A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets

Assuming that daily spot exchange rates follow a martingale process, we derive the implied time series process for the vector of 30-day forward rate forecast errors from using weekly data. The conditional second moment matrix of this vector is modelled as a multivariate generalized ARCH process. The estimated model is used to test the hypothesis that the risk premium is a linear function of the conditional variances and covariances as suggested by the standard asset pricing theory literature. Little supportt is found for this theory; instead lagged changes in the forward rate appear to be correlated with the 'risk premium.'. © 1990.

A soft robust model for optimization under ambiguity

In this paper, we propose a framework for robust optimization that relaxes the standard notion of robustness by allowing the decision maker to vary the protection level in a smooth way across the uncertainty set. We apply our approach to the problem of maximizing the expected value of a payoff function when the underlying distribution is ambiguous and therefore robustness is relevant. Our primary objective is to develop this framework and relate it to the standard notion of robustness, which deals with only a single guarantee across one uncertainty set. First, we show that our approach connects closely to the theory of convex risk measures. We show that the complexity of this approach is equivalent to that of solving a small number of standard robust problems. We then investigate the conservatism benefits and downside probability guarantees implied by this approach and compare to the standard robust approach. Finally, we illustrate theme thodology on an asset allocation example consisting of historical market data over a 25-year investment horizon and find in every case we explore that relaxing standard robustness with soft robustness yields a seemingly favorable risk-return trade-off: each case results in a higher out-of-sample expected return for a relatively minor degradation of out-of-sample downside performance. © 2010 INFORMS.

Multigrid for American option pricing with stochastic volatility

The paper describes an implicit finite difference approach to the pricing of American options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic transformation of asset prices and adaptive time-stepping.

Numerical solutions of certain nonlinear models in European options on a distributed computing environment

Financial modelling in the area of option pricing involves the understanding of the correlations between asset and movements of buy/sell in order to reduce risk in investment. Such activities depend on financial analysis tools being available to the trader with which he can make rapid and systematic evaluation of buy/sell contracts. In turn, analysis tools rely on fast numerical algorithms for the solution of financial mathematical models. There are many different financial activities apart from shares buy/sell activities. The main aim of this chapter is to discuss a distributed algorithm for the numerical solution of a European option. Both linear and non-linear cases are considered. The algorithm is based on the concept of the Laplace transform and its numerical inverse. The scalability of the algorithm is examined. Numerical tests are used to demonstrate the effectiveness of the algorithm for financial analysis. Time dependent functions for volatility and interest rates are also discussed. Applications of the algorithm to non-linear Black-Scholes equation where the volatility and the interest rate are functions of the option value are included. Some qualitative results of the convergence behaviour of the algorithm is examined. This chapter also examines the various computational issues of the Laplace transformation method in terms of distributed computing. The idea of using a two-level temporal mesh in order to achieve distributed computation along the temporal axis is introduced. Finally, the chapter ends with some conclusions.

Can evidence-based healthy housing interventions be put into practice in the UK's private housing sector?

The UK’s public health agenda has encouraged enhanced housing and health interventions. The private housing sector (privately rented and owner occupied) is the favoured and majority UK tenure, but is it seen as a primarily health promoting environment, or a commercial asset? There has been a growing interest in integrating health and housing policy in recent years. However, housing and public health fall under separate government departments and funding regimes. Partnership working has sought to overcome silo working and encourage evidence-based practice, yet is particularly challenging for interventions in the private housing sector, with an increased emphasis on ‘personal responsibility’ for conditions. Strategic public health frameworks are in place, but barriers remain and there is pressure for organisations to revert to core activities. An accessible, continually updated evidence base specific to private sector housing is recommended, to help estimate health gain arising from interventions to prioritise activities and address inequalities.

