Breaking down the non-normality of daily stock returns

This paper investigates whether the non-normality typically observed in daily stock-market returns could arise because of the joint existence of breaks and GARCH effects. It proposes a data-driven procedure to credibly identify the number and timing of breaks and applies it on the benchmark stock-market indices of 27 OECD countries. The findings suggest that a substantial element of the observed deviations from normality might indeed be due to the co-existence of breaks and GARCH effects. However, the presence of structural changes is found to be the primary reason for the non-normality and not the GARCH effects. Also, there is still some remaining excess kurtosis that is unlikely to be linked to the specification of the conditional volatility or the presence of breaks. Finally, an interesting sideline result implies that GARCH models have limited capacity in forecasting stock-market volatility.

Monetary variability and monetary variables in the Franc zone

Failure to detect or account for structural changes in economic modelling can lead to misleading policy inferences, which can be perilous, especially for the more fragile economies of developing countries. Using three potential monetary policy instruments (Money Base, M0, and Reserve Money) for 13 member-states of the CFA Franc zone over the period 1989:11-2002:09, we investigate the magnitude of information extracted by employing data-driven techniques when analyzing breaks in time-series, rather than the simplifying practice of imposing policy implementation dates as break dates. The paper also tests Granger's (1980) aggregation theory and highlights some policy implications of the results.

Stock market efficiency before and after a financial liberalisation reform:do breaks in volatility dynamics matter?

This article focuses on the deviations from normality of stock returns before and after a financial liberalisation reform, and shows the extent to which inference based on statistical measures of stock market efficiency can be affected by not controlling for breaks. Drawing from recent advances in the econometrics of structural change, it compares the distribution of the returns of five East Asian emerging markets when breaks in the mean and variance are either (i) imposed using certain official liberalisation dates or (ii) detected non-parametrically using a data-driven procedure. The results suggest that measuring deviations from normality of stock returns with no provision for potentially existing breaks incorporates substantial bias. This is likely to severely affect any inference based on the corresponding descriptive or test statistics.

Intonation contour realisation for Standard Yorùbá text-to-speech synthesis:a fuzzy computational approach

This paper presents a novel intonation modelling approach and demonstrates its applicability using the Standard Yorùbá language. Our approach is motivated by the theory that abstract and realised forms of intonation and other dimensions of prosody should be modelled within a modular and unified framework. In our model, this framework is implemented using the Relational Tree (R-Tree) technique. The R-Tree is a sophisticated data structure for representing a multi-dimensional waveform in the form of a tree. Our R-Tree for an utterance is generated in two steps. First, the abstract structure of the waveform, called the Skeletal Tree (S-Tree), is generated using tone phonological rules for the target language. Second, the numerical values of the perceptually significant peaks and valleys on the S-Tree are computed using a fuzzy logic based model. The resulting points are then joined by applying interpolation techniques. The actual intonation contour is synthesised by Pitch Synchronous Overlap Technique (PSOLA) using the Praat software. We performed both quantitative and qualitative evaluations of our model. The preliminary results suggest that, although the model does not predict the numerical speech data as accurately as contemporary data-driven approaches, it produces synthetic speech with comparable intelligibility and naturalness. Furthermore, our model is easy to implement, interpret and adapt to other tone languages.

Towards in silico prediction of immunogenic epitopes

As torrents of new data now emerge from microbial genomics, bioinformatic prediction of immunogenic epitopes remains challenging but vital. In silico methods often produce paradoxically inconsistent results: good prediction rates on certain test sets but not others. The inherent complexity of immune presentation and recognition processes complicates epitope prediction. Two encouraging developments – data driven artificial intelligence sequence-based methods for epitope prediction and molecular modeling methods based on three-dimensional protein structures – offer hope for the future.

The 6P's of sales resource management

This paper will explore a data-driven approach called Sales Resource Management (SRM) that can provide real insight into sales management. The DSMT (Diagnosis, Strategy, Metrics and Tools) framework can be used to solve field sales management challenges. This paper focus on the 6P's strategy of SRM and illustrates how to use them to solve the CAPS (Concentration, Attrition, Performance and Spend) challenges. © 2010 IEEE.

On the use of likert-type scales in multilevel data:Influence on aggregate variables

In multilevel analyses, problems may arise when using Likert-type scales at the lowest level of analysis. Specifically, increases in variance should lead to greater censoring for the groups whose true scores fall at either end of the distribution. The current study used simulation methods to examine the influence of single-item Likert-type scale usage on ICC(1), ICC(2), and group-level correlations. Results revealed substantial underestimation of ICC(1) when using Likert-type scales with common response formats (e.g., 5 points). ICC(2) and group-level correlations were also underestimated, but to a lesser extent. Finally, the magnitude of underestimation was driven in large part to an interaction between Likert-type scale usage and the amounts of within- and between-group variance. © Sage Publications.

