An Empirical Investigation of Value-at-Risk in Long and Short Trading Positions

This paper uses the Value-at-Risk approach to define the risk in both long and short trading positions. The investigation is done on some major market indices(Japanese, UK, German and US). The performance of models that takes into account skewness and fat-tails are compared to symmetric models in relation to both the specific model for estimating the variance, and the distribution of the variance estimate used as input in the VaR estimation. The results indicate that more flexible models not necessarily perform better in predicting the VaR forecast; the reason for this is most probably the complexity of these models. A general result is that different methods for estimating the variance are needed for different confidence levels of the VaR, and for the different indices. Also, different models are to be used for the left respectively the right tail of the distribution.

Short-Horizon Asymmetric Mean-Reversion and Overreactions: Evidence from the Nordic Stock Markets

This paper examines the asymmetric behavior of conditional mean and variance. Short-horizon mean-reversion behavior in mean is modeled with an asymmetric nonlinear autoregressive model, and the variance is modeled with an Exponential GARCH in Mean model. The results of the empirical investigation of the Nordic stock markets indicates that negative returns revert faster to positive returns when positive returns generally persist longer. Asymmetry in both mean and variance can be seen on all included markets and are fairly similar. Volatility rises following negative returns more than following positive returns which is an indication of overreactions. Negative returns lead to increased variance and positive returns leads even to decreased variance.

Owners' Way or the Highway: Short-term Expectations and Owner Impatience

Increased media exposure to layoffs and corporate quarterly financial reporting have created arguable a common perception – especially favored by the media itself – that the companies have been forced to improve their financial performance from quarter to quarter. Academically the relevant question is whether the companies themselves feel that they are exposed to short-term pressure to perform even if it means that they have to compromise company’s long-term future. This paper studies this issue using results from a survey conducted among the 500 largest companies in Finland. The results show that companies in general feel moderate short-term pressure, with reasonable dispersion across firms. There seems to be a link between the degree of pressure felt, and the firm’s ownership structure, i.e. we find support for the existence of short-term versus long-term owners. We also find significant ownership related differences, in line with expectations, in how such short-term pressure is reflected in actual decision variables such as the investment criteria used.

Inelastic Torsional Response of a Single-Story Framed Structure

In this paper, a single-story, bilinear-hysteretic structure, square in plan and supported on four columns, subjected to two horizontal ground motions is studied. The model is assumed to possess three degrees of freedom, viz., translational displacements along the two horizontal orthogonal directions and a rotation about the vertical axis. Interaction of the bending moments in the two perpendicular directions has been considered.

Effect of insertion of buffer-strip on the response of carbon-epoxy system in short beam tests

dThe work looks at the response to three-point loading of carbon-epoxy (CF-EP) composites with inserted buffer strip (BS) material. Short beam Shear tests were performed to study the load-deflection response as well as fracture features through macroscopy on the CF-EP system containing the interleaved PTFE-coated fabric material. Significant differences were noticed in the response of the CF-EP system to the bending process consequent to the architectural modification. It was inferred that introduction of small amounts of less adherent layers of material at specific locations causes a decrement in the load carrying capability. Further the number and the ease with which interface separation occurs is found to depend on the extent to which the inserted layer is present in either single or multiple layer positions.

Analysis of short interproton distances in proline peptides as a guide in the interpretation of nuclear overhauser effects

The conformational dependence of interproton distances in model proline peptides has been investigated in order to facilitate interpretation of the results of Nuclear Overhauser Effect (NOE) studies on such peptides. For this purpose two model systems, namely, Ac-Pro-NHMe and Ac-Pro-X-NHMe have been chosen and used. In the former, short interproton distances detectable in NOE experiments permit a clear distinction between conformations with Pro ψ = -300 (helical region) and those in which ψ is around 1200 (polyproline region). For the latter, the variation of distances between the protons of methyl amide and the Pro ring have been studied by superimposing on the Ramachandran map in the (φ3, ψ3) plane. The results show that β-turns and non-β-turn conformations can be readily distinguished from NOE data and such long range NOEs should be detectable for specific non-β-turn conformations. NOEs involving Cβ and Cγ protons are particularly sensitive to the state of pyrrolidine ring puckering.

