Random walk versus multiple trend breaks in stock prices : evidence from 15 European markets

This letter extends research reported in Narayan and Smyth (2005) by employing multiple trend break unit root tests to examine the random walk hypothesis for 15 European stock market indices. The results provide strong support for the view that stock prices are characterized by a random walk.

Mean reversion versus random walk in G7 stock prices evidence from multiple trend break unit root tests

This paper provides evidence on the random walk hypothesis in G7 stock price indices using unit root tests which allow for one and two structural breaks in the trend. Of the seven countries we find, at best, evidence of mean reversion in the stock price index of Japan. Thus, overall, our results support the random walk hypothesis. We also consider the implications of the identified structural breaks for movement in stock prices over time. Our main conclusion from this exercise is that the second break in stock prices has had a detrimental effect on movements in stock prices in the G7 countries.

Reconstruction of in vivo time-evolving neuroendocrine dose - response properties unveils admixed deterministic and stochastic elements

Homeostasis in the intact organism is achieved implicitly by repeated incremental feedback (inhibitory) and feedforward (stimulatory) adjustments enforced via intermittent signal exchange. In separated systems, neurohormone signals act deterministically on target cells via quantifiable effector-response functions. On the other hand, in vivo interglandular signaling dynamics have not been estimable to date. Indeed, experimentally isolating components of an interactive network definitionally disrupts time-sensitive linkages. We implement and validate analytical reconstruction of endogenous effector-response properties via a composite model comprising (i) a deterministic basic feedback and feedforward ensemble structure; (ii) judicious statistical allowance for possible stochastic variability in individual biologically interpretable dose–response properties; and (iii) the sole data requirement of serially observed concentrations of a paired signal (input) and response (output). Application of this analytical strategy to a prototypical neuroendocrine axis in the conscious uninjected horse, sheep, and human (i) illustrates probabilistic estimation of endogenous effector dose–response properties; and (ii) unmasks statistically vivid (2- to 5-fold) random fluctuations in inferred target-gland responsivity within any given pulse train. In conclusion, balanced mathematical formalism allows one to (i) reconstruct deterministic properties of interglandular signaling in the intact mammal and (ii) quantify apparent signal-response variability over short time scales in vivo. The present proof-of-principle experiments introduce a previously undescribed means to estimate time-evolving signal-response relationships without isotope infusion or pathway disruption.

Sociodemographic correlates of the increasing trend in prevalence of gestational diabetes mellitus in a large population of women between 1995 and 2005

OBJECTIVE—Gestational diabetes mellitus (GDM) is an increasingly prevalent risk factor for the development of type 2 diabetes in the mother and is  responsible for morbidity in the child. To better identify women at risk of developing GDM we examined sociodemographic correlates and changes in the prevalence of GDM among all births between 1995 and 2005 in Australia's largest state.
RESEARCH DESIGN AND METHODS—A computerized database of all births (n = 956,738) between 1995 and 2005 in New South Wales, Australia, was used in a multivariate logistic regression that examined the association between sociodemographic characteristics and the occurrence of GDM.
RESULTS—Between 1995 and 2005, the prevalence of GDM increased by 45%, from 3.0 to 4.4%. Women born in South Asia had the highest adjusted odds ratio (OR) of any region (4.33 [95% CI 4.12–4.55]) relative to women born in Australia. Women living in the three lowest socioeconomic quartiles had higher adjusted ORs for GDM relative to women in the highest quartile (1.54 [1.50–1.59], 1.74 [1.69–1.8], and 1.65 [1.60–1.70] for decreasing socioeconomic status quartiles). Increasing age was strongly associated with GDM, with women aged >40 years having an adjusted OR of 6.13 (95% CI 5.79–6.49) relative to women in their early 20s. Parity was associated with a small reduced risk. There was no association between smoking and GDM.
CONCLUSIONS—Maternal age, socioeconomic position, and ethnicity are important correlates of GDM. Future culturally specific interventions should target prevention of GDM in these high-risk groups.

