Threshold autoregressive and Markov switching models: an application to commercial real estate

Although financial theory rests heavily upon the assumption that asset returns are normally distributed, value indices of commercial real estate display significant departures from normality. In this paper, we apply and compare the properties of two recently proposed regime switching models for value indices of commercial real estate in the US and the UK, both of which relax the assumption that observations are drawn from a single distribution with constant mean and variance. Statistical tests of the models' specification indicate that the Markov switching model is better able to capture the non-stationary features of the data than the threshold autoregressive model, although both represent superior descriptions of the data than the models that allow for only one state. Our results have several implications for theoretical models and empirical research in finance.

Estimation of magnet separation for magnetic suspension applications

This thesis describes a form of non-contact measurement using two dimensional hall effect sensing to resolve the location of a moving magnet which is part of a ‘magnetic spring’ type suspension system. This work was inspired by the field of Space Robotics, which currently relies on solid link suspension techniques for rover stability. This thesis details the design, development and testing of a novel magnetic suspension system with a possible application in space and terrestrial based robotics, especially when the robot needs to traverse rough terrain. A number of algorithms were developed, to utilize experimental data from testing, that can approximate the separation between magnets in the suspension module through observation of the magnetic fields. Experimental hardware was also developed to demonstrate how two dimensional hall effect sensor arrays could provide accurate feedback, with respects to the magnetic suspension modules operation, so that future work can include the sensor array in a real-time control system to produce dynamic ride control for space robots. The research performed has proven that two dimensional hall effect sensing with respects to magnetic suspension is accurate, effective and suitable for future testing.

Agricultural commodity markets : reference point for the real value of a currency

Using monthly time-series data 1999-2013, the paper shows that markets for agricultural commodities provide a yardstick for real purchasing power, and thus a reference point for the real value of fiat currencies. The daily need for each adult to consume about 2800 food calories is universal; data from FAO food balance sheets confirm that the world basket of food consumed daily is non-volatile in comparison to the volatility of currency exchange rates, and so the replacement cost of food consumed provides a consistent indicator of economic value. Food commodities are storable for short periods, but ultimately perishable, and this exerts continual pressure for markets to clear in the short term; moreover, food calories can be obtained from a very large range of foodstuffs, and so most households are able to use arbitrage to select a near optimal weighting of quantities purchased. The paper proposes an original method to enable a standard of value to be established, definable in physical units on the basis of actual worldwide consumption of food goods, with an illustration of the method.

The first real-time worldwide ionospheric predictions network: an advance in support of spaceborne experimentation, on-line model validation, and space weather

We report on the first realtime ionospheric predictions network and its capabilities to ingest a global database and forecast F-layer characteristics and "in situ" electron densities along the track of an orbiting spacecraft. A global network of ionosonde stations reported around-the-clock observations of F-region heights and densities, and an on-line library of models provided forecasting capabilities. Each model was tested against the incoming data; relative accuracies were intercompared to determine the best overall fit to the prevailing conditions; and the best-fit model was used to predict ionospheric conditions on an orbit-to-orbit basis for the 12-hour period following a twice-daily model test and validation procedure. It was found that the best-fit model often provided averaged (i.e., climatologically-based) accuracies better than 5% in predicting the heights and critical frequencies of the F-region peaks in the latitudinal domain of the TSS-1R flight path. There was a sharp contrast however, in model-measurement comparisons involving predictions of actual, unaveraged, along-track densities at the 295 km orbital altitude of TSS-1R In this case, extrema in the first-principle models varied by as much as an order of magnitude in density predictions, and the best-fit models were found to disagree with the "in situ" observations of Ne by as much as 140%. The discrepancies are interpreted as a manifestation of difficulties in accurately and self-consistently modeling the external controls of solar and magnetospheric inputs and the spatial and temporal variabilities in electric fields, thermospheric winds, plasmaspheric fluxes, and chemistry.

Sample size considerations in active-control non-inferiority trials with binary data based on the odds ratio

This paper presents an approximate closed form sample size formula for determining non-inferiority in active-control trials with binary data. We use the odds-ratio as the measure of the relative treatment effect, derive the sample size formula based on the score test and compare it with a second, well-known formula based on the Wald test. Both closed form formulae are compared with simulations based on the likelihood ratio test. Within the range of parameter values investigated, the score test closed form formula is reasonably accurate when non-inferiority margins are based on odds-ratios of about 0.5 or above and when the magnitude of the odds ratio under the alternative hypothesis lies between about 1 and 2.5. The accuracy generally decreases as the odds ratio under the alternative hypothesis moves upwards from 1. As the non-inferiority margin odds ratio decreases from 0.5, the score test closed form formula increasingly overestimates the sample size irrespective of the magnitude of the odds ratio under the alternative hypothesis. The Wald test closed form formula is also reasonably accurate in the cases where the score test closed form formula works well. Outside these scenarios, the Wald test closed form formula can either underestimate or overestimate the sample size, depending on the magnitude of the non-inferiority margin odds ratio and the odds ratio under the alternative hypothesis. Although neither approximation is accurate for all cases, both approaches lead to satisfactory sample size calculation for non-inferiority trials with binary data where the odds ratio is the parameter of interest.

