Power-law behaviour, heterogeneity, and trend chasing

Long-range dependence in volatility is one of the most prominent examples in financial market research involving universal power laws. Its characterization has recently spurred attempts to provide some explanations of the underlying mechanism. This paper contributes to this recent line of research by analyzing a simple market fraction asset pricing model with two types of traders---fundamentalists who trade on the price deviation from estimated fundamental value and trend followers whose conditional mean and variance of the trend are updated through a geometric learning process. Our analysis shows that agent heterogeneity, risk-adjusted trend chasing through the geometric learning process, and the interplay of noisy fundamental and demand processes and the underlying deterministic dynamics can be the source of power-law distributed fluctuations. In particular, the noisy demand plays an important role in the generation of insignificant autocorrelations (ACs) on returns, while the significant decaying AC patterns of the absolute returns and squared returns are more influenced by the noisy fundamental process. A statistical analysis based on Monte Carlo simulations is conducted to characterize the decay rate. Realistic estimates of the power-law decay indices and the (FI)GARCH parameters are presented.

A atividade do capital estrangeiro na Bovespa

Este trabalho discute a recente evolução e a crescente importância do investimento estrangeiro no mercado de capitais brasileiro, observando como a sua presença afeta e é influenciada pela dinâmica local. Como primeiro achado, destaca-se a reatividade desses agentes ao mercado quanto às vendas de ativos; ao investigar se esse comportamento concorreria para um ambiente mais volátil e, em um cenário mais adverso, a própria desestabilização dos preços, constatou-se que suas compras mitigariam o efeito, mas que suas vendas operariam o oposto, sendo que em condições normais de mercado a demanda excessiva dos estrangeiros pressionaria significativamente os preços. Determinou-se também a importância dos mercados externos, das taxas básicas de juros interna e externa, da taxa de câmbio local e da liquidez do mercado à vista como fatores de estímulo a novas compras desses atores, assim como do câmbio, investimento direto líquido, risco país e liquidez para explicar as vendas adicionais. Por fim, surgiram como determinantes à entrada líquida de recursos estrangeiros na Bovespa o desempenho promissor dos mercados externos desenvolvidos e os juros locais em queda, sendo que o desenvolvimento bursátil local e um eventual cenário de crise seriam particularmente significativos na dinâmica de internalização de recursos no país.

Chasing reporters : Infotainment, intertextuality and media satire

The Chaser’s War on Everything is a night time entertainment program which screened on Australia’s public broadcaster, the ABC in 2006 and 2007. This enormously successful comedy show managed to generate a lot of controversy in its short lifespan (see, for example, Dennehy, 2007; Dubecki, 2007; McLean, 2007; Wright, 2007), but also drew much praise for its satirising of, and commentary on, topical issues. Through interviews with the program’s producers, qualitative audience research and textual analysis, this paper will focus on this show’s media satire, and the segment ‘What Have We Learned From Current Affairs This Week?’ in particular. Viewed as a form of ‘Critical Intertextuality’ (Gray, 2006), this segment (which offered a humorous critique of the ways in which news and current affairs are presented elsewhere on television) may equip citizens with a better understanding of the new genre’s production methods, thus producing a higher level of public media literacy. This paper argues that through its media satire, The Chaser acts not as a traditional news program would in informing the public with new information, but as a text which can inform and shape our understanding of news that already exists within the public sphere. Humorous analyses and critiques of the media (like those analysed in this paper), are in fact very important forms of infotainment, because they can provide “other, ‘improper,’ and yet more media literate and savvy interpretations” (Gray, 2006, p. 4) of the news.

Chasing Reporters : Intertextuality, Entertainment and Public Knowledge

This paper examines ‘What Have We Learned From Current Affairs This Week?’: a very successful weekly segment from the ABC program The Chaser’s War on Everything. It argues that through its intertextual satire, this regular segment acts not as a traditional news program would in presenting news updates on current events, but as a text which reflects on the way news is reported and how this, in turn, may shape public discourse. While the program has been highly controversial (enduring many a loud call for it to be pulled from air), this form of light entertainment can play an important public service by encouraging citizens to ‘read through’ (Gray, 2006: 104) commercial current affairs’ façade of ‘quality’ journalism.

Alternative explanations of the volatility trend : Are they really that different?

