Optimal hedging with higher moments

This study proposes a utility-based framework for the determination of optimal hedge ratios (OHRs) that can allow for the impact of higher moments on hedging decisions. We examine the entire hyperbolic absolute risk aversion family of utilities which include quadratic, logarithmic, power, and exponential utility functions. We find that for both moderate and large spot (commodity) exposures, the performance of out-of-sample hedges constructed allowing for nonzero higher moments is better than the performance of the simpler OLS hedge ratio. The picture is, however, not uniform throughout our seven spot commodities as there is one instance (cotton) for which the modeling of higher moments decreases welfare out-of-sample relative to the simpler OLS. We support our empirical findings by a theoretical analysis of optimal hedging decisions and we uncover a novel link between OHRs and the minimax hedge ratio, that is the ratio which minimizes the largest loss of the hedged position. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark

Fuzzy analysis: a vague way of dealing with uncertainty in real estate analysis?

Risk and uncertainty are, to say the least, poorly considered by most individuals involved in real estate analysis - in both development and investment appraisal. Surveyors continue to express 'uncertainty' about the value (risk) of using relatively objective methods of analysis to account for these factors. These methods attempt to identify the risk elements more explicitly. Conventionally this is done by deriving probability distributions for the uncontrolled variables in the system. A suggested 'new' way of "being able to express our uncertainty or slight vagueness about some of the qualitative judgements and not entirely certain data required in the course of the problem..." uses the application of fuzzy logic. This paper discusses and demonstrates the terminology and methodology of fuzzy analysis. In particular it attempts a comparison of the procedures with those used in 'conventional' risk analysis approaches and critically investigates whether a fuzzy approach offers an alternative to the use of probability based analysis for dealing with aspects of risk and uncertainty in real estate analysis

A new governance perspective on port–hinterland relationships: the Port Hinterland Impact (PHI) matrix

We develop a new governance perspective on port–hinterland linkages and related port impacts. Many stakeholders in a port’s hinterland now demand tangible economic benefits from port activities, as a precondition for supporting port expansion and infrastructural investments. We use a governance lens to assess this farsighted contracting challenge. We find that most contemporary economic impact assessments of port investment projects pay scant attention to the contractual relationship challenges in port-hinterland relationships. In contrast, we focus explicitly on the spatial distribution of such impacts and the related contractual relationship issues facing port authorities or port users and their stakeholders in the port hinterland. We introduce a new concept, the Port Hinterland Impact (PHI) matrix, which focuses explicitly on the spatial distribution of port impacts and related contractual relationship challenges. The PHI matrix offers insight into port impacts using two dimensions: logistics dedicatedness, as an expression of Williamsonian asset specificity in the sphere of logistics contractual relationships, and geographic reach, with a longer reach typically reflecting the need for more complex contacting to overcome ‘distance’ challenges with external stakeholders. We use the PHI matrix in our empirical, governance-based analysis of contractual relationships between the port authorities in Antwerp and Zeebrugge, and their respective stakeholders.

Blending systems thinking approaches for organisational analysis: reviewing child protection in England

This paper concerns the innovative use of a blend of systems thinking ideas in the ‘Munro Review of Child Protection’, a high-profile examination of child protection activities in England, conducted for the Department for Education. We go ‘behind the scenes’ to describe the OR methodologies and processes employed. The circumstances that led to the Review are outlined. Three specific contributions that systems thinking made to the Review are then described. First, the systems-based analysis and visualisation of how a ‘compliance culture’ had grown up. Second the creation of a large, complex systems map of current operations and the effects of past policies on them. Third, how the map gave shape to the range of issues the Review addressed and acted as an organising framework for the systemically coherent set of recommendations made. The paper closes with an outline of the main implementation steps taken so far to create a child protection system with the critically reflective properties of a learning organisation, and methodological reflections on the benefits of systems thinking to support organisational analysis.

