Dynamic models of exchange rate dependence using option prices and historical returns

Models for the conditional joint distribution of the U.S. Dollar/Japanese Yen and Euro/Japanese Yen exchange rates, from November 2001 until June 2007, are evaluated and compared. The conditional dependency is allowed to vary across time, as a function of either historical returns or a combination of past return data and option-implied dependence estimates. Using prices of currency options that are available in the public domain, risk-neutral dependency expectations are extracted through a copula repre- sentation of the bivariate risk-neutral density. For this purpose, we employ either the one-parameter \Normal" or a two-parameter \Gumbel Mixture" specification. The latter provides forward-looking information regarding the overall degree of covariation, as well as, the level and direction of asymmetric dependence. Specifications that include option-based measures in their information set are found to outperform, in-sample and out-of-sample, models that rely solely on historical returns.

Adding constrained discontinuities to Gaussian process models of wind fields

Gaussian Processes provide good prior models for spatial data, but can be too smooth. In many physical situations there are discontinuities along bounding surfaces, for example fronts in near-surface wind fields. We describe a modelling method for such a constrained discontinuity and demonstrate how to infer the model parameters in wind fields with MCMC sampling.

Three-factor models versus time series models:quantifying time-dependencies of interactions between stimuli in cell biology and psychobiology for short longitudinal data

Signal integration determines cell fate on the cellular level, affects cognitive processes and affective responses on the behavioural level, and is likely to be involved in psychoneurobiological processes underlying mood disorders. Interactions between stimuli may subjected to time effects. Time-dependencies of interactions between stimuli typically lead to complex cell responses and complex responses on the behavioural level. We show that both three-factor models and time series models can be used to uncover such time-dependencies. However, we argue that for short longitudinal data the three factor modelling approach is more suitable. In order to illustrate both approaches, we re-analysed previously published short longitudinal data sets. We found that in human embryonic kidney 293 cells cells the interaction effect in the regulation of extracellular signal-regulated kinase (ERK) 1 signalling activation by insulin and epidermal growth factor is subjected to a time effect and dramatically decays at peak values of ERK activation. In contrast, we found that the interaction effect induced by hypoxia and tumour necrosis factor-alpha for the transcriptional activity of the human cyclo-oxygenase-2 promoter in HEK293 cells is time invariant at least in the first 12-h time window after stimulation. Furthermore, we applied the three-factor model to previously reported animal studies. In these studies, memory storage was found to be subjected to an interaction effect of the beta-adrenoceptor agonist clenbuterol and certain antagonists acting on the alpha-1-adrenoceptor / glucocorticoid-receptor system. Our model-based analysis suggests that only if the antagonist drug is administer in a critical time window, then the interaction effect is relevant.

Comparing different approach and avoidance models of learning and personality in the prediction of work, university, and leadership outcomes

Jackson (2005) developed a hybrid model of personality and learning, known as the learning styles profiler (LSP) which was designed to span biological, socio-cognitive, and experiential research foci of personality and learning research. The hybrid model argues that functional and dysfunctional learning outcomes can be best understood in terms of how cognitions and experiences control, discipline, and re-express the biologically based scale of sensation-seeking. In two studies with part-time workers undertaking tertiary education (N=137 and 58), established models of approach and avoidance from each of the three different research foci were compared with Jackson's hybrid model in their predictiveness of leadership, work, and university outcomes using self-report and supervisor ratings. Results showed that the hybrid model was generally optimal and, as hypothesized, that goal orientation was a mediator of sensation-seeking on outcomes (work performance, university performance, leader behaviours, and counterproductive work behaviour). Our studies suggest that the hybrid model has considerable promise as a predictor of work and educational outcomes as well as dysfunctional outcomes.

Adding constrained discontinuities to Gaussian process models of wind fields

Gaussian Processes provide good prior models for spatial data, but can be too smooth. In many physical situations there are discontinuities along bounding surfaces, for example fronts in near-surface wind fields. We describe a modelling method for such a constrained discontinuity and demonstrate how to infer the model parameters in wind fields with MCMC sampling.