The real value of equality

This paper investigates how political theorists and philosophers should understand egalitarian political demands in light of the increasingly important realist critique of much of contemporary political theory and philosophy. It suggests, first, that what Martin O'Neill has called non-intrinsic egalitarianism is, in one form at least, a potentially realistic egalitarian political project and second, that realists may be compelled to impose an egalitarian threshold on state claims to legitimacy under certain circumstances. Non-intrinsic egalitarianism can meet realism’s methodological requirements because it does not have to assume an unavailable moral consensus since it can focus on widely acknowledged bads rather than contentious claims about the good. Further, an appropriately formulated non-intrinsic egalitarianism may be a minimum requirement of an appropriately realistic claim by a political order to authoritatively structure some of its members' lives. Without at least a threshold set of egalitarian commitments, a political order seems unable to be transparent to many of its worse off members under a plausible construal of contemporary conditions.

Non-cinema: the location of politics in film

Philosophy has repeatedly denied cinema in order to grant it artistic status. Adorno, for example, defined an ‘uncinematic’ element in the negation of movement in modern cinema, ‘which constitutes its artistic character’. Similarly, Lyotard defended an ‘acinema’, which rather than selecting and excluding movements through editing, accepts what is ‘fortuitous, dirty, confused, unclear, poorly framed, overexposed’. In his Handbook of Inaesthetics, Badiou embraces a similar idea, by describing cinema as an ‘impure circulation’ that incorporates the other arts. Resonating with Bazin and his defence of ‘impure cinema’, that is, of cinema’s interbreeding with other arts, Badiou seems to agree with him also in identifying the uncinematic as the location of the Real. This article will investigate the particular impurities of cinema that drive it beyond the specificities of the medium and into the realm of the other arts and the reality of life itself. Privileged examples will be drawn from various moments in film history and geography, starting with the analysis of two films by Jafar Panahi: This Is Not a Film (In film nist, 2011), whose anti-cinema stance in announced in its own title; and The Mirror (Aineh, 1997), another relentless exercise in self-negation. It goes on to examine Kenji Mizoguchi’s deconstruction of cinematic acting in his exploration of the geidomono genre (films about theatre actors) in The Story of the Last Chrysanthemums (Zangigku monogatari, 1939), and culminates in the conjuring of the physical experience of death through the systematic demolition of film genres in The Act of Killing (Joshua Oppenheimer et al., 2012).

Effects of aluminium chloride and aluminium chlorohydrate on DNA repair in MCF10A immortalised non-transformed human breast epithelial cells

Use of underarm aluminium (Al)-based antiperspirant salts may be a contributory factor in breast cancer development. At the 10th Keele meeting, Al was reported to cause anchorage-independent growth and double strand DNA breaks in MCF10A immortalised non-transformed human breast epithelial cells. We now report that exposure of MCF10A cells to Al chloride or Al chlorohydrate also compromised DNA repair systems. Longterm (19–21 weeks) exposure to Al chloride or Al chlorohydrate at a 10−4 M concentration resulted in reduced levels of BRCA1 mRNA as determined by real-time RT-PCR and BRCA1 protein as determined by Western immunoblotting. Reduced levels of mRNA for other DNA repair genes (BRCA2, CHK1, CHK2, Rad51, ATR) were also observed using real-time RT-PCR. Loss of BRCA1 or BRCA2 gene function has long been associated with inherited susceptibility to breast cancer but these results suggest that exposure to aluminium-based antiperspirant salts may also reduce levels of these key components of DNA repair in breast epithelial cells. If Al can not only damage DNA but also compromise DNA repair systems, then there is the potential for Al to impact on breast carcinogenesis.

Do the legs of magnetic clouds contain twisted flux-rope magnetic fields?

