Forecasting errors, directional accuracy and profitability of currency trading: The case of EUR/USD exchange rate

We provide a comprehensive study of out-of-sample forecasts for the EUR/USD exchange rate based on multivariate macroeconomic models and forecast combinations. We use profit maximization measures based on directional accuracy and trading strategies in addition to standard loss minimization measures. When comparing predictive accuracy and profit measures, data snooping bias free tests are used. The results indicate that forecast combinations, in particular those based on principal components of forecasts, help to improve over benchmark trading strategies, although the excess return per unit of deviation is limited.

Sino-African State Trading in Services: Added-Value through Angola-Model loaning, GATS commitments or FTAs?

Paper presented by Charlotte Sieber-Gasser at the 5th Annual TRAPCA Conference, Arusha (Tanzania), 25-26 November 2010. Despite the increasing volume of trade between China and African countries, not one single conventional free trade agreement (FTA) or economic partnership agreement (EPA) has yet been signed between an African country and China. Initially, Sino-African trade relations were to a very large extent centred on investments secured through bilateral investment agreements (BITs). The more recent Chinese investments on the African continent, however, are more informally based on FDI contracts with the state at the receiving end and a government-owned private company as the investor, or loosely attached to loans commonly known under term ‘the Angola-Model’. This rather unusual basis for economic integration and development assistance, outside the trodden path of free trade agreements and ODA, requires further analysis in order to understand how the current legal framework between China and the African continent impacts economic development and national sovereignty, and what kind of distributive consequences it may have.

Information content of directors' trading around acquisitions

This paper investigates the patterns of directors' trades and returns around takeover announcements. We find that the pre-announcement net value (the difference between buy value and sell value) of directors' trading is positively related to acquirers' announcement period abnormal returns. This relation is stronger for private target acquisitions and for stock-financed acquisitions, when the information asymmetry between directors and outside investors is more pronounced. However, this relation does not hold for better governed and highly monitored acquirers. Our findings indicate opportunistic trading by directors prior to takeovers and highlight a significant role that corporate governance mechanism plays in restraining these opportunistic behaviors.

Informed options trading prior to takeovers - Does the regulatory environment matter?

We investigate the prevalence of informed options trading prior to takeover announcements, when the legal prohibition against insider trading is strictest. Although insider trading laws apply equally to the options and stock markets, the options market is considerably more transparent than the equity market, which makes insider trading in options more easily detectable. We find that privately informed investors trade in the options market prior to takeover announcements; however, their transactions are limited to liquid call options and options with high inherent leverage. Furthermore, we find that prior to takeover announcements, informed investors trade on their private information in the options market only when a SEC investigation of insider trading is unlikely to occur. Our results suggest that even prior to takeover announcements informed investors are attracted to the options market, which increases profit making potential due the greater leverage it affords, although they trade in a way which minimizes the likelihood of detection.

The effect of sliding speed on the wear of steel-tool steel pairs

This study examines the effect of sliding speed and surface temperature on the wear behavior of an unlubricated mild steel-tool steel contact pair using the pin-on-disc test. The operating conditions and contact pair are of interest to the automotive sheet metal stamping industry and the broader metal forming community, where high contact pressures and moderate forming speeds can result in significant frictional heating and thus affect tool life. It will be shown that, while adhesive wear is dominant at the tool steel surface for all sliding speeds examined, the adhesive wear rate is very sensitive to sliding speed during slow speed conditions but relatively insensitive to sliding speed during higher speed conditions. These higher sliding speeds result in high frictional heating, however, the effect of increasing bulk temperature results in a transition from adhesive wear to material removal-dominated mechanisms. It is concluded that there is a distinct difference in the wear response for comparable surface temperature and bulk temperature conditions, at the low to moderate sliding speeds and temperatures examined in this study. The SEM and profilometry analysis show that the technique of increasing sliding speed to replicate bulk temperature conditions (or vice versa), may not result in equivalent wear rates and mechanisms.

