Long-range memory model of trading activity and volatility

Earlier we proposed the stochastic point process model, which reproduces a variety of self-affine time series exhibiting power spectral density S(f) scaling as power of the frequency f and derived a stochastic differential equation with the same long range memory properties. Here we present a stochastic differential equation as a dynamical model of the observed memory in the financial time series. The continuous stochastic process reproduces the statistical properties of the trading activity and serves as a background model for the modeling waiting time, return and volatility. Empirically observed statistical properties: exponents of the power-law probability distributions and power spectral density of the long-range memory financial variables are reproduced with the same values of few model parameters.Comment: 12 pages, 5 figure

Cost of on-farm microbial testing for Salmonella: An application by farm size and prevalence level

As the pork production industry moves closer to adopting and using Hazard Analysis and Critical Control Point (HACCP) management systems, effective pathogen identification becomes necessary. Additionally, relationships between management strategies and prevention and/or reduction of pathogens on the farm is needed. An important component of these systems is the associated economic costs and benefits. Studies have assessed the economic costs and benefits of HACCP management systems that target specific pathogen reduction, such as Salmonella spp. in food animals (Morales, 1995; Perrin, 1993). Morales’ and Perrin’s research lacked an analysis of HACCP’s proactive approach to prevention of foodborne disease in the food chain. Existing research on economic analysis of HACCP has been limited. An application specific to the seafood and poultry industry was conducted by Martin (1993) and Curtin (1991)by Martin (1991)and for the food processing industry. Jensen and Unnevehr (1995) pointed out that “data on the incidence of pathogens in farm animals, the adoption of farm management practices, and the cost of these practices can be used to analyze the costs of reducing pathogens at the farm.” It has been noted that HACCP plans are often made with limited knowledge of onfarm pathogen prevalence. With the recent Pathogen Reduction Act of 1996 being put into law, the meat industry faces tighter scrutiny based on bacterial counts on meat products. USDA/FSIS efforts will be targeted at determining bacterial levels, including Salmonella, on meat products. Included in this law are specific goals or targets for the reduction of Salmonella. Tighter scrutiny and an increase in microbiological testing, first at the larger slaughter/processing facilities (500+ employees), will likely lead to industry adjustments. Additionally, consumers, domestic and international, have become more health conscious and more informed about outbreaks of foodborne disease. The meat industry has a goal of increasing and maintaining consumer confidence and maintaining product integrity. These regulatory, social, and consumer changes shaping the meat and animal production industry likely will be felt throughout the industry, including at farm level. This study evaluates the cost of on-farm Salmonella testing for selected prevalence levels and group sizes. Testing cost is size dependent; per pig cost declines as group size increases. Cost per pig in a group ranged from $5.37 for a 500-head group to$.49 per head for a 10,000 head group. Costs were projected with a 5% prevalence level and a 95% confidence interval

Searching Data: A Review of Observational Data Retrieval Practices in Selected Disciplines

A cross-disciplinary examination of the user behaviours involved in seeking and evaluating data is surprisingly absent from the research data discussion. This review explores the data retrieval literature to identify commonalities in how users search for and evaluate observational research data. Two analytical frameworks rooted in information retrieval and science technology studies are used to identify key similarities in practices as a first step toward developing a model describing data retrieval

Generic Multifractality in Exponentials of Long Memory Processes

We find that multifractal scaling is a robust property of a large class of continuous stochastic processes, constructed as exponentials of long-memory processes. The long memory is characterized by a power law kernel with tail exponent $\phi+1/2$, where $\phi >0$. This generalizes previous studies performed only with $\phi=0$ (with a truncation at an integral scale), by showing that multifractality holds over a remarkably large range of dimensionless scales for $\phi>0$. The intermittency multifractal coefficient can be tuned continuously as a function of the deviation $\phi$ from 1/2 and of another parameter $\sigma^2$ embodying information on the short-range amplitude of the memory kernel, the ultra-violet cut-off (``viscous'') scale and the variance of the white-noise innovations. In these processes, both a viscous scale and an integral scale naturally appear, bracketing the ``inertial'' scaling regime. We exhibit a surprisingly good collapse of the multifractal spectra $\zeta(q)$ on a universal scaling function, which enables us to derive high-order multifractal exponents from the small-order values and also obtain a given multifractal spectrum $\zeta(q)$ by different combinations of $\phi$ and $\sigma^2$.Comment: 10 pages + 9 figure

Economic Analysis of Salmonella Impacts on Swine Herds

The economic analysis performed in this study is based on consolidated data from 48 groups of commercial finisher swine classified by three levels of Salmonella and on industry data. Each swine grouping had from 900 to 9,000 swine. The groupings were comprised of the same management and genetics, and were provided the same feed rations and diets throughout the study. The study group and comparison group were comprised of swine herds raised in the midwestern United States. Information was gathered over a 12-month period and contained more than 80,000 data points based on Salmonella spp. detection. Epidemiological data, with serology and mix-ELISA, compared three category levels of Salmonella: low risk (level 1), moderate risk (level 2), and high risk (level 3). Economic cost benefit analysis was based on operational and performance outcome data and was used to determine incremental performance efficiencies measured by additional pounds of pork produced per square foot of production space, performance weight gains, and time to market. Modeling was based on selected market hog prices matched with variable costs and overhead costs for producing groupings of finisher swine with identified levels of Salmonella. This approach helped to identify economic impacts for swine producers. Data indicate that swine from groupings with a level 1 Salmonella seroprevalence had better production efficiency than those groups having a level 2 or level 3 Salmonella status. Those in level 1 produced 5.2 more pounds of pork annually per square foot of finisher space. Groupings of swine with level 1 Salmonella seroprevalence annually produced 2.9 more pounds of pork per square foot of finisher space than level 2 groupings. For market hog pricing and production cost scenarios in this study, there were economic benefits for moving swine herds from level 3 to level 2 or level 1 seroprevalence for Salmonella. Data indicate that Salmonella may increase the producer’s break-even cost due to production inefficiencies attributed mostly to increases in time to market and in excess feed consumption. Moreover, Salmonella levels may have an impact on variability in pig marketing weight and needs further study. Management strategies also may report variability in pig marketing weight. For swine production facilities with all in-all out production strategies, variability in pig gain and marketing weight can create problems at close-out time. An increased weight variability also can account for additional economic loss, because lighter weight hogs and excessively heavy hogs are docked. For example, swine marketed under 220 pounds at close-out are often docked $10 per head; swine marketed under 200 pounds at closeout are docked as much as$20 per head. Excessively heavy hogs also are docked

Anyone Can Become a Troll: Causes of Trolling Behavior in Online Discussions

In online communities, antisocial behavior such as trolling disrupts constructive discussion. While prior work suggests that trolling behavior is confined to a vocal and antisocial minority, we demonstrate that ordinary people can engage in such behavior as well. We propose two primary trigger mechanisms: the individual's mood, and the surrounding context of a discussion (e.g., exposure to prior trolling behavior). Through an experiment simulating an online discussion, we find that both negative mood and seeing troll posts by others significantly increases the probability of a user trolling, and together double this probability. To support and extend these results, we study how these same mechanisms play out in the wild via a data-driven, longitudinal analysis of a large online news discussion community. This analysis reveals temporal mood effects, and explores long range patterns of repeated exposure to trolling. A predictive model of trolling behavior shows that mood and discussion context together can explain trolling behavior better than an individual's history of trolling. These results combine to suggest that ordinary people can, under the right circumstances, behave like trolls.Comment: Best Paper Award at CSCW 201