Prediction of reinforcement corrosion in concrete and its effects on concrete cracking and strength reduction

Based on extensive research on reinforcing steel corrosion in concrete in the past decades, it is now possible to estimate the effect of the progression of reinforcement corrosion in concrete infrastructure on its structural performance. There are still areas of considerable uncertainty in the models and in the data available, however This paper uses a recently developed model for reinforcement corrosion in concrete to improve the estimation process and to indicate the practical implications. In particular stochastic models are used to estimate the time likely to elapse for each phase of the whole corrosion process: initiation, corrosion-induced concrete cracking, and structural strength reduction. It was found that, for practical flexural structures subject to chloride attacks, corrosion initiation may start quite early in their service life. It was also found that, once the structure is considered to be unserviceable due to corrosion-induced cracking, there is considerable remaining service life before the structure can be considered to have become unsafe. The procedure proposed in the paper has the potential to serve as a rational tool for practitioners, operators, and asset managers to make decisions about the optimal timing of repairs, strengthening, and/or rehabilitation of corrosion-affected concrete infrastructure. Timely intervention has the potential to prolong the service life of infrastructure.

Towards Cloud-Based Knowledge Capturing Based on Natural Language Processing

Paper presented at the Cloud Forward Conference 2015, October 6th-8th, Pisa

Realizing an Applied Gaming Ecosystem: Towards Supporting Service-based Innovation Knowledge Management and Transfer

The EU-based industry for non-leisure games is an emerging business. As such it is still fragmented and needs to achieve critical mass to compete globally. Nevertheless its growth potential is widely recognized. To become competitive the relevant applied gaming communities and SMEs require support by fostering the generation of innovation potential. The European project Realizing an Applied Gaming Ecosystem (RAGE) is aiming at supporting this challenge. RAGE will help by making available an interoperable set of advanced technology assets, tuned to applied gaming, as well as proven practices of using asset-based applied games in various real-world contexts, and finally a centralized access to a wide range of applied gaming software modules, services and related document, media, and educational resources within an online community portal called the RAGE Ecosystem. It is based on an integrational, user-centered approach of Knowledge Management and Innovation Processes in the shape of a service-based implementation.

RAGE Architecture for Reusable Serious Gaming Technology Components

For seizing the potential of serious games, the RAGE project - funded by the Horizon-2020 Programme of the European Commission - will make available an interoperable set of advanced technology components (software assets) that support game studios at serious game development. This paper describes the overall software architecture and design conditions that are needed for the easy integration and reuse of such software assets in existing game platforms. Based on the component-based software engineering paradigm the RAGE architecture takes into account the portability of assets to different operating systems, different programming languages and different game engines. It avoids dependencies on external software frameworks and minimizes code that may hinder integration with game engine code. Furthermore it relies on a limited set of standard software patterns and well-established coding practices. The RAGE architecture has been successfully validated by implementing and testing basic software assets in four major programming languages (C#, C++, Java and Typescript/JavaScript, respectively). A demonstrator implementation of asset integration with an existing game engine was created and validated. The presented RAGE architecture paves the way for large scale development and application of cross-engine reusable software assets for enhancing the quality and diversity of serious gaming.

Macrofauna along the Sudanese Red Sea coast: potential effect of mangrove clearance on community and trophic structure

Mangroves along the Sudanese Red Sea coast are under constant anthropogenic pressure. To better understand the influence of mangrove clearance on the intertidal benthic community, we investigated the composition, biodiversity and standing stock of the macrofauna communities at high-, mid- and low-water levels in three contrasting habitats: a bare sand flat, a cleared mangrove and an intact mangrove. In addition, a community-wide metric approach based on taxon-specific carbon and nitrogen isotope values was used to compare the trophic structure between the three habitats. The habitats differed significantly in terms of macrofaunal standing stock, community composition and trophic structure. The high- and mid-water levels of the intact mangroves showed a distinct macrofaunal community characterized by elevated densities and biomass, largely governed by higher decapod and gastropod abundances. Diversity was similar for cleared and intact mangroves, but much lower for the bare sand flat. Community-wide metrics indicated highest trophic diversity and community niche breadth in the intact mangroves. Differences between the cleared and intact mangroves can be partly attributed to differences in sediment characteristics resulting from mangrove clearance. These results suggest a significant impact of mangrove clearance on the macrofaunal community and trophic structure. This study calls for further investigations and management actions to protect and restore these habitats, and ensure the survival of this ecologically valuable coastal ecosystem.

