Stock price reaction following large one-day price changes: UK evidence

We examine the short-term price reaction of 424 UK stocks to large one-day price changes. Using the GJR-GARCH(1,1), we find no statistical difference amongst the cumulative abnormal returns (CARs) of the Single Index, the Fama–French and the Carhart–Fama–French models. Shocks bigger or equal to 5% are followed by a significant one-day CAR of 1% for all the models. Whilst shocks smaller or equal to -5% are followed by a significant one-day CAR of -0.43% for the Single Index, the CARs are around -0.34% for the other two models. Positive shocks of all sizes and negative shocks maller or equal to -5% are followed by return continuations, whilst the market is efficient following larger negative shocks. The price reaction to shocks is unaffected when we estimate the CARs using the conditional covariances of the pricing variables.

Stock index reaction to large price changes:evidence frommajor Asian stock indexes

We examine the short-term price behavior of ten Asian stock market indexes following large price changes or “shocks”. Under the standard OLS regression, there is stronger support for return continuations particularly following positive and negative price shocks of less than 10% in absolute size. The results under the GJR-GARCH method provide stronger support for market efficiency, especially for large price shocks. For example, for the Hong Kong stock index, negative shocks of less than -5% but more than -10% generate a significant one day cumulative abnormal return (CAR) of-0.754% under the OLS method, but an insignificant CAR of 0.022% under the GJR-GARCH. We find no support for the uncertainty information hypothesis. Furthermore, the CARs following the period after the Asian financial crisis adjust more quickly to price shocks.

Short-term electricity demand and gas price forecasts using wavelet transforms and adaptive models

This paper presents some forecasting techniques for energy demand and price prediction, one day ahead. These techniques combine wavelet transform (WT) with fixed and adaptive machine learning/time series models (multi-layer perceptron (MLP), radial basis functions, linear regression, or GARCH). To create an adaptive model, we use an extended Kalman filter or particle filter to update the parameters continuously on the test set. The adaptive GARCH model is a new contribution, broadening the applicability of GARCH methods. We empirically compared two approaches of combining the WT with prediction models: multicomponent forecasts and direct forecasts. These techniques are applied to large sets of real data (both stationary and non-stationary) from the UK energy markets, so as to provide comparative results that are statistically stronger than those previously reported. The results showed that the forecasting accuracy is significantly improved by using the WT and adaptive models. The best models on the electricity demand/gas price forecast are the adaptive MLP/GARCH with the multicomponent forecast; their MSEs are 0.02314 and 0.15384 respectively.

Concreteness effects in different tasks: implications for models of short-term memory

This study investigates concreteness effects in tasks requiring short-term retention. Concreteness effects were assessed in serial recall, matching span, order reconstruction, and free recall. Each task was carried out both in a control condition and under articulatory suppression. Our results show no dissociation between tasks that do and do not require spoken output. This argues against the redintegration hypothesis according to which lexical-semantic effects in short-term memory arise only at the point of production. In contrast, concreteness effects were modulated by task demands that stressed retention of item versus order information. Concreteness effects were stronger in free recall than in serial recall. Suppression, which weakens phonological representations, enhanced the concreteness effect with item scoring. In a matching task, positive effects of concreteness occurred with open sets but not with closed sets of words. Finally, concreteness effects reversed when the task asked only for recall of word positions (as in the matching task), when phonological representations were weak (because of suppression), and when lexical semantic representations overactivated (because of closed sets). We interpret these results as consistent with a model where phonological representations are crucial for the retention of order, while lexical-semantic representations support maintenance of item identity in both input and output buffers.

In search of a theory of list memory: an inquiry into the efects of long-term information on short-term recall

Over recent years, evidence has been accumulating in favour of the importance of long-term information as a variable which can affect the success of short-term recall. Lexicality, word frequency, imagery and meaning have all been shown to augment short term recall performance. Two competing theories as to the causes of this long-term memory influence are outlined and tested in this thesis. The first approach is the order-encoding account, which ascribes the effect to the usage of resources at encoding, hypothesising that word lists which require less effort to process will benefit from increased levels of order encoding, in turn enhancing recall success. The alternative view, trace redintegration theory, suggests that order is automatically encoded phonologically, and that long-term information can only influence the interpretation of the resultant memory trace. The free recall experiments reported here attempted to determine the importance of order encoding as a facilitatory framework and to determine the locus of the effects of long-term information in free recall. Experiments 1 and 2 examined the effects of word frequency and semantic categorisation over a filled delay, and experiments 3 and 4 did the same for immediate recall. Free recall was improved by both long-term factors tested. Order information was not used over a short filled delay, but was evident in immediate recall. Furthermore, it was found that both long-term factors increased the amount of order information retained. Experiment 5 induced an order encoding effect over a filled delay, leaving a picture of short-term processes which are closely associated with long-term processes, and which fit conceptions of short-term memory being part of language processes rather better than either the encoding or the retrieval-based models. Experiments 6 and 7 aimed to determine to what extent phonological processes were responsible for the pattern of results observed. Articulatory suppression affected the encoding of order information where speech rate had no direct influence, suggesting that it is ease of lexical access which is the most important factor in the influence of long-term memory on immediate recall tasks. The evidence presented in this thesis does not offer complete support for either the retrieval-based account or the order encoding account of long-term influence. Instead, the evidence sits best with models that are based upon language-processing. The path urged for future research is to find ways in which this diffuse model can be better specified, and which can take account of the versatility of the human brain.

