Quality-Managed Group-Aware Stream Filtering

We consider a distributed system that disseminates high-volume event streams to many simultaneous monitoring applications over a low-bandwidth network. For bandwidth efficiency, we propose a group-aware stream filtering approach, used together with multicasting, that exploits two overlooked, yet important, properties of monitoring applications: 1) many of them can tolerate some degree of “slack” in their data quality requirements, and 2) there may exist multiple subsets of the source data satisfying the quality needs of an application. We can thus choose the “best alternative” subset for each application to maximize the data overlap within the group to best benefit from multicasting. Here we provide a general framework for the group-aware stream filtering problem, which we prove is NP-hard. We introduce a suite of heuristics-based algorithms that ensure data quality (specifically, granularity and timeliness) while preserving bandwidth. Our evaluation shows that group-aware stream filtering is effective in trading CPU time for bandwidth savings, compared with self-interested filtering

Phenology of the Diamondback moth (Plutella xylostella) in the UK and provision of decision support for brassica growers

In the UK, severe infestations by Plutella xylostella occur sporadically and are due mainly to the immigration of moths. The aim of this study was to develop a more detailed understanding of the phenology of P. xylostella in the UK and investigate methods of monitoring moth activity, with the aim of providing warnings to growers. Plutella xylostella was monitored using pheromone traps, by counting immature stages on plants, and by accessing citizen science data (records of sightings of moths) from websites and Twitter. The likely origin of migrant moths was investigated by analysing historical weather data. The study confirmed that P. xylostella is a sporadic but important pest, and that very large numbers of moths can arrive suddenly, most often in early summer. Their immediate sources are countries in the western part of continental Europe. A network of pheromone traps, each containing a small camera sending images to a website, to monitor P. xylostella remotely provided accessible and timely information, but the particular system tested did not appear to catch many moths. In another approach, sightings by citizen scientists were summarised on a web page. These were accessed regularly by growers and, at present, this approach appears to be the most effective way of providing timely warnings

The measurement of aggregate market risk

Preface This volume contains papers produced for the Euro-currency Standing Committee in a joint effort by researchers at several central banks. The papers address measurement of market risk, market dynamics, market liquidity, and the role that information plays in determining market outcomes in unsettled circumstances. The Committee believes that the research undertaken will be of interest to a wider audience, including market participants and the academic community. In publishing the papers, the Committee hopes to stimulate further research in these areas. The papers represent the views of the authors and not necessarily those of the central banks with which they are affiliated nor that of the Euro-currency Standing Committee. In July 1996, the BIS published a report of a working group of the Committee, chaired by Shinichi Yoshikuni of the Bank of Japan, which recommended the establishment of a reporting system on activities in global derivatives markets. That reporting system is to be implemented in 1998. The Report recognised that data on derivatives positions, while indispensable for tracking changes in the size and structure of derivatives markets over time, would shed limited light on how overall portfolio values and market conditions might change in the face of price shocks. The behaviour of markets in the face of shocks has long been an area of fundamental central bank interest and responsibility. When the papers in this volume were discussed by the Committee in May 1997, the Committee accepted the researchers' conclusion that this research did not establish an adequate technical basis or adequate justification for collecting aggregate market risk data. However, the Committee decided to encourage continuing work on other aspects of market behaviour addressed in these papers. In particular, in line with its mandate to monitor sources of potential instability in financial markets, the Committee will continue to encourage and review research on market functioning and price dynamics under stress. Toshihiko Fukui, Chairman, Euro-currency Standing Committee Senior Deputy Governor, Bank of Japan

Vanna-volga pricing

The vanna-volga method, also called the traders rule of thumb is an empirical procedure that can be used to infer an implied-volatility smile from three available quotes for a given maturity. It is based on the construction of locally replicating portfolios whose associated hedging costs are added to corresponding Black-Scholes prices to produce smile-consistent values. Besides being intuitive and easy to implement, this procedure has a clear financial interpretation, which further supports its use in practice. --

An L1 positioned dust cloud as an effective method of space-based geoengineering

In this paper a method of geoengineering is proposed involving clouds of dust placed in the vicinity of the L1 point as an alternative to the use of thin film reflectors. The aim of this scheme is to reduce the manufacturing requirement for space-based geoengineering. It has been concluded that the mass requirement for a cloud placed at the classical L1 point, to create an average solar insolation reduction of 1.7%, is 2.93x109 kg yr-1 whilst a cloud placed at a displaced equilibrium point created by the inclusion of the effect of solar radiation pressure is 8.87x108 kg yr-1. These mass ejection rates are considerably less than the mass required in other unprocessed dust cloud methods proposed and, for a geoengineering period of 10 years, they are comparable to thin film reflector geoengineering requirements. It is envisaged that the required mass of dust can be extracted from captured near Earth asteroids, whilst stabilised in the required position using the impulse provided by solar collectors or mass drivers used to eject material from the asteroid surface