The effect of net positions by type of trader on volatility in foreign currency futures markets

We investigate the effect of net positions by type of trader on return volatility in six foreign currency futures markets using the weekly Commitments of Traders (COT) data. When net positions are decomposed into expected and unexpected components, we find that expected net positions by type of trader generally do not co-vary with volatility. However, volatility is positively associated with shocks (in either direction) in net positions of speculators and small traders, and negatively related to shocks (in either direction) in net positions of hedgers. This evidence suggests that changes in speculative positions destabilize the market. Consistent with dispersion of beliefs models and noise trading theories, hedgers appear to possess private information, whereas speculators and small traders are less informed in these markets.Foreign currency exchange futures; return predictability

Investor sentiment and return predictability in agricultural futures markets

This study examines the usefulness of trader-position-based sentiment index for forecasting future prices in six major agricultural futures markets. It has been found that large speculator sentiment forecasts price continuations. In contrast, large hedger sentiment predicts price reversals. Small trader sentiment hardly forecasts future market movements. An investigation was performed into various sentiment-based timing strategies, and it was found that the combination of extreme large trader sentiments provides the strongest timing signal. These results are generally consistent with the hedging-pressure theory, suggesting that hedgers pay risk premiums to transfer nonmarketable risks in futures markets. Moreover, it does not appear that large speculators in the futures markets possess any superior forecasting ability.Investor sentiment; agricultural futures markets; return predictability

The behavior and performance of major types of futures traders

This article examines the behavior and performance of speculators and hedgers in 15 U.S. futures markets. We find that after controlling for market risk factors, speculators are contrarians, but respond positively to market sentiment. In contrast, hedgers engage in positive feedback trading and trade against market sentiment. We also find that trades of speculators (hedgers) are positively (negatively) correlated with subsequent abnormal returns; however, it does not appear that speculators possess superior forecasting power. Therefore, hedging pressure effects likely explain the negative relation between the performance of speculators and hedgers. The positive feedback trading by hedgers together with their negative performance suggests that hedgers have a destabilizing impact on futures prices.Trader behavior; perfromance; hedgers; speculators

The behavior and performance of major types of futures traders

This article examines the behavior and performance of speculators and hedgers in 15 U.S. futures markets. We find that after controlling for market risk factors, speculators are contrarians, but respond positively to market sentiment. In contrast, hedgers engage in positive feedback trading and trade against market sentiment. We also find that trades of speculators (hedgers) are positively (negatively) correlated with subsequent abnormal returns; however, it does not appear that speculators possess superior forecasting power. Therefore, hedging pressure effects likely explain the negative relation between the performance of speculators and hedgers. The positive feedback trading by hedgers together with their negative performance suggests that hedgers have a destabilizing impact on futures prices

Adaptive Backstepping Control of Uncertain Nonlinear Systems with Input and State Quantization

Author's accepted manuscript. © 2021 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.Although it is common in network control systems that the sensor and control signals are transmitted via a common communication network, no result is available in investigating the stabilization problem for uncertain nonlinear systems with both input and state quantization. The issue is solved in this article, by presenting an adaptive backstepping based control algorithm for the systems with sector bounded input/state quantizers. In addition to overcome the difficulty to proceed recursive design of virtual controls with quantized states, the relation between the input signal and error state need be well established to handle the effects due to input quantization. It is shown that all closed-loop signals are ensured uniformly bounded and all states will converge to a compact set. Experimental results are provided to validate the effectiveness of the proposed control scheme.acceptedVersio

Adaptive backstepping based consensus tracking of uncertain nonlinear systems with event-triggered communication

This paper investigates the consensus tracking problem for a class of uncertain high-order nonlinear systems with parametric uncertainties and event-triggered communication. Under a directed communication condition, a totally distributed adaptive backstepping based control scheme is presented. Specifically, a decentralized triggering condition is adopted in this paper such that continuous monitoring of neighboring states, as required in some existing results, can be avoided. Besides, to handle the non-differentiability problem of virtual controllers, which arises from the utilization of neighboring states collected only at the triggering instants, the virtual controllers in each recursive step are firstly designed with continuous communication. Then, the partial derivatives of these designed virtual controllers are adopted to construct distributed adaptive consensus controllers for the event based communication case. It is shown that with the presented distributed adaptive consensus control scheme and even-triggered communication mechanism, all the closed-loop signals are uniformly bounded and the output consensus tracking errors will converge to a compact set. Besides, the tracking performance in the mean square sense can be improved by appropriately adjusting design parameters.acceptedVersio

Distributed adaptive leader–follower and leaderless consensus control of a class of strict-feedback nonlinear systems : a unified approach

Author's accepted manuscript.Available from 16/05/2022.acceptedVersio

Genetic diversity and molecular discrimination of wild tea plants from Yunnan Province based on inter-simple sequence repeats (ISSR) markers

To efficiently assess and discriminate wild tea germplasms, inter-simple sequence repeats (ISSR) were used to determine genetic relationships among 40 wild tea plants. A total of 275 bands were generated with 15 ISSR primers, of which 274 (99.6%) were polymorphic. The mean genetic similarity coefficient, the mean Nei’s gene diversity (h) and the mean Shannon’s information index (I) of tea cultivars were 0.4180, 0.3797 and 0.5586, respectively. This suggested that the genetic diversity of wild tea trees and the genetic base were very wide. Unweighted pair group method with arithmetic mean (UPGMA) cluster analysis showed clear genetic relationships among these germplasms, and the major clusters were related to known pedigree relationships. Besides, from the bands amplified, there were three independent ways to identify the tea varieties, such as unique ISSR markers, unique band patterns and a combination of the band patterns provided by different primers. Finally, the ISSR fingerprints of 40 tea germplasms were constructed by the combination of the band patterns. This research indicated that ISSR markers were very effective in differentiating the wild tea varieties, too.Keywords: Wild tea plants, inter-simple sequence repeats (ISSR), molecular discrimination, genetic diversit

Adaptive control of uncertain nonlinear systems with quantized input signal

acceptedVersionNivå

New Metabolites From the Co-culture of Marine-Derived Actinomycete Streptomyces rochei MB037 and Fungus Rhinocladiella similis 35

Co-culture of different microbes simulating the natural state of microbial community may produce potentially new compounds because of nutrition or space competition. To mine its metabolic potential in depth, co-culture of Streptomyces rochei MB037 with a gorgonian-derived fungus Rhinocladiella similis 35 was carried out to stimulate the production of new metabolites in this study, using pure cultivation as control. Five metabolites were isolated successfully from co-culture broth, including two new fatty acids with rare nitrile group, borrelidins J and K (1 and 2), one chromone derivative as a new natural product, 7-methoxy-2,3-dimethylchromone-4-one (3), together with two known 18-membered macrolides, borrelidin (4) and borrelidin F (5). The structures of 1–3 were elucidated by using a combination of NMR and MS spectroscopy, ester hydrolysis, and optical rotation methods. Interestingly, 1 and 2 were obtained only in co-culture. Though 3 was gained from either co-culture or single culture, its production was increased significantly by co-culture. Compound 1 exhibited significant antibacterial activity against methicillin-resistant Staphylococcus aureus with a MIC value of 0.195 μg/mL