Serial correlation in the returns of UK capitalization based portfolios

This article examines whether UK portfolio returns are time varying so that expected returns follow an AR(1) process as proposed by Conrad and Kaul for the USA. It explores this hypothesis for four portfolios that have been formed on the basis of market capitalization. The portfolio returns are modelled using a kalman filter signal extraction model in which the unobservable expected return is the state variable and is allowed to evolve as a stationary first order autoregressive process. It finds that this model is a good representation of returns and can account for most of the autocorrelation present in observed portfolio returns. This study concludes that UK portfolio returns are time varying and the nature of the time variation appears to introduce a substantial amount of autocorrelation to portfolio returns. Like Conrad and Kaul if finds a link between the extent to which portfolio returns are time varying and the size of firms within a portfolio but not the monotonic one found for the USA.

Volatility transmission between stock and bond markets

A two-factor no-arbitrage model is used to provide a theoretical link between stock and bond market volatility. While this model suggests that short-term interest rate volatility may, at least in part, drive both stock and bond market volatility, the empirical evidence suggests that past bond market volatility affects both markets and feeds back into short-term yield volatility. The empirical modelling goes on to examine the (time-varying) correlation structure between volatility in the stock and bond markets and finds that the sign of this correlation has reversed over the last 20 years. This has important implications far portfolio selection in financial markets. © 2005 Elsevier B.V. All rights reserved.

Attentional modulation of oscillatory activity in human visual cortex

The effects of attentional modulation on activity within the human visual cortex were investigated using magnetoencephalography. Chromatic sinusoidal stimuli were used to evoke activity from the occipital cortex, with attention directed either toward or away from the stimulus using a bar-orientation judgment task. For five observers, global magnetic field power was plotted as a function of time from stimulus onset. The major peak of each function occurred at about 120 ms latency and was well modeled by a current dipole near the calcarine sulcus. Independent component analysis (ICA) on the non-averaged data for each observer also revealed one component of calcarine origin, the location of which matched that of the dipolar source determined from the averaged data. For two observers, ICA revealed a second component near the parieto-occipital sulcus. Although no effects of attention were evident using standard averaging procedures, time-varying spectral analyses of single trials revealed that the main effect of attention was to alter the level of oscillatory activity. Most notably, a sustained increase in alpha-band (7-12 Hz) activity of both calcarine and parieto-occipital origin was evident. In addition, calcarine activity in the range of 13-21 Hz was enhanced, while calcarine activity in the range of 5-6 Hz was reduced. Our results are consistent with the hypothesis that attentional modulation affects neural processing within the calcarine and parieto-occipital cortex by altering the amplitude of alpha-band activity and other natural brain rhythms. © 2003 Elsevier Inc. All rights reserved.

The perceptual organization of sine-wave speech under competitive conditions

Speech comprises dynamic and heterogeneous acoustic elements, yet it is heard as a single perceptual stream even when accompanied by other sounds. The relative contributions of grouping “primitives” and of speech-specific grouping factors to the perceptual coherence of speech are unclear, and the acoustical correlates of the latter remain unspecified. The parametric manipulations possible with simplified speech signals, such as sine-wave analogues, make them attractive stimuli to explore these issues. Given that the factors governing perceptual organization are generally revealed only where competition operates, the second-formant competitor (F2C) paradigm was used, in which the listener must resist competition to optimize recognition [Remez et al., Psychol. Rev. 101, 129-156 (1994)]. Three-formant (F1+F2+F3) sine-wave analogues were derived from natural sentences and presented dichotically (one ear = F1+F2C+F3; opposite ear = F2). Different versions of F2C were derived from F2 using separate manipulations of its amplitude and frequency contours. F2Cs with time-varying frequency contours were highly effective competitors, regardless of their amplitude characteristics. In contrast, F2Cs with constant frequency contours were completely ineffective. Competitor efficacy was not due to energetic masking of F3 by F2C. These findings indicate that modulation of the frequency, but not the amplitude, contour is critical for across-formant grouping.

