Forward rates : predictive power and trading strategies

Magdeburg, Univ., Fak. für Wirtschaftswiss., Diss., 2014

Pure motives, mixed motives and extensions of motives associated to singular surfaces

We first recall the construction of the Chow motive modelling intersection cohomology of a proper surface X and study its fundamental properties. Using Voevodsky's category of effective geometrical motives, we then study the motive of the exceptional divisor D in a non-singular blow-up of X. If all geometric irreducible components of D are of genus zero, then Voevodsky's formalism allows us to construct certain one-extensions of Chow motives, as canonical subquotients of the motive with compact support of the smooth part of X. Specializing to Hilbert-Blumenthal surfaces, we recover a motivic interpretation of a recent construction of A. Caspar.

Taxation and Total Government Take from the UK Continental Shelf (UKCS) Following Phase 3 of the European Emissions Trading Scheme (EU ETS)

NORTH SEA STUDY OCCASIONAL PAPER No. 117

The Effects of the European Emissions Trading Scheme (EU ETS) on Activity in the UK Continental Shelf (UKCS) and CO2 Leakage

NORTH SEA STUDY OCCASIONAL PAPER No. 115

Meeting technologies and optimal trading mechanisms in competitive search markets

In a market in which sellers compete by posting mechanisms, we study how the properties of the meeting technology affect the mechanism that sellers select. In general, sellers have incentive to use mechanisms that are socially efficient. In our environment, sellers achieve this by posting an auction with a reserve price equal to their own valuation, along with a transfer that is paid by (or to) all buyers with whom the seller meets. However, we define a novel condition on meeting technologies, which we call “invariance,” and show that the transfer is equal to zero if and only if the meeting technology satisfies this condition.

Differential association of drinking motives with alcohol use on weekdays and weekends.

Drinking motives (DM) reflect the reasons why individuals drink alcohol. Weekdays are mainly dedicated to work, whereas weekends are generally associated with spending time with friends during special events or leisure activities; using alcohol on weekdays and weekends may also be related to different DM. This study examined whether DM were differentially associated with drinking volume (DV) on weekdays and weekends. A representative sample of 5,391 young Swiss men completed a questionnaire assessing weekday and weekend DV, as well as their DM, namely, enhancement, social, coping, and conformity motives. Associations of DM with weekday and weekend DV were examined using structural equation models. Each DM was tested individually in a separate model; all associations were positive and generally stronger (except conformity) for weekend rather than for weekday DV. Further specific patterns of association were found when DM were entered into a single model simultaneously. Associations with weekday and with weekend DV were positive for enhancement and coping motives. However, associations were stronger with weekend rather than with weekday DV for enhancement, and stronger with weekday than with weekend DV for coping motives. Associations of social motives were not significant with weekend DV and negative with weekday DV. Conformity motives were negatively associated with weekend DV and positively related to weekday DV. These results suggest that interventions targeting enhancement motives should be particularly effective at decreasing weekend drinking, whereas interventions targeted at coping motives would be particularly effective at reducing alcohol use on weekdays. (PsycINFO Database Record (c) 2014 APA, all rights reserved).

Same wording, distinct concepts? Testing differences between expectancies and motives in a mediation model of alcohol outcomes.

Per definition, alcohol expectancies (after alcohol I expect X), and drinking motives (I drink to achieve X) are conceptually distinct constructs. Theorists have argued that motives mediate the association between expectancies and drinking outcomes. Yet, given the use of different instruments, do these constructs remain distinct when assessment items are matched? The present study tested to what extent motives mediated the link between expectancies and alcohol outcomes when identical items were used, first as expectancies and then as motives. A linear structural equation model was estimated based on a national representative sample of 5,779 alcohol-using students in Switzerland (mean age = 15.2 years). The results showed that expectancies explained up to 38% of the variance in motives. Together with motives, they explained up to 48% of the variance in alcohol outcomes (volume, 5+ drinking, and problems). In 10 of 12 outcomes, there was a significant mediated effect that was often higher than the direct expectancy effect. For coping, the expectancy effect was close to zero, indicating the strongest form of mediation. In only one case (conformity and 5+ drinking), there was a direct expectancy effect but no mediation. To conclude, the study demonstrates that motives are distinct from expectancies even when identical items are used. Motives are more proximally related to different alcohol outcomes, often mediating the effects of expectancies. Consequently, the effectiveness of interventions, particularly those aimed at coping drinkers, should be improved through a shift in focus from expectancies to drinking motives.

