Detecting intraday periodicities with application to high frequency exchange rates

Many recent papers have documented periodicities in returns, return volatility, bid–ask spreads and trading volume, in both equity and foreign exchange markets. We propose and employ a new test for detecting subtle periodicities in time series data based on a signal coherence function. The technique is applied to a set of seven half-hourly exchange rate series. Overall, we find the signal coherence to be maximal at the 8-h and 12-h frequencies. Retaining only the most coherent frequencies for each series, we implement a trading rule that is based on these observed periodicities. Our results demonstrate in all cases except one that, in gross terms, the rules can generate returns that are considerably greater than those of a buy-and-hold strategy, although they cannot retain their profitability net of transactions costs. We conjecture that this methodology could constitute an important tool for financial market researchers which will enable them to detect, quantify and rank the various periodic components in financial data better.

Rational speculative bubbles: an empirical investigation of the London Stock Exchange

In recent years, a sharp divergence of London Stock Exchange equity prices from dividends has been noted. In this paper, we examine whether this divergence can be explained by reference to the existence of a speculative bubble. Three different empirical methodologies are used: variance bounds tests, bubble specification tests, and cointegration tests based on both ex post and ex ante data. We find that, stock prices diverged significantly from their fundamental values during the late 1990's, and that this divergence has all the characteristics of a bubble.

Effect of cutting time, temperature and calcium on curd moisture, whey fat loses and curd yield by response surface methodology

Response surface methodology was used to study the effect of temperature, cutting time, and calcium chloride addition level on curd moisture content, whey fat losses, and curd yield. Coagulation and syneresis were continuously monitored using 2 optical sensors detecting light backscatter. The effect of the factors on the sensors’ response was also examined. Retention of fat during cheese making was found to be a function of cutting time and temperature, whereas curd yield was found to be a function of those 2 factors and the level of calcium chloride addition. The main effect of temperature on curd moisture was to increase the rate at which whey was expelled. Temperature and calcium chloride addition level were also found to affect the light backscatter profile during coagulation whereas the light backscatter profile during syneresis was a function of temperature and cutting time. The results of this study suggest that there is an optimum firmness at which the gel should be cut to achieve maximum retention of fat and an optimum curd moisture content to maximize product yield and quality. It was determined that to maximize curd yield and quality, it is necessary to maximize firmness while avoiding rapid coarsening of the gel network and microsyneresis. These results could contribute to the optimization of the cheese-making process.

Prediction of moisture, calorific value, ash and carbon content of two dedicated bioenergy crops using near-infrared spectroscopy

The potential of near infrared spectroscopy in conjunction with partial least squares regression to predict Miscanthus xgiganteus and short rotation coppice willow quality indices was examined. Moisture, calorific value, ash and carbon content were predicted with a root mean square error of cross validation of 0.90% (R2 = 0.99), 0.13 MJ/kg (R2 = 0.99), 0.42% (R2 = 0.58), and 0.57% (R2 = 0.88), respectively. The moisture and calorific value prediction models had excellent accuracy while the carbon and ash models were fair and poor, respectively. The results indicate that near infrared spectroscopy has the potential to predict quality indices of dedicated energy crops, however the models must be further validated on a wider range of samples prior to implementation. The utilization of such models would assist in the optimal use of the feedstock based on its biomass properties.