Predicting stock index volatility: can market volume help?

This paper explores a number of statistical models for predicting the daily stock return volatility of an aggregate of all stocks traded on the NYSE. An application of linear and non-linear Granger causality tests highlights evidence of bidirectional causality, although the relationship is stronger from volatility to volume than the other way around. The out-of-sample forecasting performance of various linear, GARCH, EGARCH, GJR and neural network models of volatility are evaluated and compared. The models are also augmented by the addition of a measure of lagged volume to form more general ex-ante forecasting models. The results indicate that augmenting models of volatility with measures of lagged volume leads only to very modest improvements, if any, in forecasting performance.

Approximation by harmonic polynomials in star-shaped domains and exponential convergence of Trefftz hp-dGFEM

We study the approximation of harmonic functions by means of harmonic polynomials in two-dimensional, bounded, star-shaped domains. Assuming that the functions possess analytic extensions to a delta-neighbourhood of the domain, we prove exponential convergence of the approximation error with respect to the degree of the approximating harmonic polynomial. All the constants appearing in the bounds are explicit and depend only on the shape-regularity of the domain and on delta. We apply the obtained estimates to show exponential convergence with rate O(exp(−b square root N)), N being the number of degrees of freedom and b>0, of a hp-dGFEM discretisation of the Laplace equation based on piecewise harmonic polynomials. This result is an improvement over the classical rate O(exp(−b cubic root N )), and is due to the use of harmonic polynomial spaces, as opposed to complete polynomial spaces.

The Corporate Gini Index (CGI) determinants and advantages: lessons from a multinational retail company case study

This article identifies and compares the determinants of CEO compensation to median employee earnings with those of the Corporate Gini Index (CGI). Using a multinational retail company, the article posits that the CGI is an advantageous corporate alternative pay inequality measure that concerns CEO pay multiples to median employee earnings, which regulators should consider using and disclosing in proxy statements. Although CGI and the official measure of multiples of CEO pay to median employee earnings share some of the challenges, the advantages of CGI as an alternative measure are greater. Our findings suggest that the CGI is a much better measure of corporate income inequality bringing clear benefits at both micro and macro levels of intervention.

Evidence for a second meal cognitive effect: glycaemic responses to high and low glycaemic index evening meals are associated with cognition the following morning

Low glycaemic index (GI) foods consumed at breakfast can enhance memory in comparison to high-GI foods; however, the impact of evening meal GI manipulations on cognition the following morning remains unexplored. Fourteen healthy males consumed a high-GI evening meal or a low-GI evening meal in a counterbalanced order on two separate evenings. Memory and attention were assessed before and after a high-GI breakfast the following morning. The high-GI evening meal elicited significantly higher evening glycaemic responses than the low-GI evening meal. Verbal recall was better the morning following the high-GI evening meal compared to after the low-GI evening meal. In summary, the GI of the evening meal was associated with memory performance the next day, suggesting a second meal cognitive effect. The present findings imply that an overnight fast may not be sufficient to control for previous nutritional consumption.

MODIS-based vegetation index has sufficient sensitivity to indicate stand-level intra-seasonal climatic stress in oak and beech forests

Context: Variation in photosynthetic activity of trees induced by climatic stress can be effectively evaluated using remote sensing data. Although adverse effects of climate on temperate forests have been subjected to increased scrutiny, the suitability of remote sensing imagery for identification of drought stress in such forests has not been explored fully. Aim: To evaluate the sensitivity of MODIS-based vegetation index to heat and drought stress in temperate forests, and explore the differences in stress response of oaks and beech. Methods: We identified 8 oak and 13 beech pure and mature stands, each covering between 4 and 13 MODIS pixels. For each pixel, we extracted a time series of MODIS NDVI from 2000 to 2010. We identified all sequences of continuous unseasonal NDVI decline to be used as the response variable indicative of environmental stress. Neural Networks-based regression modelling was then applied to identify the climatic variables that best explain observed NDVI declines. Results: Tested variables explained 84–97% of the variation in NDVI, whilst air temperature-related climate extremes were found to be the most influential. Beech showed a linear response to the most influential climatic predictors, while oak responded in a unimodal pattern suggesting a better coping mechanism. Conclusions: MODIS NDVI has proved sufficiently sensitive as a stand-level indicator of climatic stress acting upon temperate broadleaf forests, leading to its potential use in predicting drought stress from meteorological observations and improving parameterisation of forest stress indices.

Variation in the use of chemotherapy in lung cancer

Factors influencing the use of chemotherapy for the initial (6 months) treatment of lung cancer in South East England were investigated. The variables explored as possibly influencing the use of chemotherapy were sex, age, the year of diagnosis, the type of lung cancer, the stage, the index of multiple deprivation and the cancer network of residence. Chi2 analysis and multivariate logistic regression models were used to examine the effect of each of the variables on the use of chemotherapy. The results showed a highly significant trend in use of chemotherapy over time; the adjusted proportion of patients receiving chemotherapy increasing from 13.6% in 1994 to 29.3% in 2003. However, age, cancer network and type of lung cancer had the strongest influence on the use of chemotherapy. This finding is important when we consider that the NHS Cancer Plan aims at improving inequalities in cancer care in the UK.

Factors influencing the use of antitumoral chemotherapy in the South East of England

Influences on the use of chemotherapy for the treatment of cancer within the South East region of England for patients diagnosed with colorectal, lung, breast and prostate cancer were investigated. The variables investigated as possibly influencing the selection of chemotherapy were the sex of the patients, their age, the year of diagnosis, the cancer site, the cancer stage, the index of multiple deprivation (IMD) and the cancer network of residence. Logistic regression used to adjust the proportion receiving chemotherapy in relation to other variables considered showed significant differences in the proportion of patients receiving chemotherapy between different cancer sites and different networks. There was also a highly significant trend seen in use of chemotherapy over time; the adjusted proportion of patients receiving chemotherapy increasing from 10.6% in 1993 to 24.3% in 2002. Age, stage and cancer site seemed to have the most influence on the use of chemotherapy.