Power-law behaviour, heterogeneity, and trend chasing

Long-range dependence in volatility is one of the most prominent examples in financial market research involving universal power laws. Its characterization has recently spurred attempts to provide some explanations of the underlying mechanism. This paper contributes to this recent line of research by analyzing a simple market fraction asset pricing model with two types of traders---fundamentalists who trade on the price deviation from estimated fundamental value and trend followers whose conditional mean and variance of the trend are updated through a geometric learning process. Our analysis shows that agent heterogeneity, risk-adjusted trend chasing through the geometric learning process, and the interplay of noisy fundamental and demand processes and the underlying deterministic dynamics can be the source of power-law distributed fluctuations. In particular, the noisy demand plays an important role in the generation of insignificant autocorrelations (ACs) on returns, while the significant decaying AC patterns of the absolute returns and squared returns are more influenced by the noisy fundamental process. A statistical analysis based on Monte Carlo simulations is conducted to characterize the decay rate. Realistic estimates of the power-law decay indices and the (FI)GARCH parameters are presented.

Heterogeneity, convergence, and autocorrelations

This paper is a contribution to the literature on the explanatory power and calibration of heterogeneous asset pricing models. We set out a new stochastic market-fraction asset pricing model of fundamentalists and trend followers under a market maker. Our model explains key features of financial market behaviour such as market dominance, convergence to the fundamental price and under- and over-reaction. We use the dynamics of the underlying deterministic system to characterize these features and statistical properties, including convergence of the limiting distribution and autocorrelation structure. We confirm these properties using Monte Carlo simulations.

Organizational and financial transparency in the website of the foundations: an empirical study for Spain

Transparency in nonprofit sector and foundations, as an element to enhance the confidence of stakeholders in the organization, is a fact shown by several studies in recent decades. Transparency can be considered in various fields and through different channels. In our study we focused on the analysis of the organizational and economic transparency of foundations, shown through the voluntary information on their Website. We review the theoretical previous studies published to put to the foundations within the framework of the social economy. This theoretical framework has focused on accountability that make foundations in relation to its social function and its management, especially since the most recent focus of information transparency across the Website.In this theoretical framework was made an index to quantify the voluntary information which is shown on its website. This index has been developed ad hoc for this study and applied to a group of large corporate foundations.With the application of these data are obtained two kind of results, to a descriptive level and to a inferential level.We analyzed the statistical correlation between economic transparency and organizational transparency offered in the Website through quantified variables by a multiple linear regression. This empirical analysis allows us to draw conclusions about the level of transparency offered by these organizations in relation to their organizational and financial information, as well as explain the relation between them.

From the transformation to the bancarization of the spanishsaving banks: an analysis of the results pursued

This research arises due to the current restructuring process in which is immersed the Spanish banking sector. The above mentioned process is carried out to try to reduce the doubts on the viability of the bank companies to average and long term and to be able to return again the confidence in the sector. Though the economic and financial crisis has concerned the whole banking sector, the subsector of the Spanish savings banks is the one that has experienced a major number of integrations (articulated by means of mergers, absorptions and across Institutional Protection Schemes -IPSs-), and the one that has met submitted to the bancarization process. Considering what has been said, the present paper analyses Spanish saving banks to try to discern whether thanks to that process the objectives pursued by the bank rearrangement have been fulfilled. To do this, the evolution of some important financial variables will be studied over a long period of time (1999-2012). The results suggest that not all the savings banks have seen improved their ratios of efficiency, solvency, financial gap and social work, which indicates that there is still much to be done in order to rectify the problems affecting the studied sector.