International Risk Sharing and the Choice of Exchange-Rate Regime

This paper examines the argument that the fixed exchange rate regime should be preferred to the flexible rate regime because the former allows risk sharing across countries while the latter does not. The analysis is performed in a two-country overlapping generations model, where markets are incomplete under either exchange regime. In this second best world, it is demonstrated that the ability to share risk across countries in the fixed rate regime does not necessarily lead to higher welfare than the inability to share risk in the flexible rate regime.

Hedge funds: an industry in its adolescence

The dramatic increase in the number of hedge funds and the "institutionalization" of the industry over the past decade have spurred rigorous research into hedge fund performance. This research has tended to uncover more questions than answers about the dynamic and multifaceted hedge fund industry. ; This article presents a simple hedge fund business model in which fund returns are a function of three key elements -- how the funds trade, where they trade, and how the positions are financed. The article also provides methods to help investors, intermediaries, and regulators identify systemic risk factors inherent in hedge fund strategies. ; Estimating these risk factors requires having an accurate history of hedge fund performance. The authors examine recent statistics from three commercial hedge fund databases and discuss the problems with database biases that must be recognized to obtain accurate measures of returns. ; While the data show that today's hedge funds use myriad strategies that have no uniform definition, the proposed business model implies that hedge fund managers are diversifying in order to maximize the enterprise value of their firms. But this diversification does not preclude the risk of leveraged opinions converging onto the same set of bets. Preventing convergence risk will require action by investors, intermediaries, regulators, and fund managers to improve industry-level disclosure and transparency while preserving the privacy of individual hedge funds' positions.Hedge funds

The Profitability of Currency Speculation

This paper presents the results of a post-sample simulation of a speculative strategy using a portfolio of foreign currency forward contracts.The main new features of the speculative strategy are (a)the use of Kalman filters to update the forecasting equation, (b) the allowance for transactions,costs and margin requirements and (c) the endogenous determination of the leveraging of the portfolio. While the forecasting model tended to overestimate profit and underestimate risk, the strategy was still profitable over a three year period and it was possible to reject the hypothesis that the sum of profits was zero. Furthermore, the currency portfolio was found to have an extremely low market risk. Combinations of the speculative currency portfolio with traditional portfolios of U.S. equities resulted in considerable improvements in risk-adjusted returns on capital.

Conversation Effects on Driving: Neural Mechanisms Underlying Reaction Times to Visual Events

