Risk reduction and diversification in UK commercial property portfolios

The issue of diversification in direct real estate investment portfolios has been widely studied in academic and practitioner literature. Most work, however, has been done using either partially aggregated data or data for small samples of individual properties. This paper reports results from tests of both risk reduction and diversification that use the records of 10,000+ UK properties tracked by Investment Property Databank. It provides, for the first time, robust estimates of the diversification gains attainable given the returns, risks and cross‐correlations across the individual properties available to fund managers. The results quantify the number of assets and amount of money needed to construct both ‘balanced’ and ‘specialist’ property portfolios by direct investment. Target numbers will vary according to the objectives of investors and the degree to which tracking error is tolerated. The top‐level results are consistent with previous work, showing that a large measure of risk reduction can be achieved with portfolios of 30–50 properties, but full diversification of specific risk can only be achieved in very large portfolios. However, the paper extends previous work by demonstrating on a single, large dataset the implications of different methods of calculating risk reduction, and also by showing more disaggregated results relevant to the construction of specialist, sector‐focussed funds.

An alternative approach to investigating lead-lag relationships between stock and stock index futures markets

In the absence of market frictions, the cost-of-carry model of stock index futures pricing predicts that returns on the underlying stock index and the associated stock index futures contract will be perfectly contemporaneously correlated. Evidence suggests, however, that this prediction is violated with clear evidence that the stock index futures market leads the stock market. It is argued that traditional tests, which assume that the underlying data generating process is constant, might be prone to overstate the lead-lag relationship. Using a new test for lead-lag relationships based on cross correlations and cross bicorrelations it is found that, contrary to results from using the traditional methodology, periods where the futures market leads the cash market are few and far between and when any lead-lag relationship is detected, it does not last long. Overall, the results are consistent with the prediction of the standard cost-of-carry model and market efficiency.

Anthropogenic nutrient sources and loads from a Mediterranean catchment into a coastal lagoon: Mar Menor, Spain

The Mar Menor is a coastal lagoon increasingly threatened by urban and agricultural pressures. The main watercourse draining into the lagoon is the Rambla del Albujón. A fortnightly campaign carried out over one annual cycle enabled us to characterize the treated urban sewage effluents and agricultural sources which contribute to the nutrient fluxes in the watercourse. Multivariate analysis provided information for establishing chemical signatures and for assessing the relative influence of the various sources on the water quality at the outlet. Mass balances were used to examine net gains and losses, and cross-correlations with rainfall to analyze climatic influence and control factors in the trends of the nutrient flux. The rainfall pattern was significantly cross-correlated with nitrate and phosphorus fluxes from agricultural sources, while fluctuations in the resident population explained the phosphorus flux trend in urban sources. 50% of dissolved inorganic nitrogen was from agricultural sources, while 70% of total phosphate and 91% of total organic carbon were from urban point sources. The net amounts of all the nutrients fell as a result of plant uptake and/or denitrification in the channel. The control of urban point sources (phosphorus-enriched) is suggested as a promptly action for improving the health of the coastal lagoon.

A aleatoriedade do passeio na BOVESPA: testando a eficiência do mercado acionário brasileira

Este artigo investiga versões do modelo de passeio aleatório dos preços de ativos em diversos horizontes de tempo, para carteiras diversificadas de ações no mercado brasileiro. Evidências contrárias a tal modelo são observadas nos horizontes diário e semanal, caracterizados por persistência. As evidências são mais fracas em períodos mais recentes. Encontramos também sazonalidades diárias, incluindo o efeito segunda-feira, e mensais. Adicionalmente, um padrão de assimetria de autocorrelações cruzadas de primeira ordem entre os retornos de carteiras de firmas agrupadas segundo seu tamanho também é observado, indicando no caso de retornos diários e semanais que retornos de firmas grandes ajudam a prever retornos de firmas pequenas. Evidências de não linearidades nos retornos são observadas em diversos horizontes de tempo.

Inflation persistence and flexible prices

The inability of rational expectation models with money supply rules to deliver inflation persistence following a transitory deviation of money growth from trend is due to the rapid adjustment of the price level to expected events. The observation of persistent inflation in macroeconomic data leads many economists to believe that prices adjust sluggishly and/or expectations must not be rational. Inflation persistence in U.S. data can be characterized by a vector autocorrelation function relating inflation and deviations of output from trend. In the vector autocorrelation function both inflation and output are highly persistent and there are significant positive dynamic cross-correlations relating inflation and output. This paper shows that a flexible-price general equilibrium business cycle model with money and a central bank using a Taylor rule can account for these patterns. There are no sticky prices and no liquidity effects. Agents decisions in a period are taken only after all shocks are observed. The monetary policy rule transforms output persistence into inflation persistence and creates positive cross-correlations between inflation and output.

