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.

August Thienemann and Loch Lomond - an approach to the design of a system for monitoring the state of north-temperate standing waters

Limnologists had an early preoccupation with lake classification. It gave a necessary structure to the many chemical and biological observations that were beginning to form the basis of one of the earliest truly environmental sciences. August Thienemann was the doyen of such classifiers and his concept with Einar Naumann of oligotrophic and eutrophic lakes remains central to the world-view that limnologists still have. Classification fell into disrepute, however, as it became clear that there would always be lakes that deviated from the prescriptions that the classifiers made for them. Continua became the de rigeur concept and lakes were seen as varying along many chemical, biological and geographic axes. Modern limnologists are comfortable with this concept. That all lakes are different guarantees an indefinite future for limnological research. For those who manage lakes and the landscapes in which they are set, however, it is not very useful. There may be as many as 300000 standing water bodies in England and Wales alone and maybe as many again in Scotland. More than 80 000 are sizable (> 1 ha). Some classification scheme to cope with these numbers is needed and, as human impacts on them increase, a system of assessing and monitoring change must be built into such a scheme. Although ways of classifying and monitoring running waters are well developed in the UK, the same is not true of standing waters. Sufficient understanding of what determines the nature and functioning of lakes exists to create a system which has intellectual credibility as well as practical usefulness. This paper outlines the thinking behind a system which will be workable on a north European basis and presents some early results.