Cross-correlations between weather variables in Australia

The information on climate variations is essential for the research of many subjects, such as the performance of buildings and agricultural production. However, recorded meteorological data are often incomplete. There may be a limited number of locations recorded, while the number of recorded climatic variables and the time intervals can also be inadequate. Therefore, the hourly data of key weather parameters as required by many building simulation programmes are typically not readily available. To overcome this gap in measured information, several empirical methods and weather data generators have been developed. They generally employ statistical analysis techniques to model the variations of individual climatic variables, while the possible interactions between different weather parameters are largely ignored. Based on a statistical analysis of 10 years historical hourly climatic data over all capital cities in Australia, this paper reports on the finding of strong correlations between several specific weather variables. It is found that there are strong linear correlations between the hourly variations of global solar irradiation (GSI) and dry bulb temperature (DBT), and between the hourly variations of DBT and relative humidity (RH). With an increase in GSI, DBT would generally increase, while the RH tends to decrease. However, no such a clear correlation can be found between the DBT and atmospheric pressure (P), and between the DBT and wind speed. These findings will be useful for the research and practice in building performance simulation.

Financial Markets, Institutions and Money [3rd ed.]

"The financial system is a key influencer of the health and efficiency of an economy. The role of the financial system is to gather money from people and businesses that currently have more money than they need and transfer it to those that can use it for either business or consumer expenditures. This flow of funds through financial markets and institutions in the Australian economy is huge (in the billions of dollars), affecting business profits, the rate of inflation, interest rates and the production of goods and services. In general, the larger the flow of funds and the more efficient the financial system, the greater the economic output and welfare in the economy. It is not possible to have a modern, complex economy such as that in Australia, without an efficient and sound financial system. The global financial crisis (GFC) of late 2007–09 (and the ensuing European debt crisis), where the global financial market was on the brink of collapse with only significant government intervention stopping a catastrophic global failure of the market, illustrated the importance of the financial system. Financial Markets, Institutions and Money 3rd edition introduces students to the financial system, its operations, and participants. The text offers a fresh, succinct analysis of the financial markets and discusses how the many participants in the financial system interrelate. This includes coverage of regulators, regulations and the role of the Reserve Bank of Australia, that ensure the system’s smooth running, which is essential to a modern economy. The text has been significantly revised to take into account changes in the financial world."---publisher website Table of Contents 1. The financial system - an overview 2. The Monetary Authorities 3. The Reserve Bank of Australia and interest rates 4. The level of interest rates 5. Mathematics of finance 6. Bond Prices and interest rate risk 7. The Structure of Interest Rates 8. Money Markets 9. Bond Markets 10. Equity Markets

Environmental information provision, market valuation, and firm incentives: An empirical study of the Japanese PRTR system

The environmental performance of a listed firm could affect its level of investment in pollution prevention and its access to financial markets. Previous studies using Tobin's q that explore market response to environmental performance do not distinguish between the impact of performance on investment and market response, which may mislead conclusions. To overcome this problem, we simultaneously estimate the functions of the intangible asset, the replacement cost, and the toxic chemical risk. We find that the Japanese financial market does not value risk associated with toxic chemical releases. Nevertheless, even without market valuation, firms increase investment to reduce pollution. © 2010 by the Board of Regents of the University of Wisconsin System.

