Optimal hedging with higher moments

This study proposes a utility-based framework for the determination of optimal hedge ratios (OHRs) that can allow for the impact of higher moments on hedging decisions. We examine the entire hyperbolic absolute risk aversion family of utilities which include quadratic, logarithmic, power, and exponential utility functions. We find that for both moderate and large spot (commodity) exposures, the performance of out-of-sample hedges constructed allowing for nonzero higher moments is better than the performance of the simpler OLS hedge ratio. The picture is, however, not uniform throughout our seven spot commodities as there is one instance (cotton) for which the modeling of higher moments decreases welfare out-of-sample relative to the simpler OLS. We support our empirical findings by a theoretical analysis of optimal hedging decisions and we uncover a novel link between OHRs and the minimax hedge ratio, that is the ratio which minimizes the largest loss of the hedged position. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark

Determination of the density of the multiple access interference of a CDMA system from its moments

A standard CDMA system is considered and an extension of Pearson's results is used to determine the density function of the interference. The method is shown to work well in some cases, but not so in others. However this approach can be useful in further determining the probability of error of the system with minimal computational requirements.

Forecasting VaR using analytic higher moments for GARCH processes

It is widely accepted that some of the most accurate Value-at-Risk (VaR) estimates are based on an appropriately specified GARCH process. But when the forecast horizon is greater than the frequency of the GARCH model, such predictions have typically required time-consuming simulations of the aggregated returns distributions. This paper shows that fast, quasi-analytic GARCH VaR calculations can be based on new formulae for the first four moments of aggregated GARCH returns. Our extensive empirical study compares the Cornish–Fisher expansion with the Johnson SU distribution for fitting distributions to analytic moments of normal and Student t, symmetric and asymmetric (GJR) GARCH processes to returns data on different financial assets, for the purpose of deriving accurate GARCH VaR forecasts over multiple horizons and significance levels.

Thick viewing : empirical examples of condensed moments of narrative impact in fiction film developing theoretical concepts for intensified engagements

