Using extreme value theory to value stock market returns

Extreme stock price movements are of great concern to both investors and the entire economy. For investors, a single negative return, or a combination of several smaller returns, can possible wipe out so much capital that the firm or portfolio becomes illiquid or insolvent. If enough investors experience this loss, it could shock the entire economy. An example of such a case is the stock market crash of 1987. Furthermore, there has been a lot of recent interest regarding the increasing volatility of stock prices. ^ This study presents an analysis of extreme stock price movements. The data utilized was the daily returns for the Standard and Poor's 500 index from January 3, 1978 to May 31, 2001. Research questions were analyzed using the statistical models provided by extreme value theory. One of the difficulties in examining stock price data is that there is no consensus regarding the correct shape of the distribution function generating the data. An advantage with extreme value theory is that no detailed knowledge of this distribution function is required to apply the asymptotic theory. We focus on the tail of the distribution. ^ Extreme value theory allows us to estimate a tail index, which we use to derive bounds on the returns for very low probabilities on an excess. Such information is useful in evaluating the volatility of stock prices. There are three possible limit laws for the maximum: Gumbel (thick-tailed), Fréchet (thin-tailed) or Weibull (no tail). Results indicated that extreme returns during the time period studied follow a Fréchet distribution. Thus, this study finds that extreme value analysis is a valuable tool for examining stock price movements and can be more efficient than the usual variance in measuring risk. ^

Location, Location, Location: Ensuring a Franchisee's Success

This article examines effective site selection methodologies and determines if good site selection is a science or something best left to luck. The article provides an overview of the current available literature on site selection and then explores three issues: the wrong way to select a site, sample cases of poor site selection, and effective site selection

A comparison of a distance education and locally based course in an urban university setting

The purpose of this research was to compare the academic performance and attitudes of students at the instructor-based site of a televised course and the distant site. An earlier pilot program indicated the need for certain technical and structural interventions at the distant site such as multiple "press-to-touch" microphones, a site-administrator and participative seating arrangements. At the beginning of the class, demographic data were collected from the students at both sites through a questionnaire and supplemented with information from students' records. Factors such as age, gender, ethnicity, marital status, number of children, current class status, major, work status and CLAST scores (achievement tests) were examined. There were no significant differences between the students at the sites except ethnicity and reading CLAST scores. The instructor-based site had a higher percentage of Hispanic students and the distant site had a larger percentage of Caucasian and Black Americans. The distant site scored significantly better on the reading section of the CLAST achievement test. An evaluation instrument was distributed to both sites, at the midpoint of the semester, measuring their attitude toward the organizational, technical, and pedagogical factors of the course. A second evaluation instrument, measuring similar factors, but more in-depth, was distributed to both sites near the end of the term. Nine students at the distant site were interviewed along with the site administrator to collect additional information.^ Course completion rates, dropout rates, pass rates and final grades of students at both sites were compared. There were no significant differences in academic performance between the students at both sites, however, there were significant differences in their attitudes. Those at the instructor-based site gave better ratings to most of items in the evaluation instruments. Problems at the distant site included audio and visual clarity, lack of available assistance, too much nonrelated talking, not enough opportunities to ask questions or to interact with the instructor during class. ^

Alberto Girri, or poetry as hermeneutic reason

One of the main factors that makes the poetry of the Argentine Alberto Girri (1919–1991) a whole world of its own is my argument that in a fragmentary world like the present, poets search for a formal integrity which in the act of reading creates not only their own inner world but also the readers'. It is important to insist on this turning point in which most of the Symbolist work is circumscribed. Later, this would be of capital importance for the avant-garde as well as for the post-avant-garde: Mallarmé's Un coup de dés jamais n'abolira le hasard would make poetry something absolutely modern. An original distribution of the white and black opened a new space for the text, shifting the then dominant phonocentrism. My close reading of this author as well as the given theoretical frame avoids the failure into an instrumental use either of the page or of the writing but ignoring physical reciprocity. What follows is, that this “shift” privileged heightened vision over audition of the “musical score”. Thus, an intense materialization of the language is achieved that increases the anonymity of the text. ^ Following this new arrangement of words, so to speak, Girri's poetic work now drives deeply inside words in order to lend them dignity from meaning. I conclude that the best way to “render” this poetry with religious aim (L. “re-ligare” to bind the fragmented) is by way of the philosophy of language. I also propose that Girri's task as a translator, mainly from English poetry, represented—with Jorge Luis Borges—a paradigmatic shift in the Spanish American horizon which had been under “logocentric” French rule since the time of Independence. This seismic change of perspective in late Modernism and post-Modernism is represented by a radical screening of Romance rhetoric, it was a shift not only over the inherited mother tongue but over his own work which was increasingly moving towards transcendent and/or metaphysical poetry. ^ Therefore, I did find that Girri's poem was constructed as a mirror closely related to that which was represented in the angelological tradition. ^

