A roughly smooth optimal consumption path: smoothing the rough annuity puzzle

A inconsistência entre a teoria e o comportamento empírico dos agentes no que tange ao mercado privado de pensões tem se mostrado um dos mais resistentes puzzles presentes na literatura econômica. Em modelos de otimização intertemporal de consumo e poupança sob incerteza em relação ao tempo de vida dos agentes, anuidades são ativos dominantes, anulando ou restringindo fortemente a demanda por ativos cujos retornos não estão relacionados à probabilidade de sobrevivência. Na prática, entretanto, consumidores são extremamente céticos em relação às anuidades. Em oposição ao seguro contra longevidade oferecido pelas anuidades, direitos sobre esses ativos - essencialmente ilíquidos - cessam no caso de morte do titular. Nesse sentido, choques não seguráveis de liquidez e a presença de bequest motives foram consideravelmente explorados como possíveis determinantes da baixa demanda verificada. Apesar dos esforços, o puzzle persiste. Este trabalho amplia a dominância teórica das anuidades sobre ativos não contingentes em mercados incompletos; total na ausência de bequest motives, e parcial, quando os agentes se preocupam com possíveis herdeiros. Em linha com a literatura, simulações numéricas atestam que uma parcela considerável do portfolio ótimo dos agentes seria constituída de anuidades mesmo diante de choques de liquidez, bequest motives, e preços não atuarialmente justos. Em relação a um aspecto relativamente negligenciado pela academia, mostramos que o tempo ótimo de conversão de poupança em anuidades está diretamente relacionado à curva salarial dos agentes. Finalmente, indicamos que, caso as preferências dos agentes sejam tais que o nível de consumo ótimo decaia com a idade, a demanda por anuidades torna-se bastante sensível ao sobrepreço (em relação àquele atuarialmente justo) praticado pela indústria, chegando a níveis bem mais compatíveis com a realidade empírica.

Is there timing ability in currency markets? Evidence from ADR issuances

Is there timing ability in the exchange rate markets? We address this question by examining foreign firms' decisions to issue American Depositary Receipts (ADRs). Specifically, we test whether foreign firms consider currency market conditions in their ADR issuance decisions and, in doing so, display some ability to time their local exchange rate market. We study ADR issuances in the U.S. stock market between 1976 and 2003. We find that foreign firms tend to issue ADRs after their local currency has been abnormally strong against the U.S. dollar and before their local currency becomes abnormally weak. This evidence is statistically significant even after controlling for local and U.S. past and future stock market performance and predicable exchange rate movements. Currency market timing is especially significant i) for value companies, relatively small (yet absolutely large) companies issuing relatively large amounts of ADRs, companies with higher currency exposure, manufacturing companies, and emerging market companies, ii) during currency crises (when mispricings are rife) and after the integration of the issuer's local financial market with the world capital markets, iii) when the ADR issue raises capital for the issuing firm (Level III ADR), and iv) regardless of the identity of the underwriting investment bank. Currency market timing is also economically significant since it translates into total savings for the issuing firms of about $646 million (or 1.86% of the total capital-raising ADR issue volume). In contrast, we find no evidence of currency timing ability in a control sample made of non-capital raising ADRs (Level II ADRs). These findings suggest that some companies may have, at least occasionally, private information about foreign exchange.

Anticipatory timing in algorithmic rhythm generation

Generative music algorithms frequently operate by making musical decisions in a sequence, with each step of the sequence incorporating the local musical context in the decision process. The context is generally a short window of past musical actions. What is not generally included in the context is future actions. For real-time systems this is because the future is unknown. Offline systems also frequently utilise causal algorithms either for reasons of efficiency [1] or to simulate perceptual constraints [2]. However, even real-time agents can incorporate knowledge of their own future actions by utilising some form of planning. We argue that for rhythmic generation the incorporation of a limited form of planning - anticipatory timing - offers a worthwhile trade-off between musical salience and efficiency. We give an example of a real-time generative agent - the Jambot - that utilises anticipatory timing for rhythmic generation. We describe its operation, and compare its output with and without anticipatory timing.