Is the post-reform growth of the Indian manufacturing sector efficiency driven? Empirical evidence from plant level data

It is generally believed that the structural reforms that were introduced in India following the macro-economic crisis of 1991 ushered in competition and forced companies to become more efficient. However, whether the post-1991 growth is an outcome of more efficient use of resources or greater use of factor inputs remains an open empirical question. In this paper, we use plant-level data from 1989–1990 and 2000–2001 to address this question. Our results indicate that while there was an increase in the productivity of factor inputs during the 1990s, most of the growth in value added is explained by growth in the use of factor inputs. We also find that median technical efficiency declined in all but one of the industries between 1989–1990 and 2000–2001, and that change in technical efficiency explains a very small proportion of the change in gross value added.

Quality-driven resource utilization methods for video streaming in wireless communication networks

This research is focused on the optimisation of resource utilisation in wireless mobile networks with the consideration of the users’ experienced quality of video streaming services. The study specifically considers the new generation of mobile communication networks, i.e. 4G-LTE, as the main research context. The background study provides an overview of the main properties of the relevant technologies investigated. These include video streaming protocols and networks, video service quality assessment methods, the infrastructure and related functionalities of LTE, and resource allocation algorithms in mobile communication systems. A mathematical model based on an objective and no-reference quality assessment metric for video streaming, namely Pause Intensity, is developed in this work for the evaluation of the continuity of streaming services. The analytical model is verified by extensive simulation and subjective testing on the joint impairment effects of the pause duration and pause frequency. Various types of the video contents and different levels of the impairments have been used in the process of validation tests. It has been shown that Pause Intensity is closely correlated with the subjective quality measurement in terms of the Mean Opinion Score and this correlation property is content independent. Based on the Pause Intensity metric, an optimised resource allocation approach is proposed for the given user requirements, communication system specifications and network performances. This approach concerns both system efficiency and fairness when establishing appropriate resource allocation algorithms, together with the consideration of the correlation between the required and allocated data rates per user. Pause Intensity plays a key role here, representing the required level of Quality of Experience (QoE) to ensure the best balance between system efficiency and fairness. The 3GPP Long Term Evolution (LTE) system is used as the main application environment where the proposed research framework is examined and the results are compared with existing scheduling methods on the achievable fairness, efficiency and correlation. Adaptive video streaming technologies are also investigated and combined with our initiatives on determining the distribution of QoE performance across the network. The resulting scheduling process is controlled through the prioritization of users by considering their perceived quality for the services received. Meanwhile, a trade-off between fairness and efficiency is maintained through an online adjustment of the scheduler’s parameters. Furthermore, Pause Intensity is applied to act as a regulator to realise the rate adaptation function during the end user’s playback of the adaptive streaming service. The adaptive rates under various channel conditions and the shape of the QoE distribution amongst the users for different scheduling policies have been demonstrated in the context of LTE. Finally, the work for interworking between mobile communication system at the macro-cell level and the different deployments of WiFi technologies throughout the macro-cell is presented. A QoEdriven approach is proposed to analyse the offloading mechanism of the user’s data (e.g. video traffic) while the new rate distribution algorithm reshapes the network capacity across the macrocell. The scheduling policy derived is used to regulate the performance of the resource allocation across the fair-efficient spectrum. The associated offloading mechanism can properly control the number of the users within the coverages of the macro-cell base station and each of the WiFi access points involved. The performance of the non-seamless and user-controlled mobile traffic offloading (through the mobile WiFi devices) has been evaluated and compared with that of the standard operator-controlled WiFi hotspots.

Decision support based on genomics:integration of data-and knowledge-driven reasoning

The breadth and depth of available clinico-genomic information, present an enormous opportunity for improving our ability to study disease mechanisms and meet the individualised medicine needs. A difficulty occurs when the results are to be transferred 'from bench to bedside'. Diversity of methods is one of the causes, but the most critical one relates to our inability to share and jointly exploit data and tools. This paper presents a perspective on current state-of-the-art in the analysis of clinico-genomic data and its relevance to medical decision support. It is an attempt to investigate the issues related to data and knowledge integration. Copyright © 2010 Inderscience Enterprises Ltd.