Enantiodiscrimination and extraction of short and long range homo- and hetero-nuclear residual dipolar couplings by a spin selective correlation experiment

A two dimensional correlation experiment for the measurement of short and long range homo- and hetero- nuclear residual dipolar couplings (RDCs) from the broad and featureless proton NMR spectra including C-13 satellites is proposed. The method employs a single natural abundant C-13 spin as a spy nucleus to probe all the coupled protons and permits the determination of RDCs of negligible strengths. The technique has been demonstrated for the study of organic chiral molecules aligned in chiral liquid crystal, where additional challenge is to unravel the overlapped spectrum of enantiomers. The significant advantage of the method is demonstrated in better chiral discrimination using homonuclear RDCs as additional parameters. (C) 2010 Elsevier B.V. All rights reserved.

The short range interactions between two rare gas atoms

The short range interactions in He2, Ne2 and Ar2 have been studied in terms of the electronic forces as functions of their internuclear separations employing their single configuration SCF wave functions. The results show that the constituent molecular orbitals behave differently in terms of the forces they exert on the nuclei during the interaction process. The different behaviour of the orbitals is also reflected in the redistribution of charges.

Taloustilanteen heikkenemisestä johtuvat muutokset asuntosijoittamiseen pääkaupunkiseudulla 2008

Tutkielman tavoitteena on selvittää miten taloustaantuma vaikutti asuntosijoittamisen kiinnostavuuteen ja asuntomarkkinoilla käytävään keskusteluun vuonna 2008. Tuolloin Suomen talous taantui voimakkaasti ja nopeasti yllättäen myös ennusteita laativat asiantuntijat. Ekonomistien lausunnoista puuttui yhdenmukaisuus ja tarkkuus. Ne myös saattoivat muuttua merkittävästi lyhyellä aikavälillä. Taantumassa sijoitusviestintä on varovaista ja tarkasti muotoiltua. Sijoittajat uskovat mielellään muiden sijoittajien mielipiteitä ja käsityksiä vaikkei niiden taustalla olisikaan aina todennettua faktatietoa. Asiantuntijoiden tilastoihin halutaan uskoa vaikka niitä kohtaan koetaan epäilyksiä. Toisaalta asuntosijoittamisen kannattavuuteen ja taloudelliseen tuottoon halutaan uskoa vaikka asiantuntijat voisivat todistaa toisin. Tutkimus toteutettiin kvalitatiivisena tapaustutkimuksena jota analysoitiin Greimasin aktanttimallia mukaillen. Tutkimusaineisto koostui 14 Helsingin Sanomissa julkaistuista asuntosijoittamiseen liittyvistä artikkelista sekä 13 Taloussanomien keskustelupalstalla julkaistusta mielipidekirjoituksesta. Viestien merkityksiä käytiin läpi semioottisesti määrittelemällä eri aktanteille rooleja. Tarinassa sijoittajasubjektin objektina on asunto, jonka avulla pyritään saavuttamaan mahdollisimman suuri rahallinen tuotto. Lähettäjiä ovat muun muassa tilastojen laatijat ja sijoitusneuvojat. Kaikki optimaalisen sijoituspäätöksen tekemiseen vaikuttavat aktantit käydään tarkemmin läpi tutkimuksen loppupuolella.

Processing and fiber content effects on the machinability of compression moulded random direction short GFRP composites

The random direction short Glass Fiber Reinforced Plastics (GFRP) have been prepared by two compression moulding processes, namely the Preform and Sheet Moulding Compound (SMC) processes. Cutting force analysis and surface characterization are conducted on the random direction short GFRPs with varying fiber contents (25 similar to 40%). Edge trimming experiments are preformed using carbide inserts with varing the depth of cut and cutting speed. Machining characteristics of the Preform and SMC processed random direction short GFRPs are evaluated in terms of cutting forces, surface quality, and tool wear. It is found that composite primary processing and fiber contents are major contributing factors influencing the cutting force magnitudes and surface textures. The SMC composites show better surface finish over the Preform composites due to less delamination and fiber pullouts. Moreover, matrix damage and fiber protrusions at the machined edge are reduced by increasing fiber content in the random direction short GFRP composites.

Electrical switching and short-range order in As-Te glasses

The local structural order in chalcogenide network glasses is known to change markedly at two critical compositions, namely, the percolation and chemical thresholds. In the AsxTe100-x glassy system, both the thresholds coincide at the composition x = 40 (40 at. % of arsenic). It is demonstrated that the electrical switching fields of As-Te glasses exhibit a distinct change at this composition.