A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100

This paper examines the lead–lag relationship between the FTSE 100 index and index futures price employing a number of time series models. Using 10-min observations from June 1996–1997, it is found that lagged changes in the futures price can help to predict changes in the spot price. The best forecasting model is of the error correction type, allowing for the theoretical difference between spot and futures prices according to the cost of carry relationship. This predictive ability is in turn utilised to derive a trading strategy which is tested under real-world conditions to search for systematic profitable trading opportunities. It is revealed that although the model forecasts produce significantly higher returns than a passive benchmark, the model was unable to outperform the benchmark after allowing for transaction costs.

Elastic net orthogonal forward regression

An efficient two-level model identification method aiming at maximising a model׳s generalisation capability is proposed for a large class of linear-in-the-parameters models from the observational data. A new elastic net orthogonal forward regression (ENOFR) algorithm is employed at the lower level to carry out simultaneous model selection and elastic net parameter estimation. The two regularisation parameters in the elastic net are optimised using a particle swarm optimisation (PSO) algorithm at the upper level by minimising the leave one out (LOO) mean square error (LOOMSE). There are two elements of original contributions. Firstly an elastic net cost function is defined and applied based on orthogonal decomposition, which facilitates the automatic model structure selection process with no need of using a predetermined error tolerance to terminate the forward selection process. Secondly it is shown that the LOOMSE based on the resultant ENOFR models can be analytically computed without actually splitting the data set, and the associate computation cost is small due to the ENOFR procedure. Consequently a fully automated procedure is achieved without resort to any other validation data set for iterative model evaluation. Illustrative examples are included to demonstrate the effectiveness of the new approaches.

Change management in practice: an ethnographic study of changes to contract requirements on a hospital project

Changes to client requirements are inevitable during construction. Industry discourse is concerned with minimizing and controlling changes. However, accounts of practices involved in making changes are rare. In response to calls for more research into working practices, an ethnographic study of a live hospital project was undertaken to explore how changes are made. A vignette of a meeting exploring the investigation of changes illustrates the issues. This represents an example from the ethnographic fieldwork, which produced many observations. There was a strong emphasis on using change management procedures contained within the contract to investigate changes, even when it was known that the change was not required. For the practitioners, this was a way of demonstrating best practice, transparent and accountable decision-making regarding changes. Hence, concerns for following procedures sometimes overshadowed considerations about whether or not a change was required to improve the functionality of the building. However, the procedures acted as boundary objects between the communities of practice involved on the project by coordinating the work of managing changes. Insights suggest how contract procedures facilitate and impede the making of changes, which can inform policy guidance and contract drafting.

Contract cheating & the market in essays

We conduct the first empirical economic investigation of the decision to cheat by University students. We investigate student demand for essays, using hypothetical discrete choice experiments in conjunction with consequential Holt-Laury gambles to derive subjects risk preferences. Students stated willingness to participate in the essay market, and their valuation of purchased essays, vary with the characteristics of student and institutional environment. Risk preferring students, those working in a non-native language, and those believing they will attain a lower grade are willing to pay more. Purchase likelihoods and essay valuations decline as the probability of detection and associated penalty increase.

English Contract Law and the Great War: the development of a doctrine of frustration

This article examines changes that occurred in English contract law as a result of the demands made upon Great Britain by the Great War. The focus is on the development of the doctrine of frustration in English law. In particular, it is argued that the development of the doctrine of frustration was fashioned from internal legal forces in the form of both existing case law and emergency legislation in response to the demands placed upon the nation by a global war. The way in which the doctrine of frustration developed during the Great War arose as a direct result of the way in which Britain chose to meet the logistical demands created by the way it fought the Great War.

