Evaluating interval forecasts of high-frequency financial data

A number of methods of evaluating the validity of interval forecasts of financial data are analysed, and illustrated using intraday FTSE100 index futures returns. Some existing interval forecast evaluation techniques, such as the Markov chain approach of Christoffersen (1998), are shown to be inappropriate in the presence of periodic heteroscedasticity. Instead, we consider a regression-based test, and a modified version of Christoffersen's Markov chain test for independence, and analyse their properties when the financial time series exhibit periodic volatility. These approaches lead to different conclusions when interval forecasts of FTSE100 index futures returns generated by various GARCH(1,1) and periodic GARCH(1,1) models are evaluated.

Forecasting economic and financial time series with non-linear models

In this paper we discuss the current state-of-the-art in estimating, evaluating, and selecting among non-linear forecasting models for economic and financial time series. We review theoretical and empirical issues, including predictive density, interval and point evaluation and model selection, loss functions, data-mining, and aggregation. In addition, we argue that although the evidence in favor of constructing forecasts using non-linear models is rather sparse, there is reason to be optimistic. However, much remains to be done. Finally, we outline a variety of topics for future research, and discuss a number of areas which have received considerable attention in the recent literature, but where many questions remain.

Capturing meaning construction in financial disclosure

Our study takes as its motivation common concerns across a variety of disciplines regarding an understanding of the linguistic, rhetorical and argumentative functions of the narrative aspects of financial disclosures, however with one significant alteration. This is that we do not restrict our investigation to the textual aspects but also consider the discursive nature of numbers. Numbers and narratives are simply alternative, and complementary, media to be used in disclosure, and many of the linguistic, and all of the rhetorical and argumentative, considerations apply to both, and need to be addressed and analysed. For complete version of the "long abstract" see attached full text pdf or the link in "Related URLs" field.

Forecasting real estate returns using financial spreads

This paper examines the predictability of real estate asset returns using a number of time series techniques. A vector autoregressive model, which incorporates financial spreads, is able to improve upon the out of sample forecasting performance of univariate time series models at a short forecasting horizon. However, as the forecasting horizon increases, the explanatory power of such models is reduced, so that returns on real estate assets are best forecast using the long term mean of the series. In the case of indirect property returns, such short-term forecasts can be turned into a trading rule that can generate excess returns over a buy-and-hold strategy gross of transactions costs, although none of the trading rules developed could cover the associated transactions costs. It is therefore concluded that such forecastability is entirely consistent with stock market efficiency.

The impact of economic and financial factors on UK property performance

This paper employs a vector autoregressive model to investigate the impact of macroeconomic and financial variables on a UK real estate return series. The results indicate that unexpected inflation, and the interest rate term spread have explanatory powers for the property market. However, the most significant influence on the real estate series are the lagged values of the real estate series themselves. We conclude that identifying the factors that have determined UK property returns over the past twelve years remains a difficult task.

The role of location in knowledge creation and diffusion: evidence of centripetal and centrifugal forces in the City of London financial services agglomeration

In this paper we report on a major empirical study of centripetal and centrifugal forces in the City of London financial services agglomeration. The study sheds light on (1) the manner and magnitude of firm interaction in the agglomeration; (2) the characteristics of the agglomeration that aid the competitiveness of incumbent firms; and (3) the problems associated with agglomeration. In addressing these issues, we use the data to (1) test emerging theory that explains the high productivity and innovation of agglomerations in terms of their ability to generate and diffuse knowledge; and (2) evaluate the ‘end of geography’ thesis.

Efficient interactive budget planning and adjusting under financial stress

One of the most challenging tasks in financial management for large governmental and industrial organizations is Planning and Budgeting (P&B). The processes involved with P&B are cost and time intensive, especially when dealing with uncertainties and budget adjustments during the planning horizon. This work builds on our previous research in which we proposed and evaluated a fuzzy approach that allows optimizing the budget interactively beyond the initial planning stage. In this research we propose an extension that handles financial stress (i.e. drastic budget cuts) occurred during the budget period. This is done by introducing fuzzy stress parameters which are used to re-distribute the budget in order to minimize the negative impact of the financial stress. The benefits and possible issues of this approach are analyzed critically using a real world case study from the Nuremberg Institute of Technology (NIT). Additionally, ongoing and future research directions are presented.