Mathematical Aspects of Financial Markets with Frictions

Frictions are factors that hinder trading of securities in financial markets. Typical frictions include limited market depth, transaction costs, lack of infinite divisibility of securities, and taxes. Conventional models used in mathematical finance often gloss over these issues, which affect almost all financial markets, by arguing that the impact of frictions is negligible and, consequently, the frictionless models are valid approximations. This dissertation consists of three research papers, which are related to the study of the validity of such approximations in two distinct modeling problems. Models of price dynamics that are based on diffusion processes, i.e., continuous strong Markov processes, are widely used in the frictionless scenario. The first paper establishes that diffusion models can indeed be understood as approximations of price dynamics in markets with frictions. This is achieved by introducing an agent-based model of a financial market where finitely many agents trade a financial security, the price of which evolves according to price impacts generated by trades. It is shown that, if the number of agents is large, then under certain assumptions the price process of security, which is a pure-jump process, can be approximated by a one-dimensional diffusion process. In a slightly extended model, in which agents may exhibit herd behavior, the approximating diffusion model turns out to be a stochastic volatility model. Finally, it is shown that when agents' tendency to herd is strong, logarithmic returns in the approximating stochastic volatility model are heavy-tailed. The remaining papers are related to no-arbitrage criteria and superhedging in continuous-time option pricing models under small-transaction-cost asymptotics. Guasoni, Rásonyi, and Schachermayer have recently shown that, in such a setting, any financial security admits no arbitrage opportunities and there exist no feasible superhedging strategies for European call and put options written on it, as long as its price process is continuous and has the so-called conditional full support (CFS) property. Motivated by this result, CFS is established for certain stochastic integrals and a subclass of Brownian semistationary processes in the two papers. As a consequence, a wide range of possibly non-Markovian local and stochastic volatility models have the CFS property.

Foreign Capital and Finland : Central government's first period of reliance on international financial markets, 1862-1938

The main objective of the study is to evaluate the Finnish central government s foreign borrowing between the years 1862 and 1938. Most of this period was characterised by deep capital market integration that bears resemblance to the liberal world financial order at the turn of the millennium. The main aim is to analyse the credit risk associated with the state and its determination by evaluating the world financial market centres perception of Finland. By doing this, the study is also expected to provide an additional dimension to Finland s political and economic history by incorporating into the research the assessments of international capital markets regarding Finland during a period that witnessed profound political and economic changes in Finnish society. The evaluation of the credit risk mainly relies on exchange-rate risk free time series of the state s foreign bonds. They have been collected from quotations in the stock exchanges in Helsinki, Hamburg, Paris and London. In addition, it investigates Finland s exposure to short-term debt and Moody s credit ratings assigned to Finland. The study emphasises the importance of the political risk. It suggests that the hey-day of the state s reliance on foreign capital markets took place during last few decades of the 19th century when Finland enjoyed a wide autonomy in the Russian Empire and prudently managed its economy, highlighted in Finland s adherence to the international gold standard. Political confrontations in Finland and, in particular, in Russia and the turbulence of the world financial system prevented the return of this beneficial position again. Through its issuance of foreign bonds the state was able to import substantial amounts of foreign capital, which was sorely needed to foster economic development in Finland. Moreover, the study argues that the state s presence in the western capital markets not only had economic benefits, but it also increased the international awareness of Finland s distinct and separate status in the Russian Empire and later underlined its position as an independent republic.

Vibrational phase relaxation of O–H stretch in bulk water: Role of large amplitude angular jumps and negative cross-correlations among the forces on the O–H bond

The ultrafast vibrational phase relaxation of O–H stretch in bulk water is investigated in molecular dynamics simulations. The dephasing time (T2) of the O–H stretch in bulk water calculated from the frequency fluctuation time correlation function (Cω(t)) is in the range of 70–80 femtosecond (fs), which is comparable to the characteristic timescale obtained from the vibrational echo peak shift measurements using infrared photon echo [W.P. de Boeij, M.S. Pshenichnikov, D.A. Wiersma, Ann. Rev. Phys. Chem. 49 (1998) 99]. The ultrafast decay of Cω(t) is found to be responsible for the ultrashort T2 in bulk water. Careful analysis reveals the following two interesting reasons for the ultrafast decay of Cω(t). (A) The large amplitude angular jumps of water molecules (within 30–40 fs time duration) provide a large scale contribution to the mean square vibrational frequency fluctuation and gives rise to the rapid spectral diffusion on 100 fs time scale. (B) The projected force, due to all the atoms of the solvent molecules on the oxygen (FO(t)) and hydrogen (FH(t)) atom of the O–H bond exhibit a large negative cross-correlation (NCC). We further find that this NCC is partly responsible for a weak, non-Arrhenius temperature dependence of the dephasing rate.

