A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets

Assuming that daily spot exchange rates follow a martingale process, we derive the implied time series process for the vector of 30-day forward rate forecast errors from using weekly data. The conditional second moment matrix of this vector is modelled as a multivariate generalized ARCH process. The estimated model is used to test the hypothesis that the risk premium is a linear function of the conditional variances and covariances as suggested by the standard asset pricing theory literature. Little supportt is found for this theory; instead lagged changes in the forward rate appear to be correlated with the 'risk premium.'. © 1990.

Asset pricing in created markets

We investigate the applicability of the present-value asset pricing model to fishing quota markets by applying instrumental variable panel data estimation techniques to 15 years of market transactions from New Zealand's individual transferable quota (ITQ) market. In addition to the influence of current fishing rents, we explore the effect of market interest rates, risk, and expected changes in future rents on quota asset prices. The results indicate that quota asset prices are positively related to declines in interest rates, lower levels of risk, expected increases in future fish prices, and expected cost reductions from rationalization under the quota system. © 2007 American Agricultural Economics Association.

Carbon Markets: Past, Present, and Future

Carbon markets are substantial and they are expanding. There are many lessons from experiences over the past eight years: fewer free allowances, better management of market-sensitive information, and a recognition that trading systems require adjustments that have consequences for market participants and market confidence. Moreover, the emerging international architecture features separate emissions trading systems serving distinct jurisdictions. These programs are complemented by a variety of other types of policies alongside the carbon markets. This sits in sharp contrast to the integrated global trading architecture envisioned 15 years ago by the designers of the Kyoto Protocol and raises a suite of new questions. In this new architecture, jurisdictions with emissions trading have to decide how, whether, and when to link with one another, and policymakers overseeing carbon markets must confront how to measure the comparability of efforts among markets and relative to a variety of other policy approaches.

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Carbon markets: Past, present, and future

© 2014 by Annual Reviews.Carbon markets are substantial and expanding. There are many lessons from experience over the past 9 years: fewer free allowances, careful moderation of low and high prices, and a recognition that trading systems require adjustments that have consequences for market participants and market confidence. Moreover, the emerging international architecture features separate emissions trading systems serving distinct jurisdictions. These programs are complemented by a variety of other types of policies alongside the carbon markets. This architecture sits in sharp contrast to the integrated global trading architecture envisioned 15 years ago by the designers of the Kyoto Protocol and raises a suite of new questions. In this new architecture, jurisdictions with emissions trading have to decide how, whether, and when to link with one another, and policy makers must confront how to measure both the comparability of efforts among markets and the comparability between markets and a variety of other policy approaches.

Fishing quota markets

In 1986, New Zealand responded to the open-access problem by establishing the world's largest individual transferable quota (ITQ) system. Using a 15-year panel dataset from New Zealand that covers 33 species and more than 150 markets for fishing quotas, we assess trends in market activity, price dispersion, and the fundamentals determining quota prices. We find that market activity is sufficiently high in the economically important markets and that price dispersion has decreased. We also find evidence of economically rational behavior through the relationship between quota lease and sale prices and fishing output and input prices, ecological variability, and market interest rates. Controlling for these factors, our results show a greater increase in quota prices for fish stocks that faced significant reductions, consistent with increased profitability due to rationalization. Overall, this suggests that these markets are operating reasonably well, implying that ITQs can be effective instruments for efficient fisheries management. © 2004 Elsevier Inc. All rights reserved.

Federal Nutrition Assistance at Farmers’ Markets: Evaluating Self-Efficacy and the Home Nutrition Environment

SNAP and WIC help alleviate food insecurity among low-income families; however, some still struggle with fruit and vegetable accessibility. Farmers' markets present the opportunity to purchase fresher foods than other food retailers; therefore, we chose this environment to conduct our research. A survey of 70 WIC/SNAP shoppers at three D.C. metropolitan area farmers' markets assessed the correlation between parental self-efficacy and the home nutrition environment (composed of family health behavior, perceived barriers, and fruit and vegetable offerings in the home) and found a significant relationship. Interviews were used to evaluate market accessibility, SNAP/WIC benefit redemption, and the feasibility of accepting these benefits. Both market participants and coordinators mentioned the greater variety and superior quality of farmers' market produce but also suggested several improvements. Findings suggest that SNAP incentive programs may increase fruit and vegetable purchases. Programs targeting consumer self efficacy may also produce positive outcomes.