Arrangement of gene pairs, retrotransposon insertions, and regulation of gene expression in plants

Plant genomes are extremely complex. Myriad factors contribute to their evolution and organization, as well as to the expression and regulation of individual genes. Here we present investigations into several such factors and their influence on genome structure and gene expression: the arrangement of pairs of physically adjacent genes, retrotransposons closely associated with genes, and the effect of retrotransposons on gene pair evolution. All sequenced plant genomes contain a significant fraction of retrotransposons, including that of rice. We investigated the effects of retrotransposons within rice genes and within a 1 kb putative promoter region upstream of each gene. We found that approximately one-sixth of all rice genes are closely associated with retrotransposons. Insertions within a gene’s promoter region tend to block gene expression, while retrotransposons within genes promote the existence of alternative splicing forms. We also identified several other trends in retrotransposon insertion and its effects on gene expression. Several studies have previously noted a connection among genes between physical proximity and correlated expression profiles. To determine the degree to which this correlation depends on an exact physical arrangement, we studied the expression and interspecies conservation of convergent and divergent gene pairs in rice, Arabidopsis, and Populus trichocarpa. Correlated expression among gene pairs was quite common in all three species, yet conserved arrangement was rare. However, conservation of gene pair arrangement was significantly more common among pairs with strongly correlated expression levels. In order to uncover additional properties of gene pair conservation and rearrangement, we performed a comparative analysis of convergent, divergent, and tandem gene pairs in rice, sorghum, maize, and Brachypodium. We noted considerable differences between gene pair types and species. We also constructed a putative evolutionary history for each pair, which led to several interesting discoveries. To further elucidate the causes of gene pair conservation and rearrangement, we identified retrotransposon insertions in and near rice gene pairs. Retrotransposon-associated pairs are less likely to be conserved, although there are significant differences in the possible effect of different types and locations of retrotransposon insertions. The three types of gene pair also varied in their susceptibility to retrotransposon-associated evolutionary changes.

Essays on Emissions Trading Markets

This dissertation is a collection of three economics essays on different aspects of carbon emission trading markets. The first essay analyzes the dynamic optimal emission control strategies of two nations. With a potential to become the largest buyer under the Kyoto Protocol, the US is assumed to be a monopsony, whereas with a large number of tradable permits on hand Russia is assumed to be a monopoly. Optimal costs of emission control programs are estimated for both the countries under four different market scenarios: non-cooperative no trade, US monopsony, Russia monopoly, and cooperative trading. The US monopsony scenario is found to be the most Pareto cost efficient. The Pareto efficient outcome, however, would require the US to make side payments to Russia, which will even out the differences in the cost savings from cooperative behavior. The second essay analyzes the price dynamics of the Chicago Climate Exchange (CCX), a voluntary emissions trading market. By examining the volatility in market returns using AR-GARCH and Markov switching models, the study associates the market price fluctuations with two different political regimes of the US government. Further, the study also identifies a high volatility in the returns few months before the market collapse. Three possible regulatory and market-based forces are identified as probable causes of market volatility and its ultimate collapse. Organizers of other voluntary markets in the US and worldwide may closely watch for these regime switching forces in order to overcome emission market crashes. The third essay compares excess skewness and kurtosis in carbon prices between CCX and EU ETS (European Union Emission Trading Scheme) Phase I and II markets, by examining the tail behavior when market expectations exceed the threshold level. Dynamic extreme value theory is used to find out the mean price exceedence of the threshold levels and estimate the risk loss. The calculated risk measures suggest that CCX and EU ETS Phase I are extremely immature markets for a risk investor, whereas EU ETS Phase II is a more stable market that could develop as a mature carbon market in future years.

Regionalism as trading blocks, a comparative analysis of the legal structure of the EC and NAFTA within the context of the WTO

Geography has almost become obsolete. The world’s goods and services can now be accessed instantaneously by electronic commerce. Small and medium sized countries have felt the cold winds of change blowing, and have adopted the “safety in numbers” philosophy. Regional organisations throughout the world have sprung up, with their original raison d'être the encouragement and development of regional trading blocks. Two of the most developed regional groupings are the EU/EC and NAFTA. These two organisations represent two quite different philosophies of regional trade groupings, with contrasting legal structures. The advent of Trade Globalisation, with the founding of the WTO has brought these two approaches into confrontation, as each side of the Atlantic Ocean tries to influence the development on the naissant WTO. This paper examines the two contrasting legal structures, and the conflict on an inter regional level that they are engendering.