Mathematical modelling and optimal multivariable control of chemical processes

This work reports the developnent of a mathenatical model and distributed, multi variable computer-control for a pilot plant double-effect climbing-film evaporator. A distributed-parameter model of the plant has been developed and the time-domain model transformed into the Laplace domain. The model has been further transformed into an integral domain conforming to an algebraic ring of polynomials, to eliminate the transcendental terms which arise in the Laplace domain due to the distributed nature of the plant model. This has made possible the application of linear control theories to a set of linear-partial differential equations. The models obtained have well tracked the experimental results of the plant. A distributed-computer network has been interfaced with the plant to implement digital controllers in a hierarchical structure. A modern rnultivariable Wiener-Hopf controller has been applled to the plant model. The application has revealed a limitation condition that the plant matrix should be positive-definite along the infinite frequency axis. A new multi variable control theory has emerged fram this study, which avoids the above limitation. The controller has the structure of the modern Wiener-Hopf controller, but with a unique feature enabling a designer to specify the closed-loop poles in advance and to shape the sensitivity matrix as required. In this way, the method treats directly the interaction problems found in the chemical processes with good tracking and regulation performances. Though the ability of the analytical design methods to determine once and for all whether a given set of specifications can be met is one of its chief advantages over the conventional trial-and-error design procedures. However, one disadvantage that offsets to some degree the enormous advantages is the relatively complicated algebra that must be employed in working out all but the simplest problem. Mathematical algorithms and computer software have been developed to treat some of the mathematical operations defined over the integral domain, such as matrix fraction description, spectral factorization, the Bezout identity, and the general manipulation of polynomial matrices. Hence, the design problems of Wiener-Hopf type of controllers and other similar algebraic design methods can be easily solved.

Dynamic simulation of chemical processes

This thesis describes the design and implementation of an interactive dynamic simulator called DASPRII. The starting point of this research has been an existing dynamic simulation package, DASP. DASPII is written in standard FORTRAN 77 and is implemented on universally available IBM-PC or compatible machines. It provides a means for the analysis and design of chemical processes. Industrial interest in dynamic simulation has increased due to the recent increase in concern over plant operability, resiliency and safety. DASPII is an equation oriented simulation package which allows solution of dynamic and steady state equations. The steady state can be used to initialise the dynamic simulation. A robust non linear algebraic equation solver has been implemented for steady state solution. This has increased the general robustness of DASPII, compared to DASP. A graphical front end is used to generate the process flowsheet topology from a user constructed diagram of the process. A conversational interface is used to interrogate the user with the aid of a database, to complete the topological information. An original modelling strategy implemented in DASPII provides a simple mechanism for parameter switching which creates a more flexible simulation environment. The problem description generated is by a further conversational procedure using a data-base. The model format used allows the same model equations to be used for dynamic and steady state solution. All the useful features of DASPI are retained in DASPII. The program has been demonstrated and verified using a number of example problems, Significant improvements using the new NLAE solver have been shown. Topics requiring further research are described. The benefits of variable switching in models has been demonstrated with a literature problem.

Managerial cognitions in technological innovation processes:a study of interpretative processes

In this research, conceptualizations of the links between technological innovation and organizational change are explored and recommendations in the literature concerning such changes are reviewed and criticized. Such recommendations do not usually address the details of social interactions by which organizational changes take place. As a consequence, the issue of how these recommendations become relevant for the actors who would carry them out is not addressed. The complexity of organizational change processes highlights the role of actors' interpretations of organizational reality. Interpretations take place through the use of language in the interaction between actors. Theoretical contributions and recommendations concerning organizational changes should be seen therefore as discourses which contribute to these interpretations. They will influence the process of change only if they become relevant for organizational actors'. A method for analysing discourse in organizations is presented. It is used to identify the variety of discourses which are put forward in organizations, and to describe the structure of their distribution among actors. The structures of discourses in three companies suggest that knowledge about technological innovation processes becomes relevant to the extent that it contributes to political/discursive processes maintained by actors attempting to secure or change their role definitions. It follows that recommendations concerning planned organizational change should take into account these processes explicitly. It is therefore suggested that the analysis of discourse can be a valuable instrument for monitoring change processes. Suggestions for further research are made, concerning (i) the development of the method itself and its use in real situations (ii) the study of how discourse structures evolve over time and episodes of change.

Density forecasts of crude-oil prices using option-implied and ARCH-type models

The predictive accuracy of competing crude-oil price forecast densities is investigated for the 1994–2006 period. Moving beyond standard ARCH type models that rely exclusively on past returns, we examine the benefits of utilizing the forward-looking information that is embedded in the prices of derivative contracts. Risk-neutral densities, obtained from panels of crude-oil option prices, are adjusted to reflect real-world risks using either a parametric or a non-parametric calibration approach. The relative performance of the models is evaluated for the entire support of the density, as well as for regions and intervals that are of special interest for the economic agent. We find that non-parametric adjustments of risk-neutral density forecasts perform significantly better than their parametric counterparts. Goodness-of-fit tests and out-of-sample likelihood comparisons favor forecast densities obtained by option prices and non-parametric calibration methods over those constructed using historical returns and simulated ARCH processes. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:727–754, 2011

