The cross-currency hedging performance of implied versus statistical forecasting models

This article examines the ability of several models to generate optimal hedge ratios. Statistical models employed include univariate and multivariate generalized autoregressive conditionally heteroscedastic (GARCH) models, and exponentially weighted and simple moving averages. The variances of the hedged portfolios derived using these hedge ratios are compared with those based on market expectations implied by the prices of traded options. One-month and three-month hedging horizons are considered for four currency pairs. Overall, it has been found that an exponentially weighted moving-average model leads to lower portfolio variances than any of the GARCH-based, implied or time-invariant approaches.

Hedging private international real estate

The performance of an international real estate investment can be critically affected by currency fluctuations. While survey work suggests large international investors with multi-asset portfolios tend to hedge their overall currency exposure at portfolio level, smaller and specialist investors are more likely to hedge individual investments and face considerable specific risk. This presents particular problems in direct real estate investment due to the lengthy holding period. Prior research investigating the issue relies on ex post portfolio measure, understating the risk faced. This paper examines individual risk using a forward-looking simulation approach to model uncertain cashflow. The results suggest that a US investor can greatly reduce the downside currency risk inherent in UK real estate by using a swap structure – but at the expense of dampening upside potential.

Pose Refinement of Active Models using Forces in 3D

A new algorithm is described for refining the pose of a model of a rigid object, to conform more accurately to the image structure. Elemental 3D forces are considered to act on the model. These are derived from directional derivatives of the image local to the projected model features. The convergence properties of the algorithm is investigated and compared to a previous technique. Its use in a video sequence of a cluttered outdoor traffic scene is also illustrated and assessed.

Pose and Structure Recovery using Active Models

A new formulation of a pose refinement technique using ``active'' models is described. An error term derived from the detection of image derivatives close to an initial object hypothesis is linearised and solved by least squares. The method is particularly well suited to problems involving external geometrical constraints (such as the ground-plane constraint). We show that the method is able to recover both the pose of a rigid model, and the structure of a deformable model. We report an initial assessment of the performance and cost of pose and structure recovery using the active model in comparison with our previously reported ``passive'' model-based techniques in the context of traffic surveillance. The new method is more stable, and requires fewer iterations, especially when the number of free parameters increases, but shows somewhat poorer convergence.

Subseasonal extremes of precipitation and active-break cycles of the Indian summer monsoon in a climate-change scenario

Changes to the behaviour of subseasonal precipitation extremes and active-break cycles of the Indian summer monsoon are assessed in this study using pre-industrial and 2 × CO2 integrations of the Hadley Centre coupled model HadCM3, which is able to simulate the monsoon seasonal cycle reasonably. At 2 × CO2, mean summer rainfall increases slightly, especially over central and northern India. The mean intensity of daily precipitation during the monsoon is found to increase, consistent with fewer wet days, and there are increases to heavy rain events beyond changes in the mean alone. The chance of reaching particular thresholds of heavy rainfall is found to approximately double over northern India, increasing the likelihood of damaging floods on a seasonal basis. The local distribution of such projections is uncertain, however, given the large spread in mean monsoon rainfall change and associated extremes amongst even the most recent coupled climate models. The measured increase of the heaviest precipitation events over India is found to be broadly in line with the degree of atmospheric warming and associated increases in specific humidity, lending a degree of predictability to changes in rainfall extremes. Active-break cycles of the Indian summer monsoon, important particularly due to their effect on agricultural output, are shown to be reasonably represented in HadCM3, in particular with some degree of northward propagation. We note an intensification of both active and break events, particularly when measured against the annual cycle, although there is no suggestion of any change to the duration or likelihood of monsoon breaks. Copyright © 2009 Royal Meteorological Society

A management architecture for active networks

In this paper we present an architecture for network and applications management, which is based on the Active Networks paradigm and shows the advantages of network programmability. The stimulus to develop this architecture arises from an actual need to manage a cluster of active nodes, where it is often required to redeploy network assets and modify nodes connectivity. In our architecture, a remote front-end of the managing entity allows the operator to design new network topologies, to check the status of the nodes and to configure them. Moreover, the proposed framework allows to explore an active network, to monitor the active applications, to query each node and to install programmable traps. In order to take advantage of the Active Networks technology, we introduce active SNMP-like MIBs and agents, which are dynamic and programmable. The programmable management agents make tracing distributed applications a feasible task. We propose a general framework that can inter-operate with any active execution environment. In this framework, both the manager and the monitor front-ends communicate with an active node (the Active Network Access Point) through the XML language. A gateway service performs the translation of the queries from XML to an active packet language and injects the code in the network. We demonstrate the implementation of an active network gateway for PLAN (Packet Language for Active Networks) in a forty active nodes testbed. Finally, we discuss an application of the active management architecture to detect the causes of network failures by tracing network events in time.

