Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration

We investigate the integration of the European peripheral financial markets with Germany, France, and the UK using a combination of tests for structural breaks and return correlations derived from several multivariate stochastic volatility models. Our findings suggest that financial integration intensified in anticipation of the Euro, further strengthened by the EMU inception, and amplified in response to the 2007/2008 financial crisis. Hence, no evidence is found of decoupling of the equity markets in more troubled European countries from the core. Interestingly, the UK, despite staying outside the EMU, is not worse integrated with the GIPSI than Germany or France. © 2013 Elsevier B.V.

Forecasting the UK/US exchange rate with divisia monetary models and neural networks

This paper compares the UK/US exchange rate forecasting performance of linear and nonlinear models based on monetary fundamentals, to a random walk (RW) model. Structural breaks are identified and taken into account. The exchange rate forecasting framework is also used for assessing the relative merits of the official Simple Sum and the weighted Divisia measures of money. Overall, there are four main findings. First, the majority of the models with fundamentals are able to beat the RW model in forecasting the UK/US exchange rate. Second, the most accurate forecasts of the UK/US exchange rate are obtained with a nonlinear model. Third, taking into account structural breaks reveals that the Divisia aggregate performs better than its Simple Sum counterpart. Finally, Divisia-based models provide more accurate forecasts than Simple Sum-based models provided they are constructed within a nonlinear framework.

Risk and structural instability in US house prices

This paper employs a Component GARCH in Mean model to show that house prices across a number of major US cities between 1987 and 2009 have displayed asset market properties in terms of both risk-return relationships and asymmetric adjustment to shocks. In addition, tests for structural breaks in the mean and variance indicate structural instability across the data range. Multiple breaks are identified across all cities, particularly for the early 1990s and during the post-2007 financial crisis as housing has become an increasingly risky asset. Estimating the models over the individual sub-samples suggests that over the last 20 years the financial sector has increasingly failed to account for the levels of risk associated with real estate markets. This result has possible implications for the way in which financial institutions should be regulated in the future.

Feature analysis of spammers in social networks with active honeypots:a case study of Chinese microblogging networks

In this poster we presented our preliminary work on the study of spammer detection and analysis with 50 active honeypot profiles implemented on Weibo.com and QQ.com microblogging networks. We picked out spammers from legitimate users by manually checking every captured user's microblogs content. We built a spammer dataset for each social network community using these spammer accounts and a legitimate user dataset as well. We analyzed several features of the two user classes and made a comparison on these features, which were found to be useful to distinguish spammers from legitimate users. The followings are several initial observations from our analysis on the features of spammers captured on Weibo.com and QQ.com. ¦The following/follower ratio of spammers is usually higher than legitimate users. They tend to follow a large amount of users in order to gain popularity but always have relatively few followers. ¦There exists a big gap between the average numbers of microblogs posted per day from these two classes. On Weibo.com, spammers post quite a lot microblogs every day, which is much more than legitimate users do; while on QQ.com spammers post far less microblogs than legitimate users. This is mainly due to the different strategies taken by spammers on these two platforms. ¦More spammers choose a cautious spam posting pattern. They mix spam microblogs with ordinary ones so that they can avoid the anti-spam mechanisms taken by the service providers. ¦Aggressive spammers are more likely to be detected so they tend to have a shorter life while cautious spammers can live much longer and have a deeper influence on the network. The latter kind of spammers may become the trend of social network spammer. © 2012 IEEE.

Quantitative analysis of solid-state processes studied with isothermal microcalorimetry

Quantitative analysis of solid-state processes from isothermal microcalorimetric data is straightforward if data for the total process have been recorded and problematic (in the more likely case) when they have not. Data are usually plotted as a function of fraction reacted (α); for calorimetric data, this requires knowledge of the total heat change (Q) upon completion of the process. Determination of Q is difficult in cases where the process is fast (initial data missing) or slow (final data missing). Here we introduce several mathematical methods that allow the direct calculation of Q by selection of data points when only partial data are present, based on analysis with the Pérez-Maqueda model. All methods in addition allow direct determination of the reaction mechanism descriptors m and n and from this the rate constant, k. The validity of the methods is tested with the use of simulated calorimetric data, and we introduce a graphical method for generating solid-state power-time data. The methods are then applied to the crystallization of indomethacin from a glass. All methods correctly recovered the total reaction enthalpy (16.6 J) and suggested that the crystallization followed an Avrami model. The rate constants for crystallization were determined to be 3.98 × 10-6, 4.13 × 10-6, and 3.98 × 10 -6 s-1 with methods 1, 2, and 3, respectively. © 2010 American Chemical Society.

