UK Housing Market: Time Series Processes with Independent and Identically Distributed Residuals

The paper examines whether a univariate data generating process can be identified which explains the data by having residuals that are independent and identically distributed, as verified by the BDS test. The stationary first differenced natural log quarterly house price index is regressed, initially with a constant variance and then with a conditional variance. The only regression function that produces independent and identically distributed standardised residuals is a mean process based on a pure random walk format with Exponential GARCH in mean for the conditional variance. There is an indication of an asymmetric volatility feedback effect but higher frequency data is required to confirm this. There could be scope for forecasting the index but this is tempered by the reduction in the power of the BDS test if there is a non-linear conditional variance process

Generation of ultra-short light pulses by a rapidly ionizing thin foil

A thin and dense plasma layer is created when a sufficiently strong laser pulse impinges on a solid target. The nonlinearity introduced by the time-dependent electron density leads to the generation of harmonics. The pulse duration of the harmonic radiation is related to the risetime of the electron density and thus can be affected by the shape of the incident pulse and its peak field strength. Results are presented from numerical particle-in-cell-simulations of an intense laser pulse interacting with a thin foil target. An analytical model which shows how the harmonics are created is introduced. The proposed scheme might be a promising way towards the generation of attosecond pulses. PACS number(s): 52.40.Nk, 52.50.Jm, 52.65.RrComment: Second Revised Version, 13 pages (REVTeX), 3 figures in ps-format, submitted for publication to Physical Review E, WWW: http://www.physik.tu-darmstadt.de/tqe

A computational framework to emulate the human perspective in flow cytometric data analysis

Background: In recent years, intense research efforts have focused on developing methods for automated flow cytometric data analysis. However, while designing such applications, little or no attention has been paid to the human perspective that is absolutely central to the manual gating process of identifying and characterizing cell populations. In particular, the assumption of many common techniques that cell populations could be modeled reliably with pre-specified distributions may not hold true in real-life samples, which can have populations of arbitrary shapes and considerable inter-sample variation. <p/>Results: To address this, we developed a new framework flowScape for emulating certain key aspects of the human perspective in analyzing flow data, which we implemented in multiple steps. First, flowScape begins with creating a mathematically rigorous map of the high-dimensional flow data landscape based on dense and sparse regions defined by relative concentrations of events around modes. In the second step, these modal clusters are connected with a global hierarchical structure. This representation allows flowScape to perform ridgeline analysis for both traversing the landscape and isolating cell populations at different levels of resolution. Finally, we extended manual gating with a new capacity for constructing templates that can identify target populations in terms of their relative parameters, as opposed to the more commonly used absolute or physical parameters. This allows flowScape to apply such templates in batch mode for detecting the corresponding populations in a flexible, sample-specific manner. We also demonstrated different applications of our framework to flow data analysis and show its superiority over other analytical methods. <p/>Conclusions: The human perspective, built on top of intuition and experience, is a very important component of flow cytometric data analysis. By emulating some of its approaches and extending these with automation and rigor, flowScape provides a flexible and robust framework for computational cytomics

Phase IV open-label study of the efficacy and safety of deferasirox after allogeneic stem cell transplantation

This is the first prospective study of deferasirox in adult allogeneic hematopoietic stem cell transplant recipients with transfusional iron overload in hematologic malignancies. Patients at least six months post transplant were treated with deferasirox at a starting dose of 10 mg/kg/day for 52 weeks or until serum ferritin was less than 400 ng/mL on two consecutive occasions. Thirty patients were enrolled and 22 completed the study. A significant reduction from baseline in median serum ferritin and in liver iron concentration at 52 weeks was observed in the overall population: from 1440 to 755.5 ng/mL (P=0.002) and from 14.5 to 4.6 mg Fe/g dw (P=0.0007), respectively. Reduction in serum ferritin in patients who did not discontinue deferasirox therapy was significantly greater than that found in those who prematurely discontinued the treatment (from 1541 to 581 ng/mL vs. from 1416 to 1486 ng/mL; P=0.008). Drug-related adverse events, reported in 17 patients (56.7%), were mostly mild to moderate in severity. There were no drug-related serious adverse events. Twelve patients (40.0%) showed an increase of over 33% in serum creatinine compared to baseline and greater than the upper limit of normal on two consecutive visits. Two patients (6.7%) with active graft-versus-host disease showed an increase in alanine aminotransferase exceeding 10 times upper limit of normal; both resolved. In this prospective study, deferasirox provided a significant reduction in serum ferritin and liver iron concentration over one year of treatment in allogeneic hematopoietic stem cell transplant recipients with iron overload. In addition, the majority of adverse events related to deferasirox were mild or moderate in severity. (clinicaltrials.gov identifier:01335035)