OBJECTIVES The purpose of this study was to determine the behavioral and neural correlates of conversation effects on driving using the same visual event detection paradigm in brain imaging, behavioral testing, and closed-road driving experiments. METHODS The “load” paradigm (Young et al., 2005b) assessed the effects of conversation on visual event detection during simulated driving in behavioral labs, fMRI and MEG imaging centers, and actual driving on a closed road. Behavioral and imaging data were collected. The primary task was to depress a foot pedal in response to a small red light presented to the left or below the driving scene at unpredictable times. The secondary task was to engage in a conversation. The participant pressed a button to answer a ring tone, and then answered simple auditory questions such as “What is your birthdate?” fMRI and MEG data were analyzed to examine the neural substrates of driving with and without conversation. The correlation, reliability and repeatability across experimental settings were analyzed using statistical procedures such as random effect ANOVA and multivariate regression models with repeated measure adjustment. RESULTS The behavioral results from all sites demonstrated that conversation had a small but consistent increase in reaction time (about 70-200 ms) with no effect on miss rates compared to the “no conversation” baseline. The random effect ANOVA and adjusted regression models confirmed the conversation effect in all settings, with good reliability and repeatability. The fMRI results showed that conversation activated not only language-specific areas as expected, but also increased activation in fronto-parietal pathways engaged in sensory-motor integration, attention modulation, and decision execution (Young et al., 2005a). Results of MEG imaging showed that in the “no conversation” baseline, behavioral RT was inversely related to changes in MEG brain activity in the right superior parietal lobe: more modulation in brain activity in the 200-300 ms range after light onset resulted in shorter RTs, and less modulation in longer RTs. A similar relation to RT was also seen in brain activity in the visual cortex in the 85-90 ms interval after red light onset. Conversation again activated language-specific areas in the MEG study, and resulted in less modulation in the right parietal and visual regions (Bowyer et al., 2006). Accordingly, conversation tended to increase mean behavioral RT slightly (no conversation 926 ms; conversation 993 ms). Further experiments are required to determine if the reduction in modulation due to conversation arises from inhibition, interference, or a removal of facilitation from top-down attentional processes. CONCLUSIONS Conversation slightly increases visual event reaction times in laboratory and closed-road driving experiments compared to a no-conversation baseline, with little or no effect on miss rates. Common fMRI and MEG imaging findings revealed fronto-parietal and visual-auditory-motor networks associated with sensory-motor integration, decision-making, and attention modulation during a driving-like scenario. Conversation appears to contribute to increased reaction times by reducing brain modulation to visual events in the right superior parietal region and visual cortices. These experimental findings should not be interpreted as if conversation increases the rate of crashes in real-world driving when compared to baseline driving without real-world validation and comparison of reaction time effects from other in-vehicle tasks. REFERENCES Bowyer, S., Moran, J., Hsieh, L., Manoharan, A., Young R.A., Malladi, K., Yu, Y-J., Chiang, YR., Hersberger, R., Genik, R., & Tepley, N. (2006). MEG localization of neural mechanisms underlying reaction time to visual events while watching a driving video: Effects of conversation. International Congress Series: New Frontiers in Biomagnetism. Proceedings of the 15th International Conference on Biomagnetism. Vancouver, BC Canada, August 21-25. D. Cheyne, B. Ross, G. Stroink and H. Weinberg (Editors). Young, R.A., Hsieh, L., Graydon, F.X., Genik II, R., Benton, M.D., Green, C.C., Bowyer, S.M., Moran, J.E., & Tepley, N. (2005a). Mind-on-the-Drive: Real-time functional neuroimaging of cognitive brain mechanisms underlying driver performance and distraction. Human Factors in Driving, Telematics and Seating Comfort 2005, SP-1934. Society of Automotive Engineering, Warrendale, PA, April. Young, R.A., Aryal, B., Muresan, M., Ding, X., Oja, S., & Simpson, S. (2005b). Road-to-lab: Validation of the static load test for predicting on-road driving performance while using advanced in-vehicle information and communication devices. Proceedings of the Third International Driving Symposium on Human Factors in Driver Assessment, Training and Vehicle Design, Rockport, Maine, July

Observational and Dynamical Characterization of Main-Belt Comet P/2010 R2 (La Sagra)

We present observations of comet-like main-belt object P/2010 R2 (La Sagra) obtained by Pan-STARRS 1 and the Faulkes Telescope-North on Haleakala in Hawaii, the University of Hawaii 2.2 m, Gemini-North, and Keck I telescopes on Mauna Kea, the Danish 1.54 m telescope at La Silla, and the Isaac Newton Telescope on La Palma. An antisolar dust tail is observed from August 2010 through February 2011, while a dust trail aligned with the object's orbit plane is also observed from December 2010 through August 2011. Assuming typical phase darkening behavior, P/La Sagra is seen to increase in brightness by >1 mag between August 2010 and December 2010, suggesting that dust production is ongoing over this period. These results strongly suggest that the observed activity is cometary in nature (i.e., driven by the sublimation of volatile material), and that P/La Sagra is therefore the most recent main-belt comet to be discovered. We find an approximate absolute magnitude for the nucleus of H_R=17.9+/-0.2 mag, corresponding to a nucleus radius of ~0.7 km, assuming an albedo of p=0.05. Using optical spectroscopy, we find no evidence of sublimation products (i.e., gas emission), finding an upper limit CN production rate of Q_CN<6x10^23 mol/s, from which we infer an H2O production rate of Q_H2O<10^26 mol/s. Numerical simulations indicate that P/La Sagra is dynamically stable for >100 Myr, suggesting that it is likely native to its current location and that its composition is likely representative of other objects in the same region of the main belt, though the relatively close proximity of the 13:6 mean-motion resonance with Jupiter and the (3,-2,-1) three-body mean-motion resonance with Jupiter and Saturn mean that dynamical instability on larger timescales cannot be ruled out.Comment: 23 pages, 13 figures, accepted for publication in A