Visual field and structural alterations in age-related macular degeneration

The thesis investigated progression of the central 10° visual field with structural changes at the macula in a cross-section of patients with varying degrees of agerelated macular degeneration (AMD). The relationships between structure and function were investigated for both standard and short-wavelength automated perimetry (SWAP). Factors known to influence the measure of visual field progression were considered, including the accuracy of the refractive correction on SWAP thresholds and the learning effect. Techniques of assessing the structure to function relationships between fundus images and the visual field were developed with computer programming and evaluated for repeatability. Drusen quantification of fundus photographs and retro-mode scanning laser ophthalmoscopic images was performed. Visual field progression was related to structural changes derived from both manual and automated methods. Principal Findings: • Visual field sensitivity declined with advancing stage of AMD. SWAP showed greater sensitivity to progressive changes than standard perimetry. • Defects were confined to the central 5°. SWAP defects occurred at similar locations but were deeper and wider than corresponding standard perimetry defects. • The central field became less uniform as severity of AMD increased. SWAP visual field indices of focal loss were of more importance when detecting early change in AMD, than indices of diffuse loss. • The decline in visual field sensitivity over stage of severity of AMD was not uniform, whereas a linear relationship was found between the automated measure of drusen area and visual field parameters. • Perimetry exhibited a stronger relationship with drusen area than other measures of visual function. • Overcorrection of the refraction for the working distance in SWAP should be avoided in subjects with insufficient accommodative facility. • The perimetric learning effect in the 10° field did not differ significantly between normal subjects and AMD patients. • Subretinal deposits appeared more numerous in retro-mode imaging than in fundus photography.

Post-Bretton Woods evidence on PPP under different exchange rate regimes

This article investigates the behaviour of exchange rates across different regimes for a post-Bretton Woods period. The exchange rate regime classification is based on the classification of Frankel et al. (2004) who condensed the 10 categories of exchange rate regimes reported by the International Monetary Fund (IMF) into three categories. Panel unitroot tests and panel cointegration are used to examine the Purchasing Power Parity (PPP) hypothesis. The latter test is used to check for both the weak and strong forms of PPP. The panel unit-root tests show no evidence of PPP and suggest there is no difference in the behaviour of exchange rates across different regimes. However, failure to detect PPP across any of the regimes could be due to structural breaks. This assumption is reinforced by the results of cointegration tests, which suggest that there exists at least a weak form of PPP for the different regimes. The evidence for strong PPP decreases as the exchange rate regime moves away from a flexible exchange rate regime.

Project time risk analysis through simulation

An inherent weakness in the management of large scale projects is the failure to achieve the scheduled completion date. When projects are planned with the objective of time achievement, the initial planning plays a vital role in the successful achievement of project deadlines. Cost and quality are additional priorities when such projects are being executed. This article proposes a methodology for achieving time duration of a project through risk analysis with the application of a Monte Carlo simulation technique. The methodology is demonstrated using a case application of a cross-country petroleum pipeline construction project.

The development of a short scale measuring aggressiveness and anger in competitive athletes

Objectives: The study of aggression and anger in competitive sport relies on accurate and economical measurement via observation, interview and questionnaire. Unfortunately, extant questionnaires have been criticised for having poor validity, are not sport specific, or reflect mood states rather than trait qualities. Therefore, a measure of trait anger and aggressiveness in competitive athletes was developed. Method: A list of statements representing aggressiveness and anger was generated and distributed to competitive athletes from diverse sports. Exploratory and confirmatory analyses were used to verify the theoretically predicted factor structure. Correlations with an extant measure of aggression and anger were used to ascertain concurrent validity. Discriminant validity was tested by comparing males with females, and aggressive with non-aggressive footballers. Results: A 12-item scale (Competitive Aggressiveness and Anger Scale, CAAS) consisting of two subscales was derived using principal component factor analysis with oblimin rotation. Confirmatory factor analysis using structural equation modelling confirmed the overall structure. Test-retest correlation, construct and discriminant validities were good, supporting the utility of the scale as a measure of athlete trait aggressiveness and anger. Conclusions: The CAAS appears to be a useful measure of athletic anger and aggressiveness. Its brevity and ability to discriminate aggressive from non-aggressive athletes should prove useful for future research concerning aggressive behaviour in competitive athletes. © 2006 Elsevier Ltd. All rights reserved.

