A factor model of term structure slopes in eurocurrency markets

This paper departs from previous research in dealing with dimensionality reduction in the space of international term structure slopes. Recent empirical work has documented the existence of information in the slope of the term structure which is relevant to forecast future changes in economic activity, and it is additional to information in past economic activity, inflation, or in any leading indicator index [see Estrella and Hardouvelis (1991), Stock and Watson (1988), Hardouvelis (1994) and Plosser and Rouwenhorst (1994), among others]. This implies that a good forecasting model of term structure slopes could be helpful to anticipate changes in economic activity with an even longer anticipation.Term structure of interest rates, Term structure slope, Principal components, Eurocurrencies.

Dynamic correlations and forecasting of term structure slopes in eurocurrency market

Using monthly data on Euro-rates for 1979-1998, we examine the extent to which crosscountry information on term structure slopes can be used to improve upon univariate slope forecasts. This is interesting from the point of view of forecasting economic activity, since term structure slopes are known to anticipate fluctuations in the real economy. Additionally, the Expectations Hypothesis states that the term structure slope summarizes the available information which is relevant for forecasting future short-term interest rates, so that improved slope forecasts might also lead to better forecasts of future interest rates. We find ample evidence of significant explanatory power in term structure slopes across countries. Besides, we document that this information content leads to improved forecasts of the term structure slope in some countries, using a foreign slope as indicator.Term structure of interest rates, Term structure slope, Expectations hypothesis, Eurocurrencies.

Can forward rates be used to improve interest rate forecasts?".

We evaluate the extent to which the explanatory power detected in the term structure in different markets and countries can actually be used to produce sensible forecasts of future short-term interest rates. Specifically, in spite of the forecasting connotation of the unbiasedness property of forward rates, actual evaluation of their forecasting performance has received scant attention in the literature on the term structure. We use monthly data for 1978-1998 on interest rates on Eurodeposits on the US dollar, yen, Deutsche mark, British pound, Spanish peseta, French franc, Italian lira and Swiss franc, comparing forecasts obtained from forward rates to those obtained from univariate autoregressions. By themselves, forward rates produce better one-step ahead forecasts, as well as better once-and-for all forecasts of 1-month interest rates over a full year horizon than those obtained from the own past of interest rates. The gain in one-step ahead forecasting disappears for longer maturities, although forward rates still produce better once-and-for all predictions of 3- and 6-month interest rates than univariate autoregressions for a number of currencies.Expectations hypothesis, Term structure, Forward rates

Planning through Automatic Portfolio Configuration: The PbP Approach

In the field of domain-independent planning, several powerful planners implementing different techniques have been developed. However, no one of these systems outperforms all others in every known benchmark domain. In this work, we propose a multi-planner approach that automatically configures a portfolio of planning techniques for each given domain. The configuration process for a given domain uses a set of training instances to: (i) compute and analyze some alternative sets of macro-actions for each planner in the portfolio identifying a (possibly empty) useful set, (ii) select a cluster of planners, each one with the identified useful set of macro-actions, that is expected to perform best, and (iii) derive some additional information for configuring the execution scheduling of the selected planners at planning time. The resulting planning system, called PbP (Portfolio- based Planner), has two variants focusing on speed and plan quality. Different versions of PbP entered and won the learning track of the sixth and seventh International Planning Competitions. In this paper, we experimentally analyze PbP considering planning speed and plan quality in depth. We provide a collection of results that help to understand PbP�s behavior, and demonstrate the effectiveness of our approach to configuring a portfolio of planners with macro-actions

Identifying and Exploiting Features for Effective Plan Retrieval in Case-Based Planning

Case-Based planning can fruitfully exploit knowledge gained by solving a large number of problems, storing the corresponding solutions in a plan library and reusing them for solving similar planning problems in the future. Case-based planning is extremely effective when similar reuse candidates can be efficiently chosen. In this paper, we study an innovative technique based on planning problem features for efficiently retrieving solved planning problems (and relative plans) from large plan libraries. A problem feature is a characteristic of the instance that can be automatically derived from the problem specification, domain and search space analyses, and different problem encodings. Since the use of existing planning features are not always able to effectively distinguish between problems within the same planning domain, we introduce a new class of features. An experimental analysis in this paper shows that our features-based retrieval approach can significantly improve the performance of a state-of-the-art case-based planning system