Systematic selection of analogue redesign method for forward-type digital power converters

This article proposes a systematic approach to determine the most suitable analogue redesign method to be used for forward-type converters under digital voltage mode control. The focus of the method is to achieve the highest phase margin at the particular switching and crossover frequencies chosen by the designer. It is shown that at high crossover frequencies with respect to switching frequency, controllers designed using backward integration have the largest phase margin; whereas at low crossover frequencies with respect to switching frequency, controllers designed using bilinear integration with pre-warping have the largest phase margins. An algorithm has been developed to determine the frequency of the crossing point where the recommended discretisation method changes. An accurate model of the power stage is used for simulation and experimental results from a Buck converter are collected. The performance of the digital controllers is compared to that of the equivalent analogue controller both in simulation and experiment. Excellent closeness between the simulation and experimental results is presented. This work provides a concrete example to allow academics and engineers to systematically choose a discretisation method.

Nonlinear identification using orthogonal forward regression with nested optimal regularization

An efficient data based-modeling algorithm for nonlinear system identification is introduced for radial basis function (RBF) neural networks with the aim of maximizing generalization capability based on the concept of leave-one-out (LOO) cross validation. Each of the RBF kernels has its own kernel width parameter and the basic idea is to optimize the multiple pairs of regularization parameters and kernel widths, each of which is associated with a kernel, one at a time within the orthogonal forward regression (OFR) procedure. Thus, each OFR step consists of one model term selection based on the LOO mean square error (LOOMSE), followed by the optimization of the associated kernel width and regularization parameter, also based on the LOOMSE. Since like our previous state-of-the-art local regularization assisted orthogonal least squares (LROLS) algorithm, the same LOOMSE is adopted for model selection, our proposed new OFR algorithm is also capable of producing a very sparse RBF model with excellent generalization performance. Unlike our previous LROLS algorithm which requires an additional iterative loop to optimize the regularization parameters as well as an additional procedure to optimize the kernel width, the proposed new OFR algorithm optimizes both the kernel widths and regularization parameters within the single OFR procedure, and consequently the required computational complexity is dramatically reduced. Nonlinear system identification examples are included to demonstrate the effectiveness of this new approach in comparison to the well-known approaches of support vector machine and least absolute shrinkage and selection operator as well as the LROLS algorithm.

Training and the commitment of outsourced information technologies' workers: psychological contract fulfillment as a mediator

Outsourced workers in information technologies (IT) generally have high skills and a high value on the job market. Their IT outsourcing organizations are likely to provide them with training, in the first place for skill development, but perhaps also as a way to bind the workers to them. This can be understood along the role of the psychological contract. Outsourced IT workers may see training as a fulfillment of their psychological contract. Accordingly, we hypothesize that psychological contract fulfillment mediates the relationship between training and affective commitment to the IT outsourcer. This was tested in a sample of 158 Portuguese outsourced IT workers. The results showed that employees who considered that they were receiving good training opportunities felt a greater affective commitment to their IT outsourcers. This relationship was mediated by the fulfillment of the relational psychological contract.

Contingencies of contingent employment: psychological contract, job insecurity and employability of contracted workers

Drawing on psychological contract literature, the present study examines the emerging contingent employment relationships, which involve the contracted workers, the employment agency and the client organization on whose premises these employees work. This sample includes eighty-eight white-collar employees working for four Portuguese agencies. The results suggest that the perceived fulfilment of client?s obligations relates positively to the perceived fulfilment of agency?s obligations and that these constructs are independent of one another. Furthermore, as expected, we have found that the perception of job insecurity relates negatively to the fulfilment of agency?s obligations. No relationship was found between employability and the perceived fulfilment of client?s obligations. The results have implications for practitioners and future research.

Breaching the social contract: crises of democratic representation and patterns of extreme right party support

Why has the extreme right Greek Golden Dawn, a party with clear links to fascism experienced a rise defying all theories that claim that such a party is unlikely to win in post-WWII Europe? And, if we accept that economic crisis is an explanation for this, why has such a phenomenon not occurred in other countries that have similar conducive conditions, such as Portugal and Spain? This article addresses this puzzle by (a) carrying out a controlled comparison of Greece, Portugal and Spain and (b) showing that the rise of the extreme right is not a question of intensity of economic crisis. Rather it is the nature of the crisis, i.e. economic versus overall crisis of democratic representation that facilitates the rise of the extreme right. We argue that extreme right parties are more likely to experience an increase in their support when economic crisis culminates into an overall crisis of democratic representation. Economic crisis is likely to become a political crisis when severe issues of governability impact upon the ability of the state to fulfil its social contract obligations. This breach of the social contract is accompanied by declining levels of trust in state institutions, resulting in party system collapse.

