Simultaneous volatility transmissions and spillover effects: U.S. and Hong Kong stock and futures markets

Contemporaneous transmission effects across volatilities of the Hong Kong Stock and Index futures markets and futures volume of trade are tested by employing a structural systems approach. Competing measures of volatility spillover, constructed from the overnight U.S. S&P500 index futures, are tested and found to impact on the Hong Kong asset return volatility and volume of trade patterns. The examples utilize intra-day 15-min sampled data from this medium-sized Asia Pacific equity and derivative exchange. Both the intra- and inter-day patterns in the Hong Kong market are allowed for in the estimation process.

Contemporaneous intra-day volume, option, and futures volatility transmissions across parallel markets

The primary objective of this article is to investigate volatility transmission across three parallel markets operating on the Sydney Futures Exchange (SFE), both within and out of sample. Half-hourly observations are sampled from transaction data for the share price index (SPI) futures, SPI futures options, and 90-day bank accepted bill (BAB) futures markets, and the analysis is carried out using the simultaneous volatility (SVL) system of equations as well as competing volatility models. The results confirm the poor ability of GARCH models to fit intraday data. This study also applies an artificial nesting procedure to evaluate the out-of-sample volatility forecasts. Implied volatility has very limited (if any) predictive power when evaluated in isolation, whereas the SVL model with implied volatility embedded provides incremental information relative to competing model forecasts.

Volatility transmissions between stock and bond markets : evidence from Japan and the U.S.

This study attempts to investigate the transmission of market-wide volatility between the equity markets and bond markets of Japan and the U.S. To measure the volatility transmission, the BEKK (Baba, Engle, Kraft and Kroner, 1990) method, a decomposition approach of the multivariate GARCH (1,1) model, is used to examine the cross-market contemporaneous effect of information arrival. The time series analysis provides evidence to the long-run phenomena of causality in conditional variances of paired assets within the local and international markets. Within various pairings, some evidence of bi-directional volatility transmissions such as informational linkages have been observed. Our empirical results suggest that within the domestic cross markets, the volatility transmission is unidirectional from the stock market to the bond market. Evidence from international cross-market analysis is mixed, with strong evidence on volatility spillover among these international stock markets, but weak evidence between international stock and bond markets. In addition, there are significant directional volatility transmissions between DJI index and FTSE100 index, and between DJI index and DAX200 index. The volatility transmission between these two markets indicates that the international diversification of bonds is not prevalent.

Nonlinear identification of backlash in robot transmissions

ABSTRACT This paper addresses the issue of automatic identification of backlash in robot transmissions. Traditionally, the backlash is measured manually either by the transmission manufacturer or the robot manufacturer. Before the robot can be delivered to the end-customer, the backlash must be within specified tolerances. For robots with motor measurements only, backlash is an example of an uncontrollable behaviour which directly affects the absolute accuracy of the robot’s tool-centrepoint. Even if we do not attempt to bring backlash under real-time control in this paper, we will describe a method to automatically identify/estimate the backlash in the robot transmissions from torque and position measurements. Hence, only the transmissions that do not meet the backlash requirements in the automatic tests need to be checked and adjusted manually.

Structural effects and spillovers in HSIF, HSI and S & P500 volatility

We adopt a BEKK-GARCH framework and employ a systematic approach to jointly examine structural breaks in the Hong Kong cash index and index futures volatility and volatility spillovers from the S&P 500 cash and futures. Multiple switching dummy variables are included in the variance equations to test for any structural changes in the autoregressive volatility structure due to the events that have taken place in the Hong Kong market. Abolishment of the up-tick rule, increase of initial margins and electronic trading of the Hang Seng Index Futures (HSIF) are found to have significant impact when US market spillovers are excluded from a restricted model. Volatility spillovers from the US market are found to have a significant impact and account for some mis-specification in the restricted model.

