The underlying return generating factors for REIT returns: an application of independent component analysis

Multi-factor approaches to analysis of real estate returns have, since the pioneering work of Chan, Hendershott and Sanders (1990), emphasised a macro-variables approach in preference to the latent factor approach that formed the original basis of the arbitrage pricing theory. With increasing use of high frequency data and trading strategies and with a growing emphasis on the risks of extreme events, the macro-variable procedure has some deficiencies. This paper explores a third way, with the use of an alternative to the standard principal components approach – independent components analysis (ICA). ICA seeks higher moment independence and maximises in relation to a chosen risk parameter. We apply an ICA based on kurtosis maximisation to weekly US REIT data using a kurtosis maximising algorithm. The results show that ICA is successful in capturing the kurtosis characteristics of REIT returns, offering possibilities for the development of risk management strategies that are sensitive to extreme events and tail distributions.

Pricing and hedging short sterling options using artificial neural networks

This paper compares the performance of artificial neural networks (ANNs) with that of the modified Black model in both pricing and hedging Short Sterling options. Using high frequency data, standard and hybrid ANNs are trained to generate option prices. The hybrid ANN is significantly superior to both the modified Black model and the standard ANN in pricing call and put options. Hedge ratios for hedging Short Sterling options positions using Short Sterling futures are produced using the standard and hybrid ANN pricing models, the modified Black model, and also standard and hybrid ANNs trained directly on the hedge ratios. The performance of hedge ratios from ANNs directly trained on actual hedge ratios is significantly superior to those based on a pricing model, and to the modified Black model.

Information and efficiency: goal arrival in soccer betting

An efficient market incorporates news into prices immediately and fully. Tests for efficiency in financial markets have been undermined by information leakage. We test for efficiency in sports betting markets – real-world markets where news breaks remarkably cleanly. Applying a novel identification to high-frequency data, we investigate the reaction of prices to goals scored on the ‘cusp’ of half-time. This strategy allows us to separate the market's response to major news (a goal), from its reaction to the continual flow of minor game-time news. On our evidence, prices update swiftly and fully.

Upland streamwater nitrate dynamics across decadal to sub-daily timescales: a case study of Plynlimon, Wales

Streamwater nitrate dynamics in the River Hafren, Plynlimon, mid-Wales were investigated over decadal to sub-daily timescales using a range of statistical techniques. Long-term data were derived from weekly grab samples (1984–2010) and high-frequency data from 7-hourly samples (2007–2009) both measured at two sites: a headwater stream draining moorland and a downstream site below plantation forest. This study is one of the first to analyse upland streamwater nitrate dynamics across such a wide range of timescales and report on the principal mechanisms identified. The data analysis provided no clear evidence that the long-term decline in streamwater nitrate concentrations was related to a decline in atmospheric deposition alone, because nitrogen deposition first increased and then decreased during the study period. Increased streamwater temperature and denitrification may also have contributed to the decline in stream nitrate concentrations, the former through increased N uptake rates and the latter resultant from increased dissolved organic carbon concentrations. Strong seasonal cycles, with concentration minimums in the summer, were driven by seasonal flow minimums and seasonal biological activity enhancing nitrate uptake. Complex diurnal dynamics were observed, with seasonal changes in phase and amplitude of the cycling, and the diurnal dynamics were variable along the river. At the moorland site, a regular daily cycle, with minimum concentrations in the early afternoon, corresponding with peak air temperatures, indicated the importance of instream biological processing. At the downstream site, the diurnal dynamics were a composite signal, resultant from advection, dispersion and nitrate processing in the soils of the lower catchment. The diurnal streamwater nitrate dynamics were also affected by drought conditions. Enhanced diurnal cycling in Spring 2007 was attributed to increased nitrate availability in the post-drought period as well as low flow rates and high temperatures over this period. The combination of high-frequency short-term measurements and long-term monitoring provides a powerful tool for increasing understanding of the controls of element fluxes and concentrations in surface waters.

