A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100

This paper examines the lead–lag relationship between the FTSE 100 index and index futures price employing a number of time series models. Using 10-min observations from June 1996–1997, it is found that lagged changes in the futures price can help to predict changes in the spot price. The best forecasting model is of the error correction type, allowing for the theoretical difference between spot and futures prices according to the cost of carry relationship. This predictive ability is in turn utilised to derive a trading strategy which is tested under real-world conditions to search for systematic profitable trading opportunities. It is revealed that although the model forecasts produce significantly higher returns than a passive benchmark, the model was unable to outperform the benchmark after allowing for transaction costs.

An alternative approach to investigating lead-lag relationships between stock and stock index futures markets

In the absence of market frictions, the cost-of-carry model of stock index futures pricing predicts that returns on the underlying stock index and the associated stock index futures contract will be perfectly contemporaneously correlated. Evidence suggests, however, that this prediction is violated with clear evidence that the stock index futures market leads the stock market. It is argued that traditional tests, which assume that the underlying data generating process is constant, might be prone to overstate the lead-lag relationship. Using a new test for lead-lag relationships based on cross correlations and cross bicorrelations it is found that, contrary to results from using the traditional methodology, periods where the futures market leads the cash market are few and far between and when any lead-lag relationship is detected, it does not last long. Overall, the results are consistent with the prediction of the standard cost-of-carry model and market efficiency.

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.

Analysing institutional partnerships in development: a contract between equals or a loaded process?

Partnerships are complex, diverse and subtle relationships, the nature of which changes with time, but they are vital for the functioning of the development chain. This paper reviews the meaning of partnership between development institutions as well as some of the main approaches taken to analyse the relationships. The latter typically revolve around analyses based on power, discourse, interdependence and functionality. The paper makes the case for taking a multianalytical approach to understanding partnership but points out three problem areas: identifying acceptable/unacceptable trade-offs between characteristics of partnership, the analysis of multicomponent partnerships (where one partner has a number of other partners) and the analysis of long-term partnership. The latter is especially problematic for long-term partnerships between donors and field agencies that share an underlying commitment based on religious beliefs. These problems with current methods of analysing partnership are highlighted by focusing upon the Catholic Church-based development chain, linking donors in the North (Europe) and their field partners in the South (Abuja Ecclesiastical Province, Nigeria). It explores a narrated history of a relationship with a single donor spanning 35 years from the perspective of one partner (the field agency).

The impact of contract duration on the cost of cash retention

Cash retention is a common means of protecting an employer from a contractor's insolvency as well as ensuring that contractors finish the work that they start. Similarly, contractors withhold part of payments due to their sub-contractors. Larger contracts tend to be subjected to smaller rates of retention. By calculating the cost of retention as an amount per year of a contract, it is shown that retention is far more expensive for firms whose work consists of short contracts. The extra cost is multiplied when the final payment is delayed, as it often is for those whose work takes place at the beginning of a project. This may explain why it is that main contractors are a lot less interested than sub-contractors in alternatives to cash retention, such as retention bonds

Construction contract policy: do we mean what we say?

Recent developments in contracting practice in the UK have built upon recommendations contained in highprofile reports, such as those by Latham and Egan. However, the New Engineering Contract (NEC), endorsed by Latham, is based upon principles of contract drafting that seem open to question. Any contract operates in the context of its legislative environment and current working practices. This report identifies eight contentious hypotheses in the literature on construction contracts and tests their validity in a sample survey that attracted 190 responses. The survey shows, among other things, that while partnership is a positive and useful idea, authoritative contract management is considered more effective and that “win-win” contracts, while desirable, are basically impractical. Further, precision and fairness in contracts are not easy to achieve simultaneously. While participants should know what is in their contracts, they should not routinely resort to legal action; and standard-form contracts should not seek to be universally applicable. Fundamental changes to drafting policy should be undertaken within the context of current legal contract doctrine and with a sensitivity to the way that contracts are used in contemporary practice. Attitudes to construction contracting may seem to be changing on the surface, but detailed analysis of what lies behind apparent agreement on new ways of working reveals that attitudes are changing much more slowly than they appear to be.

Plagiarism, contract cheating and final year projects

Presentation on pre-emption, detection and redirection in the context of the contract cheating form of plagiarism.

Children's lives, children's futures: A study of children starting secondary school

This title presents a fascinating analysis of how children in their first year of high school feel about their schools, its place in their lives and its role in their futures. This highly topical monograph focuses on how children in their first year of high school feel about school, its place in their lives and its role in their futures. The theoretical context of the study is the focus in educational studies on children's voice and children's active role in education, together with the focus in the sociology of childhood on children as active constructors of their lives and childhood as a subject of serious study. The importance of young people's life plans and the alignment between education and ambitions was recognized in the Sloan Foundation study of American teenagers. In many Western societies there is concern that children from less advantaged social backgrounds have limited aspirations, and are disproportionately unlikely to go to university. This book is highly relevant to understanding the nature of children's engagement with education, the choices and constraints they experience and the reasons some young people fail to take advantage of educational opportunities. "Continuum Studies in Educational Research" (CSER) is a major new series in the field of educational research. Written by experts and scholars for experts and scholars, this ground-breaking series focuses on research in the areas of comparative education, history, lifelong learning, philosophy, policy, post-compulsory education, psychology and sociology. Based on cutting edge research and written with lucidity and passion, the CSER series showcases only those books that really matter in education - studies that are major, that will be remembered for having made a difference.

Using scenarios to explore UK upland futures

Uplands around the world are facing significant social, economic and environmental changes, and decision-makers need to better understand what the future may hold if they are to adapt and maintain upland goods and services. This paper draws together all major research comprising eight studies that have used scenarios to describe possible futures for UK uplands. The paper evaluates which scenarios are perceived by stakeholders to be most likely and desirable, and assesses the benefits and drawbacks of the scenario methods used in UK uplands to date. Stakeholders agreed that the most desirable and likely scenario would be a continuation of hill farming (albeit at reduced levels) based on cross-compliance with environmental measures. The least desirable scenario is a withdrawal of government financial support for hill farming. Although this was deemed by stakeholders to be the least likely scenario, the loss of government support warrants close attention due to its potential implications for the local economy. Stakeholders noted that the environmental implications of this scenario are much less clear-cut. As such, there is an urgent need to understand the full implications of this scenario, so that upland stakeholders can adequately prepare, and policy-makers can better evaluate the likely implications of different policy options. The paper concludes that in future, upland scenario research needs to: (1) better integrate in-depth and representative participation from stakeholders during both scenario development and evaluation; and (2) make more effective use of visualisation techniques and simulation models. (C) 2009 Elsevier Ltd. All rights reserved.

The futures of construction: A critical review of construction future studies

Anticipating the future is increasingly being seen as a useful way to align, direct and improve current organizational strategy. Several such 'future studies' have been produced which envision various construction industry scenarios which result from technological and socio-economic trends and influences. Thirteen construction-related future studies are critically reviewed. Most studies fail to address the complexities and uncertainties of both the present and the future, and fail to explore the connections between global, local, construction-specific and more widespread factors. The methodological approaches used in these studies do not generate any significantly different advice or recommendations for the industry than those emerging from the much larger canon of non-future oriented construction research. As such, these reports are less about the future than the present. If future studies are to make a worthwhile contribution to construction, it is critical that they develop our appreciation of the practical ability of stakeholders to influence some aspects of the future and not others, and an awareness of the competing agendas and the relative benefits and disadvantages of specific futures within the construction sector. Only then can future studies provide insights and help in preparing for the opportunities and threats the future may bring.