Least Median of Squares Estimation by Optimization Heuristics with an Application to the CAPM and Multi Factor Models

For estimating the parameters of models for financial market data, the use of robust techniques is of particular interest. Conditional forecasts, based on the capital asset pricing model, and a factor model are considered. It is proposed to consider least median of squares estimators as one possible alternative to ordinary least squares. Given the complexity of the objective function for the least median of squares estimator, the estimates are obtained by means of optimization heuristics. The performance of two heuristics is compared, namely differential evolution and threshold accepting. It is shown that these methods are well suited to obtain least median of squares estimators for real world problems. Furthermore, it is analyzed to what extent parameter estimates and conditional forecasts differ between the two estimators. The empirical analysis considers daily and monthly data on some stocks from the Dow Jones Industrial Average Index (DJIA).LMS, CAPM, Multi Factor Model, Differential Evolution, Threshold Accepting

Optimized U-type Designs on Flexible Regions

The concept of a flexible region describes an infinite variety of symmetrical shapes to enclose a particular region of interest within a space. In experimental design, the properties of a function on the region of interest is analyzed based on a set of design points. The choice of design points can be made based on some discrepancy criterion. This paper investigates the generation of design points on a flexible region. It uses a recently proposed new measure of discrepancy for this purpose, the Central Composite Discrepancy. The optimization heuristic Threshold Accepting is used to generate low discrepancy Utype designs. The proposed algorithm is capable to construct optimal U-type designs under various flexible experimental regions in two or more dimensions. The illustrative results for the two dimensional case indicate that using an optimization heuristic in combination with an appropriate discrepancy measure, it is possible to produce high quality experimental designs on flexible regions.Central composite discrepancy, Experimental design, Flexible regions, Threshold accepting, U-type design

Introduction to the new usability

This paper introduces the motivation for and concept of the "new usability" and positions it against existing approaches to usability. It is argued that the contexts of emerging products and systems mean that traditional approaches to usability engineering and evaluation are likely to prove inappropriate to the needs of "digital consumers." The paper briefly reviews the contributions to this special issue in terms of their relation to the idea of the "new usability" and their individual approaches to dealing with contemporary usability issues. This helps provide a background to the "new usability" research agenda, and the paper ends by posing what are argued to be the central challenges facing the area and those which lie at the heart of the proposed research agenda

Significance of Sedimentological Studies on the Wisconsinan Stratigraphy of Southern Ontario

