Modelling oil price volatility

In this paper, we examine the volatility of crude oil price using daily data for the period 1991–2006. Our main innovation is that we examine volatility in various sub-samples in order to judge the robustness of our results. Our main findings can be summarised as follows: (1) across the various sub-samples, there is inconsistent evidence of asymmetry and persistence of shocks; and (2) over the full sample period, evidence suggests that shocks have permanent effects, and asymmetric effects, on volatility. These findings imply that the behaviour of oil prices tends to change over short periods of time.

Simultaneous estimation of optical flow and object state: A modified approach to optical flow calculation

Differential optical flow methods are widely used within the computer vision community. They are classified as being either local, as in the Lucas-Kanade method, or global, as in the Horn-Schunck technique. As the physical dynamics of an object is inherently coupled into the behavior of its image in the video stream, in this paper, we use such dynamic parameter information in calculating optical flow when tracking a moving object using a video stream. Indeed, we use a modified error function in the minimization that contains physical parameter information. Further, the refined estimates of optical flow is used for better estimation of the physical parameters of the object in the simultaneous estimation of optical flow and object state(SEOS).

Do retail option traders know better about market volatility?

This paper examines the informational content and predictive power of implied volatility over different forecasting horizons in a sample of European covered warrants traded in the Hong Kong and Singapore markets. The empirical results show that time-series-based volatility forecasts outperform implied volatility forecast as a predictor of future volatility. The finding also suggests that implied volatility is biased and informationally inefficient. The results are attributable to the fact in Hong Kong and Singapore the covered warrants markets are dominated by retail investors, who tend to use covered warrants' leverage to speculate on the price movements of the underlying rather than to express their view on volatility.

Simultaneous determination of the lactone and carboxylate forms of irintecan (CPT-11) and its actie metabolite SN-38 by high-performance liquid chromatography: Application to plasma pharmacokinetic studies in the rat.

Irinotecan (CPT-11) and its main metabolite SN-38 are potent anticancer derivatives of camptothecin (CPT), with active lactone and inactive carboxylate forms coexisting. A simple and sensitive HPLC method using the ion-pairing reagent tetrabutylammonium hydrogen sulfate (TBAHS) was developed to simultaneously determine all four analytes in rat plasma samples. Camptothecin (CPT) was used as internal standard. The mobile phase was 0.1 M potassium dihydrogen phosphate containing 0.01 M TBAHS (pH 6.4)–acetonitrile (75:25, v/v). Separation of the compounds was carried out on a Hypersil C18 column, monitored at 540 nm (excitation wavelength at 380 nm). All four compounds gave linear response as a function of concentration over 0.01–10 μM. The limit of quantitation in rat plasma was 0.01, 0.008, 0.005 and 0.005 μM for CPT-11 lactone, CPT-11 carboxylate, SN-38 lactone and SN-38 carboxylate, respectively. The method was successfully used in the study on the effect of coadministered thalidomide on the plasma pharmacokinetics of CPT-11 and SN-38 in rats. Coadministered thalidomide (100 mg/kg body weight by intraperitoneal injection) significantly increased the AUC_0–10h values of CPT-11 lactone and CPT-11 carboxylate by 32.6% and 30.3 %, respectively, (P < 0.01), but decreased the values by 19.2% and 32.4% for SN-38 lactone and carboxylate, respectively, (P < 0.05). Accordingly, the value of total body clearance (CL) of CPT-11 lactone was significantly lower in combination group compared to the control (1.329 versus 1.837 L/h/kg, P = 0.0002). Plasma t_1/2β values for SN-38 lactone and carboxylate were significantly (P < 0.01) smaller in rats with coadministered thalidomide, as compared to rats receiving CPT-11 alone. Further studies are needed to explore the underlying mechanisms for the observed kinetic interaction between CPT-11 and thalidomide.

Dynamic interdependence and volatility transmission of Asian stock markets: evidence from the Asian crisis

This paper examines dynamic interdependence, volatility transmission, and market integration across selected stock markets during the Asian financial crisis periods 1997 and 1998. Using a vector autoregressive–exponential generalized autoregressive conditional heteroskedasticity (VAR-EGARCH) model, it is found that reciprocal volatility transmission existed between Hong Kong and Korea, and unidirectional volatility transmission from Korea to Thailand. This suggests that Hong Kong played a significant role in volatility transmission to the other Asian markets. The data also indicate market integration in that each market reacted to both local news and news originating in the other markets, particularly adverse news.