An experimental study of the effects of noise upon short term memory

The overall aim of this study was to examine experimentally the effects of noise upon short-term memory tasks in the hope of shedding further light upon the apparently inconsistent results of previous research in the area. Seven experiments are presented. The first chapter of the thesis comprised a comprehensive review of the literature on noise and human performance while in the second chapter some theoretical questions concerning the effects of noise were considered in more detail follovred by a more detailed examination of the effects of noise upon memory. Chapter 3 described an experiment which examined the effects of noise on attention allocation in short-term memory as a function of list length. The results provided only weak evidence of increased selectivity in noise. In further chapters no~effects Here investigated in conjunction vrith various parameters of short-term memory tasks e.g. the retention interval, presentation rate. The results suggested that noise effects were significantly affected by the length of the retention interval but not by the rate of presentation. Later chapters examined the possibility of differential noise effects on the mode of recall (recall v. recognition) and the type of presentation (sequential v. simultaneous) as well as an investigation of the effect of varying the point of introduction of the noise and the importance of individual differences in noise research. The results of this study were consistent with the hypothesis that noise at presentation facilitates phonemic coding. However, noise during recall appeared to affect the retrieval strategy adopted by the subject.

Short-term memory for emotional faces in dysphoria

The study aimed to determine if the memory bias for negative faces previously demonstrated in depression and dysphoria generalises from long- to short-term memory. A total of 29 dysphoric (DP) and22 non-dysphoric (ND) participants were presented with a series of faces and asked to identify the emotion portrayed (happiness, sadness, anger, or neutral affect). Following a delay, four faces were presented (the original plus three distractors) and participants were asked to identify the target face. Half of the trials assessed memory for facial emotion, and the remaining trials examined memory for facial identity. At encoding, no group differences were apparent. At memory testing, relative to ND participants, DP participants exhibited impaired memory for all types of facial emotion and for facial identity when the faces featured happiness, anger, or neutral affect, but not sadness. DP participants exhibited impaired identity memory for happy faces relative to angry, sad, and neutral, whereas ND participants exhibited enhanced facial identity memory when faces were angry. In general, memory for faces was not related to performance at encoding. However, in DP participants only, memory for sad faces was related to sadness recognition at encoding. The results suggest that the negative memory bias for faces in dysphoria does not generalise from long- to short-term memory.

Creating innovation in small and medium-sized enterprises:evaluating the short-term effects of the creative credits pilot

This working paper looks at the short-term impact of the Creative Credits pilot scheme which operated in the Manchester City Region in the North West of England from September 2009 to September 2010, and was funded by NESTA, Manchester City Council, the North West Development Agency, the Economic and Social Research Council (ESRC) and the Arts and Humanities Research Council (AHRC). Creative Credits is a business-to-business (B2B) voucher mechanism designed to encourage small and medium-sized enterprises (SMEs) to work innovatively with creative companies. Businesses receive credits worth £4,000, which they must match with at least £1,000, to spend with creative firms on a variety of creative services.

Quantifying short-term dynamics of Parkinson's disease using self-reported symptom data from an internet social network

