Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets?

If stock and stock index futures markets are functioning properly price movements in these markets should best be described by a first order vector error correction model with the error correction term being the price differential between the two markets (the basis). Recent evidence suggests that there are more dynamics present than should be in effectively functioning markets. Using self-exciting threshold autoregressive (SETAR) models, this study analyses whether such dynamics can be related to different regimes within which the basis can fluctuate in a predictable manner without triggering arbitrage. These findings reveal that the basis shows strong evidence of autoregressive behaviour when its value is between the two thresholds but that the extra dynamics disappear once the basis moves above the upper threshold and their persistence is reduced, although not eradicated, once the basis moves below the lower threshold. This suggests that once nonlinearity associated with transactions costs is accounted for, stock and stock index futures markets function more effectively than is suggested by linear models of the pricing relationship.

An analysis of commercial real estate returns: an anatomy of smoothing in asset and index returns

In this article, we investigate the commonly used autoregressive filter method of adjusting appraisal-based real estate returns to correct for the perceived biases induced in the appraisal process. Many articles have been written on appraisal smoothing but remarkably few have considered the relationship between smoothing at the individual property level and the amount of persistence in the aggregate appraisal-based index. To investigate this issue we analyze a large sample of appraisal data at the individual property level from the Investment Property Databank. We find that commonly used unsmoothing estimates at the index level overstate the extent of smoothing that takes place at the individual property level. There is also strong support for an ARFIMA representation of appraisal returns at the index level and an ARMA model at the individual property level.

Modeling building semantics: providing feedback and sustainability

Even minor changes in user activity can bring about significant energy savings within built space. Many building performance assessment methods have been developed, however these often disregard the impact of user behavior (i.e. the social, cultural and organizational aspects of the building). Building users currently have limited means of determining how sustainable they are, in context of the specific building structure and/or when compared to other users performing similar activities, it is therefore easy for users to dismiss their energy use. To support sustainability, buildings must be able to monitor energy use, identify areas of potential change in the context of user activity and provide contextually relevant information to facilitate persuasion management. If the building is able to provide users with detailed information about how specific user activity that is wasteful, this should provide considerable motivation to implement positive change. This paper proposes using a dynamic and temporal semantic model, to populate information within a model of persuasion, to manage user change. By semantically mapping a building, and linking this to persuasion management we suggest that: i) building energy use can be monitored and analyzed over time; ii) persuasive management can be facilitated to move user activity towards sustainability.

A brief index of affective job satisfaction

This article responds to criticisms that affective job satisfaction research suffers serious measurement problems: Noncomparable measures; studies conceptualizing job satisfaction affectively but measuring it cognitively; and ad hoc measures lacking systematic development and validation, especially across populations by nationality, job level, and job type. We address these problems through a series of qualitative (total N = 28) and quantitative (total N = 901) studies to systematically develop and validate a short affective job satisfaction measure ultimately deriving from Brayfield and Rothe’s (1951) job satisfaction index. Unlike any previous job satisfaction measure, the resulting four-item Brief Index of Affective Job Satisfaction is overtly affective, minimally cognitive, and optimally brief. The new measure also differs from any previous job satisfaction measure in being comprehensively validated not just for internal consistency reliability, temporal stability, convergent and criterion-related validities, but also for cross-population invariance by nationality, job level, and job type.

Development of a semantic graph-based scene description

Software representations of scenes, i.e. the modelling of objects in space, are used in many application domains. Current modelling and scene description standards focus on visualisation dimensions, and are intrinsically limited by their dependence upon their semantic interpretation and contextual application by humans. In this paper we propose the need for an open, extensible and semantically rich modelling language, which facilitates a machine-readable semantic structure. We critically review existing standards and techniques, and highlight a need for a semantically focussed scene description language. Based on this defined need we propose a preliminary solution, based on hypergraph theory, and reflect on application domains.

Forecasting annual inflation with seasonal monthly data: using levels versus logs of the underlying price index

This paper investigates whether using natural logarithms (logs) of price indices for forecasting inflation rates is preferable to employing the original series. Univariate forecasts for annual inflation rates for a number of European countries and the USA based on monthly seasonal consumer price indices are considered. Stochastic seasonality and deterministic seasonality models are used. In many cases, the forecasts based on the original variables result in substantially smaller root mean squared errors than models based on logs. In turn, if forecasts based on logs are superior, the gains are typically small. This outcome sheds doubt on the common practice in the academic literature to forecast inflation rates based on differences of logs.

HR-semantics roadmap: the semantic challenges and opportunities in the Human Resources domain

Purpose: This document identifies the challenges and opportunities in applying the ontology technology in the Human Resources domain. Target users: A reference for both the HR and the ontology communities. Also, to be used as a roadmap for the OOA itself, within the HR domain. Background: During the discussion panel at the OOA kick-off workshop, which was attended by more than 50 HR and ontology experts, the need for this roadmap was realized. It was obvious that the current understanding of the problem of semantics in HR is fragmented and only partial solutions exist. People from both the HR and the ontology communities speak different languages, have different understandings, and are not aware of existing solutions.

