Time series analysis for minority game simulations of financial markets

The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model employing tools from statistics, dynamical systems theory and stochastic processes. Using benchmark systems and a financial index for comparison, several conclusions are obtained about the generating mechanism for this kind of evolution. The motion is deterministic, driven by occasional random external perturbation. When the interval between two successive perturbations is sufficiently large, one can find low dimensional chaos in this regime. However, the full motion of the MG model is found to be similar to that of the first differences of the SP500 index: stochastic, nonlinear and (unit root) stationary. (C) 2002 Elsevier B.V. B.V. All rights reserved.

Effect of pre-flaring and file size on the accuracy of two electronic apex locators

Objective: This ex vivo study evaluated the effect of pre-flaring and file size on the accuracy of the Root ZX and Novapex electronic apex locators (EALs). Material and methods: The actual working length (WL) was set 1 mm short of the apical foramen in the palatal root canals of 24 extracted maxillary molars. The teeth were embedded in an alginate mold, and two examiners performed the electronic measurements using #10, #15, and #20 K-files. The files were inserted into the root canals until the "0.0" or "APEX" signals were observed on the LED or display screens for the Novapex and Root ZX, respectively, retracting to the 1.0 mark. The measurements were repeated after the pre-flaring using the S1 and SX Pro-Taper instruments. Two measurements were performed for each condition and the means were used. Intra-class correlation coefficients (ICCs) were calculated to verify the intra-and inter-examiner agreement. The mean differences between the WL and electronic length values were analyzed by the three-way ANOVA test (p<0.05). Results: ICCs were high (>0.8) and the results demonstrated a similar accuracy for both EALs (p>0.05). Statistically significant accurate measurements were verified in the pre-flared canals, except for the Novapex using a #20 K-file. Conclusions: The tested EALs showed acceptable accuracy, whereas the pre-flaring procedure revealed a more significant effect than the used file size.

Frobenius polynomials for Calabi-Yau equations

Sei $\pi:X\rightarrow S$ eine \&quot;uber $\Z$ definierte Familie von Calabi-Yau Varietaten der Dimension drei. Es existiere ein unter dem Gauss-Manin Zusammenhang invarianter Untermodul $M\subset H^3_{DR}(X/S)$ von Rang vier, sodass der Picard-Fuchs Operator $P$ auf $M$ ein sogenannter {\em Calabi-Yau } Operator von Ordnung vier ist. Sei $k$ ein endlicher K\&quot;orper der Charaktetristik $p$, und sei $\pi_0:X_0\rightarrow S_0$ die Reduktion von $\pi$ \uber $k$. F\ur die gew\ohnlichen (ordinary) Fasern $X_{t_0}$ der Familie leiten wir eine explizite Formel zur Berechnung des charakteristischen Polynoms des Frobeniusendomorphismus, des {\em Frobeniuspolynoms}, auf dem korrespondierenden Untermodul $M_{cris}\subset H^3_{cris}(X_{t_0})$ her. Sei nun $f_0(z)$ die Potenzreihenl\osung der Differentialgleichung $Pf=0$ in einer Umgebung der Null. Da eine reziproke Nullstelle des Frobeniuspolynoms in einem Teichm\uller-Punkt $t$ durch $f_0(z)/f_0(z^p)|_{z=t}$ gegeben ist, ist ein entscheidender Schritt in der Berechnung des Frobeniuspolynoms die Konstruktion einer $p-$adischen analytischen Fortsetzung des Quotienten $f_0(z)/f_0(z^p)$ auf den Rand des $p-$adischen Einheitskreises. Kann man die Koeffizienten von $f_0$ mithilfe der konstanten Terme in den Potenzen eines Laurent-Polynoms, dessen Newton-Polyeder den Ursprung als einzigen inneren Gitterpunkt enth\alt, ausdr\ucken,so beweisen wir gewisse Kongruenz-Eigenschaften unter den Koeffizienten von $f_0$. Diese sind entscheidend bei der Konstruktion der analytischen Fortsetzung. Enth\alt die Faser $X_{t_0}$ einen gew\ohnlichen Doppelpunkt, so erwarten wir im Grenz\ubergang, dass das Frobeniuspolynom in zwei Faktoren von Grad eins und einen Faktor von Grad zwei zerf\allt. Der Faktor von Grad zwei ist dabei durch einen Koeffizienten $a_p$ eindeutig bestimmt. Durchl\auft nun $p$ die Menge aller Primzahlen, so erwarten wir aufgrund des Modularit\atssatzes, dass es eine Modulform von Gewicht vier gibt, deren Koeffizienten durch die Koeffizienten $a_p$ gegeben sind. Diese Erwartung hat sich durch unsere umfangreichen Rechnungen best\atigt. Dar\uberhinaus leiten wir weitere Formeln zur Bestimmung des Frobeniuspolynoms her, in welchen auch die nicht-holomorphen L\osungen der Gleichung $Pf=0$ in einer Umgebung der Null eine Rolle spielen.

