Predicting stock index volatility: can market volume help?

This paper explores a number of statistical models for predicting the daily stock return volatility of an aggregate of all stocks traded on the NYSE. An application of linear and non-linear Granger causality tests highlights evidence of bidirectional causality, although the relationship is stronger from volatility to volume than the other way around. The out-of-sample forecasting performance of various linear, GARCH, EGARCH, GJR and neural network models of volatility are evaluated and compared. The models are also augmented by the addition of a measure of lagged volume to form more general ex-ante forecasting models. The results indicate that augmenting models of volatility with measures of lagged volume leads only to very modest improvements, if any, in forecasting performance.

Linear and non-linear (non-)forecastability of high-frequency exchange rates

This paper forecasts Daily Sterling exchange rate returns using various naive, linear and non-linear univariate time-series models. The accuracy of the forecasts is evaluated using mean squared error and sign prediction criteria. These show only a very modest improvement over forecasts generated by a random walk model. The Pesaran–Timmerman test and a comparison with forecasts generated artificially shows that even the best models have no evidence of market timing ability.

Intercomparison of simulated global vegetation distribution in response to 6 kyr BP orbital forcing

The response of ten atmospheric general circulation models to orbital forcing at 6 kyr BP has been investigated using the BIOME model, which predicts equilibrium vegetation distribution, as a diagnostic. Several common features emerge: (a) reduced tropical rain forest as a consequence of increased aridity in the equatorial zone, (b) expansion of moisture-demanding vegetation in the Old World subtropics as a consequence of the expansion of the Afro–Asian monsoon, (c) an increase in warm grass/shrub in the Northern Hemisphere continental interiors in response to warming and enhanced aridity, and (d) a northward shift in the tundra–forest boundary in response to a warmer growing season at high northern latitudes. These broadscale features are consistent from model to model, but there are differences in their expression at a regional scale. Vegetation changes associated with monsoon enhancement and high-latitude summer warming are consistent with palaeoenvironmental observations, but the simulated shifts in vegetation belts are too small in both cases. Vegetation changes due to warmer and more arid conditions in the midcontinents of the Northern Hemisphere are consistent with palaeoenvironmental data from North America, but data from Eurasia suggests conditions were wetter at 6 kyr BP than today. The models show quantitatively similar vegetation changes in the intertropical zone, and in the northern and southern extratropics. The small differences among models in the magnitude of the global vegetation response are not related to differences in global or zonal climate averages, but reflect differences in simulated regional features. Regional-scale analyses will therefore be necessary to identify the underlying causes of such differences among models.

Reinterpreting ‘generic structure’: evolution, application and limitations of a concept

This paper traces the evolution of thegeneric structure concept in system dynamics and discusses the different practical uses to which they have been put. A review of previous work leads to the identification of three different views of what a ‘generic structure’ is and, hence, what transferability means. These different views are distinguishable in application as well as in theory. Examination of these interpretations shows that the assumptions behind them are quite distinct. From this analysis it is argued that it is no longer useful to treat ‘generic structure’ as a single concept since the unity it implies is only superficial. The conclusion is that the concept needs unbundling so that different assumptions about transferability of structure can be made explicit, and the role of generic structures as generalisable theories of dynamic behaviour in system dynamics theory and practice can be debated and clarified more effectively.

Friendly amendment: a commentary on Doyle and Ford's proposed re-definition of 'mental model'

Some amendments are proposed to a recent redefinition of the mental model concept in system dynamics. First, externalised, or articulated mental models should not be called cognitive maps; this term has a well established, alternative meaning. Second, there can be mental models of entities not yet existing beyond an individual's mind; the modelling of planned or desired systems is possible and recommended. Third, saying that mental models maintain social systems connects with some exciting research opportunities for system dynamics; however, it is probably an accidental distraction from the intended meaning of the redefinition. These minor criticisms apart, the new definition of mental model of a dynamic system is welcomed as a useful contribution to both research and practice.

