Money makes the world go round ... about the necessity of nonlinear techniques in interest rate forecasting

One of the key variables for a bank's management is the development of the "risk-free interest rate", which is the reference for all bond and loan rates as well as an indicator for the state of the economy and therefore the bank"s future perspectives. Turning towards long-term analysis, the risk-free rate is usually supposed to be the return of a superior-rated government bond (in most cases the return of the German 10-year Government Bond). Due to the importance of this risk-free rate, nearly all large economic and financial institutions deal with the analysis of its future development. In this paper we try to find out whether modelling non-linear relationships between variables can enhance forecast ability. We apply multi-layer perceptrons (MLP) as non-linear modelling tool beside an error correction model and a basic structural model with ARMA terms. Using seasonally unadjusted monthly data from 1960-2003, we forecast the interest rate for a two year hold-out sample. The obtained results give evidence of the underlying non-linearity of the problem. The MLP outperform the classical tools with regard to different error measures.Neural Networks, Interest Rate Forecasting

On arithmetic and asymptotic properties of up-down numbers

Let $\sigma=(\sigma_1,..., \sigma_N)$, where $\sigma_i =\pm 1$, and let $C(\sigma)$ denote the number of permutations $\pi$ of $1,2,..., N+1,$ whose up-down signature $\mathrm{sign}(\pi(i+1)-\pi(i))=\sigma_i$, for $i=1,...,N$. We prove that the set of all up-down numbers $C(\sigma)$ can be expressed by a single universal polynomial $\Phi$, whose coefficients are products of numbers from the Taylor series of the hyperbolic tangent function. We prove that $\Phi$ is a modified exponential, and deduce some remarkable congruence properties for the set of all numbers $C(\sigma)$, for fixed $N$. We prove a concise upper-bound for $C(\sigma)$, which describes the asymptotic behaviour of the up-down function $C(\sigma)$ in the limit $C(\sigma) \ll (N+1)!$.Comment: Recommended for publication in Discrete Mathematics subject to revision

Biochemistry and functional aspects of human glandular kallikreins

Human urinary kallikrein was purified by gel filtration on Sephacryl S-200 and affinity chromatography on aprotinin-Sepharose, followed by ion exchange chromatography on DEAE-Sepharose. In dodecylsulfate gel electrophoresis two protein bands with molecular weights of 41,000 and 34,000 were separated. The amino acid composition and the carbohydrate content of the kallikrein preparation were determined; isoleucine was identified as the only aminoterminal amino acid. The bimolecular velocity constant for the inhibition by diisopropyl fluorophosphate was determined as 9±2 l mol–1 min–1. The hydrolysis of a number of substrates was investigated and AcPheArgOEt was found to be the most sensitive substrate for human urinary kallikrein. Using this substrate an assay method for kallikrein in human urine was developed. It was shown by radioimmunoassay that pig pancreatic kallikrein can be absorbed in the rat intestinal tract. Furthermore, in dogs the renal excretion of glandular kallikrein from blood was demonstrated by radioimmunological methods

Emission Optics of the Steigerwald Type Electron Gun

The emission optics of a Steigerwald type electron gun is re-examined. The virtual and real points of divergence, divergence angles and beam-widths of the electron beams at different telefocusing strength are measured in detail for first time . Two different Wehnelt cylinders are used to establish a contrasting viewpoint. The original `focusing' curves measured by Braucks are reconstructed and will be explained only through a `new' interpretation which is different from the conventional views. While the image of the emitting surface in front of the filament is indeed telefocused beyond the anode, the envelope of the beam does not `focus' as expected. A new model for the emission mechanism is established based on our results.Comment: 14 pages, 10 figure

Stationary phase slip state in quasi-one-dimensional rings

The nonuniform superconducting state in a ring in which the order parameter vanishing at one point is studied. This state is characterized by a jump of the phase by $\pi$ at the point where the order parameter becomes zero. In uniform rings such a state is a saddle-point state and consequently unstable. However, for non-uniform rings with e.g. variations of geometrical or physical parameters or with attached wires this state can be stabilized and may be realized experimentally.Comment: 6 pages, 7 figures, RevTex 4.0 styl