Toxin-allelopathy among phytoplankton species prevents competitive exclusion

Toxic or allelopathic compounds liberated by toxin-producing phytoplankton (TPP) acts as a strong mediator in plankton dynamics. On an analysis of a set of phytoplankton biomass data that have been collected by our group in the northwest part of the Bay of Bengal, and by analysis of a three-component mathematical model under a constant as well as a stochastic environment, we explore the role of toxin-allelopathy in determining the dynamic behavior of the competing phytoplankton species. The overall results, based on analytical and numerical wings, demonstrate that toxin-allelopathy due to the TPP promotes a stable co-existence of those competitive phytoplankton that would otherwise exhibit competitive exclusion of the weak species. Our study suggests that TPP might be a potential candidate for maintaining the co-existence and diversity of competing phytoplankton species.

Addressing rural social exclusion through African social purpose ventures

Objectives. The overarching aim of this paper is to consider the relationship between social entrepreneurship and rural development, and as a mechanism to address social exclusion in the Global South, with specific reference to Sub-Saharan Africa. Drawing upon a number of case examples of social purpose ventures in Kenya, Mozambique and Zambia the objectives of this paper are: - To provide a synthesis of existing literature on the interaction between social purpose ventures and rural BoP communities in the developing world; - To explore extant social exclusion literature including economic, political and international development dimensions; and - To analyse the case study examples to consider the channels through which social purpose ventures contribute to tackling social exclusion amongst the rural BoP. Prior Work. There is growing interest in the role that social enterprises and wider social purpose ventures can play in sustainable development in the Global South. In many developing countries the majority of the population still reside in rural areas with these areas often particularly marginalised and underdeveloped. Previous studies have provided anecdotal examples where social purpose ventures have the potential to provide innovative solutions to the development challenges faced by rural households and communities. Yet research in this area remains relatively nascent and fragmented. In depth empirical studies examining social purpose ventures and rural development in the Global South are furthermore limited. Approach. Data was collected during in-depth case study research with social purpose ventures in Zambia, Kenya and Mozambique. Cases were selected through a purposive sample with access negotiated to rural BoP communities through gatekeeper partners. Qualitative research methods were primarily employed including interviews, stakeholder focus groups and observational research. Results Six channels through which social purpose ventures contribute to tackling social exclusion amongst rural BoP communities are identified. These include ventures with the BoP as employees, producers, consumers, entrepreneurs, service users and shareholders. A number of shared characteristics for successful social purpose ventures are also outlined. Finally implications for policy, practice and research are discussed. Implications. Despite the increasing attention being given to social purpose ventures as a mechanism for global sustainable development many questions remain unanswered. Limited empirical work has been undertaken on such ventures operating in rural settings in the developing world, particularly Africa. The paper will add to academic and practitioner knowledge in this area especially in relation to up-scaling impact, the long term sustainability and viability of social purpose enterprise ventures, and effective supporting interventions. This paper adds to knowledge in the field of social purpose venturing in the developing world. It identifies various channels through which such ventures help tackle rural social exclusion and also factors influencing their success. The paper provides insights for practitioners and policy makers, particularly in relation to facilitating successful social purpose venturing. Value This paper will provide insights relevant to both academic and practitioner audiences. It addresses a subject area and geographical region that has received limited research attention to date. The paper adds to knowledge on social purpose ventures and social entrepreneurship in Africa and wider developing world environments, and contributes to debates on its potential and present limitations as a vehicle for development and societal transformation

Financial services for the poor within the formal/informal nexus in sub-Saharan Africa

This paper draws upon fieldwork undertaken across Kenya, Zambia, Mozambique and South Africa to present a reflective overview of the use of financial services amongst the poorest members of society. It considers the role that access to a portfolio of financial products and services may have as a contributory factor in poverty alleviation, but also how inappropriate use of these mechanisms may exacerbate a descent into poverty. This work draws upon the notions of poverty pools and the rise of fall of low income households in and out of poverty, alongside the contributory nature of vicious cycles of economic and political poverty. Drawing on fieldwork experiences it presents a synopsis of the types of financial mechanisms commonly in use on the African continent, as well as examples of public, private and civil society partnerships that are producing services specifically tailored for those in extreme and absolute poverty.