An Empirical Investigation of Value-at-Risk in Long and Short Trading Positions

This paper uses the Value-at-Risk approach to define the risk in both long and short trading positions. The investigation is done on some major market indices(Japanese, UK, German and US). The performance of models that takes into account skewness and fat-tails are compared to symmetric models in relation to both the specific model for estimating the variance, and the distribution of the variance estimate used as input in the VaR estimation. The results indicate that more flexible models not necessarily perform better in predicting the VaR forecast; the reason for this is most probably the complexity of these models. A general result is that different methods for estimating the variance are needed for different confidence levels of the VaR, and for the different indices. Also, different models are to be used for the left respectively the right tail of the distribution.

Optimal alarms systems and its application to financial time series

This thesis focuses on the application of optimal alarm systems to non linear time series models. The most common classes of models in the analysis of real-valued and integer-valued time series are described. The construction of optimal alarm systems is covered and its applications explored. Considering models with conditional heteroscedasticity, particular attention is given to the Fractionally Integrated Asymmetric Power ARCH, FIAPARCH(p; d; q) model and an optimal alarm system is implemented, following both classical and Bayesian methodologies. Taking into consideration the particular characteristics of the APARCH(p; q) representation for financial time series, the introduction of a possible counterpart for modelling time series of counts is proposed: the INteger-valued Asymmetric Power ARCH, INAPARCH(p; q). The probabilistic properties of the INAPARCH(1; 1) model are comprehensively studied, the conditional maximum likelihood (ML) estimation method is applied and the asymptotic properties of the conditional ML estimator are obtained. The final part of the work consists on the implementation of an optimal alarm system to the INAPARCH(1; 1) model. An application is presented to real data series.

Integer-valued APARCH processes in the analysis of time series of counts

The Asymmetric Power Arch representation for the volatility was introduced by Ding et al.(1993) in order to account for asymmetric responses in the volatility in the analysis of continuous-valued financial time series like, for instance, the log-return series of foreign exchange rates, stock indices or share prices. As reported by Brannas and Quoreshi (2010), asymmetric responses in volatility are also observed in time series of counts such as the number of intra-day transactions in stocks. In this work, an asymmetric power autoregressive conditional Poisson model is introduced for the analysis of time series of counts exhibiting asymmetric overdispersion. Basic probabilistic and statistical properties are summarized and parameter estimation is discussed. A simulation study is presented to illustrate the proposed model. Finally, an empirical application to a set of data concerning the daily number of stock transactions is also presented to attest for its practical applicability in data analysis.

Making sense of a transnational merger: Media texts and the (re)construction of power relations

In this study of symbolic power relations in a transnational merger, we suggest that the popular media can provide a significant arena for (re)constructing national identities and power in this kind of dramatic industrial restructuring, and are an under-utilized source of empirical data in research studies. Focusing on the press coverage of a recent Swedish-Finnish merger, we specify and illustrate a particular feature of discursive (re)construction of asymmetric power relations; superior (Swedish) and inferior (Finnish) national identities, which, we argue, are embedded in the history of colonization and domination between the two nations. The findings of the present study lead us to suggest that a lens taken from post-colonial theory is particularly useful in understanding the wider symbolic power implications of international industrial restructuring.

State dependent asymmetric loss and the consensus forecast of real U.S. GDP growth

It has been well documented that the consensus forecast from surveys of professional forecasters shows a bias that varies over time. In this paper, we examine whether this bias may be due to forecasters having an asymmetric loss function. In contrast to previous research, we account for the time variation in the bias by making the loss function depend on the state of the economy. The asymmetry parameter in the loss function is specified to depend on set state variables which may cause forecaster to intentionally bias their forecasts. We consider both the Lin–Ex and asymmetric power loss functions. For the commonly used Lin–Ex and Lin–Lin loss functions, we show the model can be easily estimated by least squares. We apply our methodology to the consensus forecast of real U.S. GDP growth from the Survey of Professional Forecasters. We find that forecast uncertainty has an asymmetric effect on the asymmetry parameter in the loss function dependent upon whether the economy is in expansion or contraction. When the economy is in expansion, forecaster uncertainty is related to an overprediction in the median forecast of real GDP growth. In contrast, when the economy is in contraction, forecaster uncertainty is related to an underprediction in the median forecast of real GDP growth. Our results are robust to the particular loss function that is employed in the analysis.