Liquidity and portfolio optimisation

This thesis presents research within empirical financial economics with focus on liquidity and portfolio optimisation in the stock market. The discussion on liquidity is focused on measurement issues, including TAQ data processing and measurement of systematic liquidity factors (FSO). Furthermore, a framework for treatment of the two topics in combination is provided. The liquidity part of the thesis gives a conceptual background to liquidity and discusses several different approaches to liquidity measurement. It contributes to liquidity measurement by providing detailed guidelines on the data processing needed for applying TAQ data to liquidity research. The main focus, however, is the derivation of systematic liquidity factors. The principal component approach to systematic liquidity measurement is refined by the introduction of moving and expanding estimation windows, allowing for time-varying liquidity co-variances between stocks. Under several liability specifications, this improves the ability to explain stock liquidity and returns, as compared to static window PCA and market average approximations of systematic liquidity. The highest ability to explain stock returns is obtained when using inventory cost as a liquidity measure and a moving window PCA as the systematic liquidity derivation technique. Systematic factors of this setting also have a strong ability in explaining a cross-sectional liquidity variation. Portfolio optimisation in the FSO framework is tested in two empirical studies. These contribute to the assessment of FSO by expanding the applicability to stock indexes and individual stocks, by considering a wide selection of utility function specifications, and by showing explicitly how the full-scale optimum can be identified using either grid search or the heuristic search algorithm of differential evolution. The studies show that relative to mean-variance portfolios, FSO performs well in these settings and that the computational expense can be mitigated dramatically by application of differential evolution.

The definition, theoretical modelling and empirical research of front-line service employee corporate identity within a UK national grocery retailer:determining the FLE corporate brand identification construct

Over the past forty years the corporate identity literature has developed to a point of maturity where it currently contains many definitions and models of the corporate identity construct at the organisational level. The literature has evolved by developing models of corporate identity or in considering corporate identity in relation to new and developing themes, e.g. corporate social responsibility. It has evolved into a multidisciplinary domain recently incorporating constructs from other literature to further its development. However, the literature has a number of limitations. It remains that an overarching and universally accepted definition of corporate identity is elusive, potentially leaving the construct with a lack of clear definition. Only a few corporate identity definitions and models, at the corporate level, have been empirically tested. The corporate identity construct is overwhelmingly defined and theoretically constructed at the corporate level, leaving the literature without a detailed understanding of its influence at an individual stakeholder level. Front-line service employees (FLEs), form a component in a number of corporate identity models developed at the organisational level. FLEs deliver the services of an organisation to its customers, as well as represent the organisation by communicating and transporting its core defining characteristics to customers through continual customer contact and interaction. This person-to-person contact between an FLE and the customer is termed a service encounter, where service encounters influence a customer’s perception of both the service delivered and the associated level of service quality. Therefore this study for the first time defines, theoretically models and empirically tests corporate identity at the individual FLE level, termed FLE corporate identity. The study uses the services marketing literature to characterise an FLE’s operating environment, arriving at five potential dimensions to the FLE corporate identity construct. These are scrutinised against existing corporate identity definitions and models to arrive at a definition for the construct. In reviewing the corporate identity, services marketing, branding and organisational psychology literature, a theoretical model is developed for FLE corporate identity, which is empirically and quantitatively tested, with FLEs in seven stores of a major national retailer. Following rigorous construct reliability and validity testing, the 601 usable responses are used to estimate a confirmatory factor analysis and structural equation model for the study. The results for the individual hypotheses and the structural model are very encouraging, as they fit the data well and support a definition of FLE corporate identity. This study makes contributions to the branding, services marketing and organisational psychology literature, but its principal contribution is to extend the corporate identity literature into a new area of discourse and research, that of FLE corporate identity

Design and analysis of distributed utility maximization algorithm for multihop wireless network with inaccurate feedback

Distributed network utility maximization (NUM) is receiving increasing interests for cross-layer optimization problems in multihop wireless networks. Traditional distributed NUM algorithms rely heavily on feedback information between different network elements, such as traffic sources and routers. Because of the distinct features of multihop wireless networks such as time-varying channels and dynamic network topology, the feedback information is usually inaccurate, which represents as a major obstacle for distributed NUM application to wireless networks. The questions to be answered include if distributed NUM algorithm can converge with inaccurate feedback and how to design effective distributed NUM algorithm for wireless networks. In this paper, we first use the infinitesimal perturbation analysis technique to provide an unbiased gradient estimation on the aggregate rate of traffic sources at the routers based on locally available information. On the basis of that, we propose a stochastic approximation algorithm to solve the distributed NUM problem with inaccurate feedback. We then prove that the proposed algorithm can converge to the optimum solution of distributed NUM with perfect feedback under certain conditions. The proposed algorithm is applied to the joint rate and media access control problem for wireless networks. Numerical results demonstrate the convergence of the proposed algorithm. © 2013 John Wiley & Sons, Ltd.