Testing the predictability and efficiency of securitized real estate markets

This paper conducts tests of the random walk hypothesis and market efficiency for 14 national public real estate markets. Random walk properties of equity prices influence the return dynamics and determine the trading strategies of investors. To examine the stochastic properties of local real estate index returns and to test the hypothesis that public real estate stock prices follow a random walk, the single variance ratio tests of Lo and MacKinlay (1988) as well as the multiple variance ratio test of Chow and Denning (1993) are employed. Weak-form market efficiency is tested directly using non-parametric runs tests. Empirical evidence shows that weekly stock prices in major securitized real estate markets do not follow a random walk. The empirical findings of return predictability suggest that investors might be able to develop trading strategies allowing them to earn excess returns compared to a buy-and-hold strategy

Modelling UK house prices with structural breaks and conditional variance analysis

This paper differs from previous research by examining the existence of structural breaks in the UK regional house prices as well as in the prices of the different property types (flats, terraced, detached and semi-detached houses) in the UK as a whole, motivated by the uncertainty in the UK housing market and various financial events that may lead to structural changes within the housing market. Our paper enhances the conventional unit root tests by allowing for structural breaks, while including structural break tests strengthens our analysis. Our empirical results support the existence of structural breaks in the mean equation in seven out of thirteen regions of the UK as well as in three out of four property types, and in the variance equation in six regions and three property types. In addition, using a multivariate GARCH approach we examine both the behaviour of variances and covariances of the house price returns over time. Our results have significant implications for appropriate economic policy selection and investment management

Further evidence on the (in-) efficiency of the U.S. housing market

Extending the controversial findings from relevant literature on testing the efficient market hypothesis for the U.S. housing market, the results from the monthly and quarterly transaction-based Case-Shiller indices from 1987 to 2009 provide further empirical evidence on the rejection of the weak-form version of efficiency in the U.S. housing market. In addition to conducting parametric and non-parametric tests, we apply technical trading strategies to test whether or not the inefficiencies can be exploited by investors earning excess returns. The empirical findings suggest that investors might be able to obtain excess returns from both autocorrelation- and moving average-based trading strategies compared to a buy-and-hold strategy

Homogeneidad de los hormigones autocompactantes

Concrete instability may lead to the non-uniform distribution of its properties. The homogeneity of self-consolidating concrete in vertically cast members was therefore explored in this study, analyzing both resistance to segregation and pore structure uniformity. To this end, two series of concretes were prepared, self-consolidating and traditional vibrated materials, with different w/c ratios and types of cement. The results showed that selfconsolidating concretes exhibit high resistance to segregation, albeit slightly lower than found in the traditional mixtures. The pore structure in the former, however, tended to be slightly more uniform, probably as a result of less intense bleeding. Such concretes are also characterized by greater bulk density, lower porosity and smaller mean pore size, which translates into a higher resistance to pressurized water. For pore diameters of over about 0.5 μm, however, the pore size distribution was found to be similar to the distribution in traditional concretes, with similar absorption rates.En este trabajo se estudia la homogeneidad de los hormigones autocompactantes en piezas hormigonadas verticalmente, determinando su resistencia a la segregación y la uniformidad de su estructura porosa, dado que la pérdida de estabilidad de una mezcla puede conducir a una distribución no uniforme de sus propiedades. Para ello se han fabricado dos tipos de hormigones, uno autocompactante y otro tradicional vibrado, con diferentes relaciones a/c y distintos tipos de cemento. Los resultados ponen de manifiesto que los hormigones autocompactantes presentan una buena resistencia a la segregación, aunque algo menor que la registrada en los hormigones tradicionales. A pesar de ello, su estructura porosa tiende a ser ligeramente más uniforme, debido probablemente a un menor sangrado. Asimismo, presentan una mayor densidad aparente, una menor porosidad y un menor tamaño medio de poro, lo que les confiere mejores prestaciones frente a la penetración de agua bajo presión. Ahora bien, para diámetros de poro superiores aproximadamente a 0,5 μm, la distribución de tamaños de poro es similar a la de los hormigones tradicionales, dando lugar a una absorción también similar