The recovery mechanism of platinum group metals from catalytic converters in spent automotive exhaust systems

The recovery of platinum group metals (PGMs) from catalytic converters of spent exhaust systems is considered in this paper. To be cost-effective, recovery processes must be well over 90% efficient and so the optimisation of their operation is vital. Effective optimisation requires a sound understanding of the operation and the underlying process mechanisms. This paper focuses on pyrometallurgical recovery operations used and typified by the Johnson–Matthey process. Analysis of this process reveals that it cannot be simply explained by the gravity model that is normally assumed. The analysis reveals that the affinity of PGM particles for the melted collector metal is a key factor in the behaviour of the process. A rational explanation of the key issues that govern the process behaviour is proposed and shown to be consistent with available operational data. The results generated would be applicable to other similar processes.

Thermo-mechanical modelling of power electronics module structures

Power electronic modules distinguish themselves from other modules by their high power operation. These modules are used extensively in high power application markets such as aerospace, automotive, industrial and traction and drives. This paper discusses typical packaging technologies for power electronics modules. It also discusses the latest results from a UK research project investigating the physics-of-failure approach to reliability analysis and predictions for power modules. An integrated design enviroment for incorporating of affects of uncertainty into the design environment was outlined.

Policy-driven self-management for an automotive middleware

This paper describes work towards the deployment of self-managing capabilities into an advanced middleware for automotive systems. The middleware will support a range of futuristic use-cases requiring context-awareness and dynamic system configuration. Several use-cases are described and their specific context-awareness requirements identified. The discussion is accompanied by a justification for the selection of policy-based computing as the autonomics technique to drive the self-management. The specific policy technology to be deployed is described briefly, with a focus on its specific features that are of direct relevance to the middleware project. A selected use-case is explored in depth to illustrate the extent of dynamic behaviour achievable in the proposed middleware architecture, which is composed of several policy-configured services. An early demonstration application which facilitates concept evaluation is presented and a sequence of typical device-discovery events is worked through

[BSHM meetings] Topics in the history of financial mathematics: early commerce to chaos in modern stock markets

This account provides an overview of the study day, entitled 'Topics in the History of Financial Mathematics: Early commerce to chaos in modern stock markets,' held by the British Society for the History of Mathematics jointly with Gresham College, at Gresham College, London on 25th April 2008. The series of talks explored the development of mathematics and mathematical techniques in a commercial and financial context.

A dynamically reconfigurable automotive control system architecture

This paper proposes a vehicular control system architecture that supports self-configuration. The architecture is based on dynamic mapping of processes and services to resources to meet the challenges of future demanding use-scenarios in which systems must be flexible to exhibit context-aware behaviour and to permit customization. The architecture comprises a number of low-level services that provide the required system functionalities, which include automatic discovery and incorporation of new devices, self-optimisation to best-use the processing, storage and communication resources available, and self-diagnostics. The benefits and challenges of dynamic configuration and the automatic inclusion of users' Consumer Electronic (CE) devices are briefly discussed. The dynamic configuration and control-theoretic technologies used are described in outline and the way in which the demands of highly flexible dynamic configuration and highly robust operation are simultaneously met without compromise, is explained. A number of generic use-cases have been identified, each with several specific use-case scenarios. One generic use-case is described to provide an insight into the extent of the flexible reconfiguration facilitated by the architecture.

An architectural approach to autonomics and self-management of automotive embedded electronic systems

Embedded electronic systems in vehicles are of rapidly increasing commercial importance for the automotive industry. While current vehicular embedded systems are extremely limited and static, a more dynamic configurable system would greatly simplify the integration work and increase quality of vehicular systems. This brings in features like separation of concerns, customised software configuration for individual vehicles, seamless connectivity, and plug-and-play capability. Furthermore, such a system can also contribute to increased dependability and resource optimization due to its inherent ability to adjust itself dynamically to changes in software, hardware resources, and environment condition. This paper describes the architectural approach to achieving the goals of dynamically self-configuring automotive embedded electronic systems by the EU research project DySCAS. The architecture solution outlined in this paper captures the application and operational contexts, expected features, middleware services, functions and behaviours, as well as the basic mechanisms and technologies. The paper also covers the architecture conceptualization by presenting the rationale, concerning the architecture structuring, control principles, and deployment concept. In this paper, we also present the adopted architecture V&V strategy and discuss some open issues in regards to the industrial acceptance.