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.

Testing for non-linearity in daily sterling exchange rates

A number of tests for non-linear dependence in time series are presented and implemented on a set of 10 daily sterling exchange rates covering the entire post Bretton-Woods era until the present day. Irrefutable evidence of non-linearity is shown in many of the series, but most of this dependence can apparently be explained by reference to the GARCH family of models. It is suggested that the literature in this area has reached an impasse, with the presence of ARCH effects clearly demonstrated in a large number of papers, but with the tests for non-linearity which are currently available being unable to classify any additional non-linear structure.

Phytoplankton–zooplankton dynamics in the ‘presence’ or ‘absence’ of toxic phytoplankton

The inhibitory effects of toxin-producing phytoplankton (TPP) on zooplankton modulate the dynamics of marine plankton. In this article, we employ simple mathematical models to compare theoretically the dynamics of phytoplankton–zooplankton interaction in situations where the TPP are present with those where TPP are absent. We consider two sets of three-component interaction models: one that does not include the effect of TPP and the other that does. The negative effects of TPP on zooplankton is described by a non-linear interaction term. Extensive theoretical analyses of the models have been performed to understand the qualitative behaviour of the model systems around every possible equilibria. The results of local-stability analysis and numerical simulations demonstrate that the two model-systems differ qualitatively with regard to oscillations and stability. The model system that does not include TPP is asymptotically stable around the coexisting equilibria, whereas, the system that includes TPP oscillates for a range of parametric values associated with toxin-inhibition rate and competition coefficients. Our analysis suggests that the qualitative dynamics of the plankton–zooplankton interactions are very likely to alter due to the presence of TPP species, and therefore the effects of TPP should be considered carefully while modelling plankton dynamics.

Uptake of agri-environmental schemes in the Less-Favoured Areas of Greece: The role of corruption and farmers' responses to the financial crisis

Vine-growing in the Less-Favoured Areas of Greece is facing multiple challenges that might lead to its abandonment. In an attempt to maintain rural populations, Rural Development Schemes have been created that offer the opportunity to rural households to maintain or expand their farming businesses including vine-growing. This paper stems from a study that used data from a cross-sectional survey of 204 farmers to investigate how farming systems and farmers’ perception of corruption, amongst other socio-economic factors, affected their decisions to continue vine-growing through participation in Rural Development Schemes, in three remote Less-Favoured Areas of Greece. The Theory of Planned Behaviour was used to frame the research problem with the assumption being that an individual’s intention to participate in a Scheme is based on their prior beliefs about it. Data from the survey were reduced and simplified by the use of non-linear principal component analysis. The ensuing variables were used in selectivity corrected ordered probit models to reveal farmers’ attitudes towards viticulture and rural development. It was found that economic factors, perceived corruption and farmers’ attitudes were significant determinants on whether to participate in the Schemes. The research findings highlight the important role of perceived corruption and the need for policies that facilitate farmers’ access to decision making centres.