Detecting intraday periodicities with application to high frequency exchange rates

Many recent papers have documented periodicities in returns, return volatility, bid–ask spreads and trading volume, in both equity and foreign exchange markets. We propose and employ a new test for detecting subtle periodicities in time series data based on a signal coherence function. The technique is applied to a set of seven half-hourly exchange rate series. Overall, we find the signal coherence to be maximal at the 8-h and 12-h frequencies. Retaining only the most coherent frequencies for each series, we implement a trading rule that is based on these observed periodicities. Our results demonstrate in all cases except one that, in gross terms, the rules can generate returns that are considerably greater than those of a buy-and-hold strategy, although they cannot retain their profitability net of transactions costs. We conjecture that this methodology could constitute an important tool for financial market researchers which will enable them to detect, quantify and rank the various periodic components in financial data better.

Rational speculative bubbles: an empirical investigation of the London Stock Exchange

In recent years, a sharp divergence of London Stock Exchange equity prices from dividends has been noted. In this paper, we examine whether this divergence can be explained by reference to the existence of a speculative bubble. Three different empirical methodologies are used: variance bounds tests, bubble specification tests, and cointegration tests based on both ex post and ex ante data. We find that, stock prices diverged significantly from their fundamental values during the late 1990's, and that this divergence has all the characteristics of a bubble.

Prediction of the thermal performance of horizontal-coupled ground source heat exchangers

The thermal performance of a horizontal-coupled ground-source heat pump system has been assessed both experimentally and numerically in a UK climate. A numerical simulation of thermal behaviour of the horizontal-coupled heat exchanger for combinations of different ambient air temperatures, wind speeds, refrigerant temperature and soil thermal properties was studied using a validated 2D transient model. The specific heat extraction by the heat exchanger increased with ambient temperature and soil thermal conductivity, however it decreased with increasing refrigerant temperature. The effect of wind speed was negligible.

Assimilation impacts on Arctic Ocean circulation, heat and freshwater

We investigate the Arctic basin circulation, freshwater content (FWC) and heat budget by using a high-resolution global coupled ice–ocean model implemented with a state-of-the-art data assimilation scheme. We demonstrate that, despite a very sparse dataset, by assimilating hydrographic data in and near the Arctic basin, the initial warm bias and drift in the control run is successfully corrected, reproducing a much more realistic vertical and horizontal structure to the cyclonic boundary current carrying the Atlantic Water (AW) along the Siberian shelves in the reanalysis run. The Beaufort Gyre structure and FWC and variability are also more accurately reproduced. Small but important changes in the strait exchange flows are found which lead to more balanced budgets in the reanalysis run. Assimilation fluxes dominate the basin budgets over the first 10 years (P1: 1987–1996) of the reanalysis for both heat and FWC, after which the drifting Arctic upper water properties have been restored to realistic values. For the later period (P2: 1997–2004), the Arctic heat budget is almost balanced without assimilation contributions, while the freshwater budget shows reduced assimilation contributions compensating largely for surface salinity damping, which was extremely strong in this run. A downward trend in freshwater export at the Canadian Straits and Fram Strait is found in period P2, associated with Beaufort Gyre recharge. A detailed comparison with observations and previous model studies at the individual Arctic straits is also included.

Prediction of processed cheese instrumental texture and meltability by mid-infrared spectroscopy coupled with chemometric tools

The objective of this study was to determine the potential of mid-infrared spectroscopy coupled with multidimensional statistical analysis for the prediction of processed cheese instrumental texture and meltability attributes. Processed cheeses (n = 32) of varying composition were manufactured in a pilot plant. Following two and four weeks storage at 4 degrees C samples were analysed using texture profile analysis, two meltability tests (computer vision, Olson and Price) and mid-infrared spectroscopy (4000-640 cm(-1)). Partial least squares regression was used to develop predictive models for all measured attributes. Five attributes were successfully modelled with varying degrees of accuracy. The computer vision meltability model allowed for discrimination between high and low melt values (R-2 = 0.64). The hardness and springiness models gave approximate quantitative results (R-2 = 0.77) and the cohesiveness (R-2 = 0.81) and Olson and Price meltability (R-2 = 0.88) models gave good prediction results. (c) 2006 Elsevier Ltd. All rights reserved..