A continuous time model for election timing

We consider a continuous time model for election timing in a Majoritarian Parliamentary System where the government maintains a constitutional right to call an early election. Our model is based on the two-party-preferred data that measure the popularity of the government and the opposition over time. We describe the poll process by a Stochastic Differential Equation (SDE) and use a martingale approach to derive a Partial Differential Equation (PDE) for the government’s expected remaining life in office. A comparison is made between a three-year and a four-year maximum term and we also provide the exercise boundary for calling an election. Impacts on changes in parameters in the SDE, the probability of winning the election and maximum terms on the call exercise boundaries are discussed and analysed. An application of our model to the Australian Federal Election for House of Representatives is also given.

Timing of births and endometrial cancer risk in Swedish women

While a protective long-term effect of parity on endometrial cancer risk is well established, the impact of timing of births is not fully understood. We examined the relationship between endometrial cancer risk and reproductive characteristics in a population-based cohort of 2,674,465 Swedish women, 20–72 years of age. During follow-up from 1973 through 2004, 7,386 endometrial cancers were observed. Compared to uniparous women, nulliparous women had a significantly elevated endometrial cancer risk (hazard ratio [HR] = 1.32, 95% confidence interval [CI], 1.22–1.42). Endometrial cancer risk decreased with increasing parity; compared to uniparous women, women with ≥4 births had a HR=0.66 (95% CI, 0.59–0.74); p-trend < 0.001. Among multiparous women, we observed no relationship of risk with age at first birth after adjustment for other reproductive factors. While we initially observed a decreased risk with later ages at last birth, this appeared to reflect a stronger relationship with time since last birth, with women with shorter times being at lowest risk. In models for multiparous women that included number of births, age at first and last birth, and time since last birth, age at last birth was not associated with endometrial cancer risk, while shorter time since last birth and increased parity were associated with statistically significantly reduced endometrial cancer risks. The HR was 3.95 (95%CI; 2.17–7.20; p-trend=<0.0001) for women with ≥25 years since a last birth compared to women having given birth within 4 years. Our findings support that clearance of initiated cells during delivery may be important in endometrial carcinogenesis. Keywords: endometrial carcinoma, parity, registry, reproductive factors

Quantitative assessment of fault tolerant precision timing for electricity substations

Advanced substation applications, such as synchrophasors and IEC 61850-9-2 sampled value process buses, depend upon highly accurate synchronizing signals for correct operation. The IEEE 1588 Precision Timing Protocol (PTP) is the recommended means of providing precise timing for future substations. This paper presents a quantitative assessment of PTP reliability using Fault Tree Analysis. Two network topologies are proposed that use grandmaster clocks with dual network connections and take advantage of the Best Master Clock Algorithm (BMCA) from IEEE 1588. The cross-connected grandmaster topology doubles reliability, and the addition of a shared third grandmaster gives a nine-fold improvement over duplicated grandmasters. The performance of BMCA mediated handover of the grandmaster role during contingencies in the timing system was evaluated experimentally. The 1 µs performance requirement of sampled values and synchrophasors are met, even during network or GPS antenna outages. Slave clocks are shown to synchronize to the backup grandmaster in response to degraded performance or loss of the main grandmaster. Slave disturbances are less than 350 ns provided the grandmaster reference clocks are not offset from one another. A clear understanding of PTP reliability and the factors that affect availability will encourage the adoption of PTP for substation time synchronization.

Timing and emplacement dynamics of newly recognised mass flow deposits at ~ 8–12 ka offshore Soufrière Hills volcano, Montserrat : how submarine stratigraphy can complement subaerial eruption histories

This contribution describes two mass movement deposits (total volume ~0.5 km3) identified in seven marine cores located 8 to 15 km offshore southern Montserrat, West Indies. The deposits were emplaced in the last 35 ka and have not previously been recognised in either the subaerial or distal submarine records. Age constraints, provided by radiocarbon dating, show that an explosive volcanic eruption occurred at ca 8–12 ka, emplacing a primary eruption-related deposit that overlies a large (~0.3 km3) reworked bioclastic and volcaniclastic flow deposit, formed from a shelf collapse between 8 and 35 ka. The origin of these deposits has been deduced through the correlation of marine sediment cores, component analysis and geochemical analysis. The 8–12 ka primary volcanic deposit was likely derived from a highly-erosive pyroclastic flow from the Soufrière Hills volcano that entered the ocean and mixed with the water column forming a water-supported density current. Previous investigations of the eruption record suggested that there was a hiatus in activity at the Soufrière Hills volcano between 16 and 6 ka. The ca 8–12 ka eruptive episode identified here shows that this hiatus was shorter than previously hypothesised, and thus highlights the importance of obtaining an accurate and completemarine record of events offshore from volcanic islands and incorporating such data into eruption history reconstructions. Comparisons with the submarine deposit characteristics of the 2003 dome collapse also suggests that the ~8–12 ka eruptive episode was more explosive than eruptions from the current eruptive episode.

