Introduction of electronic trading in index futures : volatility and volume effects

There is continuing debate in the US over full introduction of electronic trading in those index futures contracts that are still traded at the CME via open outcry. Since the late 1990s major international exchanges trading index futures contracts have converted to full electronic trading. Recent empirical studies have focused on effects on bid/ask spreads and related price volatility following these changes. We take a different approach and investigate and test for structural change in conditional volatility and volume effects following the shift to electronic trading in the Australian Share Price Index futures contract. Multiple Switching point GARCH models are employed with the data sampled at 5, 15 and 30-minute intervals from transaction records supplied by the Sydney Futures Exchange. There is significant evidence of structural changes in both the persistence of volatility shocks and simultaneous volume effects following the change to screen trading in this futures market.

Cholesterol-lowering effects of plant sterol esters and non-esterified stanols in margarine, butter and low-fat foods

Objectives: To determine the efficacy on plasma cholesterol-lowering of plant sterol esters or non-esterified stanols eaten within low-fat foods as well as margarine.
Design: Randomised, controlled, single-blind study with sterol esters and non-esterified plant stanols provided in breakfast cereal, bread and spreads. Study 1 comprised 12 weeks during which sterol esters (2.4 g) and stanol (2.4 g) -containing foods were eaten during 4 week test periods of cross-over design following a 4 week control food period. In Study 2, in a random order cross-over design, a 50% dairy fat spread with or without 2.4 g sterol esters daily was tested.
Subjects: Hypercholesterolaemic subjects; 22 in study 1 and 15 in study 2.
Main outcome measures: Plasma lipids, plasma sterols, plasma carotenoids and tocopherols.
Results: Study 1¾median LDL cholesterol was reduced by the sterol esters (-13.6%; P<0.001 by ANOVA on ranks; P<0.05 by pairwise comparison) and by stanols (-8.3%; P=0.003, ANOVA and <0.05 pairwise comparison). With sterol esters plasma plant sterol levels rose (35% for sitosterol, 51% for campesterol; P<0.001); plasma lathosterol rose 20% (P=0.03), indicating compensatory increased cholesterol synthesis. With stanols, plasma sitosterol fell 22% (P=0.004), indicating less cholesterol absorption. None of the four carotenoids measured in plasma changed significantly. In study 2, median LDL cholesterol rose 6.5% with dairy spread and fell 12.2% with the sitosterol ester fortified spread (P=0.03 ANOVA and <5% pairwise comparison).
Conclusion: 1. Plant sterol esters and non-esterified stanols, two-thirds of which were incorporated into low-fat foods, contributed effectively to LDL cholesterol lowering, extending the range of potential foods. 2. The LDL cholesterol-raising effect of butter fat could be countered by including sterol esters. 3. Plasma carotenoids and tocopherols were not reduced in this study.

Breakfast size is related to body mass index for men, but not women

The objective of this study was to examine the effect of self-reported breakfast size, daily eating, and other health habits on body mass index (BMI). We hypothesized that a consumption of a substantial breakfast compared with skipping or small breakfasts would be associated with lower BMI. Three independent, cross-sectional, screening surveys were conducted by Sydney Adventist Hospital in 1976, 1986, and 2005 in the surrounding community. The archived survey forms of 384 men and 338 women in 1976, 244 men and 229 women in 1986, and 270 men and 62 women in 2005 were randomly selected. Body mass index was determined from height and weight measured by hospital staff. The reported amount consumed at breakfast was one of several eating habits that predicted BMI for men but not women. It explained 5% to 6% of the variance in male BMI in all 3 years examined. As the reported breakfast amount increased, men's BMI decreased. Lifestyle confounders including vegetarianism and physical activity did not affect this relationship. However, the consumption of breakfast was significantly positively associated with consumption of cereals, bread, fruit, and spreads, while coffee consumption was significantly associated with smaller breakfasts or breakfast skipping. The consumption of relatively large breakfasts may influence BMI in men, and its promotion may help reduce the prevalence of obesity in Australia and elsewhere.

Trends in BMI, diet and lifestyle between 1976 and 2005 in North Sydney

Although the prevalence of overweight and obesity in Australia has increased during the past 30 years, little is known about the dietary and behavioural antecedents of body mass index (BMI). We examined changes in mean BMI, diet, and other lifestyle behaviours between 1976 and 2005 and described the cross-sectional associations between these factors and BMI. A series of biennial biomedical surveys by Sydney Adventist Hospital from 1976 to 2005 allowed examination of BMI trends, while the selection of three surveys enabled detailed examination of likely dietary and lifestyle associations. Subjects included in this study were: 384 men and 338 women in 1976; 160 men and 146 women in 1978; 166 men and 141 women in 1980; 164 men and 142 women in 1982; 177 men and 13 women in 1984; 239 men and 227 women in 1986; 210 men and 225 women in 1988; 165 men and 148 women in 1990; 138 men and 167 women in 1992 and 270 men and 62 women in 2005. Height and weight were measured by hospital staff. Mean BMI increased in the early 1990s. Salt, coffee, cola, alcohol and meat consumption, dieting to lose weight and eating between meals were positively associated with BMI while physical activity, food variety, large breakfasts and consumption of spreads were negatively associated. Food consumption and daily activities have important associations with BMI, though their specific associations differ by sex. 'Affluent' lifestyle patterns appear to contribute to higher BMI, while a more 'prudent' lifestyle seems to protect from such increases.