Are OECD stock prices characterized by a random walk? Evidence from sequential trend break and panel data models

This paper examines whether stock prices for a sample of 22 OECD countries can be best represented as mean reversion or random walk processes. A sequential trend break test proposed by Zivot and Andrews is implemented, which has the advantage that it can take account of a structural break in the series, as well as panel data unit root tests proposed by Im et al., which exploits the extra power in the panel properties of the data. Results provide strong support for the random walk hypothesis.

Haptic control methodologies for rover teleoperation in non-deterministic remote environments

Haptic teleoperation allows human operators to interact with a remote mobile robot using their haptic sensory modality. This research introduces new haptic control methodologies allowing the teleoperator to overcome the limitations of existing techniques, ultimately facilitating improved mobile robotic control for the exploration of hazardous and remote environments.

Intra-ASEAN FDI : trend, determinants and analytical issues

One of the significant economic developments in the Asia Pacific region during the 1980's has been the phenomenal increase in intra-ASEAN foreign direct investment (FDI) flows. There are two types of intra-ASEAN FDI flows : out-sourcing and the opportunity to gain access to the host country's modern infrastructural and information network.

Mobility and vision for mobile robots in non-deterministic, competitive environments

Develops an award winning design for an omnidirectional mobile robot that is both lightweight and extremely maneuverable. Two methods of robot vision, one using rotating lasers and a second using color video cameras were also developed and the merits of both explored.

Flexible deterministic packet marking: an IP traceback system to find the real source of attacks

Internet Protocol (IP) traceback is the enabling technology to control Internet crime. In this paper, we present a novel and practical IP traceback system called Flexible Deterministic Packet Marking (FDPM) which provides a defense system with the ability to find out the real sources of attacking packets that traverse through the network. While a number of other traceback schemes exist, FDPM provides innovative features to trace the source of IP packets and can obtain better tracing capability than others. In particular, FDPM adopts a flexible mark length strategy to make it compatible to different network environments; it also adaptively changes its marking rate according to the load of the participating router by a flexible flow-based marking scheme. Evaluations on both simulation and real system implementation demonstrate that FDPM requires a moderately small number of packets to complete the traceback process; add little additional load to routers and can trace a large number of sources in one traceback process with low false positive rates. The built-in overload prevention mechanism makes this system capable of achieving a satisfactory traceback result even when the router is heavily loaded. The motivation of this traceback system is from DDoS defense. It has been used to not only trace DDoS attacking packets but also enhance filtering attacking traffic. It has a wide array of applications for other security systems.

Non-Deterministic Exploration through Parametric Design

This paper explores non-deterministic parametric modelling as a design tool. Specifically, it addresses the application of parametric variables to the generation of a conceptual bridge design and the use of repeatable discrete components to the conceptual form. In order to control the generation of the bridge form, a set of design variables based on the concept of a law curve have been developed.These design variables are applied and tested through interactive modelling and variation, driven by manipulating the law curve. Combining this process with the application and control of a repeatable element, known as a Representative Volumetric Element (RVE), allows for the development and exploration of a design solution that could not be achieved through the use of conventional computer modelling.The competition brief for the Australian Institute of Architects (AIA) ‘Dialectical Bridge’ has been used as a case study to demonstrate the use of non-deterministic parametric modelling as a design tool.The results of the experimentation with parametric variables, the law curve and representative volumetric elements (RVE) are presented in the paper.

Autonomous underwater vehicles in a hazardous non-deterministic environment

This research investigated the cooperation of multi underwater robots to perform a task. This combined engineering design, electronics and consensus control to create systems capable of achieving the task. Challenges such as underwater radio communications were researched and a simulation framework was created and tested on virtual and real systems.

Data with abnormal trend pattern in a manufacturing process

The data represents a trend in a deteriorating process caused by gradually increasing material variability and deteriorations of operator skills or loosening fixtures.