Abstract  In a case study about viewing habits in a Swedish audience I sampled 309 questionnaires; interviews with five focus group were conducted together with ten in-depth individual interviews discussing altogether fifteen favorite films exploring specific scenes of idiosyncratic relevance.  The outcome supports claims about viewers as active and playful (cf. Höijer 1998, Frampton 2006, Hoover 2006, Plantinga 2009). In line with mediatization theory I also argue that spiritual meaning making takes place through mediated experiences and I support theories about fiction films as important sources for moral and spiritual reflection (Partridge 2004, Zillman 2005, Lynch 2007, Plantinga 2009). What Hjarvard calls the soft side of mediatization processes (2008) is illustrated showing adults experiencing enchantment through favorite films (Jerslev 2006, Partridge 2008, Klinger 2008, Oliver & Hartmann 2010).  Vernacular meaning making embedded in everyday life and spectators dealing with fiction narratives such as Gladiator, Amelie from Montmartre or Avatar highlights the need for a more nuanced understanding of elevated cinematic experiences. The reported impact of specific movies is analyzed through theories where cognition and affect are central aspects of spectators’ engagements with a film (Tan 1996, Caroll 1999, Grodal 2009). Crucially important are theories of meaning-making where viewers’ detailed interpretation of specific scenes are embedded in high-level meaning-making where world view issues and spectators’ moral frameworks are activated (Zillman 2005, Andersson & Andersson 2005, Frampton 2006, Lynch 2007, Avila 2007, Axelson 2008, Plantinga 2009).  Also results from a growing body of empirical oriented research in film studies are relevant with an interest in what happens with the flesh and blood spectator exposed to filmic narratives (Jerslev 2006, Klinger 2008, Barker 2009, Suckfüll 2010, Oliver & Hartmann 2010). Analyzing the qualitative results of my case study, I want to challenge the claim that the viewer has to suspend higher order reflective cognitive structures in order to experience suture (Butler & Palesh 2004). What I find in my empirical examples is responses related to spectators’ highest levels of mental activity, all anchored in the sensual-emotional apparatus (Grodal 2009). My outcome is in line with a growing number of empirical case studies which support conclusions that both thinking and behavior are affected by film watching (Marsh 2007, Sückfull 2010, Oliver & Hartmann 2010, Axelson forthcoming). The presentation contributes to a development of concepts which combines aesthetic, affective and cognitive components in an investigation of spectator’s moves from emotional evaluation of intra-text narration to extra-textual assessments, testing the narrative for larger significance in idiosyncratic ways (Bordwell & Thompson 1997, Marsh 2007, Johnston 2007, Bruun Vaage 2009, Axelson 2011). There are a several profitable concepts suggested to embrace the complex interplay between affects, cognition and emotions when individuals respond to fictional narratives. Robert K. Johnston label it “deepening gaze” (2007: 307) and “transformative viewing” (2007: 305). Philosopher Mitch Avila proposes “high cognition” (2007: 228) and Casper Thybjerg ”higher meaning” (2008: 60). Torben Grodal talks about “feelings of deep meaning” (Grodal 2009: 149). With a nod to Clifford Geertz, Craig Detweiler adopts “thick description” (2007: 47) as do Kutter Callaway altering it to ”thick interpretations” (Callaway 2013: 203).  Frampton states it in a paradox; ”affective intelligence” (Frampton 2006: 166). As a result of the empirical investigation, inspired by Geertz, Detweiler & Callaway, I advocate thick viewing for capturing the viewing process of these specific moments of film experience when profound and intensified emotional interpretations take place. The author As a sociologist of religion, Tomas Axelsons research deals with people’s use of mediated narratives to make sense of reality in a society characterized by individualization, mediatization and pluralized world views.  He explores uses of fiction film as a resource in every day life and he is currently finishing his three year project funded by the Swedish Research Council: Spectator engagement in film and utopian self-reflexivity. Moving Images and Moved Minds. http://www.du.se/sv/AVM/Personal/Tomas-Axelson Bibliography Axelson, T. (Forthcoming 2014). Den rörliga bildens förmåga att beröra.[1] Stockholm: Liber Axelson, T. (In peer review). Vernacular Meaning Making. Examples of narrative impact in fiction film questioning the ’banal’ notion in mediatization theory. Nordicom Review. Nordicom Göteborg. Axelson, T. (2011). Människans behov av fiktion. Den rörliga bildens förmåga att beröra människan på djupet.[2]Kulturella perspektiv. Volume 2. Article retrieved from www.kultmed.umu.se/digitalAssets/74/74304_axelson-22011.pdf Axelson, Tomas (2010) “Narration, Visualization and Mind. Movies in everyday life as a resource for utopian self-reflection.” Paper presentation at CMRC, 7th Conference of Media, Religion & Culture in Toronto, Canada 9 – 13th August 2010. Axelson, Tomas (2008) Movies and Meaning. Studying Audience, Favourite Films and Existential Matters. Particip@tions : Journal of Audience and Reception Studies. Volume 5, (1). Doctoral dissertation summary. ACTA UNIVERSITATIS UPSALIENSIS. Article retrieved from http://www.participations.org/Volume%205/Issue%201%20-%20special/5_01_axelson.htm  [1] English translation: Moving Images and Moved Minds. [2] English translation: Our need for fiction. Deeply Moved by Moving Images. Cultural Perspectives.

Fateful moments and the discourses of grief

This paper is concerned with the ways in which language functions in our making sense of death and loss, not only with the use of euphemisms for death, but also the wider discourses which frame meanings and understandings. Many bystanders and commentators on September 11, 2001, for example, likened the impact of the planes on the towers, and their subsequent collapse as “just like a movie ... I couldn’t believe it was happening”. From a culture whose primary experience of death and violence is mediated by film and television, the issue of how these experiences are communicated and understood – by the families of those who died, by the rescue workers and police, by the politicians and the military, and also importantly, by the media and their audiences – is crucial in understanding the ways in which what seem like natural responses are socially and culturally constructed.