Portfolio Methods for Optimal Planning: an Empirical Analysis

Combining the complementary strengths of several algorithms through portfolio approaches has been demonstrated to be effective in solving a wide range of AI problems. Notably, portfolio techniques have been prominently applied to suboptimal (satisficing) AI planning. Here, we consider the construction of sequential planner portfolios for (domain- independent) optimal planning. Specifically, we introduce four techniques (three of which are dynamic) for per-instance planner schedule generation using problem instance features, and investigate the usefulness of a range of static and dynamic techniques for combining planners. Our extensive experimental analysis demonstrates the benefits of using static and dynamic sequential portfolios for optimal planning, and provides insights on the most suitable conditions for their fruitful exploitation

Integrating the carbon footprint into the construction of corporate bond portfolios

Los inversores institucionales, conscientes de la necesidad de incorporar el cambio climático como un factor de riesgo adicional en la gestión de carteras, muestran un apetito creciente por la integración de criterios de Inversión Sostenible y Responsable (ISR) en sus procesos de inversión. En un contexto de gestión pasiva, este trabajo analiza, desde un punto de vista práctico, la inclusión de dichos criterios en la construcción de carteras de bonos corporativos, incorporando así una nueva dimensión al proceso de asignación de activos. Estudiamos la descarbonización de una cartera de bonos corporativos europeos mediante la construcción de la frontera eficiente, que muestra la relación entre las posibilidades de descarbonización de la cartera y el coste asumido en términos de desviación de la cartera de referencia. También analizamos el impacto de la descarbonización en los diferentes parámetros de riesgo-retorno durante el proceso de reasignación de activos. Finalmente, presentamos las principales estrategias de inversión verde que los inversores pueden utilizar para incorporar criterios de sostenibilidad en el diseño de carteras de bonos corporativos, introduciendo el enfoque de Green-Parity como estrategia complementaria al conjunto de herramientas disponible. El resultado del análisis empírico, para el universo de inversión y período elegidos, muestra que el inversor en bonos corporativos preocupado por la sostenibilidad tiene a su disposición diferentes estrategias que le permitirán lograr su objetivo de descarbonización sin tener que desviarse, significativamente, de su cartera de referencia y cumplir adecuadamente con los objetivos puramente financieros dictados por su mandato de inversión.Institutional investors, aware of the need to incorporate climate change as an additional risk factor into portfolio management, show a growing appetite for integrating Sustainable and Responsible Investment (SRI) criteria into their investment processes. Within a passive management context, this paper analyses, from a practical point of view, the inclusion of such criteria in the construction of corporate bond portfolios, thus incorporating a new dimension into the asset allocation process. We study the decarbonisation of a euro area corporate bond portfolio by constructing the efficient frontier, which shows the trade-off between the portfolio’s decarbonisation possibilities and the cost assumed in terms of deviation from the benchmark portfolio. We also analyse the impact of decarbonisation on the different risk-return parameters during the asset reallocation process. Finally, we present the main green investment strategies that investors can use to incorporate sustainability criteria into corporate bond portfolios’ design, introducing the Green-Parity approach as a complementary strategy to the available toolkit. The result of our empirical analysis, for the selected investment universe and sample period, shows that sustainability-conscious corporate bond investors have at their disposal different strategies that will allow them to achieve their decarbonisation objective without having to deviate significantly from their benchmark portfolio and to adequately meet the purely financial goals dictated by their investment mandate

Towards Formal Modeling of Affective Agents in a BDI Architecture

[EN] Affective characteristics are crucial factors that influence human behavior, and often the prevalence of either emotions or reason varies on each individual. We aim to facilitate the development of agents reasoning considering their affective characteristics. We first identify core processes in an affective BDI agent, and we integrate them into an affective agent architecture (GenIA3). These tasks include the extension of the BDI agent reasoning cycle to be compliant with the architecture, and the extension of the agent language (Jason) to support affect-based reasoning, and the adjustment of the equilibrium between the agent s affective and rational sides.This work was supported by the Generalitat Valenciana grant PROMETEOII/2013/019, and the Spanish TIN2014-55206-R project of the Ministerio de Economa y Competitividad.Alfonso Espinosa, B.; Vivancos, E.; Botti, V. (2017). Towards Formal Modeling of Affective Agents in a BDI Architecture. 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Simulating NEPs in a cluster with jNEP

This paper introduces jNEP: a general, flexible, and rigorous implementation of NEPs (the basic model) and some interestenting variants; it is specifically designed to easily add the new results (filters, stopping conditions, evolutionary rules, and so on) of the research in the area. jNEP is written in Java; there are two different versions that implement the concurrency of NEPs by means of the Java classes Process and Threads respectively. There are also extended versions that run on clusters of computers under JavaParty. jNEP reads the description of the currently simulated NEP from a XML configuration file. This paper shows how jNEP tackles the SAT problem with polynomial performance by simulating an ANSP.This work was supported in part by the Spanish Ministry of Education and Science (MEC) under Project TSI2005-08225-C07-06