Predicting returns in U.S. financial sector indices

This study focuses on: (i) the responsiveness of the U.S. financial sector stock indices to foreign exchange (FX) and interest rate changes; and, (ii) the extent to which good model specification can enhance the forecasts from the associated models. Three models are considered. Only the error-correction model (ECM) generated efficient and consistent coefficient estimates. Furthermore, a simple zero lag model in differences which is clearly mis-specified, generated forecasts that are better than those of the ECM, even if the ECM depicts relationships that are more consistent with economic theory. In brief, FX and interest rate changes do not impact on the return-generating process of the stock indices in any substantial way. Most of the variation in the sector stock indices is associated with past variation in the indices themselves and variation in the market-wide stock index. These results have important implications for financial and economic policies.

Malmquist-type indices in the presence of negative data:an application to bank branches

In this paper we develop an index and an indicator of productivity change that can be used with negative data. For that purpose the range directional model (RDM), a particular case of the directional distance function, is used for computing efficiency in the presence of negative data. We use RDM efficiency measures to arrive at a Malmquist-type index, which can reflect productivity change, and we use RDM inefficiency measures to arrive at a Luenberger productivity indicator, and relate the two. The productivity index and indicator are developed relative to a fixed meta-technology and so they are referred to as a meta-Malmquist index and meta-Luenberger indicator. We also address the fact that VRS technologies are used for computing the productivity index and indicator (a requirement under negative data), which raises issues relating to the interpretability of the index. We illustrate how the meta-Malmquist index can be used, not only for comparing the performance of a unit in two time periods, but also for comparing the performance of two different units at the same or different time periods. The proposed approach is then applied to a sample of bank branches where negative data were involved. The paper shows how the approach yields information from a variety of perspectives on performance which management can use.

Development of a conceptual model of the soil-moisture-plant sub-system of the hydrological cycle

The soil-plant-moisture subsystem is an important component of the hydrological cycle. Over the last 20 or so years a number of computer models of varying complexity have represented this subsystem with differing degrees of success. The aim of this present work has been to improve and extend an existing model. The new model is less site specific thus allowing for the simulation of a wide range of soil types and profiles. Several processes, not included in the original model, are simulated by the inclusion of new algorithms, including: macropore flow; hysteresis and plant growth. Changes have also been made to the infiltration, water uptake and water flow algorithms. Using field data from various sources, regression equations have been derived which relate parameters in the suction-conductivity-moisture content relationships to easily measured soil properties such as particle-size distribution data. Independent tests have been performed on laboratory data produced by Hedges (1989). The parameters found by regression for the suction relationships were then used in equations describing the infiltration and macropore processes. An extensive literature review produced a new model for calculating plant growth from actual transpiration, which was itself partly determined by the root densities and leaf area indices derived by the plant growth model. The new infiltration model uses intensity/duration curves to disaggregate daily rainfall inputs into hourly amounts. The final model has been calibrated and tested against field data, and its performance compared to that of the original model. Simulations have also been carried out to investigate the effects of various parameters on infiltration, macropore flow, actual transpiration and plant growth. Qualitatively comparisons have been made between these results and data given in the literature.

The use of Meteosat satellite data for spatial rainfall estimations and hydrological simulations

Satellite information, in combination with conventional point source measurements, can be a valuable source of information. This thesis is devoted to the spatial estimation of areal rainfall over a region using both the measurements from a dense and sparse network of rain-gauges and images from the meteorological satellites. A primary concern is to study the effects of such satellite assisted rainfall estimates on the performance of rainfall-runoff models. Low-cost image processing systems and peripherals are used to process and manipulate the data. Both secondary as well as primary satellite images were used for analysis. The secondary data was obtained from the in-house satellite receiver and the primary data was obtained from an outside source. Ground truth data was obtained from the local Water Authority. A number of algorithms are presented that combine the satellite and conventional data sources to produce areal rainfall estimates and the results are compared with some of the more traditional methodologies. The results indicate that the satellite cloud information is valuable in the assessment of the spatial distribution of areal rainfall, for both half-hourly as well as daily estimates of rainfall. It is also demonstrated how the performance of the simple multiple regression rainfall-runoff model is improved when satellite cloud information is used as a separate input in addition to rainfall estimates from conventional means. The use of low-cost equipment, from image processing systems to satellite imagery, makes it possible for developing countries to introduce such systems in areas where the benefits are greatest.