Do jumps matter for volatility forecasting? Evidence from energy markets

This paper characterizes the dynamics of jumps and analyzes their importance for volatility forecasting. Using high-frequency data on four prominent energy markets, we perform a model-free decomposition of realized variance into its continuous and discontinuous components. We find strong evidence of jumps in energy markets between 2007 and 2012. We then investigate the importance of jumps for volatility forecasting. To this end, we estimate and analyze the predictive ability of several Heterogenous Autoregressive (HAR) models that explicitly capture the dynamics of jumps. Conducting extensive in-sample and out-of-sample analyses, we establish that explicitly modeling jumps does not significantly improve forecast accuracy. Our results are broadly consistent across our four energy markets, forecasting horizons, and loss functions

Diel surface temperature range scales with lake size

Ecological and biogeochemical processes in lakes are strongly dependent upon water temperature. Long-term surface warming of many lakes is unequivocal, but little is known about the comparative magnitude of temperature variation at diel timescales, due to a lack of appropriately resolved data. Here we quantify the pattern and magnitude of diel temperature variability of surface waters using high-frequency data from 100 lakes. We show that the near-surface diel temperature range can be substantial in summer relative to long-term change and, for lakes smaller than 3 km2, increases sharply and predictably with decreasing lake area. Most small lakes included in this study experience average summer diel ranges in their near-surface temperatures of between 4 and 7°C. Large diel temperature fluctuations in the majority of lakes undoubtedly influence their structure, function and role in biogeochemical cycles, but the full implications remain largely unexplored.

The significance of volcanic eruption strength and frequency for climate

A simple physical model of the atmospheric effects of large explosive volcanic eruptions is developed. Using only one input parameter - the initial amount of sulphur dioxide injected into the stratosphere - the global-average stratospheric optical-depth perturbation and surface temperature response are modelled. The simplicity of this model avoids issues of incomplete data (applicable to more comprehensive models), making it a powerful and useful tool for atmospheric diagnostics of this climate forcing mechanism. It may also provide a computationally inexpensive and accurate way of introducing volcanic activity into larger climate models. The modelled surface temperature response for an initial sulphur-dioxide injection, coupled with emission-history statistics, is used to demonstrate that the most climatically significant volcanic eruptions are those of sufficient explosivity to just reach into the stratosphere (and achieve longevity). This study also highlights the fact that this measure of significance is highly sensitive to the representation of the climatic response and the frequency data used, and that we are far from producing a definitive history of explosive volcanism for at least the past 1000 years. Given this high degree of uncertainty, these results suggest that eruptions that release around and above 0.1 Mt SO2 into the stratosphere have the maximum climatic impact.

A double data rate (DDR) architecture for OFDM based wireless consumer devices

The creation of OFDM based Wireless Personal Area Networks (WPANs) has allowed the development of high bit-rate wireless communication devices suitable for streaming High Definition video between consumer products, as demonstrated in Wireless-USB and Wireless-HDMI. However, these devices need high frequency clock rates, particularly for the OFDM, FFT and symbol processing sections resulting in high silicon cost and high electrical power. The high clock rates make hardware prototyping difficult and verification is therefore very important but costly. Acknowledging that electrical power in wireless consumer devices is more critical than the number of implemented logic gates, this paper presents a Double Data Rate (DDR) architecture for implementation inside a OFDM baseband codec in order to reduce the high frequency clock rates by a complete factor of 2. The presented architecture has been implemented and tested for ECMA-368 (Wireless- USB context) resulting in a maximum clock rate of 264MHz instead of the expected 528MHz clock rate existing anywhere on the baseband codec die.

Word frequency and bigram frequency effects on linguistic processing and speech motor performance in individuals with aphasia and normal speakers