AC biosusceptometry as a method for measuring gastric contraction

the aim of this study was to validate the Alternate Current Biosusceptometry (ACB) for monitoring gastric contractions in rats. In vitro data were obtained to establish the relationship between ACB and the strain-gauge (SG) signal amplitude. In vivo experiments were performed on rats with magnetic markers and SGs previously implanted under the gastric serosa. The effects of the prandial state in gastric motility profiles were obtained. The correlation between in vitro signal amplitudes was strong (R = 0.989). The temporal cross-correlation between the ACB and SG signal amplitude was higher in the postprandial than in the fasting state. Irregular signal profiles, low contraction amplitudes, and smaller signal-to-noise ratios explained the poor correlation for fasting-state recordings. The contraction frequencies using ACB were 0.068 ± 0.007 Hz (postprandial) and 0.058 ± 0.007 Hz (fasting) and those using SG were 0.066 ± 0.006 Hz (postprandial) and 0.059 ± 0.008 Hz (fasting) (P < 0.003). When a magnetic tracer was ingested, there was a strong correlation and a small phasedifference between techniques. We conclude that ACB provides an accurate and sensitive technique for studies of GI motility in the rat. © 2010 IEEE.

Detection of buried pipes using a shear wave ground surface vibration technique

A major UK initiative, entitled 'Mapping the Underworld', is seeking to address the serious social, environmental and economic consequences arising from an inability to locate the buried utility service infrastructure without resorting to extensive excavations. Mapping the Underworld aims to develop and prove the efficacy of a multi-sensor device for accurate remote buried utility service detection, location and, where possible, identification. One of the technologies to be incorporated in the device is low-frequency vibro-acoustics, and the application of this technology for detecting buried infrastructure is currently being investigated. Here, a shear wave ground vibration technique for detecting buried pipes is described. For this technique, shear waves are generated at the ground surface, and the resulting ground surface vibrations measured, using geophones, along a line traversing the anticipated run of the pipe. Measurements were made at a test site with a single pressurized polyethylene mains water pipe. Time-extended signals were employed to generate the illuminating wave. Cross-correlation functions between the measured ground velocities and a reference measurement adjacent to the excitation were then calculated and summed using a stacking method to generate a cross-sectional image of the ground. The wide cross-correlation peaks caused by high ground attenuation were partially compensated for by using a generalized cross-correlation function called the smoothed coherence transform. To mitigate the effects of other potential sources of vibration in the vicinity, the excitation signal was used as an additional reference when calculating the generalized cross-correlation functions. For two out of three tests, the pipe was detected, indicating that this technique will be a valuable addition to the Mapping the Underworld armoury.

Cálculo de velocidades oceánicas superficiales en el área del afloramiento del NW de África mediante imágenes del sensor AVHRR

En el presente estudio, una serie de pares de imágenes consecutivas del sensor Advance Very High Resolution Radiometer separadas entre si 24 horas son utilizadas con el objetivo de deducir velocidades de flujo superficial en el área del afloramiento del NW de África. El método utilizado es el método de las correlaciones cruzadas bidimensionales entre imágenes de satélite sucesivas, que representan el movimiento de las estructuras observadas. Los resultados de aplicar este método son analizados y discutidos. ABSTRACT In this study, some pairs of consecutive satellite images from the Advance Very High Resolution Radiometer (AVHRR) with a time separation of 24 hours are used in order to derive the sea surface flow velocities in the Northwest African up welling area. The method used is the Maximum Cross Correlation Method (MCC), and it consists in locate the maxima of bidimensional cross correlations between consecutive images. That maxima represent the movement of the observed features. The results are analyzed and discussed

Campylobacter monitoring in German broiler flocks: an explorative time series analysis

Campylobacter, a major zoonotic pathogen, displays seasonality in poultry and in humans. In order to identify temporal patterns in the prevalence of thermophilic Campylobacter spp. in a voluntary monitoring programme in broiler flocks in Germany and in the reported human incidence, time series methods were used. The data originated between May 2004 and June 2007. By the use of seasonal decomposition, autocorrelation and cross-correlation functions, it could be shown that an annual seasonality is present. However, the peak month differs between sample submission, prevalence in broilers and human incidence. Strikingly, the peak in human campylobacterioses preceded the peak in broiler prevalence in Lower Saxony rather than occurring after it. Significant cross-correlations between monthly temperature and prevalence in broilers as well as between human incidence, monthly temperature, rainfall and wind-force were identified. The results highlight the necessity to quantify the transmission of Campylobacter from broiler to humans and to include climatic factors in order to gain further insight into the epidemiology of this zoonotic disease.

