An examination of the complementary volume–volatility information theories

The volume–volatility relationship during the dissemination stages of information flow is examined by analyzing various theories relating volume and volatility as complementary rather than competing models. The mixture of distributions hypothesis, sequential arrival of information hypothesis, the dispersion of beliefs hypothesis, and the noise trader hypothesis all add to the understanding of how volume and volatility interact for different types of futures traders. An integrated picture of the volume–volatility relationship is provided by investigating the dynamic linear and nonlinear associations between volatility and the volume of informed (institutional) and uninformed (the general public) traders. In particular, the trading behavior explanation for the persistence of futures volatility, the effect of the timing of private information arrival, and the response of institutional traders to excess noise trading risk is examined

A simplified pricing model for volatility futures

We develop a general model to price VIX futures contracts. The model is adapted to test both the constant elasticity of variance (CEV) and the Cox–Ingersoll–Ross formulations, with and without jumps. Empirical tests on VIX futures prices provide out-of-sample estimates within 2% of the actual futures price for almost all futures maturities. We show that although jumps are present in the data, the models with jumps do not typically outperform the others; in particular, we demonstrate the important benefits of the CEV feature in pricing futures contracts. We conclude by examining errors in the model relative to the VIX characteristics

Persistence of volatility in futures markets

This article examines the characteristics of key measures of volatility for different types of futures contracts to provide a better foundation for modeling volatility behavior and derivative values. Particular attention is focused on analyzing how different measures of volatility affect volatility persistence relationships. Intraday realized measures of volatility are found to be more persistent than daily measures, the type of GARCH procedure used for conditional volatility analysis is critical, and realized volatility persistence is not coherent with conditional volatility persistence. Specifically, although there is a good fit between the realized and conditional volatilities, no coherence exists between their degrees of persistence, a counterintuitive finding that shows realized and conditional volatility measures are not a substitute for one another

Time of emergence of climate signals

The time at which the signal of climate change emerges from the noise of natural climate variability (Time of Emergence, ToE) is a key variable for climate predictions and risk assessments. Here we present a methodology for estimating ToE for individual climate models, and use it to make maps of ToE for surface air temperature (SAT) based on the CMIP3 global climate models. Consistent with previous studies we show that the median ToE occurs several decades sooner in low latitudes, particularly in boreal summer, than in mid-latitudes. We also show that the median ToE in the Arctic occurs sooner in boreal winter than in boreal summer. A key new aspect of our study is that we quantify the uncertainty in ToE that arises not only from inter-model differences in the magnitude of the climate change signal, but also from large differences in the simulation of natural climate variability. The uncertainty in ToE is at least 30 years in the regions examined, and as much as 60 years in some regions. Alternative emissions scenarios lead to changes in both the median ToE (by a decade or more) and its uncertainty. The SRES B1 scenario is associated with a very large uncertainty in ToE in some regions. Our findings have important implications for climate modelling and climate policy which we discuss.

Asparagus: a horticultural ballet

Asparagus: A Horticultural Ballet was a live performance and film narrating the rise of capital in the medium of asparagus. The project stemmed from an obscure reference to an art piece of the same name by Waw Pierogi of the band xex. However, the its re-enactment had little to do with the original exploration of the growth and branching patterns of the asparagus plant. Instead, a rigid choreography inspired by Oskar Schlemmer's Triadic Ballet and based on Karl Marx's Capital dictated the movements of six performers in asparagus costumes. Bringing together the organic and the geometric, the ballet investigated the transition from the Fordist assembly line to immaterial labour through a reanimation of modernist abstraction. Being itself the story of abstraction, Capital shows how human relationships are replaced by those between commodities in the joyless grind of endless accumulation. This process results in the transcendent mythical figure of capital, which frames, transfigures and even produces the natural world. Asparagus: A Horticultural Ballet was produced in collaboration with Montreal based band Les Georges Leningrad and commissioned by The Showroom Gallery, London. It was presented live at Conway Hall in London on 6.3.07 and at the Montreal Biennale at SAT on 12.5.07. The performance was accompanied by a film at the Showroom gallery and preceded by a production residency at the Pump House Gallery. The film has subsequently been shown at The Golden Thread Gallery, Bluecoat Liverpool and as part of A-Lot-Ment in Portsmouth. Props from Asparagus: A Horticultural Ballet, were included in The Eagle Document at the Stephen Lawrence Gallery, London.