Models of normal word production are well specified about the effects of frequency of linguistic stimuli on lexical access, but are less clear regarding the same effects on later stages of word production, particularly word articulation. In aphasia, this lack of specificity of down-stream frequency effects is even more noticeable because there is relatively limited amount of data on the time course of frequency effects for this population. This study begins to fill this gap by comparing the effects of variation of word frequency (lexical, whole word) and bigram frequency (sub-lexical, within word) on word production abilities in ten normal speakers and eight mild–moderate individuals with aphasia. In an immediate repetition paradigm, participants repeated single monosyllabic words in which word frequency (high or low) was crossed with bigram frequency (high or low). Indices for mapping the time course for these effects included reaction time (RT) for linguistic processing and motor preparation, and word duration (WD) for speech motor performance (word articulation time). The results indicated that individuals with aphasia had significantly longer RT and WD compared to normal speakers. RT showed a significant main effect only for word frequency (i.e., high-frequency words had shorter RT). WD showed significant main effects of word and bigram frequency; however, contrary to our expectations, high-frequency items had longer WD. Further investigation of WD revealed that independent of the influence of word and bigram frequency, vowel type (tense or lax) had the expected effect on WD. Moreover, individuals with aphasia differed from control speakers in their ability to implement tense vowel duration, even though they could produce an appropriate distinction between tense and lax vowels. The results highlight the importance of using temporal measures to identify subtle deficits in linguistic and speech motor processing in aphasia, the crucial role of phonetic characteristics of stimuli set in studying speech production and the need for the language production models to account more explicitly for word articulation.

High prevalence of multidrug-tolerant bacteria and associated antimicrobial resistance genes isolated from ornamental fish and their carriage water

Background: Antimicrobials are used to directly control bacterial infections in pet (ornamental) fish and are routinely added to the water these fish are shipped in to suppress the growth of potential pathogens during transport. Methodology/Principal Findings: To assess the potential effects of this sustained selection pressure, 127 Aeromonas spp. isolated from warm and cold water ornamental fish species were screened for tolerance to 34 antimicrobials. Representative isolates were also examined for the presence of 54 resistance genes by a combination of miniaturized microarray and conventional PCR. Forty-seven of 94 Aeromonas spp. isolates recovered from tropical ornamental fish and their carriage water were tolerant to >= 15 antibiotics, representing seven or more different classes of antimicrobial. The quinolone and fluoroquinolone resistance gene, qnrS2, was detected at high frequency (37% tested recent isolates were positive by PCR). Class 1 integrons, IncA/C broad host range plasmids and a range of other antibiotic resistance genes, including floR, blaTEM21, tet(A), tet(D), tet(E), qacE2, sul1, and a number of different dihydrofolate reductase and aminoglycoside transferase coding genes were also detected in carriage water samples and bacterial isolates. Conclusions: These data suggest that ornamental fish and their carriage water act as a reservoir for both multi-resistant bacteria and resistance genes.

Tests of non-linearity using LIFFE futures transactions price data

This paper presents and implements a number of tests for non-linear dependence and a test for chaos using transactions prices on three LIFFE futures contracts: the Short Sterling interest rate contract, the Long Gilt government bond contract, and the FTSE 100 stock index futures contract. While previous studies of high frequency futures market data use only those transactions which involve a price change, we use all of the transaction prices on these contracts whether they involve a price change or not. Our results indicate irrefutable evidence of non-linearity in two of the three contracts, although we find no evidence of a chaotic process in any of the series. We are also able to provide some indications of the effect of the duration of the trading day on the degree of non-linearity of the underlying contract. The trading day for the Long Gilt contract was extended in August 1994, and prior to this date there is no evidence of any structure in the return series. However, after the extension of the trading day we do find evidence of a non-linear return structure.

Big data architecture for pervasive healthcare: a literature review

Pervasive healthcare aims to deliver deinstitutionalised healthcare services to patients anytime and anywhere. Pervasive healthcare involves remote data collection through mobile devices and sensor network which the data is usually in large volume, varied formats and high frequency. The nature of big data such as volume, variety, velocity and veracity, together with its analytical capabilities com-plements the delivery of pervasive healthcare. However, there is limited research in intertwining these two domains. Most research focus mainly on the technical context of big data application in the healthcare sector. Little attention has been paid to a strategic role of big data which impacts the quality of healthcare services provision at the organisational level. Therefore, this paper delivers a conceptual view of big data architecture for pervasive healthcare via an intensive literature review to address the aforementioned research problems. This paper provides three major contributions: 1) identifies the research themes of big data and pervasive healthcare, 2) establishes the relationship between research themes, which later composes the big data architecture for pervasive healthcare, and 3) sheds a light on future research, such as semiosis and sense-making, and enables practitioners to implement big data in the pervasive healthcare through the proposed architecture.