Regulatory change, structural breaks, and transmission effects in HSIF and HSI volatility

A systematic BEKK-GARCH model with multiple switch points in the variance equations captures the structural changes that have taken place in the Hong Kong markets. Abolishment of the uptick rule in the Hong Kong stock market, increase of initial margins, and electronic trading of Hang Seng Index Futures are found to have significant impacts. These changes affect the volatility structure of the HSI and HSIF and hence their lead-lag relationship. The multivariate GARCH model with three specific switching points is found to be superior to any other combination of up to six separate switch points.

Edward Shils' theory of tradition

Edward Shils presented his book Tradition (1981) as the first extensive study of the subject. This article casts light on Shils' multifaceted understanding of tradition, comprising pragmatic, Burkean, veridical, and evolutionist perspectives. His typology of traditions is noted, and his view of institutional bearers of tradition described. In assessing Shils' theory, however, we find that it overreaches, collapsing differences that exist between traditions, transmissions, and the traditional.

Geographic routing with cooperative relaying and leapfrogging in wireless sensor networks

A novel geographic routing protocol for multi-hop wireless sensor networks is presented. It exploits the broadcast nature of the wireless channel to enable on-demand cooperative relaying and leapfrogging for circumventing weak radio links. In order to achieve energy efficiency, a metric is introduced for next-hop selection that takes into account information on the residual battery energy, the geographical position of the sensor nodes, and the channel quality of the involved radio links when available. Performance results show that the completely decentralized protocol offers significant benefits by reducing the number of (re)transmissions required to reach the destination. This translates into network-wide energy savings that extend the network lifetime.

Efficient algorithm for mobile multicast using anycast group

The authors present a novel and efficient multicast algorithm that aims to reduce delay and communication cost for the registration between mobile nodes and mobility agents and solicitation for foreign agent services based on the mobile IP. The protocol applies anycast group technology to support multicast transmissions for both mobile nodes and home/foreign agents. Mobile hosts use anycast tunnelling to connect to the nearest available home/foreign agent where an agent is able to forward the multicast messages by selecting an anycast route to a multicast router so as to reduce the end-to-end delay. The performance analysis and experiments demonstrated that the proposed algorithm is able to enhance the performance over existing remote subscription and bidirectional tunnelling approaches regardless of the locations of mobile nodes/hosts

La transmission spirituelle

Vouloir parler de la transmission, revient en somme passer en revue l’histoire de l’homme à travers ses différentes évolutions. Les civilisations, les cultures, les visages, les coutumes sont en effet le résultat de transmissions successives qui se sont effectuées dans et à travers le temps.

Ce livre pose une question essentielle : Comment peut-on transmettre de la conscience à quelqu’un ? Car l’axe essentiel de toute spiritualité non dénaturée est de rendre conscient. A ce niveau, la transmission devrait se passer entre quelqu’un qui est conscient et quelqu’un qui se trouve en déficit de conscience. L’instructeur spirituel partage avec l’autre la clarté de conscience dans laquelle il se trouve afin de créer une ouverture et un supplément d’âme. C’est là ce qui distingue la transmission spirituelle de l’acte simple de transmettre un savoir ou des informations d’ordre culturel, technique ou autre de génération en génération. Dans le cadre de la transmission de conscience, le paradoxe est qu’il faut révéler à l’autre, lui transmettre un état d’être qui se trouve déjà en lui. C’est une thérapie de l’âme.

Peak to average power ratio analysis for LTE systems

The 3rd generation partnership project (3GPP) long term evolution (LTE) standard uses single carrier frequency division multiple access (SCFDMA) scheme for the uplink transmissions and orthogonal frequency division multiplexing access (OFDMA) in downlink. SCFDMA uses DFT spreading prior to OFDMA modulation to map the signal from each user to a subset of the available subcarriers i.e., single carrier modulation. The efficiency of a power amplifier is determined by the peak to average power ratio (PAPR) of the modulated signal. In this paper, we analyze the PAPR in 3GPP LTE systems using root raised cosine based filter. Simulation results show that the SCFDMA subcarrier mapping has a significantly lower PAPR compared to OFDMA. Also comparing the three forms of SCFDMA subcarrier mapping, results show that interleave FDMA (IFDMA) subcarrier mapping with proposed root raised cosine filter reduced PAPR significantly than localized FDMA (LFDMA) and distributed (DFDMA) mapping. This improves its radio frequency (RF) power amplifier efficiency and also the mean power output from a battery driven mobile terminal.