Development of surface flaw thresholds for pre-cured fiber reinforced polymer and groove size tolerance for near surface mounted fiber reinforced polymer retrofit systems

Since the introduction of fiber reinforced polymers (FRP) for the repair and retrofit of concrete structures in the 1980’s, considerable research has been devoted to the feasibility of their application and predictive modeling of their performance. However, the effects of flaws present in the constitutive components and the practices in substrate preparation and treatment have not yet been thoroughly studied. This research aims at investigating the effect of surface preparation and treatment for the pre-cured FRP systems and the groove size tolerance for near surface mounted (NSM) FRP systems; and to set thresholds for guaranteed system performance. This study was conducted as part of the National Cooperative Highway Research Program (NCHRP) Project 10-59B to develop construction specifications and process control manual for repair and retrofit of concrete structures using bonded FRP systems. The research included both analytical and experimental components. The experimental program for the pre-cured FRP systems consisted of a total of twenty-four (24) reinforced concrete (RC) T-beams with various surface preparation parameters and surface flaws, including roughness, flatness, voids and cracks (cuts). For the NSM FRP systems, a total of twelve (12) additional RC T-beams were tested with different grooves sizes for FRP bars and strips. The analytical program included developing an elaborate nonlinear finite element model using the general purpose software ANSYS. The bond interface between FRP and concrete was modeled by a series of nonlinear springs. The model was validated against test data from the present study as well as those available from the literature. The model was subsequently used to extend the experimental range of parameters for surface flatness in pre-cured FRP systems and for groove size study in the NSM FRP systems. Test results, confirmed by further analyses, indicated that contrary to the general belief in the industry, the impact of surface roughness on the global performance of pre-cured FRP systems was negligible. The study also verified that threshold limits set for wet lay-up FRP systems can be extended to pre-cured systems. The study showed that larger surface voids and cracks (cuts) can adversely impact both the strength and ductility of pre-cured FRP systems. On the other hand, frequency (or spacing) of surface cracks (cuts) may only affect system ductility rather than its strength. Finally, within the range studied, groove size tolerance of ±1/8 in. does not appear to have an adverse effect on the performance of NSM FRP systems.

Demographic effects of thatch harvest and implications for sustainable use of irapai palm (Lepidocaryum tenue, Mart.), by riverine communities in the Peruvian Amazon

Lepidocaryum tenue Mart. (Arecaceae) is a small, understory palm of terra firme forests of the western and central Amazon basin. Known as irapai, it is used for roof thatch by Amazonian peoples who collect its leaves from the wild and generate income from its fronds and articles fabricated from them. Increasing demand has caused local concern that populations are declining. Cultivation attempts have been unsuccessful. The purpose of this study was to investigate market conditions and quantify population dynamics and demographic responses of harvested and unharvested irapai growing near Iquitos, Peru. ^ Ethnobotanical research included participant surveys to determine movement of thatch tiles, called crisnejas, through Moronacocha Port. I also conducted a seed germination trial, and for four years studied five populations growing in communities with similar topography and soils but different land tenure and management strategies. Stage, survival, leaf production, and reproductive transitions were used to calculate ramet demographic rates and develop population projection matrices. ^ Weavers made an average of 20–30 crisnejas per day (90–130 leaves each), and earned US$0.09 to 0.70 each (US$1.80 to 21.00 per day). Average crisnejas per month sold per vendor was 2,955 with a profit range of US$0.05 to 0.32 per crisneja. Wholesalers worked with capital outlay from US$100 to 400, and an estimated ten to twenty vendors could be found at a given time. Consumers paid between US$0.23 to 1.20 per crisneja. Although differences in demographic rates by location existed, most were not significant enough to attribute to management. ^ After 60 months, mean seed germination rate was 19.5% in all media (37.9% in peat). Seedling survival was less than two percent after twelve months. Annual palm mortality was three percent, and occurred disproportionately in small (<50 cm) palms. Small palms grew more in height. Unharvested palms grew less than harvested palms. Large palms (≥50 cm) produced more leaves, were more likely to reproduce, and collectors harvested them more frequently. Reproductive potentials (sexual and asexual) were low. Population growth rates were greater than or not significantly different from 1.0, indicating populations maintained or increased in size. Current levels of irapai harvest appear sustainable. DNA analysis of stems and recruits is recommended to understand population composition and stage-specific asexual fecundity. ^

S12C water control structure near SRS-1a, Shark River Slough

This material is based upon work supported by the National Science Foundation through the Florida Coastal Everglades Long-Term Ecological Research program under Cooperative Agreements #DBI-0620409 and #DEB-9910514. This image is made available for non-commercial or educational use only.