Accessibility indices and linked trips: a case study of the elderly

The confusion over the concept of accessibility in transport planning and the deficiencies of existing accessibility indices are examined by developing a conceptual framework of accessibility with a fundamental distinction being drawn between the, often conflicting, theoretical and practical dimensions. The theoretical validity of alternative indices is assessed with reference to the problems and assumptions implicit in defining, measuring, valuing and aggregating the variables and components comprising accessibility. The major deficiencies of existing indices are identified as the inability of indices to take account of the potential to link trips between more than one activity location and the level of assumptions implicit in valuing and aggregating accessibility information. In this context, it is argued that accessibility information is more appropriately expressed on a comparative basis in the form of a profile rather than as a composite single-unit index and that the present confines of accessibility measurement must be extended in line with current developments in disaggregate travel and activity modelling. The sensitivity of accessibility levels to the use of alternative value judgements, alternative forms and levels of aggregation and the inclusion of information on the potential to link trips is examined by undertaking a case study. Accessibility profiles are developed for 23 zones in the London Borough of Hammersmith and Fulham showing the accessibility of the elderly to post offices and grocers. In a practical context, the profiles assist in identifying areas and individuals with relatively poor accessibility. The incidence and nature of linked trip-making and its significance and implications for accessibility measurement are explored further by analysing the results of a survey of the elderly's travel patterns. It is concluded that future accessibility analysis should be undertaken at a disaggregate level, taking account of the potential opportunity available from nonhome as well as home origins.

Statistical models for rainfall:characterisation and forecasting

DUE TO COPYRIGHT RESTRICTIONS ONLY AVAILABLE FOR CONSULTATION AT ASTON UNIVERSITY LIBRARY AND INFORMATION SERVICES WITH PRIOR ARRANGEMENT

Improving a stocastic rainfall fporecasting model

DUE TO COPYRIGHT RESTRICTIONS ONLY AVAILABLE FOR CONSULTATION AT ASTON UNIVERSITY LIBRARY AND INFORMATION SERVICES WITH PRIOR ARRANGEMENT

Complexity and chirality indices for molecular informatics::differential geometry approach

Novel molecular complexity measures are designed based on the quantum molecular kinematics. The Hamiltonian matrix constructed in a quasi-topological approximation describes the temporal evolution of the modelled electronic system and determined the time derivatives for the dynamic quantities. This allows to define the average quantum kinematic characteristics closely related to the curvatures of the electron paths, particularly, the torsion reflecting the chirality of the dynamic system. A special attention has been given to the computational scheme for this chirality measure. The calculations on realistic molecular systems demonstrate reasonable behaviour of the proposed molecular complexity indices.

Visual field severity indices demonstrate dose-dependent visual loss from Vigabatrin therapy

Purpose: The aims of this study were to develop an algorithm to accurately quantify Vigabatrin (VGB)-induced central visual field loss and to investigate the relationship between visual field loss and maximum daily dose, cumulative dose and duration of dose. Methods: The sample comprised 31 patients (mean age 37.9 years; SD 14.4 years) diagnosed with epilepsy and exposed to VGB. Each participant underwent standard automated static visual field examination of the central visual field. Central visual field loss was determined using continuous scales quantifying severity in terms of area and depth of defect and additionally by symmetry of defect between the two eyes. A simultaneous multiple regression model was used to explore the relationship between these visual field parameters and the drug predictor variables. Results: The regression model indicated that maximum VGB dose was the only factor to be significantly correlated with individual eye severity (right eye: p = 0.020; left eye: p = 0.012) and symmetry of visual field defect (p = 0.024). Conclusions: Maximum daily dose was the single most reliable indicator of those patients likely to exhibit visual field defects due to VGB. These findings suggest that high maximum dose is more likely to result in visual field defects than high cumulative doses or those of long duration.

Modeling the peptide-T cell receptor interaction by the comparative molecular similarity indices analysis-soft independent modeling of class analogy technique

A set of 38 epitopes and 183 non-epitopes, which bind to alleles of the HLA-A3 supertype, was subjected to a combination of comparative molecular similarity indices analysis (CoMSIA) and soft independent modeling of class analogy (SIMCA). During the process of T cell recognition, T cell receptors (TCR) interact with the central section of the bound nonamer peptide; thus only positions 4−8 were considered in the study. The derived model distinguished 82% of the epitopes and 73% of the non-epitopes after cross-validation in five groups. The overall preference from the model is for polar amino acids with high electron density and the ability to form hydrogen bonds. These so-called “aggressive” amino acids are flanked by small-sized residues, which enable such residues to protrude from the binding cleft and take an active role in TCR-mediated T cell recognition. Combinations of “aggressive” and “passive” amino acids in the middle part of epitopes constitute a putative TCR binding motif

A comparative molecular similarity indices (CoMSIA) study of peptide binding to the HLA-A3 superfamily

Epitope identification is the basis of modern vaccine design. The present paper studied the supermotif of the HLA-A3 superfamily, using comparative molecular similarity indices analysis (CoMSIA). Four alleles with high phenotype frequencies were used: A*1101, A*0301, A*3101 and A*6801. Five physicochemical properties—steric bulk, electrostatic potential, local hydro-phobicity, hydrogen-bond donor and acceptor abilities—were considered and ‘all fields’ models were produced for each of the alleles. The models have a moderate level of predictivity and there is a good correlation between the data. A revised HLA-A3 supermotif was defined based on the comparison of favoured and disfavoured properties for each position of the MHC bound peptide. The present study demonstrated that CoMSIA is an effective tool for studying peptide–MHC interactions.