Taking pluralism seriously:Embedded moralities in management accounting and control systems

Professor Norman Macintosh has long been a leading, and at times a dissonant, voice in critical accounting studies, exhibiting an intellectual dexterity seldom encountered in the accounting academy. His work ranges from the application of traditional organizational theories within work organizations to poststructural renderings of capital market exigencies. Here, we consider and extend Professor Macintosh's work contemplating the morality embedded within, and propagated by, management accounting and control systems (macs). We begin with Macintosh (1995) employing structuration theory in investigating the ethics of profit manipulation within large, decentralized corporations. The work highlights the fundamental dialectical contradictions within these work organizations, demonstrates the indeterminacy of traditional ethical reasoning, and shows the extent to which macs provide legitimating underpinnings for management action. We propose to extend the conversation using the tools provided in Macintosh's subsequent work: a Levinasian ethic (Macintosh et al., 2009), and heteroglossic accounting (Macintosh, 2002)—both emerging from his poststructuralist predilections. A Levinasian perspective provides an ontologically grounded ethic, and heteroglossic accounting calls for multiple accountings representing alternative moral voices. A critical dialogic framework is proposed as a theoretic for imagining heteroglossic accounting that takes pluralism seriously by recognizing the reality of irresolvable differences and asymmetric power relationships associated with assorted moral perspectives.

DELAY IN THE DIAGNOSIS OF TUBERCULOSIS IN PRISONS: THE EXPERIENCE OF INCARCERATED PATIENTS

This study analyzed the causes of delay in the diagnosis of tuberculosis in the prison system, according to the experience of incarcerated patients. The theoretical and methodological framework of the French school of discourse analysis was used, which seeks to comprehend the processes of meaning production, in the relationship of language with ideology and the development of subjects in their positions. Semi-directed interviews were conducted with seven incarcerated tuberculosis patients in a hospital of Joao Pessoa, Paraiba, Brazil, between August and October 2009. The delay in the diagnosis of tuberculosis was related to the naturalization of the lack of care for the prisoner, to the interpretation of the prison as a place of death and suffering and to the deprivation of the right to health for the detainees as a result of their position in the asymmetric power relationships and ideological effects.

Navigating the demands of the English schooling context: problematics and possibilities for social equity

The English schooling context has seen radical and rapid reform in recent times with the processes of devolution or deconcentration of centralised school governance, on the one hand, and the instating of ever-increasing and rigid external accountabilities, on the other. These reforms driven as they are by neoliberal and neoconservative ideologies have created a new kind of ‘system’ of schooling in England, one that is ‘heterarchical’ in governance, increasingly complex in its overlap, multiplicity and asymmetric power dynamics, but one that remains strongly tied to and regulated by the reductive and narrow measure of ‘success’ imposed by the state. Against this complex and changing backdrop, what constitutes quality and equitable schooling has been transformed. This special issue explores these concerns and, in particular, focuses on how the current demands of the English schooling context construct student achievement and identity, teachers’ work, conceptualisations of knowledge and pedagogy, and school organisation and collaboration. The issue has a strong equity focus. Many of the papers to this end focus on how teachers and schools are navigating through the demands of current policy reform to mobilise spaces of possibility for equity and good schooling. In this paper, we provide a context and framework to set the scene for the subsequent papers in the issue.

Optimal input cross-power spectra in shake table testing of asymmetric structures

The study considers earthquake shake table testing of bending-torsion coupled structures under multi-component stationary random earthquake excitations. An experimental procedure to arrive at the optimal excitation cross-power spectral density (psd) functions which maximize/minimize the steady state variance of a chosen response variable is proposed. These optimal functions are shown to be derivable in terms of a set of system frequency response functions which could be measured experimentally without necessitating an idealized mathematical model to be postulated for the structure under study. The relationship between these optimized cross-psd functions to the most favourable/least favourable angle of incidence of seismic waves on the structure is noted. The optimal functions are also shown to be system dependent, mathematically the sharpest, and correspond to neither fully correlated motions nor independent motions. The proposed experimental procedure is demonstrated through shake table studies on two laboratory scale building frame models.

Asymmetric structure of an isolated flux arch

This paper extends two-dimensional model of symmetric magnetostatic flux arches confined in stratified atmospheres (Zhang and Hu, 1992, 1993) to asymmetric models. Numerical results show that the flux structure is influenced greatly by the boundary condition of magnetic field, the force-free factor, the atmospheric pressure distribution and the position of footpoints (especially the width ratio of outlet to entrance, which differs from symmetric case).