Long-hydroperiod Everglades marsh, wet season, 2008 (near SRS-2), Shark River Slough

This material is based upon work supported by the National Science Foundation through the Florida Coastal Everglades Long-Term Ecological Research program under Cooperative Agreements #DBI-0620409 and #DEB-9910514. This image is made available for non-commercial or educational use only.

Long-hydroperiod Everglades marsh under extremely dry conditions, late dry season, 2009 (near SRS-2), Shark River Slough

This material is based upon work supported by the National Science Foundation through the Florida Coastal Everglades Long-Term Ecological Research program under Cooperative Agreements #DBI-0620409 and #DEB-9910514. This image is made available for non-commercial or educational use only.

Diel and seasonal variation in the use of a nearshore sandflat by a ray community in a near pristine system

Knowledge of movements and habitat use is necessary to assess a species’ ecological role and is especially important for mesopredators because they provide the link between upper and lower trophic levels. Using acoustic telemetry, we examined coarse-scale diel and seasonal movements of elasmobranch mesopredators on a shallow sandflat in Shark Bay, Western Australia. Giant shovelnose rays (Glaucostegus typus) and reticulate whiprays (Himantura uarnak) were most often detected in nearshore microhabitats and were regularly detected throughout the day and year, although reticulate whiprays tended to frequent the monitored array over longer periods. Pink whiprays (H. fai) and cowtail stingrays (Pastinachus atrus) were also detected throughout the day, but were far less frequently detected. Overall, there was no apparent spatial or temporal partitioning of the sandflats, but residency to the area varied between species. In addition, ray presence throughout the year suggests that previously observed differences in seasonal abundance are likely because of seasonal changes in habitat use rather than large-scale migrations. Continuous use of the sandflats and limited movements within this ray community suggests that rays have the potential to be a structuring force on this system and that focusing on nearshore habitats is important for managing subtropical ray populations.

Near Term Computer Management Strategy For Hospitality Managers and Computer System Vendors

In his dialogue - Near Term Computer Management Strategy For Hospitality Managers and Computer System Vendors - by William O'Brien, Associate Professor, School of Hospitality Management at Florida International University, Associate Professor O’Brien initially states: “The computer revolution has only just begun. Rapid improvement in hardware will continue into the foreseeable future; over the last five years it has set the stage for more significant improvements in software technology still to come. John Naisbitt's information electronics economy¹ based on the creation and distribution of information has already arrived and as computer devices improve, hospitality managers will increasingly do at least a portion of their work with software tools.” At the time of this writing Assistant Professor O’Brien will have you know, contrary to what some people might think, the computer revolution is not over, it’s just beginning; it’s just an embryo. Computer technology will only continue to develop and expand, says O’Brien with citation. “A complacent few of us who feel “we have survived the computer revolution” will miss opportunities as a new wave of technology moves through the hospitality industry,” says ‘Professor O’Brien. “Both managers who buy technology and vendors who sell it can profit from strategy based on understanding the wave of technological innovation,” is his informed opinion. Property managers who embrace rather than eschew innovation, in this case computer technology, will benefit greatly from this new science in hospitality management, O’Brien says. “The manager who is not alert to or misunderstands the nature of this wave of innovation will be the constant victim of technology,” he advises. On the vendor side of the equation, O’Brien observes, “Computer-wise hospitality managers want systems which are easier and more profitable to operate. Some view their own industry as being somewhat behind the times… They plan to pay significantly less for better computer devices. Their high expectations are fed by vendor marketing efforts…” he says. O’Brien warns against taking a gamble on a risky computer system by falling victim to un-substantiated claims and pie-in-the-sky promises. He recommends affiliating with turn-key vendors who provide hardware, software, and training, or soliciting the help of large mainstream vendors such as IBM, NCR, or Apple. Many experts agree that the computer revolution has merely and genuinely morphed into the software revolution, informs O’Brien; “…recognizing that a computer is nothing but a box in which programs run.” Yes, some of the empirical data in this article is dated by now, but the core philosophy of advancing technology, and properties continually tapping current knowledge is sound.