Using eye movements to investigate word frequency effects in children’s sentence reading

While eye movements have been used widely to investigate how skilled adult readers process written language, relatively little research has used this methodology with children. This is unfortunate as, as we discuss here, eye-movement studies have significant potential to inform our understanding of children’s reading development. We consider some of the empirical and theoretical issues that arise when using this methodology with children, illustrating our points with data from an experiment examining word frequency effects in 8-year-old children’s sentence reading. Children showed significantly longer gaze durations to low than high-frequency words, demonstrating that linguistic characteristics of text drive children’s eye movements as they read. We discuss these findings within the broader context of how eye-movement studies can inform our understanding of children’s reading, and can assist with the development of appropriately targeted interventions to support children as they learn to read.

Assessment of the CMD Mini-Explorer, a new low-frequency multi-coil electromagnetic device, for archaeological investigations

In this article we assess the abilities of a new electromagnetic (EM) system, the CMD Mini-Explorer, for prospecting of archaeological features in Ireland and the UK. The Mini-Explorer is an EM probe which is primarily aimed at the environmental/geological prospecting market for the detection of pipes and geology. It has long been evident from the use of other EM devices that such an instrument might be suitable for shallow soil studies and applicable for archaeological prospecting. Of particular interest for the archaeological surveyor is the fact that the Mini-Explorer simultaneously obtains both quadrature (‘conductivity’) and in-phase (relative to ‘magnetic susceptibility’) data from three depth levels. As the maximum depth range is probably about 1.5 m, a comprehensive analysis of the subsoil within that range is possible. As with all EM devices the measurements require no contact with the ground, thereby negating the problem of high contact resistance that often besets earth resistance data during dry spells. The use of the CMD Mini-Explorer at a number of sites has demonstrated that it has the potential to detect a range of archaeological features and produces high-quality data that are comparable in quality to those obtained from standard earth resistance and magnetometer techniques. In theory the ability to measure two phenomena at three depths suggests that this type of instrument could reduce the number of poor outcomes that are the result of single measurement surveys. The high success rate reported here in the identification of buried archaeology using a multi-depth device that responds to the two most commonly mapped geophysical phenomena has implications for evaluation style surveys. Copyright © 2013 John Wiley & Sons, Ltd.

High-throughput monitoring of wild bee diversity and abundance via mitogenomics

1. Bee populations and other pollinators face multiple, synergistically acting threats, which have led to population declines, loss of local species richness and pollination services, and extinctions. However, our understanding of the degree, distribution and causes of declines is patchy, in part due to inadequate monitoring systems, with the challenge of taxonomic identification posing a major logistical barrier. Pollinator conservation would benefit from a high-throughput identification pipeline. 2. We show that the metagenomic mining and resequencing of mitochondrial genomes (mitogenomics) can be applied successfully to bulk samples of wild bees. We assembled the mitogenomes of 48 UK bee species and then shotgun-sequenced total DNA extracted from 204 whole bees that had been collected in 10 pan-trap samples from farms in England and been identified morphologically to 33 species. Each sample data set was mapped against the 48 reference mitogenomes. 3. The morphological and mitogenomic data sets were highly congruent. Out of 63 total species detections in the morphological data set, the mitogenomic data set made 59 correct detections (93�7% detection rate) and detected six more species (putative false positives). Direct inspection and an analysis with species-specific primers suggested that these putative false positives were most likely due to incorrect morphological IDs. Read frequency significantly predicted species biomass frequency (R2 = 24�9%). Species lists, biomass frequencies, extrapolated species richness and community structure were recovered with less error than in a metabarcoding pipeline. 4. Mitogenomics automates the onerous task of taxonomic identification, even for cryptic species, allowing the tracking of changes in species richness and istributions. A mitogenomic pipeline should thus be able to contain costs, maintain consistently high-quality data over long time series, incorporate retrospective taxonomic revisions and provide an auditable evidence trail. Mitogenomic data sets also provide estimates of species counts within samples and thus have potential for tracking population trajectories.