The Profitability of Currency Speculation

This paper presents the results of a post-sample simulation of a speculative strategy using a portfolio of foreign currency forward contracts.The main new features of the speculative strategy are (a)the use of Kalman filters to update the forecasting equation, (b) the allowance for transactions,costs and margin requirements and (c) the endogenous determination of the leveraging of the portfolio. While the forecasting model tended to overestimate profit and underestimate risk, the strategy was still profitable over a three year period and it was possible to reject the hypothesis that the sum of profits was zero. Furthermore, the currency portfolio was found to have an extremely low market risk. Combinations of the speculative currency portfolio with traditional portfolios of U.S. equities resulted in considerable improvements in risk-adjusted returns on capital.

Application of compiler-assisted multiple instruction rollback recovery to speculative execution

Speculative execution is a method to increase instruction level parallelism which can be exploited by both super-scalar and VLIW architectures. The key to a successful general speculation strategy is a repair mechanism to handle mispredicted branches and accurate reporting of exceptions for speculated instructions. Multiple instruction rollback is a technique developed for recovery from transient processor failure. Many of the difficulties encountered during recovery from branch misprediction or from instruction re-execution due to exception in a speculative execution architecture are similar to those encountered during multiple instruction rollback. The applicability of a recently developed compiler-assisted multiple instruction rollback scheme to aid in speculative execution repair is investigated. Extensions to the compiler-assisted scheme to support branch and exception repair are presented along with performance measurements across ten application programs

The double play: simultaneous speculative attacks on currency and equity markets

This paper investigates the potential for foreign speculators to profit from simultaneously taking short positions in foreign exchange and equity markets under a fixed exchange rate regime, in what has been termed as the double play. Such a strategy is considered when the monetary authority is faced with two conflicting objectives exchange rate stability and low interest rates. While the monetary authority may not be able to directly intervene to stabilize interest rates under the fixed exchange rate regime, it may consider intervention in equity markets to head off speculative pressure on interest rates. The model determines market conditions where speculators may find the double play strategy profitable and the impact of government intervention on speculative short equity positions and the interest rate, concluding that intervention can never simultaneously reduce speculation in the equity and the money markets. In the case where country fundamentals are strong, intervention while reducing short positions in equity markets actually increases short positions in the money market and induces higher interest rates. The paper concludes by discussing the Hong Kong Monetary Authority's intervention in the Hong Kong equity market within the context of this model.Economic stabilization ; Foreign exchange rates ; Stock exchanges

Why the Law Hates Speculators: Regulation and Private Ordering in the Market for OTC Derivatives

A wide variety of statutory and common law doctrines in American law evidence hostility towards speculation. Conventional economic theory, however, generally views speculation as an efficient form of trading that shifts risk to those who can bear it most easily and improves the accuracy of market prices. This Article reconciles the apparent conflict between legal tradition and economic theory by explaining why some forms of speculative trading may be inefficient. It presents a heterogeneous expectations model of speculative trading that offers important insights into antispeculation laws in general, and the ongoing debate concerning over-the-counter (OTC) derivatives in particular. Although trading in OTC derivatives is presently largely unregulated, the Commodity Futures Trading Commission recently announced its intention to consider substantively regulating OTC derivatives under the Commodity Exchange Act (CEA). Because the CEA is at heart an antispeculation law, the heterogeneous expectations model of speculation offers policy support for the CFTC\u27s claim of regulatory jurisdiction. This model also, however, suggests an alternative to the apparently binary choice now available to lawmakers (i. e., either regulate OTC derivatives under the CEA, or exempt them). That alternative would be to regulate OTC derivatives in the same manner that the common law traditionally regulated speculative contracts: as permitted, but legally unenforceable, agreements. By requiring derivatives traders to rely on private ordering to ensure the performance of their agreements, this strategy may offer significant advantages in discouraging welfare-reducing speculation based on heterogeneous expectations while protecting more beneficial forms of derivatives trading

Backwardation and Normal Backwardation in Energy Futures Markets: With an Application to Metallgesellschaft's Short-Dated Rollover Hedging of Long-Term Contracts

We show that, since the inception of energy futures markets, prices have on average exhibited backwardation. Normal backwardation has also been the norm, but, because of the low power of the standard tests, most researchers have concluded that the unbiased expectations model cannot be rejected. The fact that backwardation has been and (though somewhat more weakly) continues to be prevalent makes MGRM?s strategy of hedging long-term supply commitments with short-dated futures contracts look somewhat better than previous observers have argued. That said, it should be re-stressed that their strategy was a highly speculative one and its unraveling should have come as no great surprise. --

Observability of Earth-skimming Ultra-high Energy Neutrinos

Neutrinos with energies above 10^8 GeV are expected from cosmic ray interactions with the microwave background and are predicted in many speculative models. Such energetic neutrinos are difficult to detect, as they are shadowed by the Earth, but rarely interact in the atmosphere. Here we propose a novel detection strategy: Earth-skimming neutrinos convert to charged leptons that escape the Earth, and these leptons are detected in ground level fluorescence detectors. With the existing HiRes detector, neutrinos from some proposed sources are marginally detectable, and improvements of two orders of magnitude are possible at the proposed Telescope Array.Comment: 4 pages, 3 figure

Ontological Relativity reconsidered: Quine on Löwenheim-Skolem, Davidson on Quine

In view of the dramatic contrast between speculative thought dressed in fashionable jargon and Quine's sober accounts of the scientific status quo it might seem frivolous even to suggest that his work exhibits a postmodern touch. The present paper will, nevertheless, focus on Quine's usage of the Löwenheim-Skolem theorems as a prominent example of ontological relativity and will attempt to show that Quine's treatment is unattractive to philosophers of mathematics and -- more generally -- untenable within the very methodology arising from Quine's basic approach. After examining the doctrine of relativity as applied to the Löwenheim-Skolem result two recent reflections on it's theoretical impact will be discussed. Those contributions make a strong case against the kind of attitude exemplified by Quine, but they do not address the general issue of how to deal with relativism. Donald Davidson has provided a remarkably attractive strategy to counter relativistic moves. Stripping away postmodernist pretensions this strategy challenges the peculiar Quinean mix of methodological austerity and anti-foundationalism

Curating Interdisciplinarity in Literature-Art: a Review of Mukhaputa

This is a philosophical review of the exhibition dedicated to Literature – Art titled Mukhaputa (Cover page) held on occasion of the Manipal International Literature and Arts Platform 2017 in Manipal, India. The curatorial strategy of the exhibition explores the intersectional relationships between literature and visual arts at large. The context of this critical review is the recent past of modern literature journals in print that encouraged artists and illustrators to converse with literature and in turn poets and authors to be artists in their own right. Through a reflection on the nature of new forms of art works submitted by various artists to the exhibition, the review situates new methods of interdisciplinary curating which is highly contingent and speculative. Curation, thus, demands a new reading in terms of its role in interdisciplinary creative practice