Looking back, moving forward: drama, disability and social justice

The aim of this chapter is to briefly outline how disability has been represented in theatre, what access disabled people have had to drama and theatre in the past, and what might be achieved in the pursuit of social justice with young people in relation to awareness of and provision for disability. It will focus in particular on how disability has been addressed in drama education and what assumptions have been made regarding drama and disability in education. In considering such issues one might perceive manifestations of what Freebody and Finneran (2013) recognise as an overlapping and ‘somewhat artificially created dichotomy between drama for social justice and drama about social justice.’ This chapter will examine some examples of how drama has been used to give students in mainstream schools insights into disability, and the philosophy that underpins the drama curriculum of one special school where the focus is on drama as social justice: the argument being that in some cases simply doing drama is, in effect, a manifestation of social justice. Finally, some of the progress made in recent years regarding access and engagement will be addressed through specific reference to the authors’ on-going work into ‘performing social research’ (Shah, 2013) and how theatres are increasingly attempting to give more access to disabled young people and their families by offering ‘relaxed performances.’

One step forward, and two steps back: women and career progression in academia during times of uncertainty

While there is an extensive and still growing body of literature on women in academia and the challenges they encounter in career progression, there is little research on their experience specifically within a business school setting. In this study, we attempt to address this gap and examine the experiences and career development of female academics in a business school and how these are impacted by downsizing programmes. To this end, an exploratory case study is conducted. The findings of this study show that female business school academics experience numerous challenges in terms of promotion and development, networking, and the multiple and conflicting demands placed upon them. As a result, the lack of visibility seems to be a pertinent issue in terms of their career progression. Our data also demonstrates that that, paradoxically, during periods of downsizing women become more visible and thus vulnerable to layoffs as a consequence of the challenges and pressures created in their environment during this process. In this paper, we argue that this heightened visibility, and being subject to possible layoffs, further reproduces inequality regimes in academia.

Quick abnormal-bid-detection method for construction contract auctions

Noncompetitive bids have recently become a major concern in both public and private sector construction contract auctions. Consequently, several models have been developed to help identify bidders potentially involved in collusive practices. However, most of these models require complex calculations and extensive information that is difficult to obtain. The aim of this paper is to utilize recent developments for detecting abnormal bids in capped auctions (auctions with an upper bid limit set by the auctioner) and extend them to the more conventional uncapped auctions (where no such limits are set). To accomplish this, a new method is developed for estimating the values of bid distribution supports by using the solution to what has become known as the German Tank problem. The model is then demonstrated and tested on a sample of real construction bid data, and shown to detect cover bids with high accuracy. This paper contributes to an improved understanding of abnormal bid behavior as an aid to detecting and monitoring potential collusive bid practices.

Analysis of the distribution of the number of bidders in construction contract auctions

The number of bidders, N, involved in a construction procurement auction is known to have an important effect on the value of the lowest bid and the mark-up applied by bidders. In practice, for example, it is important for a bidder to have a good estimate of N when bidding for a current contract. One approach, instigated by Friedman in 1956, is to make such an estimate by statistical analysis and modelling. Since then, however, finding a suitable model for N has been an enduring problem for researchers and, despite intensive research activity in the subsequent 30 years, little progress has been made, due principally to the absence of new ideas and perspectives. The debate is resumed by checking old assumptions, providing new evidence relating to concomitant variables and proposing a new model. In doing this and in order to ensure universality, a novel approach is developed and tested by using a unique set of 12 construction tender databases from four continents. This shows the new model provides a significant advancement on previous versions. Several new research questions are also posed and other approaches identified for future study.