There's no place like home : unhomely moments in three postcolonial picture books

One of the principal strands of postcolonial theory and critical practice is the interrogation of received versions of colonial history. This paper investigates the extent to which three contemporary picture books, Gavin Bishop's The House that Jack Built, John Marsden and Shaun Tan's The Rabbits, and Thomas King and William Kent Monkman's A Coyote Columbus Story, mobilise postcolonial strategies in their representations of place. In particular, it focuses on how postcolonial textuality unsettles and transgresses notions of "homeliness" in narratives involving the displacement of colonised and colonising peoples. As the shifting power relations of colonialism render unhomely what has previously been homely (especially for colonised peoples), so they involve a contrary move in which unhomely spaces are changed into simulacra of lost or abandoned homes. Drawing upon Walter Benjamin's formulation of materialist historiography, Homi Bhabha describes what he terms 'the unhomely moment' as that in which personal and psychic histories intersect with the violent dislocations of colonialism. This paper will argue that such unhomely moments shape the visual and verbal narratives of The House that Jack Built, The Rabbits and A Coyote Columbus Story, all of which deal with the trauma which occurs when cultures previously geographically and psychically distant are brought into close contact with each other. Written to and for children who are citizens of postcolonial cultures, these texts disclose the unease which persists in contemporary societies where colonial histories are rehearsed and revisioned. However, the paper will argue that the three texts position readers in quite different ways; for instance, while the verbal text of The Rabbits constructs an implied author capable of speaking for the colonised and offering readers a very circumscribed subject position, Thomas King's narrative in A Coyote Columbus Story engages in a dialogic playfulness which allows readers to adopt a variety of reading positions. For each text, some key representations of unhomely moments will be considered, and the paper will explore the extent to which they construct forms of temporality which negotiate the space between history and its significances within crosscultural and intercultural formations.

Defining moments in men's lives : a study of personal narratives

This study explores the defining moments in six men’s lives. The empirical dimension of the research is built around the personal narratives these men tell of their lives across a series of four interviews. The central research theme is the notion of the defining moment as a key element in the processes of establishing how men understand and interpret the events and incidents that have shaped their lives. In the context of this study, the defining moment is seen as the moment or period in time when an individual gives definition to a specific event or experience, as a transition point with (potentially) life-altering consequences. Some of the thematic structures presented include relationships with significant adults (parents, teachers), masculinity, self-harm, schooling, mental illness, isolation, loneliness, stress and relationships with peers. In my pursuit of a methodology that could accommodate the aims of this study, I explored the process of meaning through the qualitative paradigm. Drawing on the principles of qualitative research, as applied through narrative inquiry, I deployed a semi-structured interview format to collect the lived experiences of participants. By privileging the stories that individuals tell of their experiences, the narrative method recognises that data are inexorably located in the contextual and contingent. The experiences and narratives that are presented in this thesis are built around the authentic voices of participants. The study presents a warrant for working with men’s defining moments to disrupt, alter and redefine their attitudes and behaviours in order to improve their lives. Based on the insights gleaned through this study, I argue that there are defining times/points in people’s lives where their experiences can be life altering. When these experiences involve uncertainty, anxiety, stress and other pernicious effects, their longer-term consequences can be devastating. The study confirms existing research, that men are reluctant to seek help or reveal their insecurities during such times, therefore making them particularly vulnerable to defining moments. The conclusion of this thesis establishes some broad recommendations pertaining to working effectively with men and their defining moments. I focus particular attention on the place of schooling and education in helping individuals recognise and respond to the early symptoms of what is potentially a life-altering experience. Schools and, by association, teachers need to be actively and strategically involved in this process. To this end, I argue the need for targeted interventions that are both sensitive and timely. In their engagements with young males, parents, teachers, coaches and mentors need to be particularly attuned to their silent screams for help.