Imaging Performance of Quantitative Transmission Ultrasound

Quantitative Transmission Ultrasound (QTUS) is a tomographic transmission ultrasound modality that is capable of generating 3D speed-of-sound maps of objects in the field of view. It performs this measurement by propagating a plane wave through the medium from a transmitter on one side of a water tank to a high resolution receiver on the opposite side. This information is then used via inverse scattering to compute a speed map. In addition, the presence of reflection transducers allows the creation of a high resolution, spatially compounded reflection map that is natively coregistered to the speed map. A prototype QTUS system was evaluated for measurement and geometric accuracy as well as for the ability to correctly determine speed of sound

On epidemic modeling in real time: An application to the 2009 Novel A (H1N1) influenza outbreak in Canada

<p>Abstract</p> <p>Background</p> <p>Management of emerging infectious diseases such as the 2009 influenza pandemic A (H1N1) poses great challenges for real-time mathematical modeling of disease transmission due to limited information on disease natural history and epidemiology, stochastic variation in the course of epidemics, and changing case definitions and surveillance practices.</p> <p>Findings</p> <p>The Richards model and its variants are used to fit the cumulative epidemic curve for laboratory-confirmed pandemic H1N1 (pH1N1) infections in Canada, made available by the Public Health Agency of Canada (PHAC). The model is used to obtain estimates for turning points in the initial outbreak, the basic reproductive number (R₀), and for expected final outbreak size in the absence of interventions. Confirmed case data were used to construct a best-fit 2-phase model with three turning points. R₀was estimated to be 1.30 (95% CI 1.12-1.47) for the first phase (April 1 to May 4) and 1.35 (95% CI 1.16-1.54) for the second phase (May 4 to June 19). Hospitalization data were also used to fit a 1-phase model with R₀= 1.35 (1.20-1.49) and a single turning point of June 11.</p> <p>Conclusions</p> <p>Application of the Richards model to Canadian pH1N1 data shows that detection of turning points is affected by the quality of data available at the time of data usage. Using a Richards model, robust estimates of R₀were obtained approximately one month after the initial outbreak in the case of 2009 A (H1N1) in Canada.</p

Economics versus Politics: Pitfalls of Policy Advice

The standard approach to policy-making and advice in economics implicitly or explicitly ignores politics and political economy, and maintains that if possible, any market failure should be rapidly removed. This essay explains why this conclusion may be incorrect; because it ignores politics, this approach is oblivious to the impact of the removal of market failures on future political equilibria and economic efficiency, which can be deleterious. We first outline a simple framework for the study of the impact of current economic policies on future political equilibria and indirectly on future economic outcomes. We then illustrate the mechanisms through which such impacts might operate using a series of examples. The main message is that sound economic policy should be based on a careful analysis of political economy and should factor in its influence on future political equilibria

WISE/NEOWISE observations of Active Bodies in the Main Belt

We report results based on mid-infrared photometry of 5 active main belt objects (AMBOs) detected by the Wide-field Infrared Survey Explorer (WISE) spacecraft. Four of these bodies, P/2010 R2 (La Sagra), 133P/Elst-Pizarro, (596) Scheila, and 176P/LINEAR, showed no signs of activity at the time of the observations, allowing the WISE detections to place firm constraints on their diameters and albedos. Geometric albedos were in the range of a few percent, and on the order of other measured comet nuclei. P/2010 A2 was observed on April 2-3, 2010, three months after its peak activity. Photometry of the coma at 12 and 22 {\mu}m combined with ground-based visible-wavelength measurements provides constraints on the dust particle mass distribution (PMD), dlogn/dlogm, yielding power-law slope values of {\alpha} = -0.5 +/- 0.1. This PMD is considerably more shallow than that found for other comets, in particular inbound particle fluence during the Stardust encounter of comet 81P/Wild 2. It is similar to the PMD seen for 9P/Tempel 1 in the immediate aftermath of the Deep Impact experiment. Upper limits for CO2 & CO production are also provided for each AMBO and compared with revised production numbers for WISE observations of 103P/Hartley 2.Comment: 32 Pages, including 5 Figure