Formant-frequency variation and its effects on across-formant grouping in speech perception

How speech is separated perceptually from other speech remains poorly understood. In a series of experiments, perceptual organisation was probed by presenting three-formant (F1+F2+F3) analogues of target sentences dichotically, together with a competitor for F2 (F2C), or for F2+F3, which listeners must reject to optimise recognition. To control for energetic masking, the competitor was always presented in the opposite ear to the corresponding target formant(s). Sine-wave speech was used initially, and different versions of F2C were derived from F2 using separate manipulations of its amplitude and frequency contours. F2Cs with time-varying frequency contours were highly effective competitors, whatever their amplitude characteristics, whereas constant-frequency F2Cs were ineffective. Subsequent studies used synthetic-formant speech to explore the effects of manipulating the rate and depth of formant-frequency change in the competitor. Competitor efficacy was not tuned to the rate of formant-frequency variation in the target sentences; rather, the reduction in intelligibility increased with competitor rate relative to the rate for the target sentences. Therefore, differences in speech rate may not be a useful cue for separating the speech of concurrent talkers. Effects of competitors whose depth of formant-frequency variation was scaled by a range of factors were explored using competitors derived either by inverting the frequency contour of F2 about its geometric mean (plausibly speech-like pattern) or by using a regular and arbitrary frequency contour (triangle wave, not plausibly speech-like) matched to the average rate and depth of variation for the inverted F2C. Competitor efficacy depended on the overall depth of frequency variation, not depth relative to that for the other formants. Furthermore, the triangle-wave competitors were as effective as their more speech-like counterparts. Overall, the results suggest that formant-frequency variation is critical for the across-frequency grouping of formants but that this grouping does not depend on speech-specific constraints.

Adaptive modulation scaling scheme for wireless sensor networks

Limited energy is a big challenge for large scale wireless sensor networks (WSN). Previous research works show that modulation scaling is an efficient technique to reduce energy consumption. However, the impacts of using modulation scaling on packet delivery latency and loss are not considered, which may have adverse effects on the application qualities. In this paper, we study this problem and propose control schemes to minimize energy consumption while ensuring application qualities. We first analyze the relationships of modulation scaling and energy consumption, end-to-end delivery latency and packet loss ratio. With the analytical model, we develop a centralized control scheme to adaptively adjust the modulation levels, in order to minimize energy consumption and ensure the application qualities. To improve the scalability of the centralized control scheme, we also propose a distributed control scheme. In this scheme, the sink will send the differences between the required and measured application qualities to the sensors. The sensors will update their modulation levels with the local information and feedback from the sink. Experimental results show the effectiveness of energy saving and QoS guarantee of the control schemes. The control schemes can adapt efficiently to the time-varying requirements on application qualities. Copyright © 2005 The Institute of Electronics, Information and Communication Engineers.

Serial correlation in the returns of UK capitalization based portfolios

This article examines whether UK portfolio returns are time varying so that expected returns follow an AR(1) process as proposed by Conrad and Kaul for the USA. It explores this hypothesis for four portfolios that have been formed on the basis of market capitalization. The portfolio returns are modelled using a kalman filter signal extraction model in which the unobservable expected return is the state variable and is allowed to evolve as a stationary first order autoregressive process. It finds that this model is a good representation of returns and can account for most of the autocorrelation present in observed portfolio returns. This study concludes that UK portfolio returns are time varying and the nature of the time variation appears to introduce a substantial amount of autocorrelation to portfolio returns. Like Conrad and Kaul if finds a link between the extent to which portfolio returns are time varying and the size of firms within a portfolio but not the monotonic one found for the USA. © 2004 Taylor and Francis Ltd.

Design and analysis of distributed utility maximization algorithm for multihop wireless network with inaccurate feedback

Distributed network utility maximization (NUM) is receiving increasing interests for cross-layer optimization problems in multihop wireless networks. Traditional distributed NUM algorithms rely heavily on feedback information between different network elements, such as traffic sources and routers. Because of the distinct features of multihop wireless networks such as time-varying channels and dynamic network topology, the feedback information is usually inaccurate, which represents as a major obstacle for distributed NUM application to wireless networks. The questions to be answered include if distributed NUM algorithm can converge with inaccurate feedback and how to design effective distributed NUM algorithm for wireless networks. In this paper, we first use the infinitesimal perturbation analysis technique to provide an unbiased gradient estimation on the aggregate rate of traffic sources at the routers based on locally available information. On the basis of that, we propose a stochastic approximation algorithm to solve the distributed NUM problem with inaccurate feedback. We then prove that the proposed algorithm can converge to the optimum solution of distributed NUM with perfect feedback under certain conditions. The proposed algorithm is applied to the joint rate and media access control problem for wireless networks. Numerical results demonstrate the convergence of the proposed algorithm. © 2013 John Wiley & Sons, Ltd.