A reconfigurable neural environment on active networks

This paper proposes the deployment of a neural network computing environment on Active Networks. Active Networks are packet-switched computer networks in which packets can contain code fragments that are executed on the intermediate nodes. This feature allows the injection of small pieces of codes to deal with computer network problems directly into the network core, and the adoption of new computing techniques to solve networking problems. The goal of our project is the adoption of a distributed neural network for approaching tasks which are specific of the computer network environment. Dynamically reconfigurable neural networks are spread on an experimental wide area backbone of active nodes (ABone) to show the feasibility of the proposed approach.

A genetic algorithm for the design of a fuzzy controller for active queue management

Active queue management (AQM) policies are those policies of router queue management that allow for the detection of network congestion, the notification of such occurrences to the hosts on the network borders, and the adoption of a suitable control policy. This paper proposes the adoption of a fuzzy proportional integral (FPI) controller as an active queue manager for Internet routers. The analytical design of the proposed FPI controller is carried out in analogy with a proportional integral (PI) controller, which recently has been proposed for AQM. A genetic algorithm is proposed for tuning of the FPI controller parameters with respect to optimal disturbance rejection. In the paper the FPI controller design metodology is described and the results of the comparison with random early detection (RED), tail drop, and PI controller are presented.

Use of a portable topographic mapping millimetre wave radar at an active lava flow

A ground-based millimetre wave radar, AVTIS (All-weather Volcano Topography Imaging Sensor), has been developed for topographic monitoring. The instrument is portable and capable of measurements over ranges up to similar to 7 km through cloud and at night. In April and May 2005, AVTIS was deployed at Arenal Volcano, Costa Rica, in order to determine topographic changes associated with the advance of a lava flow. This is the first reported application of mm-wave radar technology to the measurement of lava flux rates. Three topographic data sets of the flow were acquired from observation distances of similar to 3 km over an eight day period, during which the flow front was detected to have advanced similar to 200 m. Topographic differences between the data sets indicated a flow thickness of similar to 10 m, and a dense rock equivalent lava flux of similar to 0.20 +/- 0.08 m(3) s(-1).

Interference and communications among active network applications

This paper focuses on active networks applications and in particular on the possible interactions among these applications. Active networking is a very promising research field which has been developed recently, and which poses several interesting challenges to network designers. A number of proposals for e±cient active network architectures are already to be found in the literature. However, how two or more active network applications may interact has not being investigated so far. In this work, we consider a number of applications that have been designed to exploit the main features of active networks and we discuss what are the main benefits that these applications may derive from them. Then, we introduce some forms of interaction including interference and communications among applications, and identify the components of an active network architecture that are needed to support these forms of interaction. We conclude by presenting a brief example of an active network application exploiting the concept of interaction.

Artificial ants for active routing

Ant colonies in nature provide a good model for a distributed, robust and adaptive routing algorithm. This paper proposes the adoption of the same strategy for the routing of packets in an Active Network. Traditional store-and-forward routers are replaced by active intermediate systems, which are able to perform computations on transient packets, in a way that results very helpful for developing and dynamically deploying new protocols. The adoption of the Active Networks paradigm associated with a cooperative learning environment produces a robust, decentralized routing algorithm capable of adapting to network traffic conditions.

Adaptive routing in active networks

New conceptual ideas on network architectures have been proposed in the recent past. Current store-andforward routers are replaced by active intermediate systems, which are able to perform computations on transient packets, in a way that results very helpful for developing and deploying new protocols in a short time. This paper introduces a new routing algorithm, based on a congestion metric, and inspired by the behavior of ants in nature. The use of the Active Networks paradigm associated with a cooperative learning environment produces a robust, decentralized algorithm capable of adapting quickly to changing conditions.