH) models, and exponentially weighted and simple moving averages. The variances of the hedged portfolios derived using these hedge ratios are compared with those based on market expectations implied by the prices of traded options. One-month and three-month hedging horizons are considered for four currency pairs. Overall, it has been found that an exponentially weighted moving-average model leads to lower portfolio variances than any of the GARCH-based, implied or time-invariant approaches.

Approximation by harmonic polynomials in star-shaped domains and exponential convergence of Trefftz hp-dGFEM

We study the approximation of harmonic functions by means of harmonic polynomials in two-dimensional, bounded, star-shaped domains. Assuming that the functions possess analytic extensions to a delta-neighbourhood of the domain, we prove exponential convergence of the approximation error with respect to the degree of the approximating harmonic polynomial. All the constants appearing in the bounds are explicit and depend only on the shape-regularity of the domain and on delta. We apply the obtained estimates to show exponential convergence with rate O(exp(−b square root N)), N being the number of degrees of freedom and b>0, of a hp-dGFEM discretisation of the Laplace equation based on piecewise harmonic polynomials. This result is an improvement over the classical rate O(exp(−b cubic root N )), and is due to the use of harmonic polynomial spaces, as opposed to complete polynomial spaces.

Screening for convergence insufficiency using the CISS is not indicated in young adults

Aim This paper presents Convergence Insufficiency Symptom Survey (CISS) and orthoptic findings in a sample of typical young adults who considered themselves to have normal eyesight apart from weak spectacles. Methods The CISS questionnaire was administered,followed by a full orthoptic evaluation, to 167 university undergraduate and postgraduate students during the recruitment phase of another study. The primary criterion for recruitment to this study was that participants‘feltthey had normal eyesight'. A CISS score of ≥21 was used to define‘significant’symptoms, and convergence insufficiency (CI) was defined as convergence≥8cm from the nose with a fusion range <15Δ base-out with small or no exophoria. Results The group mean CISS score was 15.4. In all, 17(10%) of the participants were diagnosed with CI, but 11(65%) of these did not have significant symptoms. 41(25%) participants returned a‘high’CISS score of ≥21 but only 6 (15%) of these had genuine CI. Sensitivity of the CISS to detect CI in this asymptomatic sample was 38%; specificity 77%; positive predictive value 15%; and negative predictive value 92%. The area under a receiver operating characteristic curve was 0.596 (95% CI 0.46 to 0.73). Conclusions‘Visual symptoms’are common in young adults, but often not related to any clinical defect, while true CI may be asymptomatic. This study suggests that screening for CI is not indicated

Umami: a delicious flavor formed by convergence of taste and olfactory pathways in the human brain

Umami taste is produced by glutamate acting on a fifth taste system. However, glutamate presented alone as a taste stimulus is not highly pleasant, and does not act synergistically with other tastes (sweet, salt, bitter and sour). We show here that when glutamate is given in combination with a consonant, savory, odour (vegetable), the resulting flavor can be much more pleasant. Moreover, we showed using functional brain imaging with fMRI that the glutamate taste and savory odour combination produced much greater activation of the medial orbitofrontal cortex and pregenual cingulate cortex than the sum of the activations by the taste and olfactory components presented separately. Supralinear effects were much less (and significantly less) evident for sodium chloride and vegetable odour. Further, activations in these brain regions were correlated with the pleasantness and fullness of the flavor, and with the consonance of the taste and olfactory components. Supralinear effects of glutamate taste and savory odour were not found in the insular primary taste cortex. We thus propose that glutamate acts by the nonlinear effects it can produce when combined with a consonant odour in multimodal cortical taste-olfactory convergence regions. We propose the concept that umami can be thought of as a rich and delicious flavor that is produced by a combination of glutamate taste and a consonant savory odour. Glutamate is thus a flavor enhancer because of the way that it can combine supralinearly with consonant odours in cortical areas where the taste and olfactory pathways converge far beyond the receptors.

