Capital market expectations and the London office market

The analysis of office market dynamics has generally concentrated on the impact of underlying fundamental demand and supply variables. This paper takes a slightly different approach to many previous examinations of rental dynamics. Within a Vector-Error-Correction framework the empirical analysis concentrates upon the impact of economic and financial variables on rents in the City of London and West End of London office markets. The impulse response and variance decomposition reveal that while lagged rental values and key demand drivers play a highly important role in the dynamics of rents, financial variables are also influential. Stock market performance not only influences the City of London market but also the West End, whilst the default spread plays an important role in recent years. It is argued that both series incorporate expectations about future economic performance and that this is the basis of their influence upon rental values.

Asymmetric space market adjustment in the London office market

Models of the City of London office market are extended by considering a longer time series of data, covering two cycles, and by explicit modeling of asymmetric rental response to supply and demand model. A long run structural model linking demand for office space, real rental levels and office-based employment is estimated and then rental adjustment processes are modeled using an error correction model framework. Adjustment processes are seen to be asymmetric, dependent both on the direction of the supply and demand shock and on the state of the rental market at the time of the shock. A complete system of equations is estimated: unit shocks produce oscillations but there is a return to a steady equilibrium state in the long run.

Asymmetric response of demand-supply mismatch to investor's sentiment

We look through both the demand and supply side information to understand dynamics of price determination in the real estate market and examine how accurately investors’ attitudes predict the market returns and thereby flagging off extent of any demand-supply mismatch. Our hypothesis is based on the possibility that investors’ call for action in terms of their buy/sell decision and adjustment in reservation/offer prices may indicate impending demand-supply imbalances in the market. In the process, we study several real estate sectors to inform our analysis. The timeframe of our analysis (1995-2010) allows us to observe market dynamics over several economic cycles and in various stages of those cycles. Additionally, we also seek to understand how investors’ attitude or the sentiment affects the market activity over the cycles through asymmetric responses. We test our hypothesis variously using a number of measures of market activity and attitude indicators within several model specifications. The empirical models are estimated using Vector Error Correction framework. Our analysis suggests that investors’ attitude exert strong and statistically significant feedback effects in price determination. Moreover, these effects do reveal heterogeneous responses across the real estate sectors. Interestingly, our results indicate the asymmetric responses during boom, normal and recessionary periods. These results are consistent with the theoretical underpinnings.

Does consumption-wealth ratio signal stock returns? VECM results for Germany

This paper studies the signalling effect of the consumption−wealth ratio (cay) on German stock returns via vector error correction models (VECMs). The effect of cay on U.S. stock returns has been recently confirmed by Lettau and Ludvigson with a two−stage method. In this paper, performance of the VECMs and the two−stage method are compared in both German and U.S. data. It is found that the VECMs are more suitable to study the effect of cay on stock returns than the two−stage method. Using the Conditional−Subset VECM, cay signals real stock returns and excess returns in both data sets significantly. The estimated coefficient on cay for stock returns turns out to be two times greater in U.S. data than in German data. When the two−stage method is used, cay has no significant effect on German stock returns. Besides, it is also found that cay signals German wealth growth and U.S. income growth significantly.

Price discovery of credit spreads in tranquil and crisis periods

In this paper we investigate the price discovery process in single-name credit spreads obtained from bond, credit default swap (CDS), equity and equity option prices. We analyse short term price discovery by modelling daily changes in credit spreads in the four markets with a vector autoregressive model (VAR). We also look at price discovery in the long run with a vector error correction model (VECM). We find that in the short term the option market clearly leads the other markets in the sub-prime crisis (2007-2009). During the less severe sovereign debt crisis (2009-2012) and the pre-crisis period, options are still important but CDSs become more prominent. In the long run, deviations from the equilibrium relationship with the option market still lead to adjustments in the credit spreads observed or implied from other markets. However, options no longer dominate price discovery in any of the periods considered. Our findings have implications for traders, credit risk managers and financial regulators.

