Trading volume and the number of trades: a comparative study using high frequency data

Trading volume and the number of trades are both used as proxies for market activity, with disagreement as to which is the better proxy for market activity. This paper investigates this issue using high frequency data for Cisco and Intel in 1997. A number of econometric methods are used, including GARCH augmented with lagged trading volume and number of trades, tests based on moment restrictions, regression analysis of volatility on volume and trades, normality of returns when standardized by volume and number of trades, and Correlation analysis using volatility generated from GARCH and realized volatility. Our results show that the number of trades is the better proxy for market activity.

Order Flow, Transaction Clock, and Normality of Asset Returns: A Comment on Ané and Geman (2000)

We investigate the procedure used by Ané and Geman (2000) to recover the moments of information flow from high frequency data in a model which generalizes the subordinated / mixture of distributions process in Clark (1973). Using Monte Carlo experiments we show that the third and higher moments of the latent information flow cannot be accurately recovered using their univariate procedure. We explain why this happens. In our data, returns conditioned on the recentered number of trades are not Gaussian.Subordinated process; Normality

Bootstrapping long memory tests: some Monte Carlo results

We investigate the bootstrapped size and power properties of five long memory tests, including the modified R/S, KPSS and GPH tests. In small samples, the moving block bootstrap controls the empirical size of the tests. However, for these sample sizes, the power of bootstrapped tests against fractionally integrated alternatives is often a good deal less than that of asymptotic tests. In larger samples, the power of the five tests is good against common fractionally integrated alternatives - the FI case and the FI with a stochastic volatility error case.

Bootstrapping the Small Sample Critical Values of the Rescaled Range Statistic

Finite sample critical values of the rescaled range or R/S statistic may be obtained by bootstrapping. The empirical size and power performance of these critical values is good. Using the post blackened, moving block bootstrap helps to replicate the time dependencies in the original data. The Monte Carlo results show that the asymptotic critical values in Lo (1991) should not be used.

On forecasting daily stock volatility: the role of intraday information and market conditions

Several recent studies advocate the use of nonparametric estimators of daily price vari- ability that exploit intraday information. This paper compares four such estimators, realised volatility, realised range, realised power variation and realised bipower variation, by examining their in-sample distributional properties and out-of-sample forecast ranking when the object of interest is the conventional conditional variance. The analysis is based on a 7-year sample of transaction prices for 14 NYSE stocks. The forecast race is conducted in a GARCH framework and relies on several loss functions. The realized range fares relatively well in the in-sample .t analysis, for instance, regarding the extent to which it brings normality in returns. However, overall the realised power variation provides the most accurate 1-day-ahead forecasts. Fore- cast combination of all four intraday measures produces the smallest forecast errors in about half of the sampled stocks. A market conditions analysis reveals that the additional use of intraday data on day t .. 1 to forecast volatility on day t is most advantageous when day t is a low volume or an up-market day. The results have implications for value-at-risk analysis.

Matching storage organisation to usage pattern in relational data bases

A significant improvement in the performance of data base systems may be achieved by dynamically optimising the storage organisation and the access paths in accordance with the usage patterns. The principle of defined relations may be .employed to ensure that a given relational data base is tuned to match its usage pattern. This thesis describes some original contributions to the solution of the update problem of defined relations. Some methods of improving the response time without impairing the utilization of disk space have been investigated, and a generalised page replacement algorithm for the management of the data base work space is recommended. The arguments in this thesis are supported by examples drawn from existing relational data bases. As a whole, the thesis emphasises the benefits of organising the data base in a manner dictated by the activity of its users

Will video caching remain energy efficient in future core optical networks?

AbstractOptical networks are expected to cater for the future Internet due to the high speed and capacity that they offer. Caching in the core network has proven to reduce power usage for various video services in current optical networks. This paper investigates whether video caching will still remain power efficient in future optical networks. The study compares the power consumption of caching in a current IP over WDM core network to a future network. The study considers a number of features to exemplify future networks. Future optical networks are considered where: (1) network devices consume less power, (2) network devices have sleep-mode capabilities, (3) IP over WDM implements lightpath bypass, and (4) the demand for video content significantly increases and high definition video dominates. Results show that video caching in future optical networks saves up to 42% of power consumption even when the power consumption of transport reduces. These results suggest that video caching is expected to remain a green option in video services in the future Internet

Thermal Analysis For The Purpose Of Fault Diagnosis of Commercial Proton Exchange Membrane Fuel Cells (PEMFC)

