A blocking and regularization approach to high dimensional realized covariance estimation

We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven grouping of assets of similar trading frequency ensures the reduction of data loss due to refresh time sampling. In an extensive simulation study mimicking the empirical features of the S&P 1500 universe we show that the ’RnB’ estimator yields efficiency gains and outperforms competing kernel estimators for varying liquidity settings, noise-to-signal ratios, and dimensions. An empirical application of forecasting daily covariances of the S&P 500 index confirms the simulation results

Internalisation by electronic FX spot dealers

Dealers in over-the-counter financial markets provide liquidity to customers on a principal basis and manage the risk position that arises out of this activity in one of two ways. They may internalise a customer's trade by warehousing the risk in anticipation of future offsetting flow, or they can externalise the trade by hedging it out in the open market. It is often argued that internalisation underlies much of the liquidity provision in the currency markets, particularly in the electronic spot segment, and that it can deliver significant benefits in terms of depth and consistency of liquidity, reduced spreads, and a diminished market footprint. However, for many market participants, the internalisation process can be somewhat opaque, data on it are scarcely available, and even the largest and most sophisticated customers in the market often do not appreciate or measure the impact that internalisation has on their execution costs and liquidity access. This paper formulates a simple model of internalisation and uses queuing theory to provide important insights into its mechanics and properties. We derive closed form expressions for the internalisation horizon and demonstrate—using data from the Bank of International Settlement's triennial FX survey—that a representative tier 1 dealer takes on average several minutes to complete the internalisation of a customer's trade in the most liquid currencies, increasing to tens of minutes for emerging markets. Next, we analyse the costs of internalisation and show that they are lower for dealers that are willing to hold more risk and for those that face more price-sensitive traders. The key message of the paper is that a customer's transaction costs and liquidity access are determined both by their own trading decisions as well as the dealer's risk management approach. A customer should not only identify the externalisers but also distinguish between passive and aggressive internalisers, and select those that provide liquidity compatible with their execution objectives

Hesitation Markers in Sign Language of the Netherlands A Corpus-Based Study

We present one of the first detailed studies on hesitation marking in a sign language. Based on the analysis of a set of monologues and dialogues from the Corpus NGT (Crasborn and Zwitserlood 2008; Crasborn, Zwitserlood, and Ros 2008), we describe the form and position of manual and nonmanual markers of hesitation in Sign Language of the Netherlands (NGT). We show that palm-up, used as a hesitation marker, is akin to a "filled pause" in spoken language, both in its formal properties and its distribution. palm-up is regularly used to mark hesitation in dialogues, but far less commonly in monologues, which we suggest indicates that palm-up is used deliberately by signers to signal a delay in signing (cf. e.g., Maclay and Osgood 1959). Other manual markers of hesitation include sign holds and breaks in signing; their form and patterning in the data suggest they are closer to "unfilled pauses" in speech. As for nonmanuals, we show that all instances of hesitation in our data are marked by a change in the direction of eye gaze, suggesting that this is a clear pragmatic cue that signers use-intentionally or not-to signal a planning problem in signing. This fits well with previous observations that eye gaze plays an important role in turn-taking regulation in sign languages (e.g., Baker 1977)

Signing NOT (or not): A typological perspective on standard negation in Sign Language of the Netherlands

The expression of standard negation by means of manual and/or non-manual markers has been described for a considerable number of sign languages. Typological comparisons have revealed an intriguing dichotomy: while some sign languages require a manual negative element in negative clauses (manual-dominant sign languages), in others negation can be realized by a non-manual marker alone (in particular a headshake; non-manual-dominant sign languages). We are here adding data from Sign Language of the Netherlands (NGT) to the picture, and we demonstrate that NGT belongs to the latter group. Still, detailed comparison suggests that NGT patterns differently from other non-manual-dominant sign languages, thereby improving our understanding of the typological variation in this domain. A novel contribution of the present study is that it is based on naturalistic corpus data, showing more variation than often found in elicitation and grammaticality judgment studies of sign languages, but also presenting new problems of interpretation

Biased polar question forms in Sign Language of the Netherlands (NGT):Two functions of headshake

We identify several polar question forms in Sign Language of the Netherlands (NGT) through a production experiment in which we manipulate two types of biases: (i) the prior expectations of the person asking the question, and (ii) the evidence available in the immediate context of utterance. Our analysis in the present paper focuses on forms involving headshake. We find that in some cases headshake expresses negation, as expected, but in other cases it fulfils another function, namely, it is part of a sentence-final phrase either expressing uncertainty or signalling a request for a response from the addressee, or possibly both at the same time. We further observe that each question form has a distinct ‘bias profile’, indicating a certain combination of prior expectations and contextual evidence. Besides these empirical findings, our study also makes a methodological contribution: our experimental design could be used in future work to identify polar question forms with different bias profiles in sign languages other than NGT, as well as visual cues accompanying polar questions with different bias profiles in spoken languages

Some properties of Neg-raising in three sign languages

Neg-raising, the phenomenon whereby a negation in the main clause of a complex construction is interpreted as if belonging to the embedded clause, has been intensively studied in spoken languages. The same cannot be said for sign languages. In this paper, we investigate the properties of Neg-raising constructions in three sign languages: French Sign Language, Italian Sign Language, and Sign Language of the Netherlands.We report on two syntactic tests we applied to disambiguate Neg-raising and non-Negraising readings, showing that Neg-raising constructions have similar properties in the three sign languages that we studied, as well as in comparable constructions in spoken languages. We also discuss some intricate headshake spreading patterns we found in Neg-raising constructions in Sign Language of the Netherlands, a non-manual dominant sign language

TrueDepth measurements of facial expressions: Sensitivity to the angle between camera and face

Facial expressions play an important role in communication, especially in sign languages. Linguistic analysis of the exact contribution of facial expressions, as well as the creation of realistic conversational avatars, especially sign language avatars, requires accurate measurements of the facial expressions of humans while engaged in linguistic interaction. Several recent projects have employed a TrueDepth camera to make such measurements. The present paper investigates how reliable this technique is. In particular, we consider the extent to which the obtained measurements are affected by the angle between the camera and the face. Overall, we find that there are generally significant, and often rather substantial differences between measurements from different angles. However, when the measured facial features are highly activated, measurements from different angles are generally strongly correlated