THE EFFICIENCY OF THE FUTURES MARKET FOR AGRICULTURAL COMMODITIES IN THE UK

This paper uses cointegration procedures to test for agricultural commodity futures market efficiency in the UK. Cointegration between spot and futures prices is a necessary condition for market efficiency where these prices are characterised by stochastic trends (Lai and Lai 1991). In addition, acceptance of the 'unbiasedness hypothesis' requires that the spot and lagged futures prices are cointegrated with the cointegrating vector (1, -1). Alternatively, Brenner and Kroner (1995) use a no-arbitrage cost-of-carry model to argue that the existence of cointegration between spot and futures prices depends on the time series properties of the cost-of-carry. According to Brenner and Kroner (1995), a tri-variate cointegrating relationship (the BK hypothesis) should exist among the spot price, the lagged futures price and the lagged interest rate (that component of cost-of-carry most likely to be non-stationary). These variables should be cointegrated with a cointegrating vector (1, -1, 1). Kellard (2002) finds that both bi-variate and tri-variate cointegrating relationships are found in a sample from the wheat futures market in the UK, and thus the so-called "cointegration paradox" emerges. As Kellard (2002) points out this paradox exists because it is theoretically impossible for two variables to be cointegrated with each other while simultaneously being cointegrated with a third variable. Using a larger sample of wheat futures market prices from LIFFE both the 'unbiasedness hypothesis' and the 'BK hypothesis' are examined. The results indicate that the 'BK hypothesis' should be rejected.Marketing,

On the Convergence of Ritz Pairs and Refined Ritz Vectors for Quadratic Eigenvalue Problems

For a given subspace, the Rayleigh-Ritz method projects the large quadratic eigenvalue problem (QEP) onto it and produces a small sized dense QEP. Similar to the Rayleigh-Ritz method for the linear eigenvalue problem, the Rayleigh-Ritz method defines the Ritz values and the Ritz vectors of the QEP with respect to the projection subspace. We analyze the convergence of the method when the angle between the subspace and the desired eigenvector converges to zero. We prove that there is a Ritz value that converges to the desired eigenvalue unconditionally but the Ritz vector converges conditionally and may fail to converge. To remedy the drawback of possible non-convergence of the Ritz vector, we propose a refined Ritz vector that is mathematically different from the Ritz vector and is proved to converge unconditionally. We construct examples to illustrate our theory.Comment: 20 page

Non-Abelian Medium Effects in Quark-Gluon Plasma

Based on the kinetic theory, the non-Abelian medium property of hot Quark-Gluon Plasma is investigated. The nonlinearity of the plasma comes from two aspects: The nonlinear wave-wave interaction and self-interaction of color field. The non-Abelian color permittivity is obtained by expanding the kinetic equations to third order. As an application, the nonlinear Landau damping rate and the nonlinear eigenfrequency shift are calculated in the longwave length limit.Comment: 12 pages(Revtex), no figure

Electron quantum interference in epitaxial antiferromagnetic NiO thin films

The electron reflectivity from NiO thin films grown on Ag(001) has been systematically studied as a function of film thickness and electron energy. A strong electron quantum interference effect was observed from the NiO film, which is used to derive the unoccupied band dispersion above the Fermi surface along the Γ-X direction using the phase accumulation model. The experimental bands agree well with first-principles calculations. A weaker electron quantum interference effect was also observed from the CoO film

Quasispecies distribution of Eigen model

We study sharp peak landscapes (SPL) of Eigen model from a new perspective about how the quasispecies distribute in the sequence space. To analyze the distribution more carefully, we bring forth two tools. One tool is the variance of Hamming distance of the sequences at a given generation. It not only offers us a different avenue for accurately locating the error threshold and illustrates how the configuration of the distribution varies with copying fidelity $q$ in the sequence space, but also divides the copying fidelity into three distinct regimes. The other tool is the similarity network of a certain Hamming distance $d_{0}$, by which we can get a visual and in-depth result about how the sequences distribute. We find that there are several local optima around the center (global optimum) in the distribution of the sequences reproduced near the threshold. Furthermore, it is interesting that the distribution of clustering coefficient $C(k)$ follows lognormal distribution and the curve of clustering coefficient $C$ of the network versus $d_{0}$ appears as linear behavior near the threshold.Comment: 13 pages, 6 figure