Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore

Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced sign forecastability, be used to produce direction-ofchange forecasts useful for market timing. We attempt to do so in the context of two key Asian equity markets, with some success, as assessed by formal probability forecast scoring rules such as the Brier score. An important ingredient is our conditioning not only on conditional variance information, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts.Volatility, variance, skewness, kurtosis, market timing, asset management, asset allocation, portfolio management.

Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence

Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced sign forecastability, be used to produce direction-of-change forecasts useful for market timing. We attempt to do so in an international sample of developed equity markets, with some success, as assessed by formal probability forecast scoring rules such as the Brier score. An important ingredient is our conditioning not only on conditional mean and variance information, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts.Volatility, variance, skewness, kurtosis, market timing, asset management, asset allocation, portfolio management

Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence

Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced sign forecastability, be used to produce direction-of change forecasts useful for market timing. We attempt to do so in an international sample of developed equity markets, with some success, as assessed by formal probability forecast scoring rules such as the Brier score. An important ingredient is our conditioning not only on conditional mean and variance information, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts.Volatility, variance, skewness, kurtosis, market timing, asset management, asset allocation, portfolio management

Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence

Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced sign forecastability, be used to produce direction-of change forecasts useful for market timing. We attempt to do so in an international sample of developed equity markets, with some success, as assessed by formal probability forecast scoring rules such as the Brier score. An important ingredient is our conditioning not only on conditional mean and variance information, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts.Volatility, variance, skewness, kurtosis, market timing, asset management, asset allocation, portfolio management

Tuned SMC Arms Drive Chromosomal Loading of Prokaryotic Condensin.

SMC proteins support vital cellular processes in all domains of life by organizing chromosomal DNA. They are composed of ATPase "head" and "hinge" dimerization domains and a connecting coiled-coil "arm." Binding to a kleisin subunit creates a closed tripartite ring, whose ∼47-nm-long SMC arms act as barrier for DNA entrapment. Here, we uncover another, more active function of the bacterial Smc arm. Using high-throughput genetic engineering, we resized the arm in the range of 6-60 nm and found that it was functional only in specific length regimes following a periodic pattern. Natural SMC sequences reflect these length constraints. Mutants with improper arm length or peptide insertions in the arm efficiently target chromosomal loading sites and hydrolyze ATP but fail to use ATP hydrolysis for relocation onto flanking DNA. We propose that SMC arms implement force transmission upon nucleotide hydrolysis to mediate DNA capture or loop extrusion

Radiation tests of the Silicon Drift Detectors for LOFT

During the three years long assessment phase of the LOFT mission, candidate to the M3 launch opportunity of the ESA Cosmic Vision programme, we estimated and measured the radiation damage of the silicon drift detectors (SDDs) of the satellite instrumentation. In particular, we irradiated the detectors with protons (of 0.8 and 11 MeV energy) to study the increment of leakage current and the variation of the charge collection efficiency produced by the displacement damage, and we "bombarded" the detectors with hypervelocity dust grains to measure the effect of the debris impacts. In this paper we describe the measurements and discuss the results in the context of the LOFT mission.Comment: Proc. SPIE 9144, Space Telescopes and Instrumentation 2014: Ultraviolet to Gamma Ray, 91446

On a generalised model for time-dependent variance with long-term memory

The ARCH process (R. F. Engle, 1982) constitutes a paradigmatic generator of stochastic time series with time-dependent variance like it appears on a wide broad of systems besides economics in which ARCH was born. Although the ARCH process captures the so-called "volatility clustering" and the asymptotic power-law probability density distribution of the random variable, it is not capable to reproduce further statistical properties of many of these time series such as: the strong persistence of the instantaneous variance characterised by large values of the Hurst exponent (H > 0.8), and asymptotic power-law decay of the absolute values self-correlation function. By means of considering an effective return obtained from a correlation of past returns that has a q-exponential form we are able to fix the limitations of the original model. Moreover, this improvement can be obtained through the correct choice of a sole additional parameter, $q_{m}$. The assessment of its validity and usefulness is made by mimicking daily fluctuations of SP500 financial index.Comment: 6 pages, 4 figure