Is momentum trading profitable from Shari'ah compliant stocks?

This research offers fresh evidence supporting the pervasiveness of the momentum effect. Two decades after the momentum profitability firstly documented by Jegadeesh and Titman (1993), yet little research has been specifically devised for the momentum profitability on Shari'ah compliant stocks. We assess the momentum profitability over the Shari'ah compliant stocks in a Malaysian setting. We find evidence of strong return persistence as far as toward four-year holding period. Interestingly, no significant momentum returns are found among the conventional stocks. Upon further exploration we find neither an industry-driven momentum effect nor the small size firms can account for the momentum returns. Using return persistency formation criteria, we further find that underreaction seems to well fit in explaining this unique long lasting momentum profitability.

Continuité des traits psychopathiques et contribution de la qualité des relations parents-enfant, enseignant-enfant et pairs-enfant à la modification de ces traits chez des enfants présentant un trouble des conduites

Ce mémoire de recherche investigue la continuité des traits psychopathiques chez les enfants de même que la contribution de la qualité des relations avec les parents, l’enseignant et les pairs à la variabilité de ces traits. La présente étude porte sur 281 enfants (48 % de filles) âgés de 6 à 9 ans avec un trouble des conduites. Trois dimensions de traits psychopathiques ont été évaluées chez les enfants (narcissisme, impulsivité, insensibilité), en plus d’un construit global. Ces traits ont été mesurés avec l’APSD par un parent et un enseignant à l’entrée dans l’étude (temps 0 ou T0) puis à une année d’intervalle sur une période de 4 ans (T1 à T4). Ces évaluateurs ont également évalué la qualité de leur relation avec l’enfant ainsi que celle avec les pairs (T0). Les résultats montrent que la stabilité différentielle des traits sur l’intervalle de quatre années va de faible à modérée pour chaque dimension. Cependant, l’analyse de la stabilité des niveaux moyens indique que c’est entre le T0 et le T2 que la variabilité des traits est la plus significative, la stabilité étant plus importante entre le T2 et le T4. Enfin, l’étude démontre qu’aucune des variables relationnelles ne contribue significativement à la variabilité des traits quatre ans plus tard et ce, pour chacune des dimensions ainsi que pour le construit global. stabilité, traits psychopathiques, traits antisociaux, trouble des conduites, enfants, relation avec le parent, relation avec l’enseignant, relation avec les pairs

Short-Term Trading for a Wind-PV Power Producer in an Electricity Market

This paper deals with the problem of coordinated trading of wind and photovoltaic systems in order to find the optimal bid to submit in a pool-based electricity market. The coordination of wind and photovoltaic systems presents uncertainties not only due to electricity market prices, but also with wind and photovoltaic power forecast. Electricity markets are characterized by financial penalties in case of deficit or excess of generation. So, the aim o this work is to reduce these financial penalties and maximize the expected profit of the power producer. The problem is formulated as a stochastic linear programming problem. The proposed approach is validated with real data of pool-based electricity market of Iberian Peninsula.

Early Modern Trading Networks in Europe. Cooperation and the case of Simon Ruiz.

