Changes in the comovement of european equity markets

This paper investigates the impact that the removal of exchange controls within major European economies has had on the interdependence of European equity markets. For five years prior to the removal of exchange controls and five years following their removal, we use impulse responses and variance decompositions from vector autoregressions to illustrate that European equity markets have become substantially more integrated after the removal of exchange controls. We undertake further tests that demonstrate that, even if we allow for parallel macroeconomic harmonization, the removal of exchange controls has been a major cause of increased equity market integration within Europe.

Resisting the final word:challenging stale media and policy representations of students’ performative technological encounters in university education

This article explores powerful, constraining representations of encounters between digital technologies and the bodies of students and teachers, using corpus-based Critical Discourse Analysis (CDA). It discusses examples from a corpus of UK Higher Education (HE) policy documents, and considers how confronting such documents may strengthen arguments from educators against narrow representations of an automatically enhanced learning. Examples reveal that a promise of enhanced ‘student experience’ through information and communication technologies internalizes the ideological constructs of technology and policy makers, to reinforce a primary logic of exchange value. The identified dominant discursive patterns are closely linked to the Californian ideology. By exposing these texts, they provide a form of ‘linguistic resistance’ for educators to disrupt powerful processes that serve the interests of a neoliberal social imaginary. To mine this current crisis of education, the authors introduce productive links between a Networked Learning approach and a posthumanist perspective. The Networked Learning approach emphasises conscious choices between political alternatives, which in turn could help us reconsider ways we write about digital technologies in policy. Then, based on the works of Haraway, Hayles, and Wark, a posthumanist perspective places human digital learning encounters at the juncture of non-humans and politics. Connections between the Networked Learning approach and the posthumanist perspective are necessary in order to replace a discourse of (mis)representations with a more performative view towards the digital human body, which then becomes situated at the centre of teaching and learning. In practice, however, establishing these connections is much more complex than resorting to the typically straightforward common sense discourse encountered in the Critical Discourse Analysis, and this may yet limit practical applications of this research in policy making.

Estimating conditional volatility with neural networks

It is well known that one of the obstacles to effective forecasting of exchange rates is heteroscedasticity (non-stationary conditional variance). The autoregressive conditional heteroscedastic (ARCH) model and its variants have been used to estimate a time dependent variance for many financial time series. However, such models are essentially linear in form and we can ask whether a non-linear model for variance can improve results just as non-linear models (such as neural networks) for the mean have done. In this paper we consider two neural network models for variance estimation. Mixture Density Networks (Bishop 1994, Nix and Weigend 1994) combine a Multi-Layer Perceptron (MLP) and a mixture model to estimate the conditional data density. They are trained using a maximum likelihood approach. However, it is known that maximum likelihood estimates are biased and lead to a systematic under-estimate of variance. More recently, a Bayesian approach to parameter estimation has been developed (Bishop and Qazaz 1996) that shows promise in removing the maximum likelihood bias. However, up to now, this model has not been used for time series prediction. Here we compare these algorithms with two other models to provide benchmark results: a linear model (from the ARIMA family), and a conventional neural network trained with a sum-of-squares error function (which estimates the conditional mean of the time series with a constant variance noise model). This comparison is carried out on daily exchange rate data for five currencies.