Modeling the spatial dynamics of economic models

The advances that have been characterizing spatial econometrics in recent years are mostly theoretical and have not found an extensive empirical application yet. In this work we aim at supplying a review of the main tools of spatial econometrics and to show an empirical application for one of the most recently introduced estimators. Despite the numerous alternatives that the econometric theory provides for the treatment of spatial (and spatiotemporal) data, empirical analyses are still limited by the lack of availability of the correspondent routines in statistical and econometric software. Spatiotemporal modeling represents one of the most recent developments in spatial econometric theory and the finite sample properties of the estimators that have been proposed are currently being tested in the literature. We provide a comparison between some estimators (a quasi-maximum likelihood, QML, estimator and some GMM-type estimators) for a fixed effects dynamic panel data model under certain conditions, by means of a Monte Carlo simulation analysis. We focus on different settings, which are characterized either by fully stable or quasi-unit root series. We also investigate the extent of the bias that is caused by a non-spatial estimation of a model when the data are characterized by different degrees of spatial dependence. Finally, we provide an empirical application of a QML estimator for a time-space dynamic model which includes a temporal, a spatial and a spatiotemporal lag of the dependent variable. This is done by choosing a relevant and prolific field of analysis, in which spatial econometrics has only found limited space so far, in order to explore the value-added of considering the spatial dimension of the data. In particular, we study the determinants of cropland value in Midwestern U.S.A. in the years 1971-2009, by taking the present value model (PVM) as the theoretical framework of analysis.

Statistical arbitrage on commodities

Questa tesi è incentrata sull'analisi dell'arbitraggio statistico, strategia di trading che cerca di trarre profitto dalle fluttuazioni statistiche di prezzo di uno o più asset sulla base del loro valore atteso. In generale, si creano opportunità di arbitraggio statistico quando si riescono ad individuare delle componenti sistematiche nelle dinamiche dei prezzi di alcuni asset che si muovono con regolarità persistenti e prevalenti. Perturbazioni casuali della domanda e dell’offerta nei mercati possono causare divergenze nei prezzi, dando luogo a opportunità di intermarket spread, ossia simultanei acquisto e vendita di commodities correlate tra loro. Vengono approfonditi vari test econometrici, i test unit root utilizzati per verificare se una serie storica possa essere modellizzata con un processo random walk. Infine viene costruita una strategia di trading basata sull'arbitraggio statistico e applicata numericamente alle serie storiche dal 2010 al 2014 di due titoli azionari sul petrolio: Brent e WTI.

IS THE U.S. SHALE GAS BOOM HAVING AN EFFECT ON THE EUROPEAN GAS MARKET?

This thesis focuses on the impact of the American shale gas boom on the European natural gas market. The study presents different tests in order to analyze the dynamics of natural gas prices in the U.S., U.K. and German natural gas market. The question of cointegration between these different markets are analyzed using several tests. More specifically, the ADF tests for the presence of a unit root. The error correction model test and the Johansen cointegration procedure are applied in order to accept or reject the hypothesis of an integrated market. The results suggest no evidence of cointegration between these markets. There currently is no evidence of an impact of the U.S. shale gas boom on the European market.

Non-Parametric Tests of Real Exchange rates in the Post-Bretton Woods Era

This paper examines the mean-reverting property of real exchange rates. Earlier studies have generally not been able to reject the null hypothesis of a unit-root in real exchange rates, especially for the post-Bretton Woods floating period. The results imply that long-run purchasing power parity does not hold. More recent studies, especially those using panel unit-root tests, have found more favorable results, however. But, Karlsson and Löthgren (2000) and others have recently pointed out several potential pitfalls of panel unit-root tests. Thus, the panel unit-root test results are suggestive, but they are far from conclusive. Moreover, consistent individual country time series evidence that supports long-run purchasing power parity continues to be scarce. In this paper, we test for long memory using Lo's (1991) modified rescaled range test, and the rescaled variance test of Giraitis, Kokoszka, Leipus, and Teyssière (2003). Our testing procedure provides a non-parametric alternative to the parametric tests commonly used in this literature. Our data set consists of monthly observations from April 1973 to April 2001 of the G-7 countries in the OECD. Our two tests find conflicting results when we use U.S. dollar real exchange rates. However, when non-U.S. dollar real exchange rates are used, we find only two cases out of fifteen where the null hypothesis of an unit-root with short-term dependence can be rejected in favor of the alternative hypothesis of long-term dependence using the modified rescaled range test, and only one case when using the rescaled variance test. Our results therefore provide a contrast to the recent favorable panel unit-root test results.

The Export Insurance System and Export Supply of Britain

This paper examines whether or not the export insurance subsidy provided by the British government has promoted Britain.s export supply. Unlike previous studies on the effectiveness of export subsidy in export supply, the current study examines the stationarity nature of the concerned variables. The unit root tests show that all concerned variables are integrated of order one. According to Johansen cointegration test, the concerned variables are not cointegrated. The empirical evidences using the first differenced data show that the export subsidy in terms of provision of export insurances by the government is not statistically significant in increasing export supply.