A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100

This paper examines the lead–lag relationship between the FTSE 100 index and index futures price employing a number of time series models. Using 10-min observations from June 1996–1997, it is found that lagged changes in the futures price can help to predict changes in the spot price. The best forecasting model is of the error correction type, allowing for the theoretical difference between spot and futures prices according to the cost of carry relationship. This predictive ability is in turn utilised to derive a trading strategy which is tested under real-world conditions to search for systematic profitable trading opportunities. It is revealed that although the model forecasts produce significantly higher returns than a passive benchmark, the model was unable to outperform the benchmark after allowing for transaction costs.

The impact of liquidity on senior credit index spreads during the subprime crisis

This paper examines the effects of liquidity during the 2007–09 crisis, focussing on the Senior Tranche of the CDX.NA.IG Index and on Moody's AAA Corporate Bond Index. It aims to understand whether the sharp increase in the credit spreads of these AAA-rated credit indices can be explained by worse credit fundamentals alone or whether it also reflects a lack of depth in the relevant markets, the scarcity of risk-capital, and the liquidity preference exhibited by investors. Using cointegration analysis and error correction models, the paper shows that during the crisis lower market and funding liquidity are important drivers of the increase in the credit spread of the AAA-rated structured product, whilst they are less significant in explaining credit spread changes for a portfolio of unstructured credit instruments. Looking at the experience of the subprime crisis, the study shows that when the conditions under which securitisation can work properly (liquidity, transparency and tradability) suddenly disappear, investors are left highly exposed to systemic risk.

Why the hand motion proceeds the target in tracking experiment?

In the present study, to shed light on a role of positional error correction mechanism and prediction mechanism in the proactive control discovered earlier, we carried out a visual tracking experiment, in which the region where target was shown, was regulated in a circular orbit. Main results found in this research were following. Recognition of a time step, obtained from the environmental stimuli, is required for the predictive function. The period of the rhythm in the brain obtained from environmental stimuli is shortened about 10%, when the visual information is cut-off. The shortening of the period of the rhythm in the brain accelerates the motion as soon as the visual information is cut-off, and lets the hand motion precedes the target motion. Although the precedence of the hand in the blind region is reset by the environmental information when the target enters the visible region, the hand precedes in average the target when the predictive mechanism dominates the error-corrective mechanism.

Reading aloud in high schools: students and teachers across the curriculum

Reading aloud is apparently an indispensible part of teaching. Nevertheless, little is known about reading aloud across the curriculum by students and teachers in high schools. Nor do we understand teachers’ attitudes towards issues such as error correction, rehearsal time, and selecting students to read. A survey of 360 teachers in England shows that, although they have little training in reading aloud, they are extremely confident. Reading aloud by students and teachers is strongly related, and serves to further understanding rather than administrative purposes or pupils’ enjoyment. Unexpectedly, Modern Language teachers express views that set them apart from other subjects.

A block coprocessor for user data rate improvements to GPRS coding scheme 4

The general packet radio service (GPRS) has been developed to allow packet data to be transported efficiently over an existing circuit-switched radio network, such as GSM. The main application of GPRS are in transporting Internet protocol (IP) datagrams from web servers (for telemetry or for mobile Internet browsers). Four GPRS baseband coding schemes are defined to offer a trade-off in requested data rates versus propagation channel conditions. However, data rates in the order of > 100 kbits/s are only achievable if the simplest coding scheme is used (CS-4) which offers little error detection and correction (EDC) (requiring excellent SNR) and the receiver hardware is capable of full duplex which is not currently available in the consumer market. A simple EDC scheme to improve the GPRS block error rate (BLER) performance is presented, particularly for CS-4, however gains in other coding schemes are seen. For every GPRS radio block that is corrected by the EDC scheme, the block does not need to be retransmitted releasing bandwidth in the channel and improving the user's application data rate. As GPRS requires intensive processing in the baseband, a viable field programmable gate array (FPGA) solution is presented in this paper.