The channels of monetary policy triggered by central bank actions and statements in the Australian equity market

Owing to the discrete disclosure practices of the Reserve Bank of Australia, this paper provides new evidence on the channels of monetary policy triggered by central bank actions (monetary policy announcements) and statements (explanatory minutes releases), in the Australian equity market. Both monetary policy announcements and explanatory minutes releases are shown to have a significant and comparable impact on the returns and volatility of the Australian equity market. Further, distinct from US and European studies that find strong evidence of the interest rate, bank loan and balance sheet channels and no evidence of the exchange rate channel following central bank actions, this paper finds that monetary policy impacts the Australian equity market via the exchange rate, interest rate and bank loan channels of monetary policy, with only weak evidence of the balance sheet channel of monetary policy. These channels are found to be operating irrespective of the trigger (monetary policy announcements or explanatory minutes releases), though results are somewhat weaker when examining the explanatory minutes releases. These results have important implications for central bank officials and financial market participants alike: by confirming a comparable avenue to affect monetary policy; and providing an explication of its impact on the Australian equity market.

Intraday Linkages across International Equity Markets

Utilizing concurrent 5-minute returns, the intraday dynamics and inter-market dependencies in international equity markets were investigated. A strong intraday cyclical autocorrelation structure in the volatility process was observed to be caused by the diurnal pattern. A major rise in contemporaneous cross correlation among European stock markets was also noticed to follow the opening of the New York Stock Exchange. Furthermore, the results indicated that the returns for UK and Germany responded to each other’s innovations, both in terms of the first and second moment dependencies. In contrast to earlier research, the US stock market did not cause significant volatility spillover to the European markets.

Universality of scaling laws in correlation between velocity and shear stress in turbulent boundary layers

In this study, we analyse simultaneous measurements (at 50 Hz) of velocity at several heights and shear stress at the surface made during the Utah field campaign for the presence of ranges of scales, where distinct scale-to-scale interactions between velocity and shear stress can be identified. We find that our results are similar to those obtained in a previous study [Venugopal et al., 2003] (contrary to the claim in V2003, that the scaling relations might be dependent on Reynolds number) where wind tunnel measurements of velocity and shear stress were analysed. We use a wavelet-based scale-to-scale cross-correlation to detect three ranges of scales of interaction between velocity and shear stress, namely, (a) inertial subrange, where the correlation is negligible; (b) energy production range, where the correlation follows a logarithmic law; and (c) for scales larger than the boundary layer height, the correlation reaches a plateau.

Consumer Expertise or Credit Risk? An empirical analysis of mortgage pricing

Loan mortgage interest rates are usually the result of a bank-customer negotiation process. Credit risk, consumer cross-buying potential, bundling, financial market competition and other features affecting the bargaining power of the parties could affect price. We argue that, since mortgage loan is a complex product, consumer expertise could be a relevant factor for mortgage pricing. Using data on mortgage loan prices for a sample of 1055 households for the year 2005 (Bank of Spain Survey of Household Finances, EFF-2005), and including credit risk, costs, potential capacity of the consumer to generate future business and bank competition variables, the regression results indicate that consumer expertise-related metrics are highly significant as predictors of mortgage loan prices. Other factors such as credit risk and consumer cross-buying potential do not have such a significant impact on mortgage prices. Our empirical results are affected by the credit conditions prior to the financial crisis and could shed some light on this issue.

Ultrafast sum-frequency polarization beats in twin Markovian stochastic correlation

An analytic closed form for the second- order or fourth- order Markovian stochastic correlation of attosecond sum- frequency polarization beat ( ASPB) can be obtained in the extremely Doppler- broadened limit. The homodyne detected ASPB signal is shown to be particularly sensitive to the statistical properties of the Markovian stochastic light. fields with arbitrary bandwidth. The physical explanation for this is that the Gaussian- amplitude. field undergoes stronger intensity. fluctuations than a chaotic. field. On the other hand, the intensity ( amplitude). fluctuations of the Gaussian- amplitude. field or the chaotic. field are always much larger than the pure phase. fluctuations of the phase-diffusion field. The field correlation has weakly influence on the ASPB signal when the laser has narrow bandwidth. In contrast, when the laser has broadband linewidth, the ASPB signal shows resonant- nonresonant cross correlation, and the sensitivities of ASPB signal to three Markovian stochastic models increase as time delay is increased. A Doppler- free precision in the measurement of the energy- level sum can be achieved with an arbitrary bandwidth. The advantage of ASPB is that the ultrafast modulation period 900as can still be improved, because the energy- level interval between ground state and excited state can be widely separated.