Short-term feed intake is regulated by macronutrient oxidation in lactating Holstein cows

In addition to plasma metabolites and hormones participating as humoral signals in the control of feed intake, oxidative metabolic processes in peripheral organs also generate signals to terminate feeding. Although the degree of oxidation over longer periods is relatively constant, recent work suggests that the periprandial pattern of fuel oxidation is involved in regulating feeding behavior in the bovine. However, the association between periprandial oxidative metabolism and feed intake of dairy cows has not yet been studied. Therefore, the aim of this study was to elucidate possible associations existing between single feed intake events and whole-body net fat and net carbohydrate oxidation as well as their relation to plasma metabolite concentrations. To this end, 4 late-lactating cows equipped with jugular catheters were kept in respiratory chambers with continuous and simultaneous recording of gas exchange and feed intake. Animals were fed ad libitum (AL) for 24h and then feed restricted (RE) to 50% of the previous AL intake for a further 24h. Blood samples were collected hourly to analyze β-hydroxybutyrate (BHBA), glucose, nonesterified fatty acids (NEFA), insulin, and acylated ghrelin concentrations. Cross-correlation analysis revealed an offset ranging between 30 and 42 min between the maximum of a feed intake event and the lowest level of postprandial net fat oxidation (FOX(net)) and the maximum level of postprandial net carbohydrate oxidation (COX(net)), respectively. During the AL period, FOX(net) did not increase above -0.2g/min, whereas COX(net) did not decrease below 6g/min before the start of the next feed intake event. A strong inverse cross-correlation was obtained between COX(net) and plasma glucose concentration. Direct cross-correlations were observed between COXnet and insulin, between heat production and BHBA, between insulin and glucose, and between BHBA and ghrelin. We found no cross-correlation between FOX(net) and NEFA. During RE, FOX(net) increased with an exponential slope, exceeded the threshold of -0.2g/min as indicated by increasing plasma NEFA concentrations, and approached a maximum rate of 0.1g/min, whereas COX(net) decayed in an exponential manner, approaching a minimal COX(net) rate of about 2.5 g/min in all cows. Our novel findings suggest that, in late-lactating cows, postprandial increases in metabolic oxidative processes seem to signal suppression of feed intake, whereas preprandially an accelerated FOX(net) rate and a decelerated COX(net) rate initiate feed intake.

Hemodynamic changes associated with manual and automated lateral rotation in mechanically ventilated intensive care patients

Objective: To investigate hemodynamic responses to lateral rotation. ^ Design: Time-series within a randomized controlled trial pilot study. ^ Setting: A medical intensive care unit (ICU) and a medical-surgical ICU in two tertiary care hospitals. ^ Patients: Adult patients receiving mechanical ventilation. ^ Interventions: Two-hourly manual or continuous automated lateral rotation. ^ Measurements and Main Results: Heart rate (HR) and arterial pressure were sampled every 6 seconds for > 24 hours, and pulse pressure (PP) was computed. Turn data were obtained from a turning flow sheet (manual turn) or with an angle sensor (automated turn). Within-subject ensemble averages were computed for HR, mean arterial pressure (MAP), and PP across turns. Sixteen patients were randomized to either the manual (n = 8) or automated (n = 8) turn. Three patients did not complete the study due to hemodynamic instability, bed malfunction or extubation, leaving 13 patients (n = 6 manual turn and n = 7 automated turn) for analysis. Seven patients (54%) had an arterial line. Changes in hemodynamic variables were statistically significant increases ( p < .05), but few changes were clinically important, defined as ≥ 10 bpm (HR) or ≥ 10 mmHg (MAP and PP), and were observed only in the manual-turn group. All manual-turn patients had prolonged recovery to baseline in HR, MAP and PP of up to 45 minutes (p ≤ .05). No significant turning-related periodicities were found for HR, MAP, or PP. Cross-correlations between variables showed variable lead-lag relations in both groups. A statistically, but not clinically, significant increase in HR of 3 bpm was found for the manual-turn group in the back compared with the right lateral position ( F = 14.37, df = 1, 11, p = .003). ^ Conclusions: Mechanically ventilated critically ill patients experience modest hemodynamic changes with manual lateral rotation. A clinically inconsequential increase in HR, MAP, and PP may persist for up to 45 minutes. Automated lateral rotation has negligible hemodynamic effects. ^