A semi-oriented radial measure for measuring the efficiency of decision making units with negative data, using DEA

Data Envelopment Analysis (DEA) is a nonparametric method for measuring the efficiency of a set of decision making units such as firms or public sector agencies, first introduced into the operational research and management science literature by Charnes, Cooper, and Rhodes (CCR) [Charnes, A., Cooper, W.W., Rhodes, E., 1978. Measuring the efficiency of decision making units. European Journal of Operational Research 2, 429–444]. The original DEA models were applicable only to technologies characterized by positive inputs/outputs. In subsequent literature there have been various approaches to enable DEA to deal with negative data. In this paper, we propose a semi-oriented radial measure, which permits the presence of variables which can take both negative and positive values. The model is applied to data on a notional effluent processing system to compare the results with those yielded by two alternative methods for dealing with negative data in DEA: The modified slacks-based model suggested by Sharp et al. [Sharp, J.A., Liu, W.B., Meng, W., 2006. A modified slacks-based measure model for data envelopment analysis with ‘natural’ negative outputs and inputs. Journal of Operational Research Society 57 (11) 1–6] and the range directional model developed by Portela et al. [Portela, M.C.A.S., Thanassoulis, E., Simpson, G., 2004. A directional distance approach to deal with negative data in DEA: An application to bank branches. Journal of Operational Research Society 55 (10) 1111–1121]. A further example explores the advantages of using the new model.

The campaign to save Croxteth comprehensive: an ethnographic study of a protest movement

This thesis is based on ethnographic research carried out on a Liverpool protest movement which occurred between November, 1980 and July,1983. The protest movement was waged by residents of the working class community of Croxteth Liverpool who wished to retain their state secondary school, Croxteth Comprehensive. The Liverpool City Council voted in favour of closing Croxteth Comprehensive in January, 1981 because of its declining roles. Residents began theIr campaign as soon as they became aware of intentions to close the school at the end of the previous year. The campaIgn itself went through a number of different phases, distinguishable accordIng to the groups of people involved, the strategy and tactics they employed, the ways in which they justified their campaign, and the goals they pursued. In July of 1982 the organisation which led the protest, the Croxteth Community Action Committee, took illegal possession of the school buildings and ran a pilot summer school project. In September of 1982 they opened the school doors for all secondary pupils on the council estate and began running classes, with the help of volunteer teachers. The school was run successfully in this way for the entire 1982/83 school year. By the end of this period the school was officially reinstated by a new Labour Party majorIty on the city council. This thesis presents a comprehensive account of the entire campaign, from its beginning to end. The campaign is analysed in a number of ways: by situating the closure itself in the economic and political conditions of Liverpool in the 1980s, by examining the relation of Croxteth Comprehensive to its community, by describing the conditions in which different groups of people contributed to the campaign and the changes it went through in its use of tactics, and through a close examination of the activities which took place inside the school during its year of occupation. A number of levels of analysis are used in the study. To explain the closure and the early forms of resistance which developed to oppose it, the structural location of the local government of Liverpool in the late 1970s and early 1980s is described. To explain the relationship of the school to its community, the formation of a group of activists and their leaders, and the resources available to the protestors for pursuing their aims, a single-group model of social action is used. To analyse the establishment of social routines and schooling practices within the school during its occupation, action-theoretica1 models are drawn upon., The chapters of literature review and concept analysis with which this thesis begins link these different levels theoretIcalIy through a model of actIon and its conditions. The theoretical framework employed is reviewed in the last chapter. It is one which could be used to study any social movement, and has applications to other social phenomena as well. Lastly various issues within the sociology of education are examined in light of the events which took place in Croxteth Comprehensive, especially the theory of community education.

Settlement of fill with particular reference to opencast coal mining sites

A study of information available on the settlement characteristics of backfill in restored opencast coal mining sites and other similar earthworks projects has been undertaken. In addition, the methods of opencast mining, compaction controls, monitoring and test methods have been reviewed. To consider and develop the methods of predicting the settlement of fill, three sites in the West Midlands have been examined; at each, the backfill had been placed in a controlled manner. In addition, use has been made of a finite element computer program to compare a simple two-dimensional linear elastic analysis with field observations of surface settlements in the vicinity of buried highwalls. On controlled backfill sites, settlement predictions have been accurately made, based on a linear relationship between settlement (expressed as a percentage of fill height) against logarithm of time. This `creep' settlement was found to be effectively complete within 18 months of restoration. A decrease of this percentage settlement was observed with increasing fill thickness; this is believed to be related to the speed with which the backfill is placed. A rising water table within the backfill is indicated to cause additional gradual settlement. A prediction method, based on settlement monitoring, has been developed and used to determine the pattern of settlement across highwalls and buried highwalls. The zone of appreciable differential settlement was found to be mainly limited to the highwall area, the magnitude was dictated by the highwall inclination. With a backfill cover of about 15 metres over a buried highwall the magnitude of differential settlement was negligible. Use has been made of the proposed settlement prediction method and monitoring to control the re-development of restored opencase sites. The specifications, tests and monitoring techniques developed in recent years have been used to aid this. Such techniques have been valuable in restoring land previously derelict due to past underground mining.