Assessment of real-time networks and timing for process bus applications

Widespread adoption by electricity utilities of Non-Conventional Instrument Transformers, such as optical or capacitive transducers, has been limited due to the lack of a standardised interface and multi-vendor interoperability. Low power analogue interfaces are being replaced by IEC 61850 9 2 and IEC 61869 9 digital interfaces that use Ethernet networks for communication. These ‘process bus’ connections achieve significant cost savings by simplifying connections between switchyard and control rooms; however the in-service performance when these standards are employed is largely unknown. The performance of real-time Ethernet networks and time synchronisation was assessed using a scale model of a substation automation system. The test bed was constructed from commercially available timing and protection equipment supplied by a range of vendors. Test protocols have been developed to thoroughly evaluate the performance of Ethernet networks and network based time synchronisation. The suitability of IEEE Std 1588 Precision Time Protocol (PTP) as a synchronising system for sampled values was tested in the steady state and under transient conditions. Similarly, the performance of hardened Ethernet switches designed for substation use was assessed under a range of network operating conditions. This paper presents test methods that use a precision Ethernet capture card to accurately measure PTP and network performance. These methods can be used for product selection and to assess ongoing system performance as substations age. Key findings on the behaviour of multi-function process bus networks are presented. System level tests were performed using a Real Time Digital Simulator and transformer protection relay with sampled value and Generic Object Oriented Substation Events (GOOSE) capability. These include the interactions between sampled values, PTP and GOOSE messages. Our research has demonstrated that several protocols can be used on a shared process bus, even with very high network loads. This should provide confidence that this technology is suitable for transmission substations.

Assessment of precision timing and real-time data networks for digital substation automation

This project researched the performance of emerging digital technology for high voltage electricity substations that significantly improves safety for staff and reduces the potential impact on the environment of equipment failure. The experimental evaluation used a scale model of a substation control system that incorporated real substation control and networking equipment with real-time simulation of the power system. The outcomes confirm that it is possible to implement Ethernet networks in high voltage substations that meet the needs of utilities; however component-level testing of devices is necessary to achieve this. The assessment results have been used to further develop international standards for substation communication and precision timing.

Timing, origin and emplacement dynamics of mass flows offshore of SE Montserrat in the last 110 ka : implications for landslide and tsunami hazards, eruption history, and volcanic island evolution

Mass flows on volcanic islands generated by volcanic lava dome collapse and by larger-volume flank collapse can be highly dangerous locally and may generate tsunamis that threaten a wider area. It is therefore important to understand their frequency, emplacement dynamics, and relationship to volcanic eruption cycles. The best record of mass flow on volcanic islands may be found offshore, where most material is deposited and where intervening hemipelagic sediment aids dating. Here we analyze what is arguably the most comprehensive sediment core data set collected offshore from a volcanic island. The cores are located southeast of Montserrat, on which the Soufriere Hills volcano has been erupting since 1995. The cores provide a record of mass flow events during the last 110 thousand years. Older mass flow deposits differ significantly from those generated by the repeated lava dome collapses observed since 1995. The oldest mass flow deposit originated through collapse of the basaltic South Soufriere Hills at 103-110 ka, some 20-30 ka after eruptions formed this volcanic center. A ∼1.8 km3 blocky debris avalanche deposit that extends from a chute in the island shelf records a particularly deep-seated failure. It likely formed from a collapse of almost equal amounts of volcanic edifice and coeval carbonate shelf, emplacing a mixed bioclastic-andesitic turbidite in a complex series of stages. This study illustrates how volcanic island growth and collapse involved extensive, large-volume submarine mass flows with highly variable composition. Runout turbidites indicate that mass flows are emplaced either in multiple stages or as single events.