Backward modelling and look-ahead fuzzy energy management controller for a parallel hybrid vehicle

This paper focuses on a parallel hybrid electric vehicle. It first develops a model for the vehicle using the backward-looking approach where the flow of energy starts from wheels and spreads towards engine and electric motor. Next, a fuzzy logic-based strategy is developed to control the operation of the vehicle. The objectives of the controller include managing the energy flow from engine and electric motor, controlling transmission ratio, adjusting speed, and sustaining battery's state of charge. The controller examines current vehicle speed, demand torque, slope difference, state of charge of battery, and engine and electric motor rotation speeds. Then, it determines the best values for continuous variable transmission ratio, speed, and torque. A slope window scheme is also developed to take into account the look-ahead slope information and determine the best vehicle speed for better fuel economy. The developed model and control strategy are simulated. The simulation results are presented and discussed. It is shown that the use of the proposed fuzzy controller reduces fuel consumption.

Case study of e-learning experts in Malaysia : impact of social capital and social networks

This paper examines the experiences of selected academics pioneering e-learning in Malaysian tertiary institutions. It begins with an overview of the broad factors shaping the Malaysian educational environment and then proceeds to examine the experience of individual teachers and e-learning programs. It takes an in-depth qualitative approach to engaging with this case study material drawing heavily on semi-structured interviews with key actors.
Conversations with several respondents suggested that the social networks of mentor relations found in the Malaysian case studies might be aptly described as ‘bamboo networks’. Bamboo, which happens to be plentiful in the Malaysian peninsula where these case studies are based, spreads from clump to clump through a series of underground connections involving a mature clump of bamboo sending out a subterranean runner, often over very long distances that then emerge into the open as a new bamboo clump.
All of those interviewed reported that they have found it difficult to find a support base in their first years of pioneering online developments. Consequently, they tended to fall back on their peer networks linked to the institutions at which they had studied. Prominent individuals championing e-learning in the institutions where they teach tend to form small groups for information sharing and networking. They do look to their management for tacit ‘permission’ rather than direct encouragement. Consequently, the active promotion of e-learning in Malaysia can be described as being ‘middle-down’ rather than ‘top-down’ in nature. That is to say, it is mid-level teachers that inspire those below them to join in the development of e-learning programs. They are internally driven and strongly motivated. In time, their activity should produce new generations of locally developed e-learning experts but this has yet to take place in a substantial fashion. This study shows that both men and women ‘academic guanxi’, or peer networks, play a key role in the adoption of online technologies. Key early adopters become change-agents by inspiring a small network of their peers and via their guanxi networks. It was also discovered that motivation is not simply an individual matter but is also about groups and peer networks or communities of exchange and encouragement. In the development of e-learning in Malaysia, there is very little activity that is not linked to small clusters of developers who are tied into wider networks through personal contacts.
Like clumping bamboo, whilst the local clusters tend to be easily seen, the longer-range ‘subterranean’ personal connections are generally not nearly so immediately obvious. These connections are often the product of previous mentoring relationships, including the relationships between influential teachers and their former postgraduate students. These relationships tend to work like bamboo runners: they run off in multiple directions, subterranean and unseen and then throw up new clumps that then send out fresh runners of their own.

Look-ahead intelligent energy management of a parallel hybrid electric vehicle

Improving fuel efficiency in vehicles can reduce the energy consumption concerns associated with operating the vehicles. This paper presents a model for a parallel hybrid electric vehicle. In the model, the flow of energy starts from wheels and spreads toward engine and electric motor. A fuzzy logic based control strategy is implemented for the vehicle. The controller manages the energy flow from the engine and the electric motor, controlling transmission ratio, adjusting speed, and sustaining battery's state of charge. The controller examines the vehicle speed, demand torque, slope difference, state of charge of battery, and engine and electric motor rotation speeds. It then determines the best values for continuous variable transmission ratio, speed, and torque. A slope window method is formed that takes into account the look-ahead slope information, and determines the best vehicle speed. The developed model and control strategy are simulated using real highway data relating to Nowra-Bateman Bay in Australia, and SAE Highway Fuel Economy Driving Schedule. The simulation results are presented and discussed. It is shown that the use of the proposed fuzzy controller reduces the fuel consumption of the vehicle.

Australian and US interest rate swap markets : comparison and linkages

We investigate and compare the determinants of US and Australian interest rate swap spreads and the linkages between these markets. The slope of the risk-free term structure is the most significant determinant and its importance is greater for longer terms to maturity. Interest rate levels and, in Australia, the default premium also have some impact. The influences of interest rate volatility, the liquidity premium and (in the USA) the default premium are small or negligible. We hypothesise, and our evidence confirms, that the US swap market significantly affects the Australian swap market but not vice-versa.