Investigating orthographic and semantic aspects of word learning in poor comprehenders

This study compared orthographic and semantic aspects of word learning in children who differed in reading comprehension skill. Poor comprehenders and controls matched for age (9-10 years), nonverbal ability and decoding skill were trained to pronounce 20 visually presented nonwords, 10 in a consistent way and 10 in an inconsistent way. They then had an opportunity to infer the meanings of the new words from story context. Orthographic learning was measured in three ways: the number of trials taken to learn to pronounce nonwords correctly, orthographic choice and spelling. Across all measures, consistent items were easier than inconsistent items and poor comprehenders did not differ from control children. Semantic learning was assessed on three occasions, using a nonword-picture matching task. While poor comprehenders showed equivalent semantic learning to controls immediately after exposure to nonword meaning, this knowledge was not well retained over time. Results are discussed in terms of the language and reading skills of poor comprehenders and in relation to current models of reading development.

The role of self-teaching in learning orthographic and semantic aspects of new words

This study explores how children learn the meaning (semantics) and spelling patterns (orthography) of novel words encountered in story context. English-speaking children (N = 88) aged 7 to 8 years read 8 stories and each story contained 1 novel word repeated 4 times. Semantic cues were provided by the story context such that children could infer the meaning of the word (specific context) or the category that the word belonged to (general context). Following story reading, posttests indicated that children showed reliable semantic and orthographic learning. Decoding was the strongest predictor of orthographic learning, indicating that self-teaching via phonological recoding was important for this aspect of word learning. In contrast, oral vocabulary emerged as the strongest predictor of semantic learning.

Large climate-induced changes in ultraviolet index and stratosphere-to-troposphere ozone flux

Now that stratospheric ozone depletion has been controlled by the Montreal Protocol1, interest has turned to the effects of climate change on the ozone layer. Climate models predict an accelerated stratospheric circulation, leading to changes in the spatial distribution of stratospheric ozone and an increased stratosphere-to-troposphere ozone flux. Here we use an atmospheric chemistry climate model to isolate the effects of climate change from those of ozone depletion and recovery on stratosphere-to-troposphere ozone flux and the clear-sky ultraviolet radiation index—a measure of potential human exposure to ultraviolet radiation. We show that under the Intergovernmental Panel on Climate Change moderate emissions scenario, global stratosphere-to- troposphere ozone flux increases by 23% between 1965 and 2095 as a result of climate change. During this time, the clear-sky ultraviolet radiation index decreases by 9% in northern high latitudes — a much larger effect than that of stratospheric ozone recovery — and increases by 4% in the tropics, and by up to 20% in southern high latitudes in late spring and early summer. The latter increase in the ultraviolet index is equivalent to nearly half of that generated by the Antarctic ‘ozone hole’ that was created by anthropogenic halogens. Our results suggest that climate change will alter the tropospheric ozone budget and the ultraviolet index, which would have consequences for tropospheric radiative forcing, air quality and human and ecosystem health.

An assessment of the MODIS collection 5 leaf area index product for a region of mixed coniferous forest

Canopy leaf area index (LAI), defined as the single-sided leaf area per unit ground area, is a quantitative measure of canopy foliar area. LAI is a controlling biophysical property of vegetation function, and quantifying LAI is thus vital for understanding energy, carbon and water fluxes between the land surface and the atmosphere. LAI is routinely available from Earth Observation (EO) instruments such as MODIS. However EO-derived estimates of LAI require validation before they are utilised by the ecosystem modelling community. Previous validation work on the MODIS collection 4 (c4) product suggested considerable error especially in forested biomes, and as a result significant modification of the MODIS LAI algorithm has been made for the most recent collection 5 (c5). As a result of these changes the current MODIS LAI product has not been widely validated. We present a validation of the MODIS c5 LAI product over a 121 km2 area of mixed coniferous forest in Oregon, USA, based on detailed ground measurements which we have upscaled using high resolution EO data. Our analysis suggests that c5 shows a much more realistic temporal LAI dynamic over c4 values for the site we examined. We find improved spatial consistency between the MODIS c5 LAI product and upscaled in situ measurements. However results also suggest that the c5 LAI product underestimates the upper range of upscaled in situ LAI measurements.

Is prospective memory enhanced by cue-action semantic relatedness and enactment at encoding?

Benefits and costs on prospective memory performance, of enactment at encoding and a semantic association between a cue-action word pair, were investigated in two experiments. Findings revealed superior performance for both younger and older adults following enactment, in contrast to verbal encoding, and when cue-action semantic relatedness was high. Although younger adults outperformed older adults, age did not moderate benefits of cue-action relatedness or enactment. Findings from a second experiment revealed that the inclusion of an instruction to perform a prospective memory task led to increments in response latency to items from the ongoing activity in which that task was embedded, relative to latencies when the ongoing task only was performed. However, this task interference ‘cost’ did not differ as a function of either cue-action relatedness or enactment. We argue that the high number of cue-action pairs employed here influenced meta-cognitive consciousness, hence determining attention allocation, in all experimental conditions.