We analyse the puzzling behavior of the volatility of individual stock returns around the turn of the Millennium. There has been much academic interest in this topic, but no convincing explanation has arisen. Our goal is to pull together the many competing explanations currently proposed in the literature to delermine which, if any, are capable of explaining the volatility trend. We find that many of the different explanations capture the same unusual trend around the Millennium. We find that many of the variables are very highly correlated and it is thus difficult to disentangle their relalive ability to exlplain the time-series behavior in volatility. It seems thai all of the variables that track average volatility well do so mainly by capturing changes in the post-1994 period. These variables have no time-series explanatory power in the pre-1995 years, questioning the underlying idea that any of the explanations currently plesented in the literature can track the trend in volatility over long periods.

Chasing Grace

Chasing Grace won the 2009 Perilous Adventures Short Story Competition and was subsequently published online by the Perilous Adventures Magazine in October, 2009.

A pilot study assessing the feasibility of a home-based progressive resistance exercise program and trend toward healing rates for patients with venous leg ulcers

Venous leg ulceration is a serious condition affecting 1 – 3% of the population. Decline in the function of the calf muscle pump is correlated with venous ulceration. Many previous studies have reported an improvement in the function of the calf muscle pump, endurance of the calf muscle and increased range of ankle motion after structured exercise programs. However, there is a paucity of published research that assesses if these improvements result in an improvement in the healing rates of venous ulcers. The primary purpose of this pilot study was to establish the feasibility of a homebased progressive resistance exercise program and examine if there was any clinical significance or trend toward healing. The secondary aims were to examine the benefit of a home-based progressive resistance exercise program on calf muscle pump function and physical parameters. The methodology used was a randomised controlled trial where eleven participants were randomised into an intervention (n = 6) or control group (n = 5). Participants who were randomised to receive a 12-week home-based progressive resistance exercise program were instructed through weekly face-to-face consultations during their wound clinic appointment by the author. Control group participants received standard wound care and compression therapy. Changes in ulcer parameters were measured fortnightly at the clinic (number healed at 12 weeks, percentage change in area and pressure ulcer score healing score). An air plethysmography test was performed at baseline and following the 12 weeks of training to determine changes in calf muscle pump function. Functional measures included maximum number of heel raises (endurance), maximal isometric plantar flexion (strength) and range of ankle motion (ROAM); these tests were conducted at baseline, week 6 and week 12. The sample for the study was drawn from the Princess Alexandra Hospital in Brisbane, Australia. Participants with venous leg ulceration who met the inclusion criteria were recruited. The participants were screened via duplex scanning and ankle brachial pressure index (ABPI) to ensure they did not have any arterial complications. Participants were excluded if there was evidence of cellulitis. Demographic data were obtained from each participant and details regarding medical history, quality of life and geriatric depression scores were collected at baseline. Both the intervention and control group were required to complete a weekly exercise diary to monitor activity levels between groups. To test for the effect of the intervention over time, a repeated measures analysis of variance was conducted on the major outcome variables. Group (intervention versus control) was the between subject factor and time (baseline, week 6, week 12) was the within subject or repeated measures factor. Due to the small sample size, further tests were conducted to check the assumptions of the statistical test to be used. The results showed that Mauchly.s Test, the Sphericity assumptions of repeated measures for ANOVA were met. Further tests of homogeneity of variance assumptions also confirmed that this assumption was met. Data analysis was conducted using the software package SPSS for Windows Release 17.0. The pilot study proved feasible with all of the intervention (n=6) participants continuing with the resistance program for the 12 week duration and no deleterious effects noted. Clinical significance was observed in the intervention group with a 32% greater change in ulcer size (p= 0.26) than the control group, and a 10% (p = 0.74) greater difference between the numbers healed compared to the control group. Statistical significance was observed for the ejection fraction (p = 0.05), residual volume fraction (p = 0.04) and ROAM (p = 0.01), which all improved significantly in the intervention group over time. These results are encouraging, nevertheless, further investigations seem warranted to examine the effect exercise has on the healing rates of venous leg ulcers, with a multistudy site, larger sample size and longer follow up period.

