A Performance Comparison of a Technical Trading System with ARIMA and VAR Models for Soybean Complex Prices

Both technical trading systems and standard economic time series models are based upon the assumption that current market prices are not independent of past market behavior. This study examines the relative performance of a Channel (CHL) technical trading system with an Autoregressive Integrated Moving Average (ARIMA) model and a Vector Autoregressive (VAR) model in forecasting soybean, soybean meal, and soybean oil prices over the period January 1984-June 1988. ARIMA and VAR models are developed over the time period January 1974-December 1983 and then are used to forecast out-of-sample from January 1984 through June 1988. The CHL trading signals and out-of-sample two month ahead forecasts from the ARIMA and VAR models are used to take positions in the futures markets. The resulting trading returns are evaluated to determine the relative economic performance of the models within the soybean complex. Of these models, the CHL technical trading system exhibits consistent trading returns across the soybean complex. Furthermore, the CHL technical trading system is robust across the two subperiods of the out-of-sample period, one of which is characterized by rising commodity prices and the other by declining commodity prices. These results suggest that in the short run, regularities within a single price series can be used to forecast prices within the soybean complex. Further, technical trading system prove more useful in utilizing such regularities for forecasting than the autoregressive or moving average processes found in either ARIMA or VAR modeling techniques

Adhesive Contact to a Coated Elastic Substrate

We show how the quasi-analytic method developed to solve linear elastic contacts to coated substrates (Perriot A. and Barthel E. {\em J. Mat. Res.}, {\bf 2004}, {\em 19}, 600) may be extended to adhesive contacts. Substrate inhomogeneity lifts accidental degeneracies and highlights the general structure of the adhesive contact theory. We explicit the variation of the contact variables due to substrate inhomogeneity. The relation to other approaches based on Finite Element analysis is discussed

X-Ray Searches for Emission from the WHIM in the Galactic Halo and the Intergalactic Medium

At least 50% of the baryons in the local universe are undetected and predicted to be in a hot dilute phase (1E5-1E7 K) in low and moderate overdensity environments. We searched for the predicted diffuse faint emission through shadowing observations whereby cool foreground gas absorbs more distant diffuse emission. Observations were obtained with Chandra and XMM-Newton. Using the cold gas in two galaxies, NGC 891 and NGC 5907, shadows were not detected and a newer observation of NGC 891 fails to confirm a previously reported X-ray shadow. Our upper limits lie above model predictions. For Local Group studies, we used a cloud in the Magellanic Stream and a compact high velocity cloud to search for a shadow. Instead of a shadow, the X-ray emission was brighter towards the Magellanic Stream cloud and there is a less significant brightness enhancement toward the other cloud also. The brightness enhancement toward the Magellanic Stream cloud is probably due to an interaction with a hot ambient medium that surrounds the Milky Way. We suggest that this interaction drives a shock into the cloud, heating the gas to X-ray emitting temperatures.Comment: 10 ApJ pages with 10 figure

Correlating Remote Sensing Data with the Abundance of Pupae of the Dengue Virus Mosquito Vector, Aedes aegypti, in Central Mexico

Using a geographic transect in Central Mexico, with an elevation/climate gradient, but uniformity in socio-economic conditions among study sites, this study evaluates the applicability of three widely-used remote sensing (RS) products to link weather conditions with the local abundance of the dengue virus mosquito vector, Aedes aegypti (Ae. aegypti). Field-derived entomological measures included estimates for the percentage of premises with the presence of Ae. aegypti pupae and the abundance of Ae. aegypti pupae per premises. Data on mosquito abundance from field surveys were matched with RS data and analyzed for correlation. Daily daytime and nighttime land surface temperature (LST) values were obtained from Moderate Resolution Imaging Spectroradiometer (MODIS)/Aqua cloud-free images within the four weeks preceding the field survey. Tropical Rainfall Measuring Mission (TRMM)-estimated rainfall accumulation was calculated for the four weeks preceding the field survey. Elevation was estimated through a digital elevation model (DEM). Strong correlations were found between mosquito abundance and RS-derived night LST, elevation and rainfall along the elevation/climate gradient. These findings show that RS data can be used to predict Ae. aegypti abundance, but further studies are needed to define the climatic and socio-economic conditions under which the correlations observed herein can be assumed to apply