Economic crisis and tourism competitiveness in Spain: permanent effects or transitory shocks?

This paper considers the influence of business cycles and economic crises on Spain's tourism competitiveness. This competitiveness is measured by its share in world tourism. Analysing the presence of unit roots in the market share series from 1958 to 2010, the permanent effects of economic crises on competitiveness are evaluated. The evidence from standard linear unit root tests indicates that crises on Spanish market shares are highly persistent. When we account for endogenously determined structural breaks, we obtain greater support for stationarity, but breakpoints are identified with major economic crises. Therefore the main conclusion obtained is that the effects of the economic shocks are not neutral on competitiveness, with the negative effects being more persistent in highly intensive crises. These crises reinforce a natural downward trend of the Spanish world tourism market share caused by the natural emergence of new competing destinations and by the maturity of the Spain's principal tourism product.

Un análisis del comportamiento de la demanda turística en España: aplicación con técnicas de cointegración

En este trabajo se analiza la relación entre la evolución de la demanda del conjunto de la economía española frente a la de los principales componentes de gasto turístico, así como el grado de dependencia respecto al comportamiento económico de los principales países emisores de turistas hacia España. Para investigar la existencia de una relación entre estas variables se explican las principales técnicas de cointegración, que en caso de detectar dicha vinculación permiten estimar modelos de corrección del error. En concreto, en el trabajo se evalúa el comportamiento de estas variables a través de test de raíces unitarias para poder desarrollar modelos que permitan detectar con mayor precisión estas relaciones.

Growth, convergence and trade: The services sector in India’s states

India’s success story in services is well documented at the national level, but similar literature does not exist for India’s states. In this paper, we bridge this gap in research by looking at India’s services growth at the sub-national level and in doing so, also challenge existing literature by arguing that this growth has positive implications for income distribution. We find that even as per capita income is not converging across India’s states, per capita services are; evidence is provided both in terms of traditional measures of sigma- and beta-convergence and more recent panel unit root tests. A more disaggregated analysis of services sectors reveals convergence in railways, public administration and financial services. Finally, a Jensen & Kletzer (2005) approach to determining tradability provides evidence of most services being “traded” across India’s states, suggesting the role of such trade in the services growth and convergence story.

Nonstationary brand variables in category management: A cointegration perspective

Category-management models serve to assist in the development of plans for pricing and promotions of individual brands. Techniques to solve the models can have problems of accuracy and interpretability because they are susceptible to spurious regression problems due to nonstationary time-series data. Improperly stated nonstationary systems can reduce the accuracy of the forecasts and undermine the interpretation of the results. This is problematic because recent studies indicate that sales are often a nonstationary time-series. Newly developed correction techniques can account for nonstationarity by incorporating error-correction terms into the model when using a Bayesian Vector Error-Correction Model. The benefit of using such a technique is that shocks to control variates can be separated into permanent and temporary effects and allow cointegration of series for analysis purposes. Analysis of a brand data set indicates that this is important even at the brand level. Thus, additional information is generated that allows a decision maker to examine controllable variables in terms of whether they influence sales over a short or long duration. Only products that are nonstationary in sales volume can be manipulated for long-term profit gain, and promotions must be cointegrated with brand sales volume. The brand data set is used to explore the capabilities and interpretation of cointegration.

On the estimation and comparison of short-rate models using the generalised method of moments

Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1992. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of moments (GMM) has been a popular technique for estimation and inference relating to continuous-time models of the short-term interest rate. GMM has been widely employed to estimate model parameters and to assess the goodness-of-fit of competing short-rate specifications. The current paper conducts a series of simulation experiments to document the bias and precision of GMM estimates of short-rate parameters, as well as the size and power of [Hansen, L.P., 1982. Large sample properties of generalised method of moments estimators. Econometrica 50, 1029-1054], J-test of over-identifying restrictions. While the J-test appears to have appropriate size and good power in sample sizes commonly encountered in the short-rate literature, GMM estimates of the speed of mean reversion are shown to be severely biased. Consequently, it is dangerous to draw strong conclusions about the strength of mean reversion using GMM. In contrast, the parameter capturing the levels effect, which is important in differentiating between competing short-rate specifications, is estimated with little bias. (c) 2006 Elsevier B.V. All rights reserved.

Vector Error-Correction Models in a consumer packaged goods category forecasting decision support system

A framework for developing marketing category management decision support systems (DSS) based upon the Bayesian Vector Autoregressive (BVAR) model is extended. Since the BVAR model is vulnerable to permanent and temporary shifts in purchasing patterns over time, a form that can correct for the shifts and still provide the other advantages of the BVAR is a Bayesian Vector Error-Correction Model (BVECM). We present the mechanics of extending the DSS to move from a BVAR model to the BVECM model for the category management problem. Several additional iterative steps are required in the DSS to allow the decision maker to arrive at the best forecast possible. The revised marketing DSS framework and model fitting procedures are described. Validation is conducted on a sample problem.