Disparity-driven vs blur-driven models of accommodation and convergence in binocular vision and intermittent strabismus

Background. Current models of concomitant, intermittent strabismus, heterophoria, convergence and accommodation anomalies are either theoretically complex or incomplete. We propose an alternative and more practical way to conceptualize clinical patterns. Methods. In each of three hypothetical scenarios (normal; high AC/A and low CA/C ratios; low AC/A and high CA/C ratios) there can be a disparity-biased or blur-biased “style”, despite identical ratios. We calculated a disparity bias index (DBI) to reflect these biases. We suggest how clinical patterns fit these scenarios and provide early objective data from small illustrative clinical groups. Results. Normal adults and children showed disparity bias (adult DBI 0.43 (95%CI 0.50-0.36), child DBI 0.20 (95%CI 0.31-0.07) (p=0.001). Accommodative esotropes showed less disparity-bias (DBI 0.03). In the high AC/A and low CA/C scenario, early presbyopes had mean DBI of 0.17 (95%CI 0.28-0.06), compared to DBI of -0.31 in convergence excess esotropes. In the low AC/A and high CA/C scenario near exotropes had mean DBI of 0.27, while we predict that non-strabismic, non-amblyopic hyperopes with good vision without spectacles will show lower DBIs. Disparity bias ranged between 1.25 and -1.67. Conclusions. Establishing disparity or blur bias, together with knowing whether convergence to target demand exceeds accommodation or vice versa explains clinical patterns more effectively than AC/A and CA/C ratios alone. Excessive bias or inflexibility in near-cue use increases risk of clinical problems. We suggest clinicians look carefully at details of accommodation and convergence changes induced by lenses, dissociation and prisms and use these to plan treatment in relation to the model.

Noisy Monte Carlo: convergence of Markov chains with approximate transition kernels

Monte Carlo algorithms often aim to draw from a distribution π by simulating a Markov chain with transition kernel P such that π is invariant under P. However, there are many situations for which it is impractical or impossible to draw from the transition kernel P. For instance, this is the case with massive datasets, where is it prohibitively expensive to calculate the likelihood and is also the case for intractable likelihood models arising from, for example, Gibbs random fields, such as those found in spatial statistics and network analysis. A natural approach in these cases is to replace P by an approximation Pˆ. Using theory from the stability of Markov chains we explore a variety of situations where it is possible to quantify how ’close’ the chain given by the transition kernel Pˆ is to the chain given by P . We apply these results to several examples from spatial statistics and network analysis.

Statistical-dynamical downscaling for wind energy potentials: evaluation and applications to decadal hindcasts and climate change projections

A statistical–dynamical downscaling (SDD) approach for the regionalization of wind energy output (Eout) over Europe with special focus on Germany is proposed. SDD uses an extended circulation weather type (CWT) analysis on global daily mean sea level pressure fields with the central point being located over Germany. Seventy-seven weather classes based on the associated CWT and the intensity of the geostrophic flow are identified. Representatives of these classes are dynamically downscaled with the regional climate model COSMO-CLM. By using weather class frequencies of different data sets, the simulated representatives are recombined to probability density functions (PDFs) of near-surface wind speed and finally to Eout of a sample wind turbine for present and future climate. This is performed for reanalysis, decadal hindcasts and long-term future projections. For evaluation purposes, results of SDD are compared to wind observations and to simulated Eout of purely dynamical downscaling (DD) methods. For the present climate, SDD is able to simulate realistic PDFs of 10-m wind speed for most stations in Germany. The resulting spatial Eout patterns are similar to DD-simulated Eout. In terms of decadal hindcasts, results of SDD are similar to DD-simulated Eout over Germany, Poland, Czech Republic, and Benelux, for which high correlations between annual Eout time series of SDD and DD are detected for selected hindcasts. Lower correlation is found for other European countries. It is demonstrated that SDD can be used to downscale the full ensemble of the Earth System Model of the Max Planck Institute (MPI-ESM) decadal prediction system. Long-term climate change projections in Special Report on Emission Scenarios of ECHAM5/MPI-OM as obtained by SDD agree well to the results of other studies using DD methods, with increasing Eout over northern Europe and a negative trend over southern Europe. Despite some biases, it is concluded that SDD is an adequate tool to assess regional wind energy changes in large model ensembles.