Twin Markovian field correlation on four-level attosecond polarization beats

Based on the phase-conjugate polarization interference between two two-photon processes, we obtained an analytic closed form for the second-order or fourth-order Markovian stochastic correlation of the four-level attosecond sum-frequency polarization beat (FASPB) in the extremely Doppler-broadened limit. The homodyne-detected FASPB signal is shown to be particularly sensitive to the statistical properties of the Markovian stochastic light fields with arbitrary bandwidth. The different roles of the amplitude fluctuations and the phase fluctuations can be understood physically in the time-domain picture. The field correlation has a weak influence on the FASPB signal when the laser has narrow bandwidth. In contrast, when the laser has broadband linewidth, the FASPB signal shows resonant-nonresonant cross-correlation, and drastic difference for three Markovian stochastic fields. The maxima of the two two-photon signals are shifted from zero time delay to the opposite direction, and the signal exhibits damping oscillation when the laser frequency is off-resonant from the two-photon transition. A Doppler-free precision in the measurement of the energy-level sum can be achieved with an arbitrary bandwidth. As an attosecond ultrafast modulation process, it can be extended intrinsically to any sum frequency of energy levels.

Two-photon asymmetric color-locking second-order stochastic correlation of attosecond polarization beats

Based on the phase-conjugation polarization interference between two two-photon processes, we theoretically investigated the attosecond scale asymmetry sum-frequency polarization beat in four-level system (FASPB). The field correlation has weak influence on the FASPB signal when the laser has narrow bandwidth. Conversely, when the laser has broadband linewidth, the FASPB signal shows resonance-nonresonance cross correlation. The two-photon signal exhibits hybrid radiation-matter detuning terahertz; damping oscillation, i.e., when the laser frequency is off resonance from the two-photon transition, the signal exhibits damping oscillation and the profile of the two-photon self-correlation signal also exhibits zero time-delay asymmetry of the maxima. We have also investigated the asymmetry of attosecond polarization beat caused by the shift of the two-photon self-correlation zero time-delay phenomenon, in which the maxima of the two two-photon signals are shifted from zero time-delay point to opposite directions. As an attosecond ultrafast modulation process, FASPB can be intrinsically extended to any level-summation systems of two dipolar forbidden excited states.

The performance and persistence of exchange-traded funds: evidence for iShares MSCI country-specific ETFs

The aim of this paper is to investigate the performance and persistence of 20 iShares MSCI country-specific exchange-traded funds (ETFs) in comparison with S&P 500 index over the period July 2001 to June 2006. There are several studies analysing mutual funds performance in past years, but very little is known about ETFs. In our analysis the Sharpe, Treynor and Sortino ratios are used as risk-adjusted performance measures. To evaluate performance persistence and therefore if there is any relationship among past performance and future performance, we apply to the Spearman Rank Correlation Coefficient and the Winner-loser Contingency Table. The main findings are at two levels. First, ETFs can beat the U.S. market index based on risk-adjusted performance measures. Second, there is evidence of ETFs performance persistence based on annual return.

China’s National Security Review: a tit-for-tat response?

China is gradually taking its place as a major regulator, exercising concurrent jurisdiction of the national security review along with the US and EU over high-profile cross-border mergers and acquisitions. The National Security Review (NSR) regulatory regime of foreign acquisitions has attracted significant attention recently with the establishment of China's counterpart to the Committee on Foreign Investment in the United States (CFIUS). Due to the intensified activities of sovereign wealth funds (SWFs) that are closely linked with states, CFIUS's broad discretion to deal with China's SWF-based investment may have a far-reaching impact on China's implementation of the newly enacted NSR regime. It is essential to design a mechanism that allows SWFs to maximise their positive attributes while safeguarding the apolitical integrity of the marketplace. Any disproportionate use of the NSR regime would inevitably bring about more unintended consequences, such as tit-for-tat protectionism. This represents an imminent threat to the tenuous recovery from the recent economic crisis, largely because of the increasingly intertwined and interdependent nature of the global financial markets. It is of utmost significance to evaluate the extent to which the updated legislation strikes a reasonable balance between preserving genuine national security interests and maintaining an open environment for investment.