Using non-parametric search algorithms to forecast daily excess stock returns

Are the learning procedures of genetic algorithms (GAs) able to generate optimal architectures for artificial neural networks (ANNs) in high frequency data? In this experimental study,GAs are used to identify the best architecture for ANNs. Additional learning is undertaken by the ANNs to forecast daily excess stock returns. No ANN architectures were able to outperform a random walk,despite the finding of non-linearity in the excess returns. This failure is attributed to the absence of suitable ANN structures and further implies that researchers need to be cautious when making inferences from ANN results that use high frequency data.

Identification of visual field progression

The study developed statistical techniques to evaluate visual field progression for use with the Humphrey Field Analyzer (HFA). The long-term fluctuation (LF) was evaluated in stable glaucoma. The magnitude of both LF components showed little relationship with MD, CPSD and SF. An algorithm was proposed for determining the clinical necessity for a confirmatory follow-up examination. The between-examination variability was determined for the HFA Standard and FASTPAC algorithms in glaucoma. FASTPAC exhibited greater between-examination variability than the Standard algorithm across the range of sensitivities and with increasing eccentricity. The difference in variability between the algorithms had minimal clinical significance. The effect of repositioning the baseline in the Glaucoma Change Probability Analysis (GCPA) was evaluated. The global baseline of the GCPA limited the detection of progressive change at a single stimulus location. A new technique, pointwise univariate linear regressions (ULR), of absolute sensitivity and, of pattern deviation, against time to follow-up was developed. In each case, pointwise ULR was more sensitive to localised progressive changes in sensitivity than ULR of MD, alone. Small changes in sensitivity were more readily determined by the pointwise ULR than by the GCPA. A comparison between the outcome of pointwise ULR for all fields and for the last six fields manifested linear and curvilinear declines in the absolute sensitivity and the pattern deviation. A method for delineating progressive loss in glaucoma, based upon the error in the forecasted sensitivity of a multivariate model, was developed. Multivariate forecasting exhibited little agreement with GCPA in glaucoma but showed promise for monitoring visual field progression in OHT patients. The recovery of sensitivity in optic neuritis over time was modelled with a Cumulative Gaussian function. The rate and level of recovery was greater in the peripheral than the central field. Probability models to forecast the field of recovery were proposed.

Service quality of frontline employees:a profile deviation analysis

Using a configuration theory approach, this paper conducts a comparative study between frontline employees in phone and face-to-face service encounters for a retail bank. The study compares the top performers in service quality in relation to three components of organizational commitment and their demographics by applying a profile deviation analysis. The results show that the profile deviation for face-to-face employees is significantly negative, while for call center employees nonsignificant. Although the study finds no significant differences in the three components of commitment, significant differences exist in the total experience and age of the best performers. Also, affective commitment dominates the profile of high performers, while poor service providers seem to exhibit a higher level of continuance commitment. This study demonstrates the utility of profile deviation approaches in designing internal marketing strategies.

The forecast performance of competing implied volatility measures:the case of individual stocks

This study examines the information content of alternative implied volatility measures for the 30 components of the Dow Jones Industrial Average Index from 1996 until 2007. Along with the popular Black-Scholes and \model-free" implied volatility expectations, the recently proposed corridor implied volatil- ity (CIV) measures are explored. For all pair-wise comparisons, it is found that a CIV measure that is closely related to the model-free implied volatility, nearly always delivers the most accurate forecasts for the majority of the firms. This finding remains consistent for different forecast horizons, volatility definitions, loss functions and forecast evaluation settings.