Stock Options and Chief Executive Officer Compensation

Although stock options are commonly observed in chief executive o±cer (CEO) compensation contracts, there is theoretical controversy about whether stock options are part of the optimal contract. Using a sample of Fortune 500 companies, we solve an agency model calibrated to the company-specific data and we find that stock options are almost always part of the optimal contract. This result is robust to alternative assumptions about the level of CEO risk-aversion and the disutility associated with their effort. In a supplementary analysis, we solve for the optimal contract when there are no restrictions on the contract space. We find that the optimal contract (which is characterized as a state-contingent payoff to the CEO) typically has option-like features over the most probable range of outcomes

The Magellanic Stream, High-Velocity Clouds and the Sculptor Group

The Magellanic Stream is a 100\deg x 10\deg filament of gas which lies within the Galactic halo and contains ~ 2 x 10^8 \Msun of neutral hydrogen. We present data from the HI Parkes All Sky Survey (HIPASS) in the first complete survey of the entire Magellanic Stream and its surroundings. We also present a summary of the reprocessing techniques used to recover large-scale structure in the Stream. The Stream properties revealed include: bifurcation along the main Stream filament; dense, isolated clouds which follow the entire length of the Stream; head-tail structures; and a complex filamentary web at the head where gas is being freshly stripped away from the Small Magellanic Cloud and the Bridge. Debris which appears to be of Magellanic origin extends out to 20\deg from the main Stream filaments. The large number of elongated Stream clouds suggests the presence of shearing motions within the Stream, arising from tidal forces or interaction with the tenuous Galactic halo. Clouds along the sightline to the less distant half of the Sculptor Group, show anomalous properties. We argue that these clouds represent halo material, and are not distant Sculptor Group clouds. This result has significant implications for the hypothesis that there might exist distant, massive HVCs within the Local Group. (abridged

<i>Gaia</i> Data Release 1. Summary of the astrometric, photometric, and survey properties

Context. At about 1000 days after the launch of Gaia we present the first Gaia data release, Gaia DR1, consisting of astrometry and photometry for over 1 billion sources brighter than magnitude 20.7. Aims. A summary of Gaia DR1 is presented along with illustrations of the scientific quality of the data, followed by a discussion of the limitations due to the preliminary nature of this release. Methods. The raw data collected by Gaia during the first 14 months of the mission have been processed by the Gaia Data Processing and Analysis Consortium (DPAC) and turned into an astrometric and photometric catalogue. Results. Gaia DR1 consists of three components: a primary astrometric data set which contains the positions, parallaxes, and mean proper motions for about 2 million of the brightest stars in common with the HIPPARCOS and Tycho-2 catalogues – a realisation of the Tycho-Gaia Astrometric Solution (TGAS) – and a secondary astrometric data set containing the positions for an additional 1.1 billion sources. The second component is the photometric data set, consisting of mean G-band magnitudes for all sources. The G-band light curves and the characteristics of ∼3000 Cepheid and RR-Lyrae stars, observed at high cadence around the south ecliptic pole, form the third component. For the primary astrometric data set the typical uncertainty is about 0.3 mas for the positions and parallaxes, and about 1 mas yr−1 for the proper motions. A systematic component of ∼0.3 mas should be added to the parallax uncertainties. For the subset of ∼94 000 HIPPARCOS stars in the primary data set, the proper motions are much more precise at about 0.06 mas yr−1. For the secondary astrometric data set, the typical uncertainty of the positions is ∼10 mas. The median uncertainties on the mean G-band magnitudes range from the mmag level to ∼0.03 mag over the magnitude range 5 to 20.7. Conclusions. Gaia DR1 is an important milestone ahead of the next Gaia data release, which will feature five-parameter astrometry for all sources. Extensive validation shows that Gaia DR1 represents a major advance in the mapping of the heavens and the availability of basic stellar data that underpin observational astrophysics. Nevertheless, the very preliminary nature of this first Gaia data release does lead to a number of important limitations to the data quality which should be carefully considered before drawing conclusions from the data