Background: Parkinson’s disease (PD) is an incurable neurological disease with approximately 0.3% prevalence. The hallmark symptom is gradual movement deterioration. Current scientific consensus about disease progression holds that symptoms will worsen smoothly over time unless treated. Accurate information about symptom dynamics is of critical importance to patients, caregivers, and the scientific community for the design of new treatments, clinical decision making, and individual disease management. Long-term studies characterize the typical time course of the disease as an early linear progression gradually reaching a plateau in later stages. However, symptom dynamics over durations of days to weeks remains unquantified. Currently, there is a scarcity of objective clinical information about symptom dynamics at intervals shorter than 3 months stretching over several years, but Internet-based patient self-report platforms may change this. Objective: To assess the clinical value of online self-reported PD symptom data recorded by users of the health-focused Internet social research platform PatientsLikeMe (PLM), in which patients quantify their symptoms on a regular basis on a subset of the Unified Parkinson’s Disease Ratings Scale (UPDRS). By analyzing this data, we aim for a scientific window on the nature of symptom dynamics for assessment intervals shorter than 3 months over durations of several years. Methods: Online self-reported data was validated against the gold standard Parkinson’s Disease Data and Organizing Center (PD-DOC) database, containing clinical symptom data at intervals greater than 3 months. The data were compared visually using quantile-quantile plots, and numerically using the Kolmogorov-Smirnov test. By using a simple piecewise linear trend estimation algorithm, the PLM data was smoothed to separate random fluctuations from continuous symptom dynamics. Subtracting the trends from the original data revealed random fluctuations in symptom severity. The average magnitude of fluctuations versus time since diagnosis was modeled by using a gamma generalized linear model. Results: Distributions of ages at diagnosis and UPDRS in the PLM and PD-DOC databases were broadly consistent. The PLM patients were systematically younger than the PD-DOC patients and showed increased symptom severity in the PD off state. The average fluctuation in symptoms (UPDRS Parts I and II) was 2.6 points at the time of diagnosis, rising to 5.9 points 16 years after diagnosis. This fluctuation exceeds the estimated minimal and moderate clinically important differences, respectively. Not all patients conformed to the current clinical picture of gradual, smooth changes: many patients had regimes where symptom severity varied in an unpredictable manner, or underwent large rapid changes in an otherwise more stable progression. Conclusions: This information about short-term PD symptom dynamics contributes new scientific understanding about the disease progression, currently very costly to obtain without self-administered Internet-based reporting. This understanding should have implications for the optimization of clinical trials into new treatments and for the choice of treatment decision timescales.

Selection & development of short-term project team members:developmental stability as an indicator of interpersonal skills

Short-term project teams do not have the advantage of prior performance or long-term membership to facilitate development of effective team performance. Research suggests interpersonal skills are crucial to success but this is under researched longitudinally. Evolutionary psychology can provide a lens to explain how people develop differing levels of interpersonal skills via the relationship between fluctuating asymmetry and pro-social behaviours. This research aims to investigate the relationship between fluctuating asymmetry and interpersonal skills, the impact of training and to further the evolutionary psychology field by embedding research in a real-world context as opposed to solely in laboratory or student settings.

Short-term changes in ocular biometry and refraction after discontinuation of long-term orthokeratology

OBJECTIVE: To assess refractive and biometric changes 1 week after discontinuation of lens wear in subjects who had been wearing orthokeratology (OK) contact lenses for 2 years. METHODS: Twenty-nine subjects aged 6 to 12 years and with myopia of -0.75 to -4.00 diopters (D) and astigmatism of ≤1.00 D participated in the study. Measurements of axial length and anterior chamber depth (Zeiss IOLMaster), corneal power and shape, and cycloplegic refraction were taken 1 week after discontinuation and compared with those at baseline and after 24 months of lens wear. RESULTS: A hyperopic shift was found at 24 months relative to baseline in spherical equivalent refractive error (+1.86±1.01 D), followed by a myopic shift at 1 week relative to 24 months (-1.93±0.92 D) (both P<0.001). Longer axial lengths were found at 24 months and 1 week in comparison to baseline (0.47±0.18 and 0.51±0.18 mm, respectively) (both P<0.001). The increase in axial length at 1 week relative to 24 months was statistically significant (0.04±0.06 mm; P=0.006). Anterior chamber depth did not change significantly over time (P=0.31). Significant differences were found between 24 months and 1 week relative to baseline and between 1-week and 24-month visits in mean corneal power (-1.68±0.80, -0.44±0.32, and 1.23±0.70 D, respectively) (all P≤0.001). Refractive change at 1 week in comparison to 24 months strongly correlated with changes in corneal power (r=-0.88; P<0.001) but not with axial length changes (r=-0.09; P=0.66). Corneal shape changed significantly between the baseline and 1-week visits (0.15±0.10 D; P<0.001). Corneal shape changed from a prolate to a more oblate corneal shape at the 24-month and 1-week visits in comparison to baseline (both P≤0.02) but did not change significantly between 24 months and 1 week (P=0.06). CONCLUSIONS: The effects of long-term OK on ocular biometry and refraction are still present after 1-week discontinuation of lens wear. Refractive change after discontinuation of long-term OK is primarily attributed to the recovery of corneal shape and not to an increase in the axial length.

