An alternative approach to investigating lead-lag relationships between stock and stock index futures markets

In the absence of market frictions, the cost-of-carry model of stock index futures pricing predicts that returns on the underlying stock index and the associated stock index futures contract will be perfectly contemporaneously correlated. Evidence suggests, however, that this prediction is violated with clear evidence that the stock index futures market leads the stock market. It is argued that traditional tests, which assume that the underlying data generating process is constant, might be prone to overstate the lead-lag relationship. Using a new test for lead-lag relationships based on cross correlations and cross bicorrelations it is found that, contrary to results from using the traditional methodology, periods where the futures market leads the cash market are few and far between and when any lead-lag relationship is detected, it does not last long. Overall, the results are consistent with the prediction of the standard cost-of-carry model and market efficiency.

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.

Variation in genes related to hepatic lipid metabolism and changes in waist circumference and body weight.

We analysed single nucleotide polymorphisms (SNPs) tagging the genetic variability of six candidate genes (ATF6, FABP1, LPIN2, LPIN3, MLXIPL and MTTP) involved in the regulation of hepatic lipid metabolism, an important regulatory site of energy balance for associations with body mass index (BMI) and changes in weight and waist circumference. We also investigated effect modification by sex and dietary intake. Data of 6,287 individuals participating in the European prospective investigation into cancer and nutrition were included in the analyses. Data on weight and waist circumference were followed up for 6.9 ± 2.5 years. Association of 69 tagSNPs with baseline BMI and annual changes in weight as well as waist circumference were investigated using linear regression analysis. Interactions with sex, GI and intake of carbohydrates, fat as well as saturated, monounsaturated and polyunsaturated fatty acids were examined by including multiplicative SNP-covariate terms into the regression model. Neither baseline BMI nor annual weight or waist circumference changes were significantly associated with variation in the selected genes in the entire study population after correction for multiple testing. One SNP (rs1164) in LPIN2 appeared to be significantly interacting with sex (p = 0.0003) and was associated with greater annual weight gain in men (56.8 ± 23.7 g/year per allele, p = 0.02) than in women (-25.5 ± 19.8 g/year per allele, p = 0.2). With respect to gene-nutrient interaction, we could not detect any significant interactions when accounting for multiple testing. Therefore, out of our six candidate genes, LPIN2 may be considered as a candidate for further studies.

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.

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.

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.

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.

Soil quality assessment based on carbon stratification index in different olive grove management practices in Mediterranean areas

In Mediterranean areas, conventional tillage increases soil organic matter losses, reduces soil quality, and contributes to climate change due to increased CO2 emissions. CO2 sequestration rates in soil may be enhanced by appropriate agricultural soil management and increasing soil organic matter content. This study analyzes the stratification ratio (SR) index of soil organic carbon (SOC), nitrogen (N) and C:N ratio under different management practices in an olive grove (OG) in Mediterranean areas (Andalusia, southern Spain). Management practices considered in this study are conventional tillage (CT) and no tillage (NT). In the first case, CT treatments included addition of alperujo (A) and olive leaves (L). A control plot with no addition of olive mill waste was considered (CP). In the second case, NT treatments included addition of chipped pruned branches (NT1) and chipped pruned branches and weeds (NT2). The SRs of SOC increased with depth for all treatments. The SR of SOC was always higher in NT compared to CT treatments, with the highest SR of SOC observed under NT2. The SR of N increased with depth in all cases, ranging between 0.89 (L-SR1) and 39.11 (L-SR3 and L-SR4).The SR of C:N ratio was characterized by low values, ranging from 0.08 (L-SR3) to 1.58 (NT1-SR2) and generally showing higher values in SR1 and SR2 compared to those obtained in SR3 and SR4. This study has evaluated several limitations to the SR index such as the fact that it is descriptive but does not analyze the behavior of the variable over time. In addition, basing the assessment of soil quality on a single variable could lead to an oversimplification of the assessment. Some of these limitations were experienced in the assessment of L, where SR1 of SOC was the lowest of the studied soils. In this case, the higher content in the second depth interval compared to the first was caused by the intrinsic characteristics of this soil's formation process rather than by degradation. Despite the limitations obtained SRs demonstrate that NT with the addition of organic material improves soil quality.

The atomic structure of low-index surfaces of the intermetallic compound InPd

The intermetallic compound InPd (CsCl type of crystal structure with a broad compositional range) is considered as a candidate catalyst for the steam reforming of methanol. Single crystals of this phase have been grown to study the structure of its three low-index surfaces under ultra-high vacuum conditions, using low energy electron diffraction (LEED), X-ray photoemission spectroscopy (XPS), and scanning tunneling microscopy (STM). During surface preparation, preferential sputtering leads to a depletion of In within the top few layers for all three surfaces. The near-surface regions remain slightly Pd-rich until annealing to ∼580 K. A transition occurs between 580 and 660 K where In segregates towards the surface and the near-surface regions become slightly In-rich above ∼660 K. This transition is accompanied by a sharpening of LEED patterns and formation of flat step-terrace morphology, as observed by STM. Several superstructures have been identified for the different surfaces associated with this process. Annealing to higher temperatures (≥750 K) leads to faceting via thermal etching as shown for the (110) surface, with a bulk In composition close to the In-rich limit of the existence domain of the cubic phase. The Pd-rich InPd(111) is found to be consistent with a Pd-terminated bulk truncation model as shown by dynamical LEED analysis while, after annealing at higher temperature, the In-rich InPd(111) is consistent with an In-terminated bulk truncation, in agreement with density functional theory (DFT) calculations of the relative surface energies. More complex surface structures are observed for the (100) surface. Additionally, individual grains of a polycrystalline sample are characterized by micro-spot XPS and LEED as well as low-energy electron microscopy. Results from both individual grains and “global” measurements are interpreted based on comparison to our single crystals findings, DFT calculations and previous literature.

Specific leaf area and leaf area index in developing stands of Fagus sylvatica L. and Picea abies Karst

European beech (Fagus sylvatica L.) and Norway spruce (Picea abies Karst.) are two of the most ecologically and economically important forest tree species in Europe. These two species co-occur in many locations in Europe, leading to direct competition for canopy space. Foliage characteristics of two naturally regenerated pure stands of beech and spruce with fully closed canopies were contrasted to assess the dynamic relationship between foliage adaptability to shading, stand LAI and tree growth. We found that individual leaf size is far more conservative in spruce than in beech. Individual leaf and needle area was larger at the top than at the bottom of the canopy in both species. Inverse relationship was found for specific leaf area (SLA), highest SLA values were found at lowest light availability under the canopy. There was no difference in leaf area index (LAI) between the two stands, however LAI increased from 10.8 to 14.6 m2m-2 between 2009 and 2011. Dominant trees of both species were more efficient in converting foliage mass or area to produce stem biomass, although this relationship changed with age and was species-specific. Overall, we found larger foliage plasticity in beech than in spruce in relation to light conditions, indicating larger capacity to exploit niche openings.