The statistical downscaling model-decision centric (SDSM-DC): conceptual basis and applications

Regional climate downscaling has arrived at an important juncture. Some in the research community favour continued refinement and evaluation of downscaling techniques within a broader framework of uncertainty characterisation and reduction. Others are calling for smarter use of downscaling tools, accepting that conventional, scenario-led strategies for adaptation planning have limited utility in practice. This paper sets out the rationale and new functionality of the Decision Centric (DC) version of the Statistical DownScaling Model (SDSM-DC). This tool enables synthesis of plausible daily weather series, exotic variables (such as tidal surge), and climate change scenarios guided, not determined, by climate model output. Two worked examples are presented. The first shows how SDSM-DC can be used to reconstruct and in-fill missing records based on calibrated predictor-predictand relationships. Daily temperature and precipitation series from sites in Africa, Asia and North America are deliberately degraded to show that SDSM-DC can reconstitute lost data. The second demonstrates the application of the new scenario generator for stress testing a specific adaptation decision. SDSM-DC is used to generate daily precipitation scenarios to simulate winter flooding in the Boyne catchment, Ireland. This sensitivity analysis reveals the conditions under which existing precautionary allowances for climate change might be insufficient. We conclude by discussing the wider implications of the proposed approach and research opportunities presented by the new tool.

The statistical cusp: a flux transfer event model

Traditionally, the cusp has been described in terms of a time-stationary feature of the magnetosphere which allows access of magnetosheath-like plasma to low altitudes. Statistical surveys of data from low-altitude spacecraft have shown the average characteristics and position of the cusp. Recently, however, it has been suggested that the ionospheric footprint of flux transfer events (FTEs) may be identified as variations of the “cusp” on timescales of a few minutes. In this model, the cusp can vary in form between a steady-state feature in one limit and a series of discrete ionospheric FTE signatures in the other limit. If this time-dependent cusp scenario is correct, then the signatures of the transient reconnection events must be able, on average, to reproduce the statistical cusp occurrence previously determined from the satellite observations. In this paper, we predict the precipitation signatures which are associated with transient magnetopause reconnection, following recent observations of the dependence of dayside ionospheric convection on the orientation of the IMF. We then employ a simple model of the longitudinal motion of FTE signatures to show how such events can easily reproduce the local time distribution of cusp occurrence probabilities, as observed by low-altitude satellites. This is true even in the limit where the cusp is a series of discrete events. Furthermore, we investigate the existence of double cusp patches predicted by the simple model and show how these events may be identified in the data.

A statistical study of large field-aligned flows of thermal ions at high-latitudes

A number of case studies of large, transient, field-aligned ion flows in the topside ionosphere at high-latitudes have been reported, showing that these events occur during periods of frictional heating and/or intense particle precipitation. This study examines the frequency of occurrence of such events for the altitude range 200–500 km, based on 3 years of incoherent scatter data. Correlations of the upgoing ion flux at 400 km with ion and electron temperatures at lower altitudes are presented, together with a discussion of possible mechanisms for the production of such large flows. The influence of low-altitude electron precipitation on the production of these events is also considered.

The role of statistical learning in the acquisition of motion event construal in a second language

Learning to talk about motion in a second language is very difficult because it involves restructuring deeply entrenched patterns from the first language (Slobin 1996). In this paper we argue that statistical learning (Saffran et al. 1997) can explain why L2 learners are only partially successful in restructuring their second language grammars. We explore to what extent L2 learners make use of two mechanisms of statistical learning, entrenchment and pre-emption (Boyd and Goldberg 2011) to acquire target-like expressions of motion and retreat from overgeneralisation in this domain. Paying attention to the frequency of existing patterns in the input can help learners to adjust the frequency with which they use path and manner verbs in French but is insufficient to acquire the boundary crossing constraint (Slobin and Hoiting 1994) and learn what not to say. We also look at the role of language proficiency and exposure to French in explaining the findings.