Simultaneous volatility transmission and spillover effects

Simultaneous volatility models are developed and shown to be separate from multivariate GARCH estimators. An example is provided that allows for simultaneous and unidirectional volatility and volume of trade effects. These effects are tested using intraday data from the Australian cash index and index futures markets. Overnight volatility spillover effects from the United States S&P500 index futures markets are tested using alternative estimates of this US market volatility. The simultaneous volatility model proves to be robust to alternative specifications of returns equations and to misspecification of the direction of volatility causality.

How to find natural reservoir hosts from endemic prevalence in a multi-host population : a case study of influenza in waterfowl

The transmission dynamics of infectious diseases critically depend on reservoir hosts, which can sustain the pathogen (or maintain the transmission) in the population even in the absence of other hosts. Although a theoretical foundation of the transmission dynamics in a multi-host population has been established, no quantitative methods exist for the identification of natural reservoir hosts. For a host to maintain the transmission alone, the host-specific reproduction number (U), interpreted as the average number of secondary transmissions caused by a single primary case in the host(s) of interest in the absence of all other hosts, must be greater than unity. If the host-excluded reproduction number (Q), representing the average number of secondary transmissions per single primary case in other hosts in the absence of the host(s) of interest, is below unity, transmission cannot be maintained in the multi-host population in the absence of the focal host(s).

The present study proposes a simple method for the identification of reservoir host(s) from observed endemic prevalence data across a range of host species. As an example, we analyze an aggregated surveillance dataset of influenza A virus in wild birds among which dabbling ducks exhibit higher prevalence compared to other bird species. Since the heterogeneous contact patterns between different host species are not directly observable, we test four different contact structures to account for the uncertainty. Meeting the requirements of U > 1 and Q < 1 for all four different contact structures, mallards and other dabbling ducks most likely constitute the reservoir community which plays a predominant role in maintaining the transmission of influenza A virus in the water bird population. We further discuss epidemiological issues which are concerned with the interpretation of influenza prevalence data, identifying key features to be fully clarified in the future.

SMS-based medical diagnostic telemetry data transmission protocol for medical sensors

People with special medical monitoring needs can, these days, be sent home and remotely monitored through the use of data logging medical sensors and a transmission base-station. While this can improve quality of life by allowing the patient to spend most of their time at home, most current technologies rely on hardwired landline technology or expensive mobile data transmissions to transmit data to a medical facility. The aim of this paper is to investigate and develop an approach to increase the freedom of a monitored patient and decrease costs by utilising mobile technologies and SMS messaging to transmit data from patient to medico. To this end, we evaluated the capabilities of SMS and propose a generic communications protocol which can work within the constraints of the SMS format, but provide the necessary redundancy and robustness to be used for the transmission of non-critical medical telemetry from data logging medical sensors.

Volatility linkages and spillovers in stock and bond markets : some international evidence

This study investigates the transmission of market-wide volatility between the equity markets and bond markets of Japan, Germany, the U. K., and the U. S. To measure the volatility transmission, the BEKK- a decomposition approach to the multivariate GARCH (1,1) model, is used to examine the cross-market contemporaneous effect of information arrival. Our results suggest that within the domestic cross markets, the volatility transmission is undirectional from the stock market to the bond market. Evidence from international cross-market analysis is mixed, with strong evidence on volatility spillover among these international stock markets, but weak evidence between international stock and bond markets. In addition, there are significant bi-directional volatility transmissions between stock markets in Germany and the U. K., and between Germany and the U. S. The volatility transmissions among these markets suggest that the international diversification of bonds is not prevalent.