Does domperidone, a D2-antagonist alter gastric emptying rates and appetite sensations in healthy adults with high-fat meal? A block-randomised, single-blind placebo-controlled study

BACKGROUND: Accelerated gastric emptying (GE) may lead to reduced satiation, increased food intake and is associated with obesity and type 2 diabetes. Domperidone is a dopamine 2 (D(2)) receptor antagonist with claims of gastrointestinal tract pro-kinetic activity. In humans, domperidone is used as an anti-emetic and treatment for gastrointestinal bloating and discomfort. AIM: To determine the effect of acute domperidone administration on GE rate and appetite sensations in healthy adults. METHODS: A single-blind block randomised placebo-controlled crossover study assessed 13 healthy adults. Subjects ingested 10 mg domperidone or placebo 30 min before a high-fat (HF) test meal. GE rate was determined using the (13)CO(2) octanoic acid breath test. Breath samples and subjective appetite ratings were collected in the fasted and during the 360 min postprandial period. RESULTS:Gastric emptying half-time was similar following placebo (254 ± 54 min) and 10 mg domperidone (236 ± 65 min). Domperidone did not change appetite sensations during the 360 min postprandial period (P > 0.05). CONCLUSIONS: In healthy adults, acute administration of 10 mg domperidone did not change GE or appetite sensations following a HF test meal.

Energy-balance mechanisms underlying consistent large-scale temperature responses in warm and cold climates

Climate simulations show consistent large-scale temperature responses including amplified land–ocean contrast, high-latitude/low-latitude contrast, and changes in seasonality in response to year-round forcing, in both warm and cold climates, and these responses are proportional and nearly linear across multiple climate states. We examine the possibility that a small set of common mechanisms controls these large-scale responses using a simple energy-balance model to decompose the temperature changes shown in multiple lgm and abrupt4 × CO 2 simulations from the CMIP5 archive. Changes in the individual components of the energy balance are broadly consistent across the models. Although several components are involved in the overall temperature responses, surface downward clear-sky longwave radiation is the most important component driving land–ocean contrast and high-latitude amplification in both warm and cold climates. Surface albedo also plays a significant role in promoting high-latitude amplification in both climates and in intensifying the land–ocean contrast in the warm climate case. The change in seasonality is a consequence of the changes in land–ocean and high-latitude/low-latitude contrasts rather than an independent temperature response. This is borne out by the fact that no single component stands out as being the major cause of the change in seasonality, and the relative importance of individual components is different in cold and warm climates.

Biology and reproductive behavior of Murgantia histrionica (Heteroptera: Pentatomidae)

Life history parameters and reproductive behaviors of the harlequin bug, Murgantia histrionica Hahn (Heteroptera: Pentatomidae), were determined. Total developmental time from egg to adult was ≈48 d. After a sexual maturation period of ≈7 d, both sexes mated repeatedly, with females laying multiple egg masses of 12 eggs at intervals of 3 d. Adult females lived an average of 41 d, whereas adult males lived an average of 25 d. Courtship and copulation activities peaked in the middle of the photophase. In mating experiments in which mixed sex pairs of virgin and previously mated bugs were combined in all possible combinations, the durations of courtship and copulation by virgin males were significantly longer with both virgin and previously mated females than the same behaviors for previously mated males. When given a choice between a virgin or previously mated female, previously mated males preferred to mate with virgin females, whereas virgin males showed no preference for virgin over previously mated females. Analyses of mating behaviors with ethograms and behavioral transition matrices suggested that a primary reason for failure to copulate by virgin males was the incorrect rotation of their pygophores to the copulation position, so that successful alignment of the genitalia could not occur.

Long-term storage of ectomycorrhizal basidiomycetes (Hebeloma spp.) at low temperature

A method for maintaining viable cultures of ectomycorrhizal Hebeloma strains in cold liquid culture medium is described. Isolates of Hebeloma spp., collected over a wide geographic range, were stored at 2 °C for a period of three years. All cultures survived this storage period, a greater time period and success rate than has previously been reported for the long term storage of ectomycorrhizal basidiomycetes. The method may prove useful for long-term storage of other basidiomycete genera.