PETS 2015: datasets and challenge

This paper presents the two datasets (ARENA and P5) and the challenge that form a part of the PETS 2015 workshop. The datasets consist of scenarios recorded by us- ing multiple visual and thermal sensors. The scenarios in ARENA dataset involve different staged activities around a parked vehicle in a parking lot in UK and those in P5 dataset involve different staged activities around the perimeter of a nuclear power plant in Sweden. The scenarios of each dataset are grouped into ‘Normal’, ‘Warning’ and ‘Alarm’ categories. The Challenge specifically includes tasks that account for different steps in a video understanding system: Low-Level Video Analysis (object detection and tracking), Mid-Level Video Analysis (‘atomic’ event detection) and High-Level Video Analysis (‘complex’ event detection). The evaluation methodology used for the Challenge includes well-established measures.

PETS 2014: dataset and challenge

This paper describes the dataset and vision challenges that form part of the PETS 2014 workshop. The datasets are multisensor sequences containing different activities around a parked vehicle in a parking lot. The dataset scenarios were filmed from multiple cameras mounted on the vehicle itself and involve multiple actors. In PETS2014 workshop, 22 acted scenarios are provided of abnormal behaviour around the parked vehicle. The aim in PETS 2014 is to provide a standard benchmark that indicates how detection, tracking, abnormality and behaviour analysis systems perform against a common database. The dataset specifically addresses several vision challenges corresponding to different steps in a video understanding system: Low-Level Video Analysis (object detection and tracking), Mid-Level Video Analysis (‘simple’ event detection: the behaviour recognition of a single actor) and High-Level Video Analysis (‘complex’ event detection: the behaviour and interaction recognition of several actors).

Gender and the business cycle: an analysis of labour markets in the US and UK

Starting from an improved understanding of the relationship between gender labour market stocks and the business cycle, we analyse the contributing role of flows in the US and UK. Focusing on the post 2008 recession period, the subsequent greater rise in male unemployment can mostly be explained by a less cyclical response of flows between employment and unemployment for women, especially the entry into unemployment. Across gender and country, the inactivity rate is generally not sensitive to the state of the economy. However, a flows based analysis reveals a greater importance of the participation margin over the cycle. Changes in the rates of flow between unemployment and inactivity can each account for around 0.8-1.1 percentage points of the rise in US male and female unemployment rates during the latest downturn. For the UK, although the participation flow to unemployment similarly contributed to the increase of the female unemployment rate, this was not the case for men. The countercyclical flow rate from inactivity to employment was also more significant for women, especially in the US, where it accounted for approximately all of the fall in employment, compared with only 40% for men.

Inconclusive results in conventional serological screening for Chagas` disease in blood banks: evaluation of cellular and humoral response

To find the most reliable screening method for Trypanosoma cruzi infection in blood banks. Epidemiological data, lymphoproliferation assay, parasitological, conventional serological tests: immunofluorescence, haemagglutination, ELISA with epimastigote and trypomastigote antigens and reference serological tests: trypomastigote excreted-secreted antigens (TESA) blot and chemiluminescent ELISA assay with mucine from trypomastigote forms were applied to individuals with inconclusive serology, non-chagasic individuals and chronic chagasic patients. TESA blot had the best performance when used as a single test in all the groups. In the inconclusive group 20.5% of individuals were positive for TESA blot, 23.3% for either lymphoproliferation or TESA blot, and 17.8% for lymphoproliferation only. Positive lymphoproliferation without detectable antibodies was observed in 5.47% of all inconclusive serology cases. Analysis of six parameters (three serological assays, at least one parasitological test, one lymphoproliferation assay and epidemiological data) in the inconclusive group showed that diagnosis of Chagas` disease was probable in 15 patients who were positive by two or more serological tests or for whom three of those six parameters were positive. TESA blot is a good confirmatory test for Chagas` disease in the inconclusive group. Although lymphoproliferation suggests the diagnosis of Chagas` disease in the absence of antibodies when associated with a high epidemiological risk of acquiring Chagas` disease, the data from this study and the characteristics of the lymphoproliferation assay (which is both laborious and time-consuming) do not support its use as a confirmatory test in blood-bank screening. However, our findings underscore the need to develop alternative methods that are not based on antibody detection to improve the diagnosis when serological tests are inconclusive.

