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.

Regulatory price performance, excess cost indexes and profitability:how effective is price cap regulation in the water industry?

In this study we apply an index number approach to allow for cross sectional comparisons of relative profitability, productivity and price performance of the regulated Water and Sewerage companies (WaSCs) in England and Wales during the years 1991-2008. In order to better analyse the impact of regulation on WaSC performance, we decompose actual economic profits into spatial multilateral Fisher productivity (TFP) index, the inverse of which is demonstrated to be a regulatory excess cost index that measures the deviation of a firm’s actual costs from benchmark costs, and a newly developed regulatory total price performance (TPP) index, which measures the excess of regulated revenues relative to benchmark costs. Increases (decreases) in regulatory price performance are indicative of the loosening (tightening) of price cap regulation. Moreover, we also show that the relationship between actual economic profitability, regulatory excess costs and regulatory price performance indices can be used to categorize regulatory price caps as “weak”, “powerful” or “catch-up promoting”. The results indicated that throughout the entire 1991-2008 period, price caps were never “powerful”, in the sense that they required less productive firms to immediately and fully catch-up to the most productive firm to regain economic profitability. More specifically, during the years 1991-2000 price caps were “weak” as prices were high enough for the firms to achieve economic profits despite their low productivity levels. However, after 2001 prices became “catch up promoting” as they required less productive companies to eliminate at least some excess costs in order to eliminate economic losses. Finally, we emphasize that as our results also clearly demonstrated a much closer alignment between allowed revenues and benchmark costs after 2001, Ofwat’s approach during this period was not only appropriate, but should also be continued in the 2009 price review.

Excess leverage and productivity growth in emerging economies:is there a threshold effect?

This paper studies the relationship between leverage and growth, focusing on a large sample of firms in emerging economies of central and eastern Europe (CEE). Contrary to the general wisdom, we find that deviation from optimal leverage, especially, excess leverage is common among firms in many CEE countries. Using firm-level panel data from a group of transition countries, the paper provides support to the hypothesis that leverage positively affects productivity growth but only below an endogenously determined threshold level.

Short-horizon excess returns and exchange rate and interest rate effects

stocks. We examine the effects of foreign exchange (FX) and interest rate changes on the excess returns of U.S. stocks, for short-horizons of 1-40 days. Our new evidence shows a tendency for the volatility of both excess returns and FX rate changes to be negatively related with FX rate and interest rate effects. Both the number of firms with significant FX rate and interest rate effects and the magnitude of their exposures increase with the length of the return horizon. Our finding seems inconsistent with the view that firms hedge effectively at short-return horizons.

Ag alloyed Pd single-atom catalysts for efficient selective hydrogenation of acetylene to ethylene in excess ethylene

Semihydrogenation of acetylene in an ethylene-rich stream is an industrially important process. Conventional supported monometallic Pd catalysts offer high acetylene conversion, but they suffer from very low selectivity to ethylene due to overhydrogenation and the formation of carbonaceous deposits. Herein, a series of Ag alloyed Pd single-atom catalysts, possessing only ppm levels of Pd, supported on silica gel were prepared by a simple incipient wetness coimpregnation method and applied to the selective hydrogenation of acetylene in an ethylene-rich stream under conditions close to the front-end employed by industry. High acetylene conversion and simultaneous selectivity to ethylene was attained over a wide temperature window, surpassing an analogous Au alloyed Pd single-atom system we previously reported. Restructuring of AgPd nanoparticles and electron transfer from Ag to Pd were evidenced by in situ FTIR and in situ XPS as a function of increasing reduction temperature. Microcalorimetry and XANES measurements support both geometric and electronic synergetic effects between the alloyed Pd and Ag. Kinetic studies provide valuable insight into the nature of the active sites within these AgPd/SiO2 catalysts, and hence, they provide evidence for the key factors underpinning the excellent performance of these bimetallic catalysts toward the selective hydrogenation of acetylene under ethylene-rich conditions while minimizing precious metal usage.

Examining factors associated with excess mortality in older people (age ≥ 70 years) with diabetes - a 10-year cohort study of older people with and without diabetes

Aims: To compare all-cause mortality in older people with or without diabetes and consider the associated risk of comorbidity and polypharmacy. Methods: A 10-year cohort study using data from the Health Innovation Network database (2003-2013) comparing mortality in people aged ≥ 70 years with diabetes (DM cohort) (n = 35 717) and without diabetes (No DM cohort) (n = 307 918). Results: The mean age of the DM cohort was 78.1 ± 5.8 years vs. 79.0 ± 6.3 years in the No DM cohort. Mean diabetes duration was 8.2 ± 8.1 years, and 30% had diabetes for > 10 years. The DM cohort had a greater comorbidity load and people in this cohort were prescribed more therapies than the No DM cohort. The 5- and 10-year survival rates were lower in the DM cohort at 64% and 39%, respectively, compared with 72% and 50% in the No DM cohort. The excess mortality in the DM cohort was greatest in those aged <75 years with longer duration diabetes, the relative hazard for mortality was higher in females. Although comorbidity and polypharmacy were associated with increased mortality risk in the DM cohort, this risk was lower compared with the No DM cohort. The hazard ratios (95% confidence interval) for comorbidities > 4 and medicines ≥ 7 were 1.29 (1.19 to 1.41) and 1.34 (1.25 to 1.43) in the DM cohort and 1.63 (1.57 to 1.70) and 1.48 (1.40 to 1.56) in the No DM cohort, respectively. Conclusions: There is significant excess mortality in older people with diabetes, which is unexplained by comorbidity or polypharmacy. This excess is greatest in the younger old with longer disease duration, suggesting that it may be related to the effect of diabetes exposure.