Performance of GPRS coding scheme detection under severe multipath and co-channel interference as a function of soft-bit width

The General Packet Radio Service (GPRS) has been developed for the mobile radio environment to allow the migration from the traditional circuit switched connection to a more efficient packet based communication link particularly for data transfer. GPRS requires the addition of not only the GPRS software protocol stack, but also more baseband functionality for the mobile as new coding schemes have be en defined, uplink status flag detection, multislot operation and dynamic coding scheme detect. This paper concentrates on evaluating the performance of the GPRS coding scheme detection methods in the presence of a multipath fading channel with a single co-channel interferer as a function of various soft-bit data widths. It has been found that compressing the soft-bit data widths from the output of the equalizer to save memory can influence the likelihood decision of the coding scheme detect function and hence contribute to the overall performance loss of the system. Coding scheme detection errors can therefore force the channel decoder to either select the incorrect decoding scheme or have no clear decision which coding scheme to use resulting in the decoded radio block failing the block check sequence and contribute to the block error rate. For correct performance simulation, the performance of the full coding scheme detection must be taken into account.

Improving CS-4 user data rate in GPRS enabled devices by using a BLER co-processor

The General Packet Radio Service (GPRS) was developed to allow packet data to be transported efficiently over an existing circuit switched radio network. The main applications for GPRS are in transporting IP datagram’s from the user’s mobile Internet browser to and from the Internet, or in telemetry equipment. A simple Error Detection and Correction (EDC) scheme to improve the GPRS Block Error Rate (BLER) performance is presented, particularly for coding scheme 4 (CS-4), however gains in other coding schemes are seen. For every GPRS radio block that is corrected by the EDC scheme, the block does not need to be retransmitted releasing bandwidth in the channel, improving throughput and the user’s application data rate. As GPRS requires intensive processing in the baseband, a viable hardware solution for a GPRS BLER co-processor is discussed that has been currently implemented in a Field Programmable Gate Array (FPGA) and presented in this paper.

Signal detection for orthogonal space-time block coding over time-selective fading channels: the H(i) systems

One major assumption in all orthogonal space-time block coding (O-STBC) schemes is that the channel remains static over the length of the code word. However, time-selective fading channels do exist, and in such case conventional O-STBC detectors can suffer from a large error floor in the high signal-to-noise ratio (SNR) cases. As a sequel to the authors' previous papers on this subject, this paper aims to eliminate the error floor of the H(i)-coded O-STBC system (i = 3 and 4) by employing the techniques of: 1) zero forcing (ZF) and 2) parallel interference cancellation (PIC). It is. shown that for an H(i)-coded system the PIC is a much better choice than the ZF in terms of both performance and computational complexity. Compared with the, conventional H(i) detector, the PIC detector incurs a moderately higher computational complexity, but this can well be justified by the enormous improvement.

Signal detection for orthogonal space-time block coding over time-selective fading channels: a PIC approach for the Gi Systems

One major assumption in all orthogonal space-time block coding (O-STBC) schemes is that the channel remains static over the entire length of the codeword. However, time selective fading channels do exist, and in such case the conventional O-STBC detectors can suffer from a large error floor in the high signal-to-noise ratio (SNR) cases. This paper addresses such an issue by introducing a parallel interference cancellation (PIC) based detector for the Gi coded systems (i=3 and 4).

Orthogonal space-time block coding over time-selective fading channels: a PIC detector for the Gi systems

All the orthogonal space-time block coding (O-STBC) schemes are based on the following assumption: the channel remains static over the entire length of the codeword. However, time selective fading channels do exist, and in many cases the conventional O-STBC detectors can suffer from a large error floor in the high signal-to-noise ratio (SNR) cases. This paper addresses such an issue by introducing a parallel interference cancellation (PIC) based detector for the Gi coded systems (i=3 and 4).