Associating biosensing properties with the morphological structure of multilayers containing carbon nanotubes on field-effect devices

The control of molecular architecture provided by the layer-by-layer (LbL) technique has led to enhanced biosensors, in which advantageous features of distinct materials can be combined. Full optimization of biosensing performance, however, is only reached if the film morphology is suitable for the principle of detection of a specific biosensor. In this paper, we report a detailed morphology analysis of LbL films made with alternating layers of single-walled carbon nanotubes (SWNTs) and polyamidoamine (PAMAM) dendrimers, which were then covered with a layer of penicillinase (PEN). An optimized performance to detect penicillin G was obtained with 6-bilayer SWNT/PAMAM LbL films deposited on p-Si-SiO(2)-Ta(2)O(5) chips, used in biosensors based on a capacitive electrolyte-insulator-semiconductor (EIS) and a light-addressable potentiometric sensor (LAPS) structure, respectively. Field-emission scanning electron microscopy (FESEM) and atomic force microscopy (AFM) images indicated that the LbL films were porous, with a large surface area due to interconnection of SWNT into PAMAM layers. This morphology was instrumental for the adsorption of a larger quantity of PEN, with the resulting LbL film being highly stable. The experiments to detect penicillin were performed with constant-capacitance (Con Cap) and constant-current (CC) measurements for EIS and LAPS sensors, respectively, which revealed an enhanced detection signal and sensitivity of ca. 100 mV/decade for the field-effect sensors modified with the PAMAM/SWNT LbL film. It is concluded that controlling film morphology is essential for an enhanced performance of biosensors, not only in terms of sensitivity but also stability and response time. (C) 2010 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim

Improved voice activity detection algorithm using wavelet and support vector machine

This paper proposes an improved voice activity detection (VAD) algorithm using wavelet and support vector machine (SVM) for European Telecommunication Standards Institution (ETS1) adaptive multi-rate (AMR) narrow-band (NB) and wide-band (WB) speech codecs. First, based on the wavelet transform, the original IIR filter bank and pitch/tone detector are implemented, respectively, via the wavelet filter bank and the wavelet-based pitch/tone detection algorithm. The wavelet filter bank can divide input speech signal into several frequency bands so that the signal power level at each sub-band can be calculated. In addition, the background noise level can be estimated in each sub-band by using the wavelet de-noising method. The wavelet filter bank is also derived to detect correlated complex signals like music. Then the proposed algorithm can apply SVM to train an optimized non-linear VAD decision rule involving the sub-band power, noise level, pitch period, tone flag, and complex signals warning flag of input speech signals. By the use of the trained SVM, the proposed VAD algorithm can produce more accurate detection results. Various experimental results carried out from the Aurora speech database with different noise conditions show that the proposed algorithm gives considerable VAD performances superior to the AMR-NB VAD Options 1 and 2, and AMR-WB VAD. (C) 2009 Elsevier Ltd. All rights reserved.

Face Detection and Facial Feature Localization for multi-pose faces and complex backgroundimages

The objective of this thesis work, is to propose an algorithm to detect the faces in a digital image with complex background. A lot of work has already been done in the area of face detection, but drawback of some face detection algorithms is the lack of ability to detect faces with closed eyes and open mouth. Thus facial features form an important basis for detection. The current thesis work focuses on detection of faces based on facial objects. The procedure is composed of three different phases: segmentation phase, filtering phase and localization phase. In segmentation phase, the algorithm utilizes color segmentation to isolate human skin color based on its chrominance properties. In filtering phase, Minkowski addition based object removal (Morphological operations) has been used to remove the non-skin regions. In the last phase, Image Processing and Computer Vision methods have been used to find the existence of facial components in the skin regions.This method is effective on detecting a face region with closed eyes, open mouth and a half profile face. The experiment’s results demonstrated that the detection accuracy is around 85.4% and the detection speed is faster when compared to neural network method and other techniques.

Tro, hopp och kärlek : Berättelser om återhämtning från psykisk ohälsa

Syftet med föreliggande studie var att undersöka vilken betydelse hopp, egenmakt samt stigmatisering kan ha i en återhämtningsprocess från psykisk ohälsa. En kvalitativ metod tillämpades och individuella intervjuer med deltagare ur Högskolan Dalarnas erfarenhetspanel genomfördes. För att analysera empirin tillämpades en kvalitativ innehållsanalys som resulterade i följande teman: att bli accepterad, hoppets förutsättningar samt normaliserande. Resultatet visade att hopp snarare var en produkt av återhämtningen än det var en bidragande faktor. Att bli accepterad främjade egenmakt och skyddade mot stigmatisering. Normaliserande faktorer som medmänsklighet och att se till de friska sidorna främjade egenmakt och bröt vanmakt. Uppsatsens resultat kan betraktas som erfarenhetsbaserad kunskap, vilket är en grundförutsättning för en evidensbaserad socialtjänst där brukarperspektivet betonas.

