Short-term Price Behavior and the Effect of Foreign Investors in Finnish Equity Markets (summary section only)

As globalization and capital free movement has increased, so has interest in the effects of that global money flow, especially during financial crises. The concern has been that large global money flows will affect the pricing of small local markets by causing, in particular, overreaction. The purpose of this thesis is to contribute to the body of work concerning short-term under- and overreaction and the short-term effects of foreign investment flow in the small Finnish equity markets. This thesis also compares foreign execution return to domestic execution return. This study’s results indicate that short-term under- and overreaction occurs in domestic-buy portfolios (domestic net buying) rather than in foreign-buy portfolios. This under- and overreaction, however, is not economically meaningful after controlling for the bid-ask bounce effect. Based on this finding, one can conclude that foreign investors do not have a destabilizing effect in the short-term in the Finnish markets. Foreign activity affects short-term returns. When foreign investors are net buyers (sellers) there are positive (negative) market adjusted returns. Literature related to nationality and institutional effect leads us to expect these kind of results. These foreign flows are persistent at a 5 % to 21 % level and the persistence of foreign buy flow is higher than the foreign sell flow. Foreign daily trading execution is worse than domestic execution. Literature which quantifies foreign investors as liquidity demanders and literature related to front-running leads us to expect poorer foreign execution than domestic execution.

Stock price reaction following large one-day price changes: UK evidence

We examine the short-term price reaction of 424 UK stocks to large one-day price changes. Using the GJR-GARCH(1,1), we find no statistical difference amongst the cumulative abnormal returns (CARs) of the Single Index, the Fama–French and the Carhart–Fama–French models. Shocks bigger or equal to 5% are followed by a significant one-day CAR of 1% for all the models. Whilst shocks smaller or equal to -5% are followed by a significant one-day CAR of -0.43% for the Single Index, the CARs are around -0.34% for the other two models. Positive shocks of all sizes and negative shocks maller or equal to -5% are followed by return continuations, whilst the market is efficient following larger negative shocks. The price reaction to shocks is unaffected when we estimate the CARs using the conditional covariances of the pricing variables.

A short-term risk management tool applied to OMEL electricity market using particle swarm optimization

Short-term risk management is highly dependent on long-term contractual decisions previously established; risk aversion factor of the agent and short-term price forecast accuracy. Trying to give answers to that problem, this paper provides a different approach for short-term risk management on electricity markets. Based on long-term contractual decisions and making use of a price range forecast method developed by the authors, the short-term risk management tool presented here has as main concern to find the optimal spot market strategies that a producer should have for a specific day in function of his risk aversion factor, with the objective to maximize the profits and simultaneously to practice the hedge against price market volatility. Due to the complexity of the optimization problem, the authors make use of Particle Swarm Optimization (PSO) to find the optimal solution. Results from realistic data, namely from OMEL electricity market, are presented and discussed in detail.

Combined Pool/Bilateral Short-Term Hydrothermal Scheduling Model for Day-Ahead Energy Markets

This paper proposes a combined pool/bilateral short term hydrothermal scheduling model (PDC) for the context of the day-ahead energy markets. Some innovative aspects are introduced in the model, such as: i) the hydraulic generation is optimized through the opportunity cost function proposed; ii) there is no decoupling between physical and commercial dispatches, as is the case today in Brazil; iii) interrelationships between pool and bilateral markets are represented through a single optimization problem; iv) risk exposures related to future deficits are intrinsically mitigated; v) the model calculates spot prices in an hourly basis and the results show a coherent correlation between hydrological conditions and calculated prices. The proposed PDC model is solved by a primal-dual interior point method and is evaluated by simulations involving a test system. The results are focused on sensitivity analyses involving the parameters of the model, in such a way to emphasize its main modeling aspects. The results show that the proposed PDC provides a conceptual means for short term price formation for hydrothermal systems.

Short-term electricity price forecasting using wavelet and SVM techniques

In deregulated electricity market, modeling and forecasting the spot price present a number of challenges. By applying wavelet and support vector machine techniques, a new time series model for short term electricity price forecasting has been developed in this paper. The model employs both historical price and other important information, such as load capacity and weather (temperature), to forecast the price of one or more time steps ahead. The developed model has been evaluated with the actual data from Australian National Electricity Market. The simulation results demonstrated that the forecast model is capable of forecasting the electricity price with a reasonable forecasting accuracy.

Stock index reaction to large price changes:evidence frommajor Asian stock indexes

We examine the short-term price behavior of ten Asian stock market indexes following large price changes or “shocks”. Under the standard OLS regression, there is stronger support for return continuations particularly following positive and negative price shocks of less than 10% in absolute size. The results under the GJR-GARCH method provide stronger support for market efficiency, especially for large price shocks. For example, for the Hong Kong stock index, negative shocks of less than -5% but more than -10% generate a significant one day cumulative abnormal return (CAR) of-0.754% under the OLS method, but an insignificant CAR of 0.022% under the GJR-GARCH. We find no support for the uncertainty information hypothesis. Furthermore, the CARs following the period after the Asian financial crisis adjust more quickly to price shocks.