Comparative growth of ectomycorrhizal fungi (Hebeloma spp.) on organic and inorganic nitrogen

In the largely organic soils in which ectomycorrhizas are commonly found, a preference for absorbing organic nitrogen over mineral forms is likely to be an advantage, especially where mineralisation rates are low. To determine rates of both independent and preferential growth of ectomycorrhizal basidiomycetes on organic and inorganic nitrogen, strains of Hebeloma were grown on nutrient agar media containing either NH4+ or glutamic acid as the sole source of nitrogen, on both single medium and split plate Petri dishes. Growth rates on the split plate Petri dishes, where the fungi had access to both nitrogen sources, were generally greater than on the single medium dishes. Growth on glutamic acid was at least equal to, and usually greater than, that on NH4+. In some cases growth on NH4+ alone appeared severely inhibited, a condition that was partially alleviated by access to glutamic acid on the split plates Petri dishes. This highlights a potential pitfall of single nitrogen source growth studies. The greater growth of most strains on glutamic acid suggests an adaptation to organic nitrogen utilisation in these strains. If this is so in soils with low mineralisation rates, direct uptake of amino acids by ectomycorrhizal plants could by-pass the bottle neck that requires mineral nitrogen to be made available for plant uptake.

Tracer Leakage from Modeled Agulhas Rings

In a numerical, isopycnal, ocean model the mixing is investigated with the environment of two idealized Agulhas rings, one that splits, and one that remains coherent. The evolution of a passive tracer , initially contained within the rings, shows that tracer leakage is associated with the for mation of filaments in the early stage of ring evolution. These filaments reach down to the ther mocline. In the deepest layers leakage occurs on a larger scale. Self-advection of the rings is ver y irregular , and it is not possible to compute a Lagrangian boundar y i n order to estimate the transport of leakage from the rings. T o describe the processes that gover n tracer leakage, in a coordinate frame moving with the ring a kinematic separatrix is defined in the streamfunction field for the nondivergent flow . Initially , filaments arise because of the elongation of the ring, which is mainly gover ned by an m 5 2 instability that is collaborating with differential rotation. Because of beta, the symmetr y i s destroyed related to the separatrix associated with a stagnation point in the flow . The filament upstream of the stagnation point grows much faster and is associated with the bulk of tracer leakage. Mixing is enhanced by time dependence of the separatrix. As a result, there are no large differences between the leakage from a coherent ring, where the m 5 2 instability equilibrates, and from a splitting ring, where the m 5 2 instability keeps growing, which confir ms that the amount of leakage is mainly gover ned by the ring’ s initial defor mation combined with unsteady self-advection of the ring and not by the splitting of the ring. The decay of tracer content in the ther mocline shows that in the first months up to 40% of the ring water can be mixed with the environment. In deeper layers the decay of tracer content may reach up to 90%.

A Variance-Minimizing Filter for Large-Scale Applications

A truly variance-minimizing filter is introduced and its per for mance is demonstrated with the Korteweg– DeV ries (KdV) equation and with a multilayer quasigeostrophic model of the ocean area around South Africa. It is recalled that Kalman-like filters are not variance minimizing for nonlinear model dynamics and that four - dimensional variational data assimilation (4DV AR)-like methods relying on per fect model dynamics have dif- ficulty with providing error estimates. The new method does not have these drawbacks. In fact, it combines advantages from both methods in that it does provide error estimates while automatically having balanced states after analysis, without extra computations. It is based on ensemble or Monte Carlo integrations to simulate the probability density of the model evolution. When obser vations are available, the so-called importance resampling algorithm is applied. From Bayes’ s theorem it follows that each ensemble member receives a new weight dependent on its ‘ ‘distance’ ’ t o the obser vations. Because the weights are strongly var ying, a resampling of the ensemble is necessar y. This resampling is done such that members with high weights are duplicated according to their weights, while low-weight members are largely ignored. In passing, it is noted that data assimilation is not an inverse problem by nature, although it can be for mulated that way . Also, it is shown that the posterior variance can be larger than the prior if the usual Gaussian framework is set aside. However , i n the examples presented here, the entropy of the probability densities is decreasing. The application to the ocean area around South Africa, gover ned by strongly nonlinear dynamics, shows that the method is working satisfactorily . The strong and weak points of the method are discussed and possible improvements are proposed.