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

Protease-activated receptor 2, dipeptidyl peptidase I, and proteases mediate Clostridium difficile toxin A enteritis

BACKGROUND & AIMS: We studied the role of protease-activated receptor 2 (PAR(2)) and its activating enzymes, trypsins and tryptase, in Clostridium difficile toxin A (TxA)-induced enteritis. METHODS: We injected TxA into ileal loops in PAR(2) or dipeptidyl peptidase I (DPPI) knockout mice or in wild-type mice pretreated with tryptase inhibitors (FUT-175 or MPI-0442352) or soybean trypsin inhibitor. We examined the effect of TxA on expression and activity of PAR(2) and trypsin IV messenger RNA in the ileum and cultured colonocytes. We injected activating peptide (AP), trypsins, tryptase, and p23 in wild-type mice, some pretreated with the neurokinin 1 receptor antagonist SR140333. RESULTS: TxA increased fluid secretion, myeloperoxidase activity in fluid and tissue, and histologic damage. PAR(2) deletion decreased TxA-induced ileitis, reduced luminal fluid secretion by 20%, decreased tissue and fluid myeloperoxidase by 50%, and diminished epithelial damage, edema, and neutrophil infiltration. DPPI deletion reduced secretion by 20% and fluid myeloperoxidase by 55%. In wild-type mice, FUT-175 or MPI-0442352 inhibited secretion by 24%-28% and tissue and fluid myeloperoxidase by 31%-71%. Soybean trypsin inhibitor reduced secretion to background levels and tissue myeloperoxidase by up to 50%. TxA increased expression of PAR(2) and trypsin IV in enterocytes and colonocytes and caused a 2-fold increase in Ca(2+) responses to PAR(2) AP. AP, tryptase, and trypsin isozymes (trypsin I/II, trypsin IV, p23) caused ileitis. SR140333 prevented AP-induced ileitis. CONCLUSIONS: PAR(2) and its activators are proinflammatory in TxA-induced enteritis. TxA stimulates existing PAR(2) and up-regulates PAR(2) and activating proteases, and PAR(2) causes inflammation by neurogenic mechanisms.

Introduction: some notes on the generative study of L3 acquisition.

This article serves as a state-of the-science review of the blossoming field of generative third language (L3) acquisition as well as an introduction to this special issue on the same topic. We present and argue for the relevance of adult L3/Ln acquisition for many perennial questions that have sat at the core of linguistic approaches to adult language acquisition since the Principles and Parameters framework was first adopted into second language acquisition (SLA; e.g. Flynn, 1985, 1987; Liceras, 1985; White, 1985a, 1985b; Schwartz, 1986). Furthermore, we highlight the unique, specific questions that have emerged from studying L3/Ln from a generative perspective thus far while suggesting refinements to these questions and additional ones that should emerge in future inquiry.

The cross-currency hedging performance of implied versus statistical forecasting models

This article examines the ability of several models to generate optimal hedge ratios. Statistical models employed include univariate and multivariate generalized autoregressive conditionally heteroscedastic (GARCH) models, and exponentially weighted and simple moving averages. The variances of the hedged portfolios derived using these hedge ratios are compared with those based on market expectations implied by the prices of traded options. One-month and three-month hedging horizons are considered for four currency pairs. Overall, it has been found that an exponentially weighted moving-average model leads to lower portfolio variances than any of the GARCH-based, implied or time-invariant approaches.

An investigation into the impact of using various techniques to estimate Arctic surface air temperature anomalies

Time series of global and regional mean Surface Air Temperature (SAT) anomalies are a common metric used to estimate recent climate change. Various techniques can be used to create these time series from meteorological station data. The degree of difference arising from using five different techniques, based on existing temperature anomaly dataset techniques, to estimate Arctic SAT anomalies over land and sea ice were investigated using reanalysis data as a testbed. Techniques which interpolated anomalies were found to result in smaller errors than non-interpolating techniques relative to the reanalysis reference. Kriging techniques provided the smallest errors in estimates of Arctic anomalies and Simple Kriging was often the best kriging method in this study, especially over sea ice. A linear interpolation technique had, on average, Root Mean Square Errors (RMSEs) up to 0.55 K larger than the two kriging techniques tested. Non-interpolating techniques provided the least representative anomaly estimates. Nonetheless, they serve as useful checks for confirming whether estimates from interpolating techniques are reasonable. The interaction of meteorological station coverage with estimation techniques between 1850 and 2011 was simulated using an ensemble dataset comprising repeated individual years (1979-2011). All techniques were found to have larger RMSEs for earlier station coverages. This supports calls for increased data sharing and data rescue, especially in sparsely observed regions such as the Arctic.