Short-term electricity demand and gas price forecasts using wavelet transforms and adaptive models

This paper presents some forecasting techniques for energy demand and price prediction, one day ahead. These techniques combine wavelet transform (WT) with fixed and adaptive machine learning/time series models (multi-layer perceptron (MLP), radial basis functions, linear regression, or GARCH). To create an adaptive model, we use an extended Kalman filter or particle filter to update the parameters continuously on the test set. The adaptive GARCH model is a new contribution, broadening the applicability of GARCH methods. We empirically compared two approaches of combining the WT with prediction models: multicomponent forecasts and direct forecasts. These techniques are applied to large sets of real data (both stationary and non-stationary) from the UK energy markets, so as to provide comparative results that are statistically stronger than those previously reported. The results showed that the forecasting accuracy is significantly improved by using the WT and adaptive models. The best models on the electricity demand/gas price forecast are the adaptive MLP/GARCH with the multicomponent forecast; their MSEs are 0.02314 and 0.15384 respectively.

THE THERMAL-STABILITY OF POLYETHYLENE BLENDS DURING HEAT-PROCESSING AND SHORT-TERM PHOTOOXIDATION

The melt flow behaviour of LDPE/HDPE blends with various compositions have been determined by melt flow index (MFI) measurement. The effects of stabilizers, photo-sensitizers, multiple extrusions and short-term photooxidation have been studied. The results show that there is no marked thermal stability difference between homopolymers and blends without multiple extrusions, no matter whether stabilizers or photo-sensitizers are added. Multiple extrusions or photo-sensitizers reduce their thermal stability, shown by the decrease in MFI. The decrease in MFI of photooxidized samples does not imply serious structural change and shows that the active species formed during photooxidation induce a crosslinking reaction in the melt indexer. Multiple extrusions increase the number of active species formed in LDPE or blends and lead to an obvious decrease in MFI. It is suggested that LDPE and LDPE-rich blends after short-term photooxidation can be characterized by MFI measurement. In contrast, HDPE cannot be characterized by this method due to its linear structure.

Short-Term Reversals: The Effects of Past Returns and Institutional Exits

Price declines over the previous quarter lead to stronger reversals across the subsequent two months. We explain this finding based on the dual notions that liquidity provision can influence reversals, and agents that act as de facto liquidity providers may be less active in past losers. Supporting these observations, we find that active institutions participate less in losing stocks, and that the magnitude of monthly return reversals fluctuates with changes in the number of active institutional investors. Thus, we argue that fluctuations in liquidity provision with past return performance accounts for the link between return reversals and past returns.

Speech perception and phonological short-term memory capacity in language impairment: preliminary evidence from adolescents with specific language impairment (SLI) and autism spectrum disorders (ASD)

Background: The cognitive bases of language impairment in specific language impairment (SLI) and autism spectrum disorders (ASD) were investigated in a novel non-word comparison task which manipulated phonological short-term memory (PSTM) and speech perception, both implicated in poor non-word repetition. Aims: This study aimed to investigate the contributions of PSTM and speech perception in non-word processing and whether individuals with SLI and ASD plus language impairment (ALI) show similar or different patterns of deficit in these cognitive processes. Method & Procedures: Three groups of adolescents (aged 14–17 years), 14 with SLI, 16 with ALI, and 17 age and non-verbal IQ matched typically developing (TD) controls, made speeded discriminations between non-word pairs. Stimuli varied in PSTM load (two- or four-syllables) and speech perception load (mismatches on a word-initial or word-medial segment). Outcomes & Results: Reaction times showed effects of both non-word length and mismatch position and these factors interacted: four-syllable and word-initial mismatch stimuli resulted in the slowest decisions. Individuals with language impairment showed the same pattern of performance as those with typical development in the reaction time data. A marginal interaction between group and item length was driven by the SLI and ALI groups being less accurate with long items than short ones, a difference not found in the TD group. Conclusions & Implications: Non-word discrimination suggests that there are similarities and differences between adolescents with SLI and ALI and their TD peers. Reaction times appear to be affected by increasing PSTM and speech perception loads in a similar way. However, there was some, albeit weaker, evidence that adolescents with SLI and ALI are less accurate than TD individuals, with both showing an effect of PSTM load. This may indicate, at some level, the processing substrate supporting both PSTM and speech perception is intact in adolescents with SLI and ALI, but also in both there may be impaired access to PSTM resources.

The long-term price-earnings ratio

price-earnings ratio;value premium;arbitrage trading rule;UK stock returns;contrarian investment Abstract:  The price-earnings effect has been thoroughly documented and is the subject of numerous academic studies. However, in existing research it has almost exclusively been calculated on the basis of the previous year's earnings. We show that the power of the effect has until now been seriously underestimated due to taking too short-term a view of earnings. Looking at all UK companies since 1975, using the traditional P/E ratio we find the difference in average annual returns between the value and glamour deciles to be 6%. This is similar to other authors' findings. We are able to almost double the value premium by calculating the P/E ratio using earnings averaged over the previous eight years.