Detailed facies mapping along Lake Erie and Lake Ontario Bluffs, plus other studies illustrate that sedimentological studies, especially those with geomorphic or landform control, have had three main effects on the Wisconsinan stratigraphy of Ontario: (1) improved understanding of depositional processes and environments of several major rock stratigraphic units, without altering the stratigraphic framework, (2) aided correlation of drift sequences, and (3) questioned previous interpretations and stratigraphic correlations of drift sequences. Thus sedimentological analysis can not be separated from stratigraphy because the interpretation of depositional environnments of many mapped strata relies on their geometry and the inclusion of regional data. The geomorphic control provided by sedimentological study of surface landforms is also important because assessment of older buried sediments such as those at the Scarborough Bluffs has been hampered by the failure to determine landform control. The Late Wisconsinan stratigraphy of Southern Ontario generally remains unchanged, except for questions on the role of climate versus ice margin dynamics. The pre-Late Wisconsinan stratigraphy is scarce and not well defined, yet sedimentary studies support the presence of glacial ice in the Ontario Lake basin for all of the Middle Wisconsinan and possibly earlier, including the formation of the Scarborough delta. Large channel cut and fill sequences in the Toronto area (Pottery Road Formation), initially interpreted as resulting from subaerial erosion, were probably formed by subaqueous or subglacial meltwater erosion. If so, the pre-Late Wisconsinan stratigraphy in southern Ontario changes because the Pottery Road Formation may not be an Early Wisconsinan correlative of the St. Pierre beds. The channel example illustrates that stratigraphie correlation without sedimentological investigations may be misleading.La cartographie détaillée des faciès le long des falaises du lac Erié et du lac Ontario ainsi que d'autres études ont démontré que les études de sédimentologie, qui tiennent compte du contexte géomorphologique, ont eu des résultats bénéfiques pour rétablissement de la stratigraphie du Wisconsinien en Ontario, notamment : 1) une meilleure compréhension des processus et des environnements sédimentaires de plusieurs unités stratigraphiques, sans qu'il y ait modification du cadre stratigraphique général ; 2) une meilleure corrélation entre les séquences de dépôts; 3) une remise en question de certaines interprétations antérieures et de certaines corrélations entre les séquences de dépôts. Ces résultats démontrent que l'analyse sédimentologique est fortement liée à la stratigraphie étant donné que les milieux de dépôts ne peuvent s'expliquer qu'en tenant compte de leur géométrie et du contexte régional. La connaissance de la géomorphologie qu'on obtient grâce aux études de sédimentologie des formes est aussi très importante, car on constate que certaines interprétations des sédiments anciens enfouis ont été erronées pour ne pas avoir tenu compte du rôle de la morphologie. La stratigraphie du Wisconsinien supérieur du sud de l'Ontario demeure à peu près inchangée, sauf en ce qui a trait au rôle du climat et à celui de la marge glaciaire. La stratigraphie d'avant le Wisconsinien supérieur est encore mal définie, mais les études de sédimentologie indiquent que les glaciers ont occupé le bassin du lac Ontario, y compris le delta de la Formation de Scarborough, pendant tout le Wisconsinien moyen, peut-être même avant. Certaines séries de grands chenaux d'érosion et de comblement dans la région de Toronto (Formation de Pottery Road), interprétés d'abord comme ayant été formés par érosion subaérienne. Ie furent plus vraisemblablement par l'action érosive des eaux de fonte sous-aquatiques et sous-glaciaires.Die detaillierte kartographie der Fazies entlang des Erie-Sees und der Steilufer des Ontario-Sees veranschaulichen zusammen mit anderen Studien, dafi die sedimentologischen Studien, insbesondere diejenigen mit geomorphologischer oder Landform-Kontrolle, drei Hauptauswirkungen auf die Erstellung der Wisconsin-Stratigraphie von Ontario hatten: 1) ein besseres Verstàndnis der AbIagerungsprozesse und -umbegungen von einigen wichtigen stratigraphischen Felseinheiten ohne Ànderung des stratigraphischen Rahmens, 2) eine verbesserte Korrelation der Aufeinanderfolge der Ablagerungen und 3) eine Infragestellung von frùheren Interpretationen und stratigraphischen Korrelationen der Aufeinanderfolge von Ablagerungen. Also kann eine sedimentologische Analyse nicht von der Stratigraphie getrennt werden, weil die Interpretation der Ablagerungsumgebungen vieler kartographisch festgehaltener Strata auf ihrer Géométrie beruht, sowie auf der Einbeziehung regionaler Daten. Die geomorphologische Kontrolle, die durch die sedimentologische Studie der Oberflâchenlandformen gewàhrt wird, ist auch wichtig, weil die Einschâtzung altérer vergrabener Sedimente, wie die an den Steilufern von Scarborough behindert wurde, weil die Landform-Kontrolle nicht durchgefiihrt wurde. Die Stratigraphie von Sud-Ontario im spàten Wisconsin bleibt im allgemeinen unveràndert mit Ausnahme von Fragen. die die RoIIe des Klimas gegenùber der Dynamik der Eisgrenze betreffen. Die Stratigraphie vor dem spaten Wisconsin ist spârlich und nicht gut definiert, doch bekràftigen Sediment-Studien das Vor-kommen von glazialem Eis im Becken des Ontario-Sees und auch in der Ausformung des Scarborough Deltas fur das ganze mittlere Wisconsin und môglicherweise auch friiher. Die Folgen von breiten Rinneneinschnitten und Aufschuttungen im Gebiet von Toronto (Pottery Road Formation), die man ursprùnglich auf die subaërische Erosion zurùckfùhrte, wurden wahrscheinlich durch subaquatische oder subglaziale Schmelzwasser-Erosion gebildet

Being private, big 4 auditors, and debt raising

This study investigates the role of auditor choice (Big 4/Non-Big 4) in debt financing for private and public firms. We find private firms have less access to debt than public firms, and Big 4 auditors support debt raising in both private and public firms. Consistent with private firms facing greater information asymmetry, Big 4 auditors are more important for debt raising in private firms than in public firms. The benefit of appointing Big 4 auditors for private firms' debt raising is greater in the opaque information environment of the global financial crisis. It is also greater when firms are smaller, younger, or have poorer financial reporting quality. We also find evidence consistent with Big 4 auditors mitigating agency conflicts and enhancing debt raising when ownership concentration is higher in private firms. © 2022 The Authors. Accounting & Finance published by John Wiley & Sons Australia, Ltd on behalf of Accounting and Finance Association of Australia and New Zealand

The Review of Economic Performance and Social Progress 2002: Towards a Social Understanding of Productivity

In this chapter, Peter Dungan investigates the sensitivity of Canadian government fiscal balances to alternative long-run productivity growth rates using elements of the FOCUS macroeconometric model to conduct simulations on a 'base-case' projection of the Canadian economy, and of its fiscal detail, through the year 2030. The simulation strategy employed here in part parallels the technique used by the Department of Finance in recent budgets and fiscal statements to estimate the implicit size of the 'fiscal dividend'. A total of five alternative growth paths and sensitivity tests are presented. As Dungan points out changes in productivity growth rates can occur for a variety of reasons and can have many different possible effects on the economy. Therefore, these types of simulation exercises inevitably require a number of simplifying assumptions which must be taken into account in interpreting the results.Productivity, Fiscal Balances, Fiscal Policy, Revenues, Government Revenues, Taxes, Tax, Taxation, Social Programs, Social Spending, Social Policy, Expenditures, Government