Visual field and structural correlates of progression in age-related macular degeneration

Presentation Purpose:To examine the correlation of central visual field loss and progression of structural changes in the macular area in age-related macular degeneration (AMD). Methods:Central 10° standard and short-wavelength automated perimetry (SWAP) visual fields were acquired in 39 eyes of 24 patients with AMD using a Humphrey Field Analyzer. Stereoscopic fundus photographs were graded1 by two independent observers and the stage of disease determined2. Custom software mapped perimetric data onto fundus images in order to relate structural changes to functional loss. Results:Mean deviation (MD) in standard perimetry changed from 0.04 dB at stage 1 to -12.39 dB at stage 4 (r2=0.48, p<0.001). The group mean SWAP MD was -5.26 dB at stage 1 and increased to -17.08 dB at stage 4 (r2=0.53, p<0.001). Pattern standard deviation (PSD) also increased with advancing stage in standard perimetry; 1.32 dB to 8.67 dB at stage 1 and 4, respectively (r2=0.54, p<0.001). In SWAP, PSD increased from 2.86 dB to 5.63 dB at stage 1 and stage 4 (r2=0.43, p<0.001). Defect frequency was greater in SWAP than standard perimetry. Early stage defects occurred with the greatest frequency at eccentricities of 3.2° and 5.1° in standard perimetry and at 4.2° in SWAP. Late stage defects were most frequent at 1° eccentricity in standard perimetry and at 1° and 9° in SWAP. MD declined with increasing affected retinal area over the central 3000µm; by 0.20 dB (r2=0.67, p<0.001) and 0.18 dB (r2=0.49, p<0.001) per % increase in defect area for standard perimetry and SWAP respectively. 41% of defects were associated with structural changes on the retina in standard perimetry and 43% in SWAP. Conclusions:Sensitivity decreased with advancing stage of AMD, with a greater effect demonstrated in SWAP compared to standard perimetry. The central field became less uniform as stage increased. SWAP defects occurred at similar locations but were deeper and wider than corresponding defects in standard perimetry. Central loss in SWAP is a sensitive marker of functional progression in AMD.1. Bird et al. (1995) Surv Ophthalmol 39:367-3742. van Leeuwen et al. (2003) Arch Ophthalmol 121:519-526

A peak-clustering method for MEG group analysis to minimise artefacts due to smoothness

Magnetoencephalography (MEG), a non-invasive technique for characterizing brain electrical activity, is gaining popularity as a tool for assessing group-level differences between experimental conditions. One method for assessing task-condition effects involves beamforming, where a weighted sum of field measurements is used to tune activity on a voxel-by-voxel basis. However, this method has been shown to produce inhomogeneous smoothness differences as a function of signal-to-noise across a volumetric image, which can then produce false positives at the group level. Here we describe a novel method for group-level analysis with MEG beamformer images that utilizes the peak locations within each participant's volumetric image to assess group-level effects. We compared our peak-clustering algorithm with SnPM using simulated data. We found that our method was immune to artefactual group effects that can arise as a result of inhomogeneous smoothness differences across a volumetric image. We also used our peak-clustering algorithm on experimental data and found that regions were identified that corresponded with task-related regions identified in the literature. These findings suggest that our technique is a robust method for group-level analysis with MEG beamformer images.

De-industrialisation and the post-communist transition:Rowthorn and Wells' model revisited

In this paper we present a simple three-sector model explaining the structural change in employment, which is a modified version of Rowthorn-Wells (1987). We supplement the theoretical analysis with simple econometric tests, which illustrate how the modified Rowthorn-Wells model can be used to (i) motivate empirical estimates of the link between the level of development and structures of employment, (ii) illustrate structural distortions under the command economies, and the structural adjustment that happened during the post-Communist transition. We demonstrate that in the case of these economies, the transition process leads to an adjustment to the employment structures predicted by the model.