Influence of short-term solar disturbances on the fair weather conduction current

The fair weather atmospheric electrical current (Jz) couples the ionosphere to the lower atmosphere and thus provides a route by which changes in solar activity can modify processes in the lower troposphere. This paper examines the temporal variations and spectral characteristics of continuous measurements of Jz conducted at the Wise Observatory in Mitzpe-Ramon, Israel (30°35′ N, 34°45′ E), during two large CMEs, and during periods of increased solar wind density. Evidence is presented for the effects of geomagnetic storms and sub-storms on low latitude Jz during two coronal mass ejections (CMEs), on 24–25th October 2011 and 7–8th March 2012, when the variability in Jz increased by an order of magnitude compared to normal fair weather conditions. The dynamic spectrum of the increased Jz fluctuations exhibit peaks in the Pc5 frequency range. Similar low frequency characteristics occur during periods of enhanced solar wind proton density. During the October 2011 event, the periods of increased fluctuations in Jz lasted for 7 h and coincided with fluctuations of the inter-planetary magnetic field (IMF) detected by the ACE satellite. We suggest downward mapping of ionospheric electric fields as a possible mechanism for the increased fluctuations.

Short-Term Modulation of Extracellular Signal-Regulated Kinase 1/2 and Stress-Activated Protein Kinase/c-Jun NH2-Terminal Kinase in Pancreatic Islets by Glucose and Palmitate Possible Involvement of Ceramide

Objectives: The effect of glucose and palmitate on the phosphorylation of proteins associated with cell growth and survival (extracellular signal-regulated kinase 1/2 [ERK1/2] and stress-activated protein kinase/c-Jun NH2-terminal kinase [SAPK/JNK]) and on the expression of immediate early genes was investigated. Methods: Groups of freshly isolated rat pancreatic islets were incubated in 10-mmol/L glucose with palmitate, LY294002, or fumonisin B1 for the measurement of the phosphorylation and the content of ERK1/2, JNK/SAPK, and v-akt murine thymoma viral oncongene (AKT) (serine 473) by immunoblotting. The expressions of the immediate early genes, c-fos and c-jun, were evaluated by reverse transcription-polymerase chain reaction. Results: Glucose at 10 mmol/L induced ERK1/2 and AKT phosphorylations and decreased SAPK/JNK phosphorylation. Palmitate (0.1 mmol/L) abolished the glucose effect on ERK1/2, AKT, and SAPK/JNK phosphorylations. LY294002 caused a similar effect. The inhibitory effect of palmitate on glucose-induced ERK1/2 and AKT phosphorylation changes was not observed in the presence of fumonisin B1. Glucose increased c-fos and decreased c-jun expressions. Palmitate and LY294002 abolished these latter glucose effects. The presence of fumonisin B1 abolished the effect induced by palmitate on c-jun expression. Conclusions: Our results suggest that short-term changes of mitogen-activated protein kinase and AKT signaling pathways and c-fos and c-jun expressions caused by glucose are abolished by palmitate through phosphatidylinositol 3-kinase inhibition via ceramide synthesis.

Short-term temporal changes of soil carbon losses after tillage described by a first-order decay model

Tillage stimulates soil carbon (C) losses by increasing aeration, changing temperature and moisture conditions, and thus favoring microbial decomposition. In addition, soil aggregate disruption by tillage exposes once protected organic matter to decomposition. We propose a model to explain carbon dioxide (CO2) emission after tillage as a function of the no-till emission plus a correction due to the tillage disturbance. The model assumes that C in the readily decomposable organic matter follows a first-order reaction kinetics equation as: dC(sail)(t)/dt = -kC(soil)(t) and that soil C-CO2 emission is proportional to the C decay rate in soil, where C-soil(t) is the available labile soil C (g m(-2)) at any time (t). Emissions are modeled in terms soil C available to decomposition in the tilled and non-tilled plots, and a relationship is derived between no-till (F-NT) and tilled (F-Gamma) fluxes, which is: F-T = a1F(NT)e(-a2t), where t is time after tillage. Predicted and observed fluxes showed good agreement based on determination coefficient (R-2), index of agreement and model efficiency, with R-2 as high as 0.97. The two parameters included in the model are related to the difference between the decay constant (k factor) of tilled and no-till plots (a(2)) and also to the amount of labile carbon added to the readily decomposable soil organic matter due to tillage (a,). These two parameters were estimated in the model ranging from 1.27 and 2.60 (a(1)) and - 1.52 x 10(-2) and 2.2 x 10(-2) day(-1) (a(2)). The advantage is that temporal variability of tillage-induced emissions can be described by only one analytical function that includes the no-till emission plus an exponential term modulated by tillage and environmentally dependent parameters. (C) 2008 Elsevier B.V. All rights reserved.

Short-term temporal changes of bare soil CO2 fluxes after tillage described by first-order decay models

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)