Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy?

This article presents a comprehensive analysis of the relative ability of three information sets—daily trading volume, intraday returns and overnight returns—to predict equity volatility. We investigate the extent to which statistical accuracy of one-day-ahead forecasts translates into economic gains for technical traders. Various profitability criteria and utility-based switching fees indicate that the largest gains stem from combining historical daily returns with volume information. Using common statistical loss functions, the largest degree of predictive power is found instead in intraday returns. Our analysis thus reinforces the view that statistical significance does not have a direct mapping onto economic value. As a byproduct, we show that buying the stock when the forecasted volatility is extremely high appears largely profitable, suggesting a strong return-risk relationship in turbulent conditions

Molecular Identification of Listeria monocytogenes in Raw Hamburgers from Kerman, South-East of Iran

Background: Listeria monocytogenes is a Gram-positive and facultative anaerobic food-borne bacterium which is capable of intra and extra cellular growth. L. monocytogenes usually can exist on different surfaces and instruments at production and processing sites of food products with animal origin. In Iran, the consumption of burger has increased recently, but its safety is still of great concern. Despite few reports from some areas of Iran, there is limited information about burger contamination in Kerman province. Therefore, this research was set to molecular identification of L. monocytogenes in hamburgers distributed in Kerman, Iran. Methods: A total of 100 raw hamburgers were collected from 20 fast food/sandwich shops in Kerman city, Iran during summer 2014. The hamburgers stored in ice box and transported to the food hygiene laboratory. The samples were microbiologically analyzed for the presence of L. monocytogenes. The isolated bacteria were confirmed by molecular assay. Results: Three out of 100 (3%) hamburger samples were biochemically diagnosed as Listeria contamination; however molecular identification assay confirmed that two of them were L. monocytogenes. Conclusion: Although the prevalence rate of L. monocytogenes was not high in hamburger samples of Kerman, the risk of human listeriosis must not be ignored or underestimated. Further surveys are required in future for risk assessment of this pathogenic bacterium in other food products distributed in the country.&nbsp

Nieuw Cultureel Burgerschap

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Modeling long memory in REITs

One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily REITs and compares the findings for a non-REIT equity index. The paper utilizes a variety of tests for long memory finding evidence that REIT volatility does display persistence, in contrast to the actual return series. Trading volume is found to be strongly associated with long memory. The results do however suggest differences in the findings with regard to REITs in comparison to the broader equity sector which may be due to relatively thin trading during the sample period