Social Movement Unionism or Social Justice Unionism? Disentangling Theoretical Confusion within the Global Labor Movement

After the election of John Sweeney as President of the AFL-CIO in October 1995, activists and supportive intellectuals in the United States began thinking about how to revitalize the almost moribund American labor movement. A key part of this literature has revolved around the concept of “social movement unionism.” This term touched a nerve, and has garnered widespread usage in North America over the past two decades. However, most researchers using this term have no idea that it was initially developed to understand the new unionism developed by members of specific labor movements in Brazil, the Philippines and South Africa, a type of unionism qualitatively different from that found in North America. This paper argues that the term “social movement unionism” should be confined only to labor organizations developing the same type of unionism, wherever in the world such should be found. Accordingly, this concept should not be utilized in North America today as there are no labor centers or unions present that are developing this type of trade unionism. It is important to clarify this confusion because it is leads to incorrect understandings and miscommunication. Accordingly, the current situation—whereby the same term is used to refer to two qualitatively different social phenomena —theoretically works against efforts to build global labor solidarity. What about the progressive, broad-scope unionism emerging in North America over the past two decades? Taking a page from labor history, this article argues that the proper precedent is progressive unionism developed by the United Packinghouse Workers of America, CIO, and others, and therefore should be referred to as “social justice unionism.” An Appendix provides a measurement tool. The argument is empirically grounded and theoretically developed, allowing us to better understand trade unionism around the globe.

Development of Surface Flaw Thresholds for Pre-Cured Fiber Reinforced Polymer and Groove Size Tolerance for Near Surface Mounted Fiber Reinforced Polymer Retrofit Systems

Since the introduction of fiber reinforced polymers (FRP) for the repair and retrofit of concrete structures in the 1980’s, considerable research has been devoted to the feasibility of their application and predictive modeling of their performance. However, the effects of flaws present in the constitutive components and the practices in substrate preparation and treatment have not yet been thoroughly studied. This research aims at investigating the effect of surface preparation and treatment for the pre-cured FRP systems and the groove size tolerance for near surface mounted (NSM) FRP systems; and to set thresholds for guaranteed system performance. The research included both analytical and experimental components. The experimental program for the pre-cured FRP systems consisted of a total of twenty-four (24) reinforced concrete (RC) T-beams with various surface preparation parameters and surface flaws, including roughness, flatness, voids and cracks (cuts). For the NSM FRP systems, a total of twelve (12) additional RC T-beams were tested with different grooves sizes for FRP bars and strips. The analytical program included developing an elaborate nonlinear finite element model using the general purpose software ANSYS. The model was subsequently used to extend the experimental range of parameters for surface flatness in pre-cured FRP systems, and for groove size study in the NSM FRP systems. Test results, confirmed by further analyses, indicated that contrary to the general belief in the industry, the impact of surface roughness on the global performance of pre-cured FRP systems was negligible. The study also verified that threshold limits set for wet lay-up FRP systems can be extended to pre-cured systems. The study showed that larger surface voids and cracks (cuts) can adversely impact both the strength and ductility of pre-cured FRP systems. On the other hand, frequency (or spacing) of surface cracks (cuts) may only affect system ductility rather than its strength. Finally, within the range studied, groove size tolerance of +1/8 in. does not appear to have an adverse effect on the performance of NSM FRP systems.

University City or Little Managua? Studentification and Housing Renewal in Sweetwater, Florida

The “University City project” is a public-private partnership between Florida International University (FIU), the City of Sweetwater, and private investors. The project focuses on redeveloping certain areas of Sweetwater near FIU with the goal of enticing members of the university community to become residents. Building on previous research findings regarding how redevelopment prospects in the City of Sweetwater are affecting residents of the Li’l Abner Mobile Home Park, I examine how these changes are affecting residents in the immediate vicinity of the University. Using a combination of semi-structured interviews and participant observation, I seek to answer the following questions: How do Sweetwater residents feel about development projects in the community of Sweetwater? In what ways do these changes affect their lives? How powerful or powerless do they feel in the face of these changes, or how much say do they believe they have in their implementation? This research will add depth and context to the emerging interdisciplinary study of the “studentification” phenomenon, a form of gentrification that is centered on students, which has received little attention in the United States.

Left to right: Kim de Mutsert, Nicole Poret, and Sharon Ewe taking a break during sampling, Taylor Slough

This material is based upon work supported by the National Science Foundation through the Florida Coastal Everglades Long-Term Ecological Research program under Cooperative Agreements #DBI-0620409 and #DEB-9910514. This image is made available for non-commercial or educational use only.