Error induced by the estimation of the corneal power and the effective lens position with a rotationally asymmetric refractive multifocal intraocular lens

AIM: To evaluate the prediction error in intraocular lens (IOL) power calculation for a rotationally asymmetric refractive multifocal IOL and the impact on this error of the optimization of the keratometric estimation of the corneal power and the prediction of the effective lens position (ELP). METHODS: Retrospective study including a total of 25 eyes of 13 patients (age, 50 to 83y) with previous cataract surgery with implantation of the Lentis Mplus LS-312 IOL (Oculentis GmbH, Germany). In all cases, an adjusted IOL power (PIOLadj) was calculated based on Gaussian optics using a variable keratometric index value (nkadj) for the estimation of the corneal power (Pkadj) and on a new value for ELP (ELPadj) obtained by multiple regression analysis. This PIOLadj was compared with the IOL power implanted (PIOLReal) and the value proposed by three conventional formulas (Haigis, Hoffer Q and Holladay). RESULTS: PIOLReal was not significantly different than PIOLadj and Holladay IOL power (P>0.05). In the Bland and Altman analysis, PIOLadj showed lower mean difference (-0.07 D) and limits of agreement (of 1.47 and -1.61 D) when compared to PIOLReal than the IOL power value obtained with the Holladay formula. Furthermore, ELPadj was significantly lower than ELP calculated with other conventional formulas (P<0.01) and was found to be dependent on axial length, anterior chamber depth and Pkadj. CONCLUSION: Refractive outcomes after cataract surgery with implantation of the multifocal IOL Lentis Mplus LS-312 can be optimized by minimizing the keratometric error and by estimating ELP using a mathematical expression dependent on anatomical factors.

Symmetric and Asymmetric Gaps in Some Fields of Formal Power Series

2000 Mathematics Subject Classification: 03E04, 12J15, 12J25.

The iatrogenic reflex and belief that repression can coercively suppress asymmetric coercive violence : does very robust action by the government decrease functional support for insurgents?

Non-state insurgent actors are too weak to compel powerful adversaries to their will, so they use violence to coerce. A principal objective is to grow and sustain violent resistance to the point that it either militarily challenges the state, or more commonly, generates unacceptable political costs. To survive, insurgents must shift popular support away from the state and to grow they must secure it. State actor policies and actions perceived as illegitimate and oppressive by the insurgent constituency can generate these shifts. A promising insurgent strategy is to attack states in ways that lead angry publics and leaders to discount the historically established risks and take flawed but popular decisions to use repressive measures. Such decisions may be enabled by a visceral belief in the power of coercion and selective use of examples of where robust measures have indeed suppressed resistance. To avoid such counterproductive behaviours the cases of apparent 'successful repression' must be understood. This thesis tests whether robust state action is correlated with reduced support for insurgents, analyses the causal mechanisms of such shifts and examines whether such reduction is because of compulsion or coercion? The approach is founded on prior research by the RAND Corporation which analysed the 30 insurgencies most recently resolved worldwide to determine factors of counterinsurgent success. This new study first re-analyses their data at a finer resolution with new queries that investigate the relationship between repression and insurgent active support. Having determined that, in general, repression does not correlate with decreased insurgent support, this study then analyses two cases in which the data suggests repression seems likely to be reducing insurgent support: the PKK in Turkey and the insurgency against the Vietnamese-sponsored regime after their ousting of the Khmer Rouge. It applies 'structured-focused' case analysis with questions partly built from the insurgency model of Leites and Wolf, who are associated with the advocacy of US robust means in Vietnam. This is thus a test of 'most difficult' cases using a 'least likely' test model. Nevertheless, the findings refute the deterrence argument of 'iron fist' advocates. Robust approaches may physically prevent effective support of insurgents but they do not coercively deter people from being willing to actively support the insurgency.

Asymmetric cross-coupled differential pair configuration to realize neuron activation function and its derivative

In this brief, we present a new circuit technique to generate the sigmoid neuron activation function (NAF) and its derivative (DNAF). The circuit makes use of transistor asymmetry in cross-coupled differential pair to obtain the derivative. The asymmetry is introduced through external control signal, as and when required. This results in the efficient utilization of the hard-ware by realizing NAF and DNAF using the same building blocks. The operation of the circuit is presented in the subthreshold region for ultra low-power applications. The proposed circuit has been experimentally prototyped and characterized as a proof of concept on the 1.5-mum AMI technology.

Nonneutral network and the role of bargaining power in side payments

Representatives of several Internet access providers have expressed their wish to see a substantial change in the pricing policies of the Internet. In particular, they would like to see content providers pay for use of the network, given the large amount of resources they use. This would be in clear violation of the �network neutrality� principle that had characterized the development of the wireline Internet. Our first goal in this paper is to propose and study possible ways of implementing such payments and of regulating their amount. We introduce a model that includes the internaut�s behavior, the utilities of the ISP and of the content providers, and the monetary flow that involves the internauts, the ISP and content provider, and in particular, the content provider�s revenues from advertisements. We consider various game models and study the resulting equilibrium; they are all combinations of a noncooperative game (in which the service and content providers determine how much they will charge the internauts) with a cooperative one - the content provider and the service provider bargain with each other over payments to one another. We include in our model a possible asymmetric bargaining power which is represented by a parameter (that varies between zero to one). We then extend our model to study the case of several content providers. We also provide a very brief study of the equilibria that arise when one of the content providers enters into an exclusive contract with the ISP.