Strategic intelligence, Counter-Intelligence and Alliance Diplomacy in Anglo-French relations before the Second World War

Jackson, Peter, and Joe Maiolo, 'Strategic intelligence, Counter-Intelligence and Alliance Diplomacy in Anglo-French relations before the Second World War', Military History (2006) 65(2) pp.417-461 RAE2008

Secret Intelligence, Covert Action and Clandestine Diplomacy

Scott, L. (2004). Secret Intelligence, Covert Action and Clandestine Diplomacy. Intelligence and National Security. 19(2), pp.322-341 RAE2008

International evidence on the payout ratio, earnings, dividends and returns

ap Gwilym, Owain, et al., 'International evidence on the payout ratio, earnings, dividends and returns', Financial Analysts Journal (2006) 62(1) pp.36-53 RAE2008

Diversification efficiency and deposit rates

Rhodes, Mark, 'Diversification efficiency and deposit rates', Applied Financial Economics (2005) 15(13) pp.935-945 RAE2008

Customers' responses to retail brand extensions

Alexander, N.; and Colgate, N. (2005). Customers' responses to retail brand extensions. Journal of Marketing Management. 21(3-4), pp.393-419 RAE2008

The cost of multiple large shareholders

Previous research argues that large non-controlling shareholders enhance firm value because they deter expropriation by the controlling shareholder. We propose that the conflicting incentives faced by large shareholders may induce a nonlinear relationship between the relative size of large shareholdings and firm value. Consistent with this prediction, we present evidence that there are costs of having a second (and third) largest shareholder, especially when the largest shareholdings are similar in size. Our results are robust to various relative size proxies, firm performance measures, model specifications, and potential endogeneity issues.

Modeling Financial Time Series with Artificial Neural Networks

Financial time series convey the decisions and actions of a population of human actors over time. Econometric and regressive models have been developed in the past decades for analyzing these time series. More recently, biologically inspired artificial neural network models have been shown to overcome some of the main challenges of traditional techniques by better exploiting the non-linear, non-stationary, and oscillatory nature of noisy, chaotic human interactions. This review paper explores the options, benefits, and weaknesses of the various forms of artificial neural networks as compared with regression techniques in the field of financial time series analysis.

Towards persistent structural health monitoring through sustainable wireless sensor networks

This paper documents the design, implementation and characterisation of a wireless sensor node (GENESI Node v1.0), applicable to long-term structural health monitoring. Presented is a three layer abstraction of the hardware platform; consisting of a Sensor Layer, a Main Layer and a Power Layer. Extended operational lifetime is one of the primary design goals, necessitating the inclusion of supplemental energy sources, energy awareness, and the implementation of optimal components (microcontroller(s), RF transceiver, etc.) to achieve lowest-possible power consumption, whilst ensuring that the functional requirements of the intended application area are satisfied. A novel Smart Power Unit has been developed; including intelligence, ambient available energy harvesting (EH), storage, electrochemical fuel cell integration, and recharging capability, which acts as the Power Layer for the node. The functional node has been prototyped, demonstrated and characterised in a variety of operational modes. It is demonstrable via simulation that, under normal operating conditions within a structural health monitoring application, the node may operate perpetually.

A smart wireless inertial measurement unit system: simplifying & encouraging usage of WIMU technology

Wireless Inertial Measurement Units (WIMUs) combine motion sensing, processing & communications functionsin a single device. Data gathered using these sensors has the potential to be converted into high quality motion data. By outfitting a subject with multiple WIMUs full motion data can begathered. With a potential cost of ownership several orders of magnitude less than traditional camera based motion capture, WIMU systems have potential to be crucially important in supplementing or replacing traditional motion capture and opening up entirely new application areas and potential markets particularly in the rehabilitative, sports & at-home healthcarespaces. Currently WIMUs are underutilized in these areas. A major barrier to adoption is perceived complexity. Sample rates, sensor types & dynamic sensor ranges may need to be adjusted on multiple axes for each device depending on the scenario. As such we present an advanced WIMU in conjunction with a Smart WIMU system to simplify this aspect with 3 usage modes: Manual, Intelligent and Autonomous. Attendees will be able to compare the 3 different modes and see the effects of good andbad set-ups on the quality of data gathered in real time.

Financial modelling with 2-EPT probability density functions

The class of all Exponential-Polynomial-Trigonometric (EPT) functions is classical and equal to the Euler-d’Alembert class of solutions of linear differential equations with constant coefficients. The class of non-negative EPT functions defined on [0;1) was discussed in Hanzon and Holland (2010) of which EPT probability density functions are an important subclass. EPT functions can be represented as ceAxb, where A is a square matrix, b a column vector and c a row vector where the triple (A; b; c) is the minimal realization of the EPT function. The minimal triple is only unique up to a basis transformation. Here the class of 2-EPT probability density functions on R is defined and shown to be closed under a variety of operations. The class is also generalised to include mixtures with the pointmass at zero. This class coincides with the class of probability density functions with rational characteristic functions. It is illustrated that the Variance Gamma density is a 2-EPT density under a parameter restriction. A discrete 2-EPT process is a process which has stochastically independent 2-EPT random variables as increments. It is shown that the distribution of the minimum and maximum of such a process is an EPT density mixed with a pointmass at zero. The Laplace Transform of these distributions correspond to the discrete time Wiener-Hopf factors of the discrete time 2-EPT process. A distribution of daily log-returns, observed over the period 1931-2011 from a prominent US index, is approximated with a 2-EPT density function. Without the non-negativity condition, it is illustrated how this problem is transformed into a discrete time rational approximation problem. The rational approximation software RARL2 is used to carry out this approximation. The non-negativity constraint is then imposed via a convex optimisation procedure after the unconstrained approximation. Sufficient and necessary conditions are derived to characterise infinitely divisible EPT and 2-EPT functions. Infinitely divisible 2-EPT density functions generate 2-EPT Lévy processes. An assets log returns can be modelled as a 2-EPT Lévy process. Closed form pricing formulae are then derived for European Options with specific times to maturity. Formulae for discretely monitored Lookback Options and 2-Period Bermudan Options are also provided. Certain Greeks, including Delta and Gamma, of these options are also computed analytically. MATLAB scripts are provided for calculations involving 2-EPT functions. Numerical option pricing examples illustrate the effectiveness of the 2-EPT approach to financial modelling.