Subsidies, rent seeking and performance:being young, small or private in China

Entrepreneurs in emerging market economies operate in weak institutional contexts, which can imply different types of government. In some countries (e.g., Russia), the government is predatory, and the main risk faced by (successful) entrepreneurs relates to expropriation. In other countries (like China) this kind of risk is lower; nevertheless the government is intrusive, and the rules of the game remain fluid. The implication of the latter for entrepreneurs is that they are more likely to spend time and resources on influence (rent seeking) activities rather than on productive activities.We illustrate this type of government by focusing on the distribution of subsidies in China.We present a simple formalmodel that explores not only the direct effects of rent seeking for a company but also externalities under a situation of policy-generated uncertainty in the distribution of subsidies.We explore how these effects differ for the entrepreneurial sector (young, private and small companies) compared with other sectors. We posit that while the performance of private companies is more affected than the performance of state firms, the impact of government-induced uncertainty on young and small companies is actually less pronounced. Our empirical analysis, based on a unique large dataset of 2.4 million observations on Chinese companies, takes advantage of the regional and sectoral heterogeneity of China for empirical tests.

Supporting learners’ agentic engagement with feedback:a systematic review and a taxonomy of recipience processes

Much has been written in the educational psychology literature about effective feedback and how to deliver it. However, it is equally important to understand how learners actively receive, engage with, and implement feedback. This article reports a systematic review of the research evidence pertaining to this issue. Through an analysis of 195 outputs published between 1985 and early 2014, we identified various factors that have been proposed to influence the likelihood of feedback being used. Furthermore, we identified diverse interventions with the common aim of supporting and promoting learners' agentic engagement with feedback processes. We outline the various components used in these interventions, and the reports of their successes and limitations. Moreover we propose a novel taxonomy of four recipience processes targeted by these interventions. This review and taxonomy provide a theoretical basis for conceptualizing learners' responsibility within feedback dialogues and for guiding the strategic design and evaluation of interventions. Receiving feedback on one's skills and understanding is an invaluable part of the learning process, benefiting learners far more than does simply receiving praise or punishment (Black & Wiliam, 1998 Black, P., & Wiliam, D. (1998). Assessment and classroom learning. Assessment in Education: Principles, Policy & Practice, 5, 7–74. doi:10.1080/0969595980050102[Taylor & Francis Online]; Hattie & Timperley, 2007 Hattie, J., & Timperley, H. (2007). The power of feedback. Review of Educational Research, 77, 81–112. doi:10.3102/003465430298487[CrossRef], [Web of Science ®]). Inevitably, the benefits of receiving feedback are not uniform across all circumstances, and so it is imperative to understand how these gains can be maximized. There is increasing consensus that a critical determinant of feedback effectiveness is the quality of learners' engagement with, and use of, the feedback they receive. However, studies investigating this engagement are underrepresented in academic research (Bounds et al., 2013 Bounds, R., Bush, C., Aghera, A., Rodriguez, N., Stansfield, R. B., & Santeen, S. A. (2013). Emergency medicine residents' self-assessments play a critical role when receiving feedback. Academic Emergency Medicine, 20, 1055–1061. doi:10.1111/acem.12231[CrossRef], [PubMed], [Web of Science ®]), which leaves a “blind spot” in our understanding (Burke, 2009 Burke, D. (2009). Strategies for using feedback students bring to higher education. Assessment & Evaluation in Higher Education, 34, 41–50. doi:10.1080/02602930801895711[Taylor & Francis Online], [Web of Science ®]). With this blind spot in mind, the present work sets out to systematically map the research literature concerning learners' proactive recipience of feedback. We use the term “proactive recipience” here to connote a state or activity of engaging actively with feedback processes, thus emphasizing the fundamental contribution and responsibility of the learner (Winstone, Nash, Rowntree, & Parker, in press Winstone, N. E., Nash, R. A., Rowntree, J., & Parker, M. (in press). ‘It'd be useful, but I wouldn't use it’: Barriers to university students' feedback seeking and recipience. Studies in Higher Education. doi: 10.1080/03075079.2015.1130032[Taylor & Francis Online]). In other words, just as Reeve and Tseng (2011 Reeve, J., & Tseng, M. (2011). Agency as a fourth aspect of student engagement during learning activities. Contemporary Educational Psychology, 36, 257–267. doi:10.1016/j.cedpsych.2011.05.002[CrossRef], [Web of Science ®]) defined “agentic engagement” as a “student's constructive contribution into the flow of the instruction they receive” (p. 258), likewise proactive recipience is a form of agentic engagement that involves the learner sharing responsibility for making feedback processes effective.