Magnetic clouds (MCs) are a subset of interplanetary coronal mass ejections (ICMEs) characterised primarily by a smooth rotation in the magnetic field direction indicative of the presence of a magnetic flux rope. Energetic particle signatures suggest MC flux ropes remain magnetically connected to the Sun at both ends, leading to widely used model of global MC structure as an extended flux rope, with a loop-like axis stretching out from the Sun into the heliosphere and back to the Sun. The time of flight of energetic particles, however, suggests shorter magnetic field line lengths than such a continuous twisted flux rope would produce. In this study, two simple models are compared with observed flux rope axis orientations of 196 MCs to show that the flux rope structure is confined to the MC leading edge. The magnetic cloud “legs,” which magnetically connect the flux rope to the Sun, are not recognisable as MCs and thus are unlikely to contain twisted flux rope fields. Spacecraft encounters with these non-flux rope legs may provide an explanation for the frequent observation of non-magnetic cloud ICMEs.

Comparison of terrain following and cut cell grids using a non-hydrostatic model

Terrain following coordinates are widely used in operational models but the cut cell method has been proposed as an alternative that can more accurately represent atmospheric dynamics over steep orography. Because the type of grid is usually chosen during model implementation, it becomes necessary to use different models to compare the accuracy of different grids. In contrast, here a C-grid finite volume model enables a like-for-like comparison of terrain following and cut cell grids. A series of standard two-dimensional tests using idealised terrain are performed: tracer advection in a prescribed horizontal velocity field, a test starting from resting initial conditions, and orographically induced gravity waves described by nonhydrostatic dynamics. In addition, three new tests are formulated: a more challenging resting atmosphere case, and two new advection tests having a velocity field that is everywhere tangential to the terrain following coordinate surfaces. These new tests present a challenge on cut cell grids. The results of the advection tests demonstrate that accuracy depends primarily upon alignment of the flow with the grid rather than grid orthogonality. A resting atmosphere is well-maintained on all grids. In the gravity waves test, results on all grids are in good agreement with existing results from the literature, although terrain following velocity fields lead to errors on cut cell grids. Due to semi-implicit timestepping and an upwind-biased, explicit advection scheme, there are no timestep restrictions associated with small cut cells. We do not find the significant advantages of cut cells or smoothed coordinates that other authors find.

Flight to quality? An investigation of changing price spreads in commercial real estate markets

Purpose – The purpose of this paper is to investigate the effect of the crisis on the pricing of asset quality attributes. This paper uses sales transaction data to examine whether flight from risk phenomena took place in the US office market during the financial crisis of 2007-2009. Design/methodology/approach – Hedonic regression procedures are used to test the hypothesis that the spread between the pricing of low-quality and high-quality characteristics increased during the crisis period compared to the pre-crisis period. Findings – The results of the hedonic regression models suggest that the price spread between Class A and other properties grew significantly during the downturn. Research limitations/implications – Our results are consistent with the hypothesis of an increased price spread following a market downturn between Class A and non-Class A offices. The evidence suggests that the relationships between the returns on Class A and non-Class A assets changed during the period of market stress or crisis. Practical implications – These findings have implications for real estate portfolio construction. If regime switches can be predicted and/or responded to rapidly, portfolios may be rebalanced. In crisis periods, portfolios might be reweighted towards Class A properties and in positive market periods, the reweighting would be towards non-Class A assets. Social implications – The global financial crisis has demonstrated that real estate markets play a crucial role in modern economies and that negative developments in these markets have the potential to spillover and create contagion for the larger economy, thereby affecting jobs, incomes and ultimately people’s livelihoods. Originality/value – This is one of the first studies that address the flight to quality phenomenon in commercial real estate markets during periods of financial crisis and market turmoil.

A new adaptive multiple modelling approach for non-linear and non-stationary systems

This paper proposes a novel adaptive multiple modelling algorithm for non-linear and non-stationary systems. This simple modelling paradigm comprises K candidate sub-models which are all linear. With data available in an online fashion, the performance of all candidate sub-models are monitored based on the most recent data window, and M best sub-models are selected from the K candidates. The weight coefficients of the selected sub-model are adapted via the recursive least square (RLS) algorithm, while the coefficients of the remaining sub-models are unchanged. These M model predictions are then optimally combined to produce the multi-model output. We propose to minimise the mean square error based on a recent data window, and apply the sum to one constraint to the combination parameters, leading to a closed-form solution, so that maximal computational efficiency can be achieved. In addition, at each time step, the model prediction is chosen from either the resultant multiple model or the best sub-model, whichever is the best. Simulation results are given in comparison with some typical alternatives, including the linear RLS algorithm and a number of online non-linear approaches, in terms of modelling performance and time consumption.