Oppida, agglomerations and suburbia: the bibracte environs and new perspectives on late Iron Age urbanism in central-eastern France

This paper explores the nature and chronology of La Tène and early Roman unenclosed agglomerations in central-eastern France. It has been prompted by the discovery of a c. 115 ha La Tène D2b/Augustan (c. 50 bc to ad 15) site close to Bibracte in the Morvan, located around the source of the River Yonne. This complex provides a new perspective on the chronology and role of Late La Tène and early Roman unenclosed settlements, adding further complexity to the story of the development of Late La Tène oppida. It indicates that these ‘agglomerations’ followed remarkably varied chronological trajectories, raising important issues concerning the nature of landscape and social change at the end of the Iron Age. Dieser Aufsatz untersucht den Charakter und die Datierung von latènezeitlichen und frührömischen offenen Siedlungen im östlichen Zentralfrankreich. Die Anregung dazu erfolgte durch die Entdeckung einer Latène D2b-zeitlichen bis augusteischen (ca. 50 v. Chr. – 15 n. Chr.) Anlage im Morvan bei Bibracte, die ca. 115 ha Fläche bedeckt und sich um die Quellen des Flusses Yonne erstreckt. Es wird vorgeschlagen, dass dieser Siedlungskomplex eine Ergänzung, aber auch einen Kontrast zu den üblichen Interpretationsmodellen von spätlatènezeitlichen und frührömischen, offenen Großsiedlungen und ihrer zeitlichen Entwicklung darstellt, und weiter zur Komplexität der Entwicklung spätlatènezeitlicher Oppida beiträgt. Es deutet sich an, dass einige der ‘Agglomerationen’ anderen Entwicklungslinien folgen, die wichtige Fragen zur Landschaftsgenese und zum sozialen Wandel am Ende der Eisenzeit aufwerfen. Cet article a pour but d'explorer la nature ainsi que la chronologie des agglomérations ouvertes apparaissant à La Tène Final et au début de la période gallo-romaine du Centre-Est de la France. Il fut inspiré et écrit suite à la découverte dans le Morvan d'un site de 115 ha datant de La Tène D2b et de la période Augustéenne (50 av. J.C. à 15 ap. J.C.) s'étirant autour des Sources de l'Yonne. Cette agglomération apporte de nouvelles perspectives sur la chronologie et sur le rôle des habitats ouverts à la fin de l'Âge du Fer ainsi qu'au début de l'époque gallo-romaine apportant des éléments amenés à renforcer le caractère complexe de l'histoire du développement des oppida à La Tène Final. Cette synthèse tend à démontrer que ces agglomérations suivaient des trajectoires chronologiques variées, élevant un certain nombre de questions, et donc des nouvelles problématiques, concernant la nature du paysage et du changement social à la fin de l'Âge du Fer.

Booms and busts in commodity markets: bubbles or fundamentals?

This paper considers whether there were periodically collapsing rational speculative bubbles in commodity prices over a 40-year period from the late 1960s. We apply a switching regression approach to a broad range of commodities using two different measures of fundamental values—estimated from convenience yields and from a set of macroeconomic factors believed to affect commodity demand. We find reliable evidence for bubbles only among crude oil and feeder cattle, showing the popular belief that the extreme price movements observed in commodity markets were caused by pure speculation to be unsustainable

Representing the Arctic in global surface temperature time series of recent climate change

The Arctic is an important region in the study of climate change, but monitoring surface temperatures in this region is challenging, particularly in areas covered by sea ice. Here in situ, satellite and reanalysis data were utilised to investigate whether global warming over recent decades could be better estimated by changing the way the Arctic is treated in calculating global mean temperature. The degree of difference arising from using five different techniques, based on existing temperature anomaly dataset techniques, to estimate Arctic SAT anomalies over land and sea ice were investigated using reanalysis data as a testbed. Techniques which interpolated anomalies were found to result in smaller errors than non-interpolating techniques. Kriging techniques provided the smallest errors in anomaly estimates. Similar accuracies were found for anomalies estimated from in situ meteorological station SAT records using a kriging technique. Whether additional data sources, which are not currently utilised in temperature anomaly datasets, would improve estimates of Arctic surface air temperature anomalies was investigated within the reanalysis testbed and using in situ data. For the reanalysis study, the additional input anomalies were reanalysis data sampled at certain supplementary data source locations over Arctic land and sea ice areas. For the in situ data study, the additional input anomalies over sea ice were surface temperature anomalies derived from the Advanced Very High Resolution Radiometer satellite instruments. The use of additional data sources, particularly those located in the Arctic Ocean over sea ice or on islands in sparsely observed regions, can lead to substantial improvements in the accuracy of estimated anomalies. Decreases in Root Mean Square Error can be up to 0.2K for Arctic-average anomalies and more than 1K for spatially resolved anomalies. Further improvements in accuracy may be accomplished through the use of other data sources.

Do jumps matter for volatility forecasting? Evidence from energy markets

This paper characterizes the dynamics of jumps and analyzes their importance for volatility forecasting. Using high-frequency data on four prominent energy markets, we perform a model-free decomposition of realized variance into its continuous and discontinuous components. We find strong evidence of jumps in energy markets between 2007 and 2012. We then investigate the importance of jumps for volatility forecasting. To this end, we estimate and analyze the predictive ability of several Heterogenous Autoregressive (HAR) models that explicitly capture the dynamics of jumps. Conducting extensive in-sample and out-of-sample analyses, we establish that explicitly modeling jumps does not significantly improve forecast accuracy. Our results are broadly consistent across our four energy markets, forecasting horizons, and loss functions