Forecasting Government Bond Spreads with Heuristic Models:Evidence from the Eurozone Periphery

This study investigates the predictability of European long-term government bond spreads through the application of heuristic and metaheuristic support vector regression (SVR) hybrid structures. Genetic, krill herd and sine–cosine algorithms are applied to the parameterization process of the SVR and locally weighted SVR (LSVR) methods. The inputs of the SVR models are selected from a large pool of linear and non-linear individual predictors. The statistical performance of the main models is evaluated against a random walk, an Autoregressive Moving Average, the best individual prediction model and the traditional SVR and LSVR structures. All models are applied to forecast daily and weekly government bond spreads of Greece, Ireland, Italy, Portugal and Spain over the sample period 2000–2017. The results show that the sine–cosine LSVR is outperforming its counterparts in terms of statistical accuracy, while metaheuristic approaches seem to benefit the parameterization process more than the heuristic ones

Global Injectivity Of C1 Maps Of The Real Plane, Inseparable Leaves And The Palais-smale Condition

We study two sufficient conditions that imply global injectivity for a C1 map X: ℝ2 → ℝ2 such that its Jacobian at any point of ℝ2 is not zero. One is based on the notion of half-Reeb component and the other on the Palais-Smale condition. We improve the first condition using the notion of inseparable leaves. We provide a new proof of the sufficiency of the second condition. We prove that both conditions are not equivalent, more precisely we show that the Palais-Smale condition implies the nonexistence of inseparable leaves, but the converse is not true. Finally, we show that the Palais-Smale condition it is not a necessary condition for the global injectivity of the map X. © Canadian Mathematical Society 2007.503377389Andronov, A.A., Leontovich, E.A., Gordon, I.I., Maier, A.L., (1973) Qualitative theory of second-order dynamic systems, , Wiley, New YorkAmbrosetti, A., Rabinowitz, P.H., Dual variational methods in critical point theory and applications (1973) J. Functional Analysis, 14, pp. 349-381Cobos, M., Gutierrez, C., Llibre, J., On the injectivity of ρ{variant}1 maps on the real plane (2001) Canad. J. Math, 54 (6), pp. 1187-1201van den Essen, A., Polynomial Automorphisms and the Jacobian Conjecture (2000) Progress in Mathematics, 190. , Birkhauser Verlag, BaselFernandes, A., Gutierrez, C., Rabanal, R., Global asymptotic stability for differentiate vector fields of ℝ2 (2004) J. Differential Equations, 206 (2), pp. 470-482Gonzales Velasco, E.A., Generic properties of polynomial vector fields at infinity (1969) Trans. Amer. Math. Soc, 143, pp. 201-222Gutierrez, C., Nguyen, N.C., A remark on an eigenvalue condition for theghbal injectivity of differentiable maps of ℝ2 (2007) Disc. Cont. Dyn. Syst, 17 (2), pp. 397-402Jarque, X., Llibre, J., Polynomial foliations of ℝ 2 (2001) Pacific J. Math, 197 (1), pp. 53-72Jarque, X., Nitecki, Z., Hamiltonian stability in the plane (2000) Ergodic Theory Dynam. Systems, 20 (3), pp. 775-799Kaplan, W., Regular curve-families filling the plane. II (1941) Duke Math. J, 8, pp. 11-46Kotus, J., Krych, M., Nitecki, Z., Global structural stability of flows on open surfaces (1982) Mem. Amer. Math. Soc, 37 (261)Neumann, D., Classification of continuous flows on 2-manifolds (1975) Proc. Amer. Math. Soc, 48, pp. 73-81Pinchuck, S., A counterexample to the strong Jacobian conjecture (1994) Math. Z, 217 (1), pp. 1-4P. H. Rabinowitz, Minimax Methods in Critical Point Theory with Applications to Differential Eqautions, C.B.M.S. Regional Conference Series in Mathematics 65, American Mathematical Society, Providence, RI, 1986E. A. de B. e Silva and M. A. Teixeira, A version of Rolle's Theorem and applications. Bol. Soc. Brasil. Mat. 29(1998), no. 2, 301-328Pinchuck, S., Global injectivity and asymptotic stability via minimax method (2000) Progressin Nonlinear Analysis Nankai Ser. Pure Appl. Math. Theoret. Phys, 6, pp. 339-358. , World Sci. Publishing, River Edge, N