Diversification in euro area stock markets: country versus industry

The harmonisation of fiscal and economic policy within the European Monetary Union (EMU) has had a considerable impact on the economies of member countries in the past decade. In particular, several studies indicate that the proceeding economic integration among euro area countries has important consequences for the factors driving asset returns in financial markets. This study concentrates on the implications of the changing structure of security returns for asset management. Using recent euro area stock markets data, we find clear evidence that diversification over industries yields more efficient portfolios than diversification over countries. We show that this result is robust with respect to the information technology-hype and different volatility regimes. This contrasts with e.g. Rouwenhorst (1999), who finds, based on a different methodology and a different sample period, that country diversification strategies are superior. We regard this paper as a robustness check challenging the existing strand of literature and show that Rouwenhorst’s (1999) conclusions seem to be outdated. JEL Classification: G11, G15country, EMU, euro area stock markets, industry factors, portfolio diversification

Unpredictable After All? A short note on exchange rate predictability

Earlier research has shown that it is very hard to outperform the random walk model with respect to forecasting exchange rates. In this paper we propose an extension to the regular regime-switching model in order to capture the exchange rate dynamics. The model is extended by including macro-economic variables, like inflation and interest rates, into both regimes. The regimes not only have different means and volatility's, but also different sensitivities to the macro-economic variables. We will show that this approach doesn't work over the whole sample, although previous research work might indicate otherwise. Furthermore we will elaborate on sub samples, in which the model showed a better performance than the random walk model, and show that this is rather coincidence.exchange rates;econometrics;forecasting;economic variables;regime-switching model

Separation and Renaming in Nominal Sets

Nominal sets provide a foundation for reasoning about names. They are used primarily in syntax with binders, but also, e.g., to model automata over infinite alphabets. In this paper, nominal sets are related to nominal renaming sets, which involve arbitrary substitutions rather than permutations, through a categorical adjunction. In particular, the left adjoint relates the separated product of nominal sets to the Cartesian product of nominal renaming sets. Based on these results, we define the new notion of separated nominal automata. We show that these automata can be exponentially smaller than classical nominal automata, if the semantics is closed under substitutions

Adoption of vehicular ad hoc networking protocols by networked robots

This paper focuses on the utilization of wireless networking in the robotics domain. Many researchers have already equipped their robots with wireless communication capabilities, stimulated by the observation that multi-robot systems tend to have several advantages over their single-robot counterparts. Typically, this integration of wireless communication is tackled in a quite pragmatic manner, only a few authors presented novel Robotic Ad Hoc Network (RANET) protocols that were designed specifically with robotic use cases in mind. This is in sharp contrast with the domain of vehicular ad hoc networks (VANET). This observation is the starting point of this paper. If the results of previous efforts focusing on VANET protocols could be reused in the RANET domain, this could lead to rapid progress in the field of networked robots. To investigate this possibility, this paper provides a thorough overview of the related work in the domain of robotic and vehicular ad hoc networks. Based on this information, an exhaustive list of requirements is defined for both types. It is concluded that the most significant difference lies in the fact that VANET protocols are oriented towards low throughput messaging, while RANET protocols have to support high throughput media streaming as well. Although not always with equal importance, all other defined requirements are valid for both protocols. This leads to the conclusion that cross-fertilization between them is an appealing approach for future RANET research. To support such developments, this paper concludes with the definition of an appropriate working plan