Stochastically Consistent Caching and Dynamic Duty Cycling for Erratic Sensor Sources

We present a novel dynamic duty cycling scheme to maintain stochastic consistency for caches in sensor networks. To reduce transmissions, base stations often maintain caches for erratically changing sensor sources. Stochastic consistency guarantees the cache-source deviation is within a pre-specified bound with a certain confidence level. We model the erratic sources as Brownian motions, and adaptively {\it predict} the next cache update time based on the model. By piggybacking the next update time in each regular data packet, we can dynamically adjust the relaying nodes' duty cycles so that they are awake before the next update message arrives, and are sleeping otherwise. Through simulations, we show that our approach can achieve very high source-cache fidelity with low power consumption on many real-life sensor data. On average, our approach consumes 4-5 times less power than GAF~\cite{gaf}, and achieves 50\% longer network lifetime

An extreme value theory approach to calculating minimum capital risk requirements

This paper investigates the frequency of extreme events for three LIFFE futures contracts for the calculation of minimum capital risk requirements (MCRRs). We propose a semiparametric approach where the tails are modelled by the Generalized Pareto Distribution and smaller risks are captured by the empirical distribution function. We compare the capital requirements form this approach with those calculated from the unconditional density and from a conditional density - a GARCH(1,1) model. Our primary finding is that both in-sample and for a hold-out sample, our extreme value approach yields superior results than either of the other two models which do not explicitly model the tails of the return distribution. Since the use of these internal models will be permitted under the EC-CAD II, they could be widely adopted in the near future for determining capital adequacies. Hence, close scrutiny of competing models is required to avoid a potentially costly misallocation capital resources while at the same time ensuring the safety of the financial system

Dutch disease-cum-financialization booms and external balance cycles in developing countries

We formally investigate the medium-to-long-run dynamics emerging out of a Dutch disease-cum-financialization phenomenon. We take inspiration from the most recent Colombian development pattern. The “pure” Dutch disease first causes deindustrialization by permanently appreciating the economy’s exchange rate in the long run. Financialization, i.e. booming capital inflows taking place in a climate of natural resource-led financial over-optimism, causes medium-run exchange rate volatility and macroeconomic instability. This jeopardizes manufacturing development even further by raising macroeconomic uncertainty. We advise the adoption of capital controls and a developmentalist monetary policy to tackle these two distinct but often intertwined phenomena

The effect of asymmetries on stock index return value-at-risk estimates

It is widely accepted that equity return volatility increases more following negative shocks rather than positive shocks. However, much of value-at-risk (VaR) analysis relies on the assumption that returns are normally distributed (a symmetric distribution). This article considers the effect of asymmetries on the evaluation and accuracy of VaR by comparing estimates based on various models

Indifference Pricing of Weather Derivatives

Weather derivatives are difficult to price due to the nontradability of weather and the absence of liquid secondary markets for these contracts. We use the concept of indifference pricing to develop a model for calculating the willingness to pay for weather insurance. Compared with other approaches, indifference pricing is less ambitious since it does not attempt to predict a transacted market price. The application of indifference pricing in the case of German crop producers shows that their willingness to pay for weather insurance depends on the production program and varies regionally. This suggests the development of tailored insurance products. Copyright 2008, Oxford University Press.