In the early modern period, trade became a truly global phenomenon. The logistics, financial and organizational complexity associated with it increased in order to connect distant geographies and merchants from different backgrounds. How did these merchants prevent their partners from dishonesty in a time where formal institutions and legislation did not traverse these different worlds? This book studies the mechanisms and criteria of cooperation in early modern trading networks. It uses an interdisciplinary approach, through the case study of a Castilian long-distance merchant of the sixteenth century, Simon Ruiz, who traded within the limits of the Portuguese and Spanish overseas empires. Early Modern Trading Networks in Europe discusses the importance of reciprocity mechanisms, trust and reputation in the context of early modern business relations, using network analysis methodology, combining quantitative data with qualitative information. It considers how cooperation and prevention could simultaneously create a business relationship, and describes the mechanisms of control, policing and punishment used to avoid opportunism and deception among a group of business partners. Using bills of exchange and correspondence from Simon Ruiz’s private archive, it charts the evolution of this business network through time, debating which criteria should be included or excluded from business networks, as well as the emergence of standards. This book intends to put forward a new approach to early modern trade which focuses on individuals interacting in self-organized structures, rather than on states or empires. It shows how indirect reciprocity was much more frequent than direct reciprocity among early modern merchants and how informal norms, like ostracism or signaling, helped to prevent defection and deception in an effective way.

Influence of host plant structure and microclimate on the abundance and behaviour of Tephritid fly

Microclimate and host plant architecture significantly influence the abundance and behavior of insects. However, most research in this field has focused at the invertebrate assemblage level, with few studies at the single-species level. Using wild Solanum mauritianum plants, we evaluated the influence of plant structure (number of leaves and branches and height of plant) and microclimate (temperature, relative humidity, and light intensity) on the abundance and behavior of a single insect species, the monophagous tephritid fly Bactrocera cacuminata (Hering). Abundance and oviposition behavior were signficantly influenced by the host structure (density of foliage) and associated microclimate. Resting behavior of both sexes was influenced positively by foliage density, while temperature positively influenced the numbers of resting females. The number of ovipositing females was positively influenced by temperature and negatively by relative humidity. Feeding behavior was rare on the host plant, as was mating. The relatively low explanatory power of the measured variables suggests that, in addition to host plant architecture and associated microclimate, other cues (e.g., olfactory or visual) could affect visitation and use of the larval host plant by adult fruit flies. For 12 plants observed at dusk (the time of fly mating), mating pairs were observed on only one tree. Principal component analyses of the plant and microclimate factors associated with these plants revealed that the plant on which mating was observed had specific characteristics (intermediate light intensity, greater height, and greater quantity of fruit) that may have influenced its selection as a mating site.

In step

In Step was a wearable artwork consisting of a pair of embroidered foot bandages and an actuator ‘cushion’ embedded with 15 electromechanical actuator pistons. The bandage was embedded with woven, soft and flexible fabric sensors - interconnected with metallic connecting threads, fasteners and a wireless interface (in a final form). When wrapped around a foot and lower leg the sensors sat on the ball of the toes and heel. This ‘wearable interface’ was then connected wirelessly to a soft sculptural form, which employed actuators to tap gently in response to the qualities of the walk detected by the soft sensors. In this way the ‘tread qualities’ of the walker could then be felt by someone else holding this device against their stomach – thereby allowing pairs of participants to ‘feel’ the tactile qualities of the other's walk. The work was presented both as a working object and via a short videorecorded performance.----- In Step generated innovative new approaches to interface and sensor embedded clothing/footware whilst also creating an evocative vehicle to comment upon contemporary Post Colonial theories of weight and groundedness – particularly the psycho-geographical ‘separation’ from the landscape that inspired Paul Carter’s “environmentally grounded poetics”. The work’s final form also suggested critical new directions for responsive clothing and footwear for the emerging genre of smart textiles.

The function of property in creating an effective legal regime for trade in environmental offsets

Market-based environmental regulation is becoming increasingly common within international and national frameworks. Environmental offset and trading regimes are part of the market-based instrument revolution. This paper proposes that environmental market mechanisms could be used to introduce an ethic of land holder responsibility. In order for market based regimes to attract sufficient levels of stakeholder engagement, participants within such scheme require an incentive to participate and furthermore need to feel a sense of security about investing in such processes. A sense of security is often associated with property based interests. This paper explores the property related issues connected with environmental offset and trading scheme initiatives. Relevant property-related considerations include land tenure considerations, public versus private management of land choices, characteristics and powers associated with property interests, theories defining property and the recognition of legal proprietal interests. The Biodiversity Banking Scheme in New South Wales is then examined as a case study followed by a critique on the role of environmental markets.