Comparing different explanations of the volatility trend

We analyze the puzzling behavior of the volatility of individual stock returns over the past few decades. The literature has provided many different explanations to the trend in volatility and this paper tests the viability of the different explanations. Virtually all current theoretical arguments that are provided for the trend in the average level of volatility over time lend themselves to explanations about the difference in volatility levels between firms in the cross-section. We therefore focus separately on the cross-sectional and time-series explanatory power of the different proxies. We fail to find a proxy that is able to explain both dimensions well. In particular, we find that Cao et al. [Cao, C., Simin, T.T., Zhao, J., 2008. Can growth options explain the trend in idiosyncratic risk? Review of Financial Studies 21, 2599–2633] market-to-book ratio tracks average volatility levels well, but has no cross-sectional explanatory power. On the other hand, the low-price proxy suggested by Brandt et al. [Brandt, M.W., Brav, A., Graham, J.R., Kumar, A., 2010. The idiosyncratic volatility puzzle: time trend or speculative episodes. Review of Financial Studies 23, 863–899] has much cross-sectional explanatory power, but has virtually no time-series explanatory power. We also find that the different proxies do not explain the trend in volatility in the period prior to 1995 (R-squared of virtually zero), but explain rather well the trend in volatility at the turn of the Millennium (1995–2005).

Market Trend Analysis of Purpose Built Office (PBO) in Malaysia

The purpose of this paper is to explore the trend of Purpose Built Office (PBO) supply and occupancy in Malaysia. In achieving this, the number of PBO supply by the private sector in the market is compared with the government sector to gain an understanding of the current emerging market for the PBO. There have been limited studies in Malaysia comparing the trend supply and occupancy of PBOs by both sectors. This paper outcome will illustrate the needs for public sector asset management in Malaysia, particularly for PBOs. An analytical framework is developed using time series to measure the level of supply and occupancy of PBO by both sectors, indicating the percentage of government’s PBO compared to the total numbers of PBOs in the market from 2004 to 2010

Monotonous trend estimation using recursive prony analysis

This paper presents a solution to the problem of estimating the monotonous tendency of a slow-varying oscillating system. A recursive Prony Analysis (PA) scheme is developed which involves obtaining a dynamic model with parameters identified by implementing the forgetting factor recursive least square (FFRLS) method. A box threshold principle is proposed to separate the dominant components, which results in an accurate estimation of the trend of oscillating systems. Performance of the proposed PA is evaluated using real-time measurements when random noise and vibration effects are present. Moreover, the proposed method is used to estimate monotonous tendency of deck displacement to assist in a safe landing of an unmanned aerial vehicle (UAV). It is shown that the proposed method can estimate instantaneous mean deck satisfactorily, making it well suited for integration into ship-UAV approach and landing guidance systems.

Extracting deck trend to plan descent trajectory for safe landing of UAVs

This paper outlines a feasible scheme to extract deck trend when a rotary-wing unmanned aerial vehicle (RUAV)approaches an oscillating deck. An extended Kalman filter (EKF) is de- veloped to fuse measurements from multiple sensors for effective estimation of the unknown deck heave motion. Also, a recursive Prony Analysis (PA) procedure is proposed to implement online curve-fitting of the estimated heave mo- tion. The proposed PA constructs an appropriate model with parameters identified using the forgetting factor recursive least square (FFRLS)method. The deck trend is then extracted by separating dominant modes. Performance of the proposed procedure is evaluated using real ship motion data, and simulation results justify the suitability of the proposed method into safe landing of RUAVs operating in a maritime environment.

Temporal trend of organochlorine pesticides in Australia

Persistent, lipophilic organochlorine pesticides (OCPs) such as dichlorodiphenyltrichloroethane (DDT), hexachlorocyclohexanes (HCHs), dieldrin, chlordanes, hexachlorobenzene (HCB) and mirex are known to accumulate in human samples [1, 2]. Persistent OCPs are among the chemicals that are covered under the Stockholm Convention on persistent organic pollutants [3]. Exceptions to this include relatively less lipophillic compounds like HCH (KOW<10^5). In Australia, OCPs such as DDT and HCHs were introduced in the 1940s. This followed a period of widespread use until the 1970s when recognition of risks related to OCPs resulted in reduced use and their ultimate ban in the 1980s. Mirex, however, remained in very restricted use in Northern Australia for treatment of one species of termites (the Giant Termite (Mastotermes darwinensis)) but this use was phased out in 2007.