Formant-frequency variation and its effects on across-formant grouping in speech perception

How speech is separated perceptually from other speech remains poorly understood. In a series of experiments, perceptual organisation was probed by presenting three-formant (F1+F2+F3) analogues of target sentences dichotically, together with a competitor for F2 (F2C), or for F2+F3, which listeners must reject to optimise recognition. To control for energetic masking, the competitor was always presented in the opposite ear to the corresponding target formant(s). Sine-wave speech was used initially, and different versions of F2C were derived from F2 using separate manipulations of its amplitude and frequency contours. F2Cs with time-varying frequency contours were highly effective competitors, whatever their amplitude characteristics, whereas constant-frequency F2Cs were ineffective. Subsequent studies used synthetic-formant speech to explore the effects of manipulating the rate and depth of formant-frequency change in the competitor. Competitor efficacy was not tuned to the rate of formant-frequency variation in the target sentences; rather, the reduction in intelligibility increased with competitor rate relative to the rate for the target sentences. Therefore, differences in speech rate may not be a useful cue for separating the speech of concurrent talkers. Effects of competitors whose depth of formant-frequency variation was scaled by a range of factors were explored using competitors derived either by inverting the frequency contour of F2 about its geometric mean (plausibly speech-like pattern) or by using a regular and arbitrary frequency contour (triangle wave, not plausibly speech-like) matched to the average rate and depth of variation for the inverted F2C. Competitor efficacy depended on the overall depth of frequency variation, not depth relative to that for the other formants. Furthermore, the triangle-wave competitors were as effective as their more speech-like counterparts. Overall, the results suggest that formant-frequency variation is critical for the across-frequency grouping of formants but that this grouping does not depend on speech-specific constraints. © Springer Science+Business Media New York 2013.

Pricing-to-market and the volatility of UK export prices

This empirical study examines the Pricing-To-Market (PTM) behaviour of 20 UK export sectors. Using both Exponential General Autoregressive Conditional Heteroscedasticity (EGARCH) and Threshold GARCH (TGARCH) estimation methods, we find evidence of PTM that is accompanied by strong conditional volatility and weak asymmetry effects. The PTM estimates suggest that when the currency of exporters appreciates in the current period, exporters pass-on between 31% and 94% of the Foreign Exchange (FX) rate increase to importers. However, both export price changes and producers' prices are sluggish, perhaps being driven by coordination failure and menu driven costs, amongst others. Furthermore, export prices contain strong time varying effects which impact on PTM strategy. Exporters do not typically appear to put much more weight on negative news of (say) an FX rate appreciation compared to positive news of an FX rate depreciation. Much depends on the export sector. © 2010 Taylor & Francis.

Variational mean-field algorithm for efficient inference in large systems of stochastic differential equations

This work introduces a Gaussian variational mean-field approximation for inference in dynamical systems which can be modeled by ordinary stochastic differential equations. This new approach allows one to express the variational free energy as a functional of the marginal moments of the approximating Gaussian process. A restriction of the moment equations to piecewise polynomial functions, over time, dramatically reduces the complexity of approximate inference for stochastic differential equation models and makes it comparable to that of discrete time hidden Markov models. The algorithm is demonstrated on state and parameter estimation for nonlinear problems with up to 1000 dimensional state vectors and compares the results empirically with various well-known inference methodologies.

Informational masking of monaural target speech by a single contralateral formant

Recent research suggests that the ability of an extraneous formant to impair intelligibility depends on the variation of its frequency contour. This idea was explored using a method that ensures interference cannot occur through energetic masking. Three-formant (F1+F2+F3) analogues of natural sentences were synthesized using a monotonous periodic source. Target formants were presented monaurally, with the target ear assigned randomly on each trial. A competitor for F2 (F2C) was presented contralaterally; listeners must reject F2C to optimize recognition. In experiment 1, F2Cs with various frequency and amplitude contours were used. F2Cs with time-varying frequency contours were effective competitors; constant-frequency F2Cs had far less impact. To a lesser extent, amplitude contour also influenced competitor impact; this effect was additive. In experiment 2, F2Cs were created by inverting the F2 frequency contour about its geometric mean and varying its depth of variation over a range from constant to twice the original (0%-200%). The impact on intelligibility was least for constant F2Cs and increased up to ∼100% depth, but little thereafter. The effect of an extraneous formant depends primarily on its frequency contour; interference increases as the depth of variation is increased until the range exceeds that typical for F2 in natural speech.