Short-term autocorrelation in Australian equities

This paper examines the statistical and economic significance of short-term autocorrelation in Australian equities. We document large negative first-order autocorrelation in individual stock returns. Preliminary results suggest this autocorrelation is economically significant, as two simple trading strategies based on the autocorrelation structure appear to yield large risk-adjusted returns. Further analysis, however, shows that these results are driven by the inclusion of small-capitalisation and low-priced stocks which are vulnerable to a number of market-microstructure-related problems. After revising the dataset to mitigate these problems, little evidence of economic significance remains.

On the robustness of short-term interest rate models

This paper investigates the robustness of a range of short–term interest rate models. We examine the robustness of these models over different data sets, time periods, sampling frequencies, and estimation techniques. We examine a range of popular one–factor models that allow the conditional mean (drift) and conditional variance (diffusion) to be functions of the current short rate. We find that parameter estimates are highly sensitive to all of these factors in the eight countries that we examine. Since parameter estimates are not robust, these models should be used with caution in practice.

Impulse-response function of splanchnic circulation with model-independent constraints: theory and experimental validation

Modeling physiological processes using tracer kinetic methods requires knowledge of the time course of the tracer concentration in blood supplying the organ. For liver studies, however, inaccessibility of the portal vein makes direct measurement of the hepatic dual-input function impossible in humans. We want to develop a method to predict the portal venous time-activity curve from measurements of an arterial time-activity curve. An impulse-response function based on a continuous distribution of washout constants is developed and validated for the gut. Experiments with simultaneous blood sampling in aorta and portal vein were made in 13 anesthetized pigs following inhalation of intravascular [O-15] CO or injections of diffusible 3-O[ C-11] methylglucose (MG). The parameters of the impulse-response function have a physiological interpretation in terms of the distribution of washout constants and are mathematically equivalent to the mean transit time ( T) and standard deviation of transit times. The results include estimates of mean transit times from the aorta to the portal vein in pigs: (T) over bar = 0.35 +/- 0.05 min for CO and 1.7 +/- 0.1 min for MG. The prediction of the portal venous time-activity curve benefits from constraining the regression fits by parameters estimated independently. This is strong evidence for the physiological relevance of the impulse-response function, which includes asymptotically, and thereby justifies kinetically, a useful and simple power law. Similarity between our parameter estimates in pigs and parameter estimates in normal humans suggests that the proposed model can be adapted for use in humans.

Interaction of directional, neuromuscular and egocentric constraints on the stability of preferred bimanual coordination patterns

We investigated how the relative direction of limb movements in external space (iso- and non-isodirectionality), muscular constraints (the relative timing of homologous muscle activation) and the egocentric frame of reference (moving simultaneously toward/away the longitudinal axis of the body) contribute to the stability of coordinated movements. In the first experiment, we attempted to determine the respective stability of isodirectional and non-isodirectional movements in between-persons coordination. In a second experiment, we determined the effect of the relative direction in external space, and of muscular constraints, on pattern stability during a within-person bimanual coordination task. In the third experiment we dissociated the effects on pattern stability of the muscular constraints, relative direction and egocentric frame of reference. The results showed that (1) simultaneous activation of homologous muscles resulted in more stable performance than simultaneous activation of non-homologous muscles during within-subject coordination, and that (2) isodirectional movements were more stable than non-isodirectional movements during between-persons coordination, confirming the role of the relative direction of the moving limbs in the stability of bimanual coordination. Moreover, the egocentric constraint was to some extent found distinguishable from the effect of the relative direction of the moving limbs in external space, and from the effect of the relative timing of muscle activation. In summary, the present study showed that relative direction of the moving limbs in external space and muscular constraints may interact either to stabilize or destabilize coordination patterns. (C) 2003 Published by Elsevier B.V.