IPH Response to Dept of Justice and Equality Review of the Code of Practice on the Sale and Display of Alcohol in Mixed Trading Premises

IPH responded to the Department of Justice, Equality and Defence review of the voluntary Code of Practice for the display and sale of alcohol in supermarkets, convenience stores and similar mixed trading outlets. The voluntary Code was introduced in 2008 as an alternative to the statutory rules for structural separation of alcohol products in mixed trading outlets which are set out in section 9 of the Intoxicating Liquor Act 2008. Interested bodies and individuals were invited to submit comments on the Compliance Report for 2011 and on the effectiveness of the voluntary approach to structural separation by 20th December 2011. The Minister said he intended to also seek the views of the Minister for Health and the Joint Oireachtas Committee on Justice, Defence and Equality before reaching any decision on whether to bring the statutory rules in the 2008 Act into operation.

Response to the Office of Fair Trading on the Care Home Market (PDF 36 KB)

Response to the Office of Fair Trading on the Care Home Market

Personality factors and alcohol use: a mediator analysis of drinking motives.

Current evidence on the association between personality factors, drinking motives, and alcohol use comes exclusively from North America. The present study, however, is based on a sample of 2090 Swiss college students (mean age 23.5, SD = 2,9) and investigates by means of structural equation modeling whether drinking motives mediate the association between personality factors and alcohol use. The results revealed that extraversion was positively related to drinking for enhancement motives; conscientiousness was negatively related to both enhancement and coping motives; and neuroticism was positively related to drinking for coping motives. The association between extraversion and alcohol use was mediated by enhancement motives, while the negative association between conscientiousness and alcohol use was partially mediated by both enhancement and coping motives. This concurs with the findings of North American studies. However, in contrast to these findings, our study finds that coping motives attenuate the "protective" effect of neuroticism with regard to alcohol use. Taken together, the study indicates that alcohol use serves specific purposes depending on particular personality traits. The finding that personality-related effects are partially mediated by motives increases the likelihood that motive-based preventive efforts will help reduce alcohol use among young adults who display particular personality traits.

Observing workplace incivility towards women: The roles of target reactions, actor motives, and actor-target relationships

The current study conceptualized observer reactions to uncivil behavior towards women as an ethical behavior and examined three factors (target reaction, actor motive, and actor-target relationship) that influence these reactions. Two vignette studies with women and men undergraduate and graduate students in western Switzerland were conducted. Study 1 (N=148) was a written vignette study that assessed how the reaction of female targets to incivility and the motives of actors influenced observer reactions. Results showed that a female target's reaction influenced observers' evaluations of the harm caused by an uncivil incident, and that an actor's motive affected observers' assessments of the necessity to intervene. Study 2 (N=81) was a video vignette study that assessed the effects of the reactions by female targets to incivility and the relationship between the target and the actor on observer reactions.We found that female targets' reactions influenced observers' evaluations of harm and the perceived necessity to intervene. Furthermore, the effect of a female target's reaction on observers' evaluations of harm was moderated by the relationship between the actor and the target: a female target who laughed at the uncivil behavior was perceived as less harmed, when she and the actor had a personal relationship than when they had a professional relationship. When the female target reacted hurt or neutrally, actor-target relationship did not affect observers' evaluations of harm. We conclude by discussing the implications of our findings for theory and practice.

Peer pressure and alcohol use in young men: a mediation analysis of drinking motives.

BACKGROUND: Peer pressure (PP) has been shown to play a major role in the development and continuation of alcohol use and misuse. To date, almost all the studies investigating the association of PP with alcohol use only considered the PP for misconduct but largely ignored other aspects of PP, such as pressure for peer involvement and peer conformity. Moreover, it is not clear whether the association of PP with alcohol use is direct or mediated by other factors. The aim of the present study was to investigate the association of different aspects of peer pressure (PP) with drinking volume (DV) and risky single-occasion drinking (RSOD), and to explore whether these associations were mediated by drinking motives (DM). METHODS: A representative sample of 5521 young Swiss men, aged around 20 years old, completed a questionnaire assessing their usual weekly DV, the frequency of RSOD, DM (i.e. enhancement, social, coping, and conformity motives), and 3 aspects of PP (i.e. misconduct, peer involvement, and peer conformity). Associations between PP and alcohol outcomes (DV and RSOD) as well as the mediation of DM were tested using structural equation models. RESULTS: Peer pressure to misconduct was associated with more alcohol use, whereas peer involvement and peer conformity were associated with less alcohol use. Associations of drinking outcomes with PP to misconduct and peer involvement were partially mediated by enhancement and coping motives, while the association with peer conformity was partially mediated by enhancement and conformity motives. CONCLUSIONS: Results suggest that PP to misconduct constitutes a risk factor, while peer conformity and peer involvement reflect protective factors with regard to alcohol use. Moreover, results from the mediation analyses suggest that part of the association of PP with alcohol use came indirectly through DM: PP was associated with DM, which in turn were associated with alcohol use.