Estimation of functional connectivity from electromagnetic signals and the amount of empirical data required

An increasing number of neuroimaging studies are concerned with the identification of interactions or statistical dependencies between brain areas. Dependencies between the activities of different brain regions can be quantified with functional connectivity measures such as the cross-correlation coefficient. An important factor limiting the accuracy of such measures is the amount of empirical data available. For event-related protocols, the amount of data also affects the temporal resolution of the analysis. We use analytical expressions to calculate the amount of empirical data needed to establish whether a certain level of dependency is significant when the time series are autocorrelated, as is the case for biological signals. These analytical results are then contrasted with estimates from simulations based on real data recorded with magnetoencephalography during a resting-state paradigm and during the presentation of visual stimuli. Results indicate that, for broadband signals, 50–100 s of data is required to detect a true underlying cross-correlations coefficient of 0.05. This corresponds to a resolution of a few hundred milliseconds for typical event-related recordings. The required time window increases for narrow band signals as frequency decreases. For instance, approximately 3 times as much data is necessary for signals in the alpha band. Important implications can be derived for the design and interpretation of experiments to characterize weak interactions, which are potentially important for brain processing.

Cortical activity flips among quasi-stationary states.

Parallel recordings of spike trains of several single cortical neurons in behaving monkeys were analyzed as a hidden Markov process. The parallel spike trains were considered as a multivariate Poisson process whose vector firing rates change with time. As a consequence of this approach, the complete recording can be segmented into a sequence of a few statistically discriminated hidden states, whose dynamics are modeled as a first-order Markov chain. The biological validity and benefits of this approach were examined in several independent ways: (i) the statistical consistency of the segmentation and its correspondence to the behavior of the animals; (ii) direct measurement of the collective flips of activity, obtained by the model; and (iii) the relation between the segmentation and the pair-wise short-term cross-correlations between the recorded spike trains. Comparison with surrogate data was also carried out for each of the above examinations to assure their significance. Our results indicated the existence of well-separated states of activity, within which the firing rates were approximately stationary. With our present data we could reliably discriminate six to eight such states. The transitions between states were fast and were associated with concomitant changes of firing rates of several neurons. Different behavioral modes and stimuli were consistently reflected by different states of neural activity. Moreover, the pair-wise correlations between neurons varied considerably between the different states, supporting the hypothesis that these distinct states were brought about by the cooperative action of many neurons.

Theory of orientation tuning in visual cortex.

The role of intrinsic cortical connections in processing sensory input and in generating behavioral output is poorly understood. We have examined this issue in the context of the tuning of neuronal responses in cortex to the orientation of a visual stimulus. We analytically study a simple network model that incorporates both orientation-selective input from the lateral geniculate nucleus and orientation-specific cortical interactions. Depending on the model parameters, the network exhibits orientation selectivity that originates from within the cortex, by a symmetry-breaking mechanism. In this case, the width of the orientation tuning can be sharp even if the lateral geniculate nucleus inputs are only weakly anisotropic. By using our model, several experimental consequences of this cortical mechanism of orientation tuning are derived. The tuning width is relatively independent of the contrast and angular anisotropy of the visual stimulus. The transient population response to changing of the stimulus orientation exhibits a slow "virtual rotation." Neuronal cross-correlations exhibit long time tails, the sign of which depends on the preferred orientations of the cells and the stimulus orientation.

Equity market linkage and multinational trade accords: The case of NAFTA

This paper examines the impact of multinational trade accords on the degree of stock market linkage using NAFTA as a case study. Besides liberalizing trade among the U.S., Canada and Mexico, NAFTA has also sought to strengthen linkage among stock markets of these countries. If successful, this could lessen the appeal of asset diversification across the North American region and promote a higher degree of market efficiency. We assess the possible impact of NAFTA on market linkage using cross-correlations, multivariate price cointegrating systems, speed of convergence, and generalized variance decompositions of unexpected stock returns. The evidence proves robust and consistently indicates intensified equity market linkage since the NAFTA accord. The results also suggest that interdependent goods markets in the region are a primary reason behind the stronger equity market linkage observed in the post-NAFTA period. (c) 2005 Elsevier Ltd. All rights reserved.