Simultaneous observations of ionospheric quasiperiodic scintillations from short and long meridional baselines using VHF transmissions from transit satellites

For the first time it was possible to observe regular quasiperiodic scintillations (QPS) in VHF radio-satellite transmissions from orbiting satellites simultaneously at short (2.1 km) and long (121 km) meridional baselines in the vicinity of a typical mid-latitude station (Brisbane; 27.5degreesS and 152.9degreesE geog. and 35.6degrees invar.lat.), using three sites (St. Lucia-S, Taringa-T in Brisbane and Boreen Pt.-B, north of Brisbane). A few pronounced quasiperiodic (QP) events were recorded showing unambiguous regular structures at the sites which made it possible to deduce a time displacement of the regular fading minimum at S, T and B. The QP structure is highly dependent on the geometry of the ray-path from a satellite to the observer which is manifested as a change of a QP event from symmetrical to non-symmetrical for stations separated by 2.1 km, and to a radical change in the structure of the event over a distance of 121 km. It is suggested the short-duration intense QP events are due to a Fresnel diffraction (or a reflection mechanism) of radio-satellite signals by a single ionospheric irregularity in a form of an ellipsoid with a large ionization gradient along the major axis. The structure of a QP event depends on the angle of viewing of the irregular blob from a radio-satellite. In view of this it is suggested that the reported variety of the ionization formation, responsible for different types of QPS, is only apparent but not real. (C) 2003 Elsevier Science Ltd. All rights reserved.

A hybrid PSO-ANFIS approach for short-term wind power prediction in Portugal

The increased integration of wind power into the electric grid, as nowadays occurs in Portugal, poses new challenges due to its intermittency and volatility. Wind power prediction plays a key role in tackling these challenges. The contribution of this paper is to propose a new hybrid approach, combining particle swarm optimization and adaptive-network-based fuzzy inference system, for short-term wind power prediction in Portugal. Significant improvements regarding forecasting accuracy are attainable using the proposed approach, in comparison with the results obtained with five other approaches.

Renormalization-group constraints on Yukawa alignment in multi-Higgs-doublet models

We write down the renormalization-group equations for the Yukawa-coupling matrices in a general multi-Higgs-doublet model. We then assume that the matrices of the Yukawa couplings of the various Higgs doublets to right-handed fermions of fixed quantum numbers are all proportional to each other. We demonstrate that, in the case of the two-Higgs-doublet model, this proportionality is preserved by the renormalization-group running only in the cases of the standard type-I, II, X, and Y models. We furthermore show that a similar result holds even when there are more than two Higgs doublets: the Yukawa-coupling matrices to fermions of a given electric charge remain proportional under the renormalization-group running if and only if there is a basis for the Higgs doublets in which all the fermions of a given electric charge couple to only one Higgs doublet.

An artificial neural network approach for short-term wind power forecasting in Portugal

This paper presents an artificial neural network approach for short-term wind power forecasting in Portugal. The increased integration of wind power into the electric grid, as nowadays occurs in Portugal, poses new challenges due to its intermittency and volatility. Hence, good forecasting tools play a key role in tackling these challenges. The accuracy of the wind power forecasting attained with the proposed approach is evaluated against persistence and ARIMA approaches, reporting the numerical results from a real-world case study.

Scheduling of head-dependent cascaded hydro systems: Mixed-integer quadratic programming approach

This paper is on the problem of short-term hydro, scheduling, particularly concerning head-dependent cascaded hydro systems. We propose a novel mixed-integer quadratic programming approach, considering not only head-dependency, but also discontinuous operating regions and discharge ramping constraints. Thus, an enhanced short-term hydro scheduling is provided due to the more realistic modeling presented in this paper. Numerical results from two case studies, based on Portuguese cascaded hydro systems, illustrate the proficiency of the proposed approach.

Constraints on leptogenesis from a symmetry viewpoint

It is shown that type I seesaw models based on the standard model Lagrangian extended with three heavy Majorana right-handed fields do not have leptogenesis in leading order, if the symmetries of mass matrices are also the residual symmetry of the Lagrangian. In particular, flavor models that lead to a mass-independent leptonic mixing have a vanishing leptogenesis CP asymmetry. Based on symmetry arguments, we prove that in these models the Dirac-neutrino Yukawa coupling combinations relevant for leptogenesis are diagonal in the physical basis where the charged leptons and heavy Majorana neutrinos are diagonal.