Simultaneous state and input estimation with application to a two-link robotic system

This paper addresses the problem of estimating simultaneously the state and input of a nonlinear system with application to a two link robotic manipulator - the Pendubot. The system nonlinearity comprises a Lipschitz function with respect to the state, and a nonlinear term which is a function of both the state and input. It is shown that under some conditions, an observer can be designed to estimate simultaneously the system’s state and input. Simulation and experimental results, obtained around the inverted equilibrium position, are presented to demonstrate the validity of the approach.

Intraday periodicity and long memory volatility processes in the Korean bond futures market

This article examines long memory volatility processes in the 5 minute Korean Treasury bond futures data using two different techniques: the GPH test and the EML test. Two proxies of volatility returns are used: absolute returns and square returns. We found intraday periodicity and autocorrelation persistence in the volatility for the 5 minute returns. The empirical results from both techniques indicate that there is little evidence of long memory in the level of returns, but there is significant evidence of long memory in the absolute returns and the square returns. This implies that volatility is best characterised by long memory processes. Additionally, we found that the absolute returns are the most appropriate indicator to represent the long memory volatility processes.

Modelling regulatory change V's volume of trading effects in HSIF and HSI volatility

In an earlier paper, we adopted a bi-variate BEKK–GARCH framework and employed a systematic approach to examine structural breaks in the Hang Seng Index and Index Futures market volatility. Switching dummy variables were included and tested in the variance equations to check for any structural changes in the autoregressive volatility structure due to the events that have taken place in the Hong Kong market surrounding the Asian markets crisis. In this paper, we include measures of daily trading volume from both markets in the estimation. Likelihood ratio tests indicate the switching dummy variables become insignificant and the GARCH effects diminish but remain significant. There is some evidence that the Sequential Arrival of Information Model (SIM) provides a platform to explain these market induced effects when volume of trade is accounted for.

Multifractality and long-range dependence of asset returns: the scaling behavior of the Markov-switching multifractal model with lognormal volatility components

In this paper, we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their multiscaling properties by estimating the parameters of a Markov-switching multifractal (MSM) model with Lognormal volatility components. In order to see how well estimated models capture the temporal dependency of the empirical data, we estimate and compare (generalized) Hurst exponents for both empirical data and simulated MSM models. In general, the Lognormal MSM models generate "apparent" long memory in good agreement with empirical scaling provided that one uses sufficiently many volatility components. In comparison with a Binomial MSM specification [11], results are almost identical. This suggests that a parsimonious discrete specification is flexible enough and the gain from adopting the continuous Lognormal distribution is very limited.

Do retail option traders know better about market volatility?

This paper examines the informational content and predictive power of implied volatility over different forecasting horizons in a sample of European covered warrants traded in the Hong Kong and Singapore markets. The empirical results show that time-series-based volatility forecasts outperform implied volatility forecast as predictors of future volatility. The finding also suggests that implied volatility is biased and informationally inefficient and that covered warrants are typically overvalued. The results are attributable to the fact that, in Hong Kong and Singapore, the covered warrants markets are dominated by retail investors who tend to use covered warrants' leverage to speculate on the price movements of the underlying assets rather than to express their view on volatility. Arbitrage is not possible in the markets as short-selling of covered warrants is prohibited.

Object focused simultaneous estimation of optical flow and state dynamics

The framework of differential optical flow has been built upon to enhance the performance of motion estimation from optical flow. By coupling optical flow and object state parameters, an effective procedure for object tracking is implemented with the dasiaSimultaneous Estimation of Optical Flow and Object Statepsila (SEOS) technique. The SEOS method utilizes dynamic object parameter information when calculating optical flow for tracking a moving object within a video stream. Optical flow estimation for the SEOS method requires minimization of an error functional containing object physical parameter data. The convergence of an energy functional to a feasible or optimal solution set is not guaranteed. Convergence criteria is often assumed and not shown explicitly. Convergence of the SEOS method for both the Jacobi and Gauss-Seidel numerical resolution methods is evaluated.