Global forecasting of thermal health hazards: the skill of probabilistic predictions of the Universal Thermal Climate Index (UTCI)

Although over a hundred thermal indices can be used for assessing thermal health hazards, many ignore the human heat budget, physiology and clothing. The Universal Thermal Climate Index (UTCI) addresses these shortcomings by using an advanced thermo-physiological model. This paper assesses the potential of using the UTCI for forecasting thermal health hazards. Traditionally, such hazard forecasting has had two further limitations: it has been narrowly focused on a particular region or nation and has relied on the use of single ‘deterministic’ forecasts. Here, the UTCI is computed on a global scale,which is essential for international health-hazard warnings and disaster preparedness, and it is provided as a probabilistic forecast. It is shown that probabilistic UTCI forecasts are superior in skill to deterministic forecasts and that despite global variations, the UTCI forecast is skilful for lead times up to 10 days. The paper also demonstrates the utility of probabilistic UTCI forecasts on the example of the 2010 heat wave in Russia.

The impact of liquidity on senior credit index spreads during the subprime crisis

This paper examines the effects of liquidity during the 2007–09 crisis, focussing on the Senior Tranche of the CDX.NA.IG Index and on Moody's AAA Corporate Bond Index. It aims to understand whether the sharp increase in the credit spreads of these AAA-rated credit indices can be explained by worse credit fundamentals alone or whether it also reflects a lack of depth in the relevant markets, the scarcity of risk-capital, and the liquidity preference exhibited by investors. Using cointegration analysis and error correction models, the paper shows that during the crisis lower market and funding liquidity are important drivers of the increase in the credit spread of the AAA-rated structured product, whilst they are less significant in explaining credit spread changes for a portfolio of unstructured credit instruments. Looking at the experience of the subprime crisis, the study shows that when the conditions under which securitisation can work properly (liquidity, transparency and tradability) suddenly disappear, investors are left highly exposed to systemic risk.

Preliminary leaf area index estimates from airborne small footprint full-waveform LiDAR data

This study has compared preliminary estimates of effective leaf area index (LAI) derived from fish-eye lens photographs to those estimated from airborne full-waveform small-footprint LiDAR data for a forest dataset in Australia. The full-waveform data was decomposed and optimized using a trust-region-reflective algorithm to extract denser point clouds. LAI LiDAR estimates were derived in two ways (1) from the probability of discrete pulses reaching the ground without being intercepted (point method) and (2) from raw waveform canopy height profile processing adapted to small-footprint laser altimetry (waveform method) accounting for reflectance ratio between vegetation and ground. The best results, that matched hemispherical photography estimates, were achieved for the waveform method with a study area-adjusted reflectance ratio of 0.4 (RMSE of 0.15 and 0.03 at plot and site level, respectively). The point method generally overestimated, whereas the waveform method with an arbitrary reflectance ratio of 0.5 underestimated the fish-eye lens LAI estimates.

Bit-index sort: a fast non-comparison integer sorting algorithm for permutations

This paper describes a fast integer sorting algorithm, herein referred as Bit-index sort, which is a non-comparison sorting algorithm for partial per-mutations, with linear complexity order in execution time. Bit-index sort uses a bit-array to classify input sequences of distinct integers, and exploits built-in bit functions in C compilers supported by machine hardware to retrieve the ordered output sequence. Results show that Bit-index sort outperforms in execution time to quicksort and counting sort algorithms. A parallel approach for Bit-index sort using two simultaneous threads is included, which obtains speedups up to 1.6.

Plane wave discontinuous Galerkin methods: exponential convergence of the hp-version

We consider the two-dimensional Helmholtz equation with constant coefficients on a domain with piecewise analytic boundary, modelling the scattering of acoustic waves at a sound-soft obstacle. Our discretisation relies on the Trefftz-discontinuous Galerkin approach with plane wave basis functions on meshes with very general element shapes, geometrically graded towards domain corners. We prove exponential convergence of the discrete solution in terms of number of unknowns.

The role of index trading in price formation in the grains and oilseeds markets

We use both Granger-causality and instrumental variables (IV) methods to examine the impact of index fund positions on price returns for the main US grains and oilseed futures markets. Our analysis supports earlier conclusions that Granger-causal impacts are generally not discernible. However, market microstructure theory suggests trading impacts should be instantaneous. IV-based tests for contemporaneous causality provide stronger evidence of price impact. We find even stronger evidence that changes in index positions can help predict future changes in aggregate commodity price indices. This result suggests that changes in index investment are in part driven by information which predicts commodity price changes over the coming months.

A psychometric analysis of reliability and validity of the index of learning styles (ILS)

Prior literature showed that Felder and Silverman learning styles model (FSLSM) was widely adopted to cater to individual styles of learners whether in traditional or Technology Enhanced Learning (TEL). In order to infer this model, the Index of Learning Styles (ILS) instrument was proposed. This research aims to analyse the soundness of this instrument in an Arabic sample. Data were integrated from different courses and years. A total of 259 engineering students participated voluntarily in the study. The reliability was analysed by applying internal construct reliability, inter-scale correlation, and total item correlation. The construct validity was also considered by running factor analysis. The overall results indicated that the reliability and validity of perception and input dimensions were moderately supported, whereas processing and understanding dimensions showed low internal-construct consistency and their items were weakly loaded in the associated constructs. Generally, the instrument needs further effort to improve its soundness. However, considering the consistency of the produced results of engineering students irrespective of cross-cultural differences, it can be adopted to diagnose learning styles.