Modeling volatility and changes in the swap spread

We investigate the determinants of changes in U.S. interest rate swap spreads using a model that explicitly allows for volatility interactions between swaps of different terms to maturity. Changes in the swap spread are found to be positively related to interest rate volatility, to changes in the default risk premium in the corporate bond market, and to changes in the liquidity premium for government securities. Swap spread changes are negatively related to changes in the level of interest rates and changes in the slope of the term structure. We also find that there is a strong and significant volatility interaction among spreads for swaps of different maturities and that the process for the conditional variance of the spread is highly persistent across all maturities.

An improved physarum centrality measure for weighted networks

Identification of the most central node within a network is one of the primary problems in network analysis. Among various centrality measures for weighted networks, most are based on the assumption that information only spreads through the shortest paths. Then, a mathematical model of an amoeboid organism has been used by Physarum centrality to relax the assumption. However, its computational complexity is relatively high by finding competing paths between all pairs of nodes in networks. In this paper, with the idea of a ground node, an improved Physarum centrality is proposed by maintaining the feature of original measure with the performance is greatly enhanced. Examples and applications are given to show the efficiency and effectiveness of our proposed measure in weighted networks.

Credit cycle dependent spread determinants in emerging sovereign debt markets

We address credit cycle dependent sovereign credit risk determinants. In our model, the spread determinants' magnitude is conditional on an unobservable endogenous sovereign credit cycle as represented by the underlying state of a Markov regime switching process. Our explanatory variables are motivated in the tradition of structural credit risk models and include changes in asset prices, interest rates, implied market volatility, gold price changes and foreign exchange rates. We examine daily frequency variations of U.S. dollar denominated Eurobond credit spreads of four major Latin American sovereign bond issuers (Brazil, Colombia, Mexico and Venezuela) with liquid bond markets during March 2000 to June 2011. We find that spread determinants are statistically significant and consistent with theory, while their magnitude remarkably varies with the state of the credit cycle. Crisis states are characterized by high spread change uncertainty and high sensitivities with respect to the spread change determinants. We further document that not only changes of local currencies, but also changes of the Euro with respect to the U.S. dollar are significant spread drivers and argue that this is consistent with the sovereigns' ability to pay.

Rating downgrade and the price impact of CDS spread on stock return

We investigate the time-varying informativeness of credit default swap (CDS) trading on stock returns for 302 US firms from July 2004 to August 2010. Using the Acharya and Johnson (2007) measure, we find that CDS trading becomes informative for an increasing number of firms as we approach the global financial crisis (GFC). Firm numbers gradually decline post-GFC, but remain high compared to the pre-GFC period. furthermore, CDS trading imposes the largest conditional price impact on firms that are recently downgraded, regardless of rating levels. Interestingly, this holds during and after the GFC, but not before. We offer two implications. First, despite post-GFC outcry against the CDS market, our results suggest it exhibits enhanced price discovery during the GFC. Second, our findings support criticism that, in the lead-up to the GFC, rating agencies are slow in downgrading firms. However, if downgrade decisions made during and after the GFC induce informed trading in the CDS market, this necessarily implies that during the midst of the GFC, rating agencies have got their act together.

From ranking fuzzy numbers to solving fuzzy linear programming: a comprehensive review

Solving fuzzy linear programming (FLP) requires the employment of a consistent ranking of fuzzy numbers. Ineffective fuzzy number ranking would lead to a flawed and erroneous solving approach. This paper presents a comprehensive and extensive review on fuzzy number ranking methods. Ranking techniques are categorised into six classes based on their characteristics. They include centroid methods, distance methods, area methods, lexicographical methods, methods based on decision maker's viewpoint, and methods based on left and right spreads. A survey on solving approaches to FLP is also reported. We then point out errors in several existing methods that are relevant to the ranking of fuzzy numbers and thence suggest an effective method to solve FLP. Consequently, FLP problems are converted into non-fuzzy single (or multiple) objective linear programming based on a consistent centroid-based ranking of fuzzy numbers. Solutions of FLP are then obtained by solving corresponding crisp single (or multiple) objective programming problems by conventional methods.

What determines the yen swap spread?

We investigate if Japanese yen denominated interest rate swap spreads price risks in addition to liquidity and default risk. These additional risks include: the time-varying correlation between interest rates of different types and maturities; business cycle risk; and market skewness risk. Our analysis, over a number of different maturities and sample periods, supports the existence of an additional risk premium. We also show that the time-varying correlation between short term market interest rates (e.g., TIBOR) and the longer term Government bond yield (e.g., Gensaki) is of particular importance. Japanese yen swap spreads are shown to contain both pro-cyclical and counter-cyclical elements of business cycle risk, positive risk premia for skewness risk and variable risk premia for correlation risk (between fixed and floating interest rates).