The world\u27s awareness towards the amount of destruction that our extensive and ignorant lifestyles in the past few decades have imposed on the environment is growing day after day. This resulted in an increased governmental and research interest towards the development and use of green technology. Fuel Cells are one of the green technologies that received a major share of research interest in the past decade. However, despite their promising features, Fuel Cell systems still lack a solid fault diagnosis and predictive maintenance study. There are numerous faults that have to be detected and diagnosed on a fuel cell power generator system, ranging from chemical faults, to electrical and power electronics faults such as: reactant leakages inside the Fuel Cell, Fuel Cell flooding and membrane drying out, membrane humidification and reactive gas feeding, the accumulation of nitrogen and/or water in the anode compartment, etc. The aim of this dissertation work is to develop and implement a model based fault diagnostic scheme for a commercial Proton Exchange Membrane Fuel Cell (PEMFC) system in order to improve its safety and reliability; despite the lack of important system information. To achieve this aim, a diagnosis-oriented model of a fuel cell power generator is developed and validated using actual experimental data. Genetic Algorithms (GA) and Particle Swarm Optimization (PSO) were both utilized in the parameter identification of two commercial PEMFC systems\u27 models. GA and PSO were used to extract the correct parameter values of the fuel cell system to minimize differences between experimental and simulated results. Furthermore, PSO was found to outperform GA in the identification process. The effect of severe environmental conditions of hot climate countries such as the UAE on a commercial PEMFC system is then studied and analyzed in simulation using MATLAB/SIMULINK through the developed dynamic system model. The thermal analysis results suggested that the fuel cell system under study would fail to start properly at ambient temperatures of 40°C and higher. Moreover, the faults that may affect the PEM fuel cell system are listed and their severity is analyzed. In a next step, a more comprehensive system model is developed and validated in LMS AMESim software using actual experimental data, and an appropriate fault diagnostic technique using residual generation is developed, tested and validated in LMS AMESim in order to detect and identify five potential abrupt faults, namely: drying of the membrane, flooding of the membrane, air leakage, hydrogen leakage in the supply manifold and cooling system failure. The use of LMS AMESim in the proposed modeling and fault diagnosis approach of this dissertation makes it possible to develop a fault diagnosis oriented model for any commercial PEMFC system despite the lack of crucial system information that are usually considered essential for modeling PEMFCs

Environmental Manipulations to Minimize Thermal Stress in Laying Hens in a Hot Humid Climate

Three experiments were carried out on laying hens (Hisex Brown) to investigate their performances and to determine the adverse effects of high environmental temperature. The hens were housed in light controlled rooms. Temperature treatment experiment (hot and cold), Light treatments experiment (light and dark) and acclimatization to acute heat (38.5) experiment. Rectal temperature, respiration rate, feed intake, egg production, eggshell quality, blood gas and plasma analysis were reported. The effects of high ambient temperature (35°C) and humidity (68.6%) on the physiology and production performance of laying hens showed a significant (p<O.Ol) increase in rectal temperature, respiratory rate, blood pH and efficiency of feed conversion. However the partial pressure of carbon dioxide (PC02), blood bicarbonate (He03-) concentration, feed intake, egg production, egg weight, eggshell thickness and albumen quality were significantly decreased (p<O.O5). Similarly the blood packed cell volume, haemoglobin, sodium, potassium, calcium and phosphorous concentrations were also significantly decreased (p<O.O5). Synchronization of the dark period with the hot period of the day (Ta; 3SoC, RH; 68.6%) to minimize heat stress in laying hens showed significant increases in feed intake and egg production (p<O.Ol), eggshell thickness (p<O.O5), pC02 (p<O.Ol) and blood HC03- concentration (p<O.O5). However, significant decreases in the efficiency of feed conversion (p<O.O5), egg weight (p<O.Ol) and rectal temperature (p<O.O5) were recorded. The blood pH, plasma calcium and phosphorous concentrations of the dark-treated and the light-treated groups were not significantly different. However, plasma cholesterol concentration of the light-treated group was significantly higher (p<O.Ol) than the dark-treated group when exposed to high ambient temperature. The heart was significantly (p<O.O5) heavier and enlarged in the birds kept in the light during the high environmental temperature of 35oC. Acclimatization studies on the dark-treated and light-treated laying hens to acute heat of 38.5°C increases the rectal temperature to 43.9°C and 44.1°C respectively on the first day of acute heat exposure. On the following days the rectal temperature gradually decreased reaching the lowest value on day three for the darktreated and day four for the light-treated group. Similarly, a significant increase in shank and comb temperatures were observed reflecting the body heat load, stimulating vasodilatation in an attempt to cool the body by heat dissipation. The blood pH of the dark-treated and the control groups increased to 7.59 and 7.58, respectively. The pC02 and HC03- concentrations were significantly (P<O.Ol) increased in the dark-treated group. Plasma cholesterol concentration was significantly (p<O.Ol) increased during light and decreased during dark treatments. High temperatures during light or darkness did not affect plasma calcium or phosphorous concentration. The result concluded that the efficiency of feed conversion was improved under heat stress. However, egg production and feed intake were decreased. Dark treatment improved acclimatization to acute heat. Exposure to heat during the light increased plasma cholesterol and heart weight