The association between drinking motives and alcohol-related consequences - room for biases and measurement issues?

Aims  To investigate whether the predominant finding of generalized positive associations between self-rated motives for drinking alcohol and negative consequences of drinking alcohol are influenced by (i) using raw scores of motives that may weight inter-individual response behaviours too strongly, and (ii) predictor-criterion contamination by using consequence items where respondents attribute alcohol use as the cause. Design  Cross-sectional study within the European School Survey Project on Alcohol and other Drugs (ESPAD). Setting  School classes. Participants  Students, aged 13-16 (n = 5633). Measurements  Raw, rank and mean-variance standardized scores of the Drinking Motives Questionnaire-Revised (DMQ-R); four consequences: serious problems with friends, sexual intercourse regretted the next day, physical fights and troubles with the police, each itemized with attribution ('because of your alcohol use') and without. Findings  As found previously in the literature, raw scores for all drinking motives had positive associations with negative consequences of drinking, while transformed (rank or Z) scores showed a more specific pattern: external reinforcing motives (social, conformity) had negative and internal reinforcing motives (enhancement, coping) had non-significant or positive associations with negative consequences. Attributed consequences showed stronger associations with motives than non-attributed ones. Conclusion  Standard scoring of the Drinking Motives Questionnaire (Revised) fails to capture motives in a way that permits specific associations with different negative consequences to be identified, whereas use of rank or Z-scores does permit this. Use of attributed consequences overestimates the association with drinking motives.

Study and implementation of some quantitative trading models

Quantitative or algorithmic trading is the automatization of investments decisions obeying a fixed or dynamic sets of rules to determine trading orders. It has increasingly made its way up to 70% of the trading volume of one of the biggest financial markets such as the New York Stock Exchange (NYSE). However, there is not a signi cant amount of academic literature devoted to it due to the private nature of investment banks and hedge funds. This projects aims to review the literature and discuss the models available in a subject that publications are scarce and infrequently. We review the basic and fundamental mathematical concepts needed for modeling financial markets such as: stochastic processes, stochastic integration and basic models for prices and spreads dynamics necessary for building quantitative strategies. We also contrast these models with real market data with minutely sampling frequency from the Dow Jones Industrial Average (DJIA). Quantitative strategies try to exploit two types of behavior: trend following or mean reversion. The former is grouped in the so-called technical models and the later in the so-called pairs trading. Technical models have been discarded by financial theoreticians but we show that they can be properly cast into a well defined scientific predictor if the signal generated by them pass the test of being a Markov time. That is, we can tell if the signal has occurred or not by examining the information up to the current time; or more technically, if the event is F_t-measurable. On the other hand the concept of pairs trading or market neutral strategy is fairly simple. However it can be cast in a variety of mathematical models ranging from a method based on a simple euclidean distance, in a co-integration framework or involving stochastic differential equations such as the well-known Ornstein-Uhlenbeck mean reversal ODE and its variations. A model for forecasting any economic or financial magnitude could be properly defined with scientific rigor but it could also lack of any economical value and be considered useless from a practical point of view. This is why this project could not be complete without a backtesting of the mentioned strategies. Conducting a useful and realistic backtesting is by no means a trivial exercise since the \laws" that govern financial markets are constantly evolving in time. This is the reason because we make emphasis in the calibration process of the strategies' parameters to adapt the given market conditions. We find out that the parameters from technical models are more volatile than their counterpart form market neutral strategies and calibration must be done in a high-frequency sampling manner to constantly track the currently market situation. As a whole, the goal of this project is to provide an overview of a quantitative approach to investment reviewing basic strategies and illustrating them by means of a back-testing with real financial market data. The sources of the data used in this project are Bloomberg for intraday time series and Yahoo! for daily prices. All numeric computations and graphics used and shown in this project were implemented in MATLAB^R scratch from scratch as a part of this thesis. No other mathematical or statistical software was used.