Forecasting the term structure when short-term rates are near zero

This paper compares the experience of forecasting the UK government bond yield curve before and after the dramatic lowering of short-term interest rates from October 2008. Out-of-sample forecasts for 1, 6 and 12 months are generated from each of a dynamic Nelson-Siegel model, autoregressive models for both yields and the principal components extracted from those yields, a slope regression and a random walk model. At short forecasting horizons, there is little difference in the performance of the models both prior to and after 2008. However, for medium- to longer-term horizons, the slope regression provided the best forecasts prior to 2008, while the recent experience of near-zero short interest rates coincides with a period of forecasting superiority for the autoregressive and dynamic Nelson-Siegel models. © 2014 John Wiley & Sons, Ltd.

Effects of short-term detraining on postprandial metabolism, endothelial function, and inflammation in endurance-trained men:dissociation between changes in triglyceride metabolism and endothelial function

Endurance-trained athletes experience a low level of postprandial lipaemia, but this rapidly increases with detraining. We sought to determine whether detraining-induced changes to postprandial metabolism influenced endothelial function and inflammation. Eight endurance-trained men each undertook two oral fat tolerance tests [blood taken fasted and for 6 h following a high-fat test meal (80 g fat, 80 g carbohydrate)]: one during a period of their normal training (trained) and one after 1 wk of no exercise (detrained). Endothelial function in the cutaneous microcirculation was assessed using laser Doppler imaging with iontophoresis in the fasted state and 4 h postprandially during each test. Fasting plasma triglyceride (TG) concentrations increased by 35% with detraining (P = 0.002), as did postprandial plasma (by 53%, P = 0.002), chylomicron (by 68%, P = 0.02) and very low-density lipoprotein (by 51%, P = 0.005) TG concentrations. Endothelial function decreased postprandially in both the trained (by 17%, P = 0.03) and detrained (by 22%, P = 0.03) conditions but did not differ significantly between the trained and detrained conditions in either the fasted or the postprandial states. These results suggest that, although fat ingestion induces endothelial dysfunction, interventions that alter postprandial TG metabolism will not necessarily concomitantly influence endothelial function.

Short-term wind power forecasting using Gaussian processes

Since wind has an intrinsically complex and stochastic nature, accurate wind power forecasts are necessary for the safety and economics of wind energy utilization. In this paper, we investigate a combination of numeric and probabilistic models: one-day-ahead wind power forecasts were made with Gaussian Processes (GPs) applied to the outputs of a Numerical Weather Prediction (NWP) model. Firstly the wind speed data from NWP was corrected by a GP. Then, as there is always a defined limit on power generated in a wind turbine due the turbine controlling strategy, a Censored GP was used to model the relationship between the corrected wind speed and power output. To validate the proposed approach, two real world datasets were used for model construction and testing. The simulation results were compared with the persistence method and Artificial Neural Networks (ANNs); the proposed model achieves about 11% improvement in forecasting accuracy (Mean Absolute Error) compared to the ANN model on one dataset, and nearly 5% improvement on another.

Short-term stability in refractive status despite large fluctuations in glucose levels in diabetes mellitus type 1 and 2

Purpose: This work investigates how short-term changes in blood glucose concentration affect the refractive components of the diabetic eye in patients with long-term Type 1 and Type 2 diabetes. Methods: Blood glucose concentration, refractive error components (mean spherical equivalent MSE, J0, J45), central corneal thickness (CCT), anterior chamber depth (ACD), crystalline lens thickness (LT), axial length (AL) and ocular aberrations were monitored at two-hourly intervals over a 12-hour period in: 20 T1DM patients (mean age ± SD) 38±14 years, baseline HbA1c 8.6±1.9%; 21 T2DM patients (mean age ± SD) 56±11 years, HbA1c 7.5±1.8%; and in 20 control subjects (mean age ± SD) 49±23 years, HbA1c 5.5±0.5%. The refractive and biometric results were compared with the corresponding changes in blood glucose concentration. Results: Blood glucose concentration at different times was found to vary significantly within (p<0.0005) and between groups (p<0.0005). However, the refractive error components and ocular aberrations were not found to alter significantly over the day in either the diabetic patients or the control subjects (p>0.05). Minor changes of marginal statistical or optical significance were observed in some biometric parameters. Similarly there were some marginally significant differences between the baseline biometric parameters of well-controlled and poorly-controlled diabetic subjects. Conclusion: This work suggests that normal, short-term fluctuations (of up to about 6 mM/l on a timescale of a few hours) in the blood glucose levels of diabetics are not usually associated with acute changes in refractive error or ocular wavefront aberrations. It is therefore possible that factors other than refractive error fluctuations are sometimes responsible for the transient visual problems often reported by diabetic patients. © 2012 Huntjens et al.