An Ensemble Smoother with Error Estimates

A smoother introduced earlier by van Leeuwen and Evensen is applied to a problem in which real obser vations are used in an area with strongly nonlinear dynamics. The derivation is new , but it resembles an earlier derivation by van Leeuwen and Evensen. Again a Bayesian view is taken in which the prior probability density of the model and the probability density of the obser vations are combined to for m a posterior density . The mean and the covariance of this density give the variance-minimizing model evolution and its errors. The assumption is made that the prior probability density is a Gaussian, leading to a linear update equation. Critical evaluation shows when the assumption is justified. This also sheds light on why Kalman filters, in which the same ap- proximation is made, work for nonlinear models. By reference to the derivation, the impact of model and obser vational biases on the equations is discussed, and it is shown that Bayes’ s for mulation can still be used. A practical advantage of the ensemble smoother is that no adjoint equations have to be integrated and that error estimates are easily obtained. The present application shows that for process studies a smoother will give superior results compared to a filter , not only owing to the smooth transitions at obser vation points, but also because the origin of features can be followed back in time. Also its preference over a strong-constraint method is highlighted. Further more, it is argued that the proposed smoother is more efficient than gradient descent methods or than the representer method when error estimates are taken into account

An Ensemble Kalman Smoother for Nonlinear Dynamics

It is for mally proved that the general smoother for nonlinear dynamics can be for mulated as a sequential method, that is, obser vations can be assimilated sequentially during a for ward integration. The general filter can be derived from the smoother and it is shown that the general smoother and filter solutions at the final time become identical, as is expected from linear theor y. Then, a new smoother algorithm based on ensemble statistics is presented and examined in an example with the Lorenz equations. The new smoother can be computed as a sequential algorithm using only for ward-in-time model integrations. It bears a strong resemblance with the ensemble Kalman filter . The difference is that ever y time a new dataset is available during the for ward integration, an analysis is computed for all previous times up to this time. Thus, the first guess for the smoother is the ensemble Kalman filter solution, and the smoother estimate provides an improvement of this, as one would expect a smoother to do. The method is demonstrated in this paper in an intercomparison with the ensemble Kalman filter and the ensemble smoother introduced by van Leeuwen and Evensen, and it is shown to be superior in an application with the Lorenz equations. Finally , a discussion is given regarding the properties of the analysis schemes when strongly non-Gaussian distributions are used. It is shown that in these cases more sophisticated analysis schemes based on Bayesian statistics must be used.

Generation and Evolution of Natal Pulses: Solitary Meanders in the Agulhas Current

Solitar y meanders of the Agulhas Current, so-called Natal pulses, may play an important role in the overall dynamics of this current system. Several hypotheses concer ning the triggering of these pulses are tested using sea sur face height and temperature data from satellites. The data show the for mation of pulses in the Natal Bight area at irregular inter vals ranging from 50 to 240 days. Moving downstream at speeds between 10 and 20 km day 2 1 they sometimes reach sizes of up to 300 km. They seem to play a role in the shedding of Agulhas rings that penetrate the South Atlantic. The inter mittent for mation of these solitar y meanders is argued to be most probably related to barotropic instability of the strongly baroclinic Agulhas Current in the Natal Bight. The vorticity structure of the obser ved basic flow is argued to be stable anywhere along its path. However , a proper perturbation of the jet in the Natal Bight area will allow barotropic instability , because the bottom slope there is considerably less steep than elsewhere along the South African east coast. Using satellite altimetr y these perturbations seem to be related to the inter mittent presence of offshore anticyclonic anomalies, both upstream and eastward of the Natal Bight.