Alinhamento estratégico entre negócio e tecnologia de informação na perspectiva da teoria Ator-Rede: o caso da internet em um banco brasileiro

Alinhamento Estratégico entre Negócio e Tecnologia de Informação (TI) é um fenômeno complexo, estudado intensivamente há muitos anos. As diversas pesquisas desenvolvidas têm contribuído em grande medida para a evolução do conhecimento sobre o tema. Porém, estudos sinalizam que ainda existem aspectos a explorar e apontam a Teoria Ator-Rede como uma alternativa para abordar o tema Alinhamento. Esta dissertação apresenta a perspectiva teórica da Teoria Ator-Rede; e do ponto de vista empírico, à luz desta perspectiva, estuda o processo pelo qual a utilização da Internet tornou-se uma realidade para um banco brasileiro e evoluiu de 1995 a 2005, neste banco. Também discute os benefícios e contribuições da adoção desta perspectiva teórica no contexto do tema Alinhamento Estratégico entre Negócio e TI. O estudo (1) sinaliza que diversos atores estiveram envolvidos com a incorporação da Internet pelo banco e estão envolvidos com a sua manutenção como uma tecnologia importante para a instituição; várias estratégias foram, e são, adotadas para sustentar esta situação; e (2) sugere que a Teoria Ator-Rede oferece uma visão diferente de ¿alinhamento¿, daquela atribuída ao pensamento tradicional de gestão, e sua perspectiva de análise de fatos representa uma ferramenta para os gestores que buscam o Alinhamento.

A influência da sindicalização dos professores no desempenho escolar dos alunos no Brasil no período de 1995 a 2005

O presente trabalho visa analisar a influência da sindicalização dos professores no desempenho escolar dos alunos das 4ª e 8ª séries do ensino fundamental, bem como do 3º ano do ensino médio no Brasil no período de 1995 a 2005, tendo como referencial teórico a literatura estrangeira desenvolvida sobre este tema, principalmente, nos Estados Unidos, pois os estudos no Brasil sobre os efeitos econômicos da sindicalização dos professores sob esta ótica ainda são incipientes, motivo pelo qual acredita-se que este trabalho vem a contribuir para o campo de pesquisa sobre educação. Para realizar tal análise, serão utilizados os microdados do Sistema Nacional de Avaliação da Educação Básica (SAEB) e das Pesquisas Nacionais por Amostra de Domicílios (PNAD), do período de estudo em tela, em modelos econométricos elaborados teoricamente. As evidências empíricas, resultados das estimações das regressões, as quais serão apresentadas no decorrer desta obra, indicam a existência da relação entre sindicalização dos professores e desempenho escolar do alunos, principalmente, para o desempenho escolar dos alunos do ensino fundamental.

What causes violent crime?

This study uses a new data set of crime ratesfor a large sample of countriesfor the period 1970- 1994, based on information from the United Nations World Crime Surveys, to ana/yze the determinants ofnational homicide and robbery rates. A simple model of the incentives to commit crimes is proposed, which explicit/y considers possible causes of the persistence of crime over time (criminal inertia). Several econometric mode/s are estimated, attempting to capture the . determinonts of crime rates across countries and over time. The empirical mode/s are first run for cross-sections and then applie'd to panel data. The former focus on erplanatory variables that do not change markedly over time, while the panel data techniques consider both the eflect of the business cyc1e (i.e., GDP growth rate) on the crime rate and criminal inertia (accountedfor by the inclusion of the /agged crime rate as an explanatory variable). The panel data techniques a/so consider country-specific eflects, the joint endogeneity of some of the erplanatory variables, and lhe existence of some types of measurement e"ors aJjlicting the crime data. The results showthat increases in income inequality raise crime rates, dete"ence eflects are significant, crime tends to be counter-cyclical, and criminal inertia is significant even after controlling for other potential determinants of homicide and robbery rates.