Equity trading volume and volatility: Latent information arrivals and common long-run dependencies

This article examines the behavior of equity trading volume and volatility for the individual firms composing the Standard & Poor's 100 composite index. Using multivariate spectral methods, we find that fractionally integrated processes best describe the long-run temporal dependencies in both series. Consistent with a stylized mixture-of-distributions hypothesis model in which the aggregate "news"-arrival process possesses long-memory characteristics, the long-run hyperbolic decay rates appear to be common across each volume-volatility pair.

Information relaxations and duality in stochastic dynamic programs

We describe a general technique for determining upper bounds on maximal values (or lower bounds on minimal costs) in stochastic dynamic programs. In this approach, we relax the nonanticipativity constraints that require decisions to depend only on the information available at the time a decision is made and impose a "penalty" that punishes violations of nonanticipativity. In applications, the hope is that this relaxed version of the problem will be simpler to solve than the original dynamic program. The upper bounds provided by this dual approach complement lower bounds on values that may be found by simulating with heuristic policies. We describe the theory underlying this dual approach and establish weak duality, strong duality, and complementary slackness results that are analogous to the duality results of linear programming. We also study properties of good penalties. Finally, we demonstrate the use of this dual approach in an adaptive inventory control problem with an unknown and changing demand distribution and in valuing options with stochastic volatilities and interest rates. These are complex problems of significant practical interest that are quite difficult to solve to optimality. In these examples, our dual approach requires relatively little additional computation and leads to tight bounds on the optimal values. © 2010 INFORMS.

Hazard and risk assessment from Hurricane Ivan (2004) in Grenada using Geographical Information Systems and remote sensing

Hurricanes are destructive storms with strong winds, intense storm surges, and heavy rainfall. The resulting impact from a hurricane can include structural damage to buildings and infrastructure, flooding, and ultimately loss of human life. This paper seeks to identify the impact of Hurricane Ivan on the aected population of Grenada, one of the Caribbean islands. Hurricane Ivan made landfall on 7th September 2004 and resulted in 80% of the population being adversely aected. The methods that were used to model these impacts involved performing hazard and risk assessments using GIS and remote sensing techniques. Spatial analyses were used to create a hazard and a risk map. Hazards were identied initially as those caused by storm surges, severe winds speeds, and flooding events related to Hurricane Ivan. These estimated hazards were then used to create a risk map. An innovative approach was adopted, including the use of hillshading to assess the damage caused by high wind speeds. This paper explains in detail the methodology used and the results produced.

The importance of independent marine evidence provision in a multi-use environment: MBA information resources and The Marine Life Information Network.

One of the most pressing challenges today is the need to manage our oceans on a sustainable basis, balancing opportunities for exploitation with the need for conservation and protection. A vital tool for informing sustainable management is access to accurate, up-to-date marine environmental data and information, which is also seen as ‘independent’ by industry, conservationists, policy-makers and other Stakeholders. The Marine Biological Association has specialised in providing independent evidence for over a century and hosts a number of programmes dedicated to independent evidence provision. For example, the Marine Life Information Network (MarLIN) is the most comprehensive information resource for the marine environment of the British Isles and also the largest review of the effects of human activities and natural events on marine species and habitats ever undertaken. MarLIN, along with the Data Archive for Seabed Species and Habitats (DASSH and other MBA information resources, is currently being used to support a wide range of UK and European legislation as well as providing vital underpinning information for industry (e.g. through informing EIAs). We provide an overview of MarLIN in particular whilst examining the importance of ‘independent’ scientific information in a multi-use environment.

Haptic information stabilizes and destabilizes coordination dynamics

Goal-directed, coordinated movements in humans emerge from a variety of constraints that range from 'high-level' cognitive strategies based oil perception of the task to 'low-level' neuromuscular-skeletal factors such as differential contributions to coordination from flexor and extensor muscles. There has been a tendency in the literature to dichotomize these sources of constraint, favouring one or the other rather than recognizing and understanding their mutual interplay. In this experiment, subjects were required to coordinate rhythmic flexion and extension movements with an auditory metronome, the rate of which was systematically increased. When subjects started in extension on the beat of the metronome, there was a small tendency to switch to flexion at higher rates, but not vice versa. When subjects: were asked to contact a physical stop, the location of which was either coincident with or counterphase to the auditor) stimulus, two effects occurred. When haptic contact was coincident with sound, coordination was stabilized for both flexion and extension. When haptic contact was counterphase to the metronome, coordination was actually destabilized, with transitions occurring from both extension to flexion on the beat and from flexion to extension on the beat. These results reveal the complementary nature of strategic and neuromuscular factors in sensorimotor coordination. They also suggest the presence of a multimodal neural integration process-which is parametrizable by rate and context - in which intentional movement, touch and sound are bound into a single, coherent unit.

Information sharing and reporting systems in the UK and Ireland: Professional barriers to reporting child maltreatment concerns

Across the UK recent policy developments have focused on improved information sharing and inter-agency cooperation. Professional non-reporting of child maltreatment concerns has been consistently highlighted as a problem in a range of countries and the research literature indicates that this can happen for a variety of reasons. Characteristics such as the type of abuse and the threshold of evidence available are key factors, as are concerns that reporting will damage the professional-client relationship. Professional discipline can also impact on willingness to report, as can personal beliefs about abuse, attitudes towards child protection services and experiences of court processes. Research examining the role of organisational factors in information sharing and reporting emphasises the importance of training and there are some positive indications that training can increase professional awareness of reporting processes and requirements and help to increase knowledge of child abuse and its symptoms. Nonetheless, this is a complex issue and the need for training to go beyond simple awareness raising is recognised. In order to tackle non-reporting in a meaningful way, childcare professionals need access to on-going multidisciplinary training which is specifically tailored to address the range of different factors which impact on reporting attitudes and behaviours.

Decoherence-based exploration of d-dimensional one-way quantum computation: Information transfer and basic gates

We study the effects of amplitude and phase damping decoherence in d-dimensional one-way quantum computation. We focus our attention on low dimensions and elementary unidimensional cluster state resources. Our investigation shows how information transfer and entangling gate simulations are affected for d >= 2. To understand motivations for extending the one-way model to higher dimensions, we describe how basic qudit cluster states deteriorate under environmental noise of experimental interest. In order to protect quantum information from the environment, we consider encoding logical qubits into qudits and compare entangled pairs of linear qubit-cluster states to single qudit clusters of equal length and total dimension. A significant reduction in the performance of cluster state resources for d > 2 is found when Markovian-type decoherence models are present.

Information gathering and decision making about resource value in animal contests

Contestants are predicted to adjust the cost of a fight in line with the perceived value of the resource and this provides a way of determining whether the resource has been assessed. An assessment of resource value is predicted to alter an animal's motivational state and we note different methods of measuring that state. We provide a categorical framework in which the degree of resource assessment may be evaluated and also note limitations of various approaches. We place studies in six categories: (1) cases of no assessment, (2) cases of internal state such as hunger influencing apparent value, (3) cases of the contestants differing in assessment ability, (4) cases of mutual and equal assessment of value, (5) cases where opponents differ in resource value and (6) cases of particularly complex assessment abilities that involve a comparison of the value of two resources. We examine the extent to which these studies support game theory predictions and suggest future areas of research. (C) 2008 The Association for the Study of Animal Behaviour. Published by Elsevier Ltd. All rights reserved.