A study of the Hobson and Rogers volatility model

We firstly examine the model of Hobson and Rogers for the volatility of a financial asset such as a stock or share. The main feature of this model is the specification of volatility in terms of past price returns. The volatility process and the underlying price process share the same source of randomness and so the model is said to be complete. Complete models are advantageous as they allow a unique, preference independent price for options on the underlying price process. One of the main objectives of the model is to reproduce the `smiles' and `skews' seen in the market implied volatilities and this model produces the desired effect. In the first main piece of work we numerically calibrate the model of Hobson and Rogers for comparison with existing literature. We also develop parameter estimation methods based on the calibration of a GARCH model. We examine alternative specifications of the volatility and show an improvement of model fit to market data based on these specifications. We also show how to process market data in order to take account of inter-day movements in the volatility surface. In the second piece of work, we extend the Hobson and Rogers model in a way that better reflects market structure. We extend the model to take into account both first and second order effects. We derive and numerically solve the pde which describes the price of options under this extended model. We show that this extension allows for a better fit to the market data. Finally, we analyse the parameters of this extended model in order to understand intuitively the role of these parameters in the volatility surface.

Towards a situation-awareness-driven design of operational business intelligence & analytics systems

With the swamping and timeliness of data in the organizational context, the decision maker’s choice of an appropriate decision alternative in a given situation is defied. In particular, operational actors are facing the challenge to meet business-critical decisions in a short time and at high frequency. The construct of Situation Awareness (SA) has been established in cognitive psychology as a valid basis for understanding the behavior and decision making of human beings in complex and dynamic systems. SA gives decision makers the possibility to make informed, time-critical decisions and thereby improve the performance of the respective business process. This research paper leverages SA as starting point for a design science project for Operational Business Intelligence and Analytics systems and suggests a first version of design principles.

Policy impacts on Vietnam stock markets: a case of anomalies and disequilibria 2000-2006

Vietnam launched its first-ever stock market, named as Ho Chi Minh City Securities Trading Center (HSTC) on July 20, 2000. This is one of pioneering works on HSTC, which finds empirical evidences for the following: Anomalies of the HSTC stock returns through clusters of limit-hits, limit-hit sequences; Strong herd effect toward extreme positive returns of the market portfolio;The specification of ARMA-GARCH helps capture fairly well issues such as serial correlations and fat-tailed for the stabilized period. By using further information and policy dummy variables, it is justifiable that policy decisions on technicalities of trading can have influential impacts on the move of risk level, through conditional variance behaviors of HSTC stock returns. Policies on trading and disclosure practices have had profound impacts on Vietnam Stock Market (VSM). The over-using of policy tools can harm the market and investing mentality. Price limits become increasingly irrelevant and prevent the market from self-adjusting to equilibrium. These results on VSM have not been reported before in the literature on Vietnam’s financial markets. Given the policy implications, we suggest that the Vietnamese authorities re-think the use of price limit and give more freedom to market participants.

The Vietnam's Transition Economy and Its Fledgling Financial Markets: 1986-2003

In this paper, we analyze the context of Vietnam’s economic standings in the reform period. The first section embarks on most remarkable factors, which promote the development of financial markets are: (i) Doi Moi policies in 1986 unleash ‘productive powers’. Real GDP growth, and key economic indicators improve. The economy truly departs from the old-style command economy; (ii) FDI component is present in the economy as sine qua non; a crucial growth engine, forming part of the financial markets, planting the ‘seeds’ for its growth; and (iii) the private economy is both the result and cause of the reform. Its growth is steady. Today, it represents a powerhouse, and helps form part of the genuine financial economy. A few noteworthy points found in the next section are: (i) No evidence of financial markets existence was found before Doi Moi. The reform has generated a bulk of private-sector financial companies. New developments have roots in the 1992-amended constitution (x3.2); (ii) The need to reform the financial started with the domino collapse of credit cooperatives in early 1990s. More stress is caused by the ‘blow’ of banking deficiency in late 1990s; and (iii) Laws on SBV and credit institutions, and the launch of the stock market are bold steps. Besides, the Asian financial turmoil forces the economy to reaffirm its reform agenda. Our findings also indicate, through empirical evidences, that economic conditions have stabilized throughout the reform, thanks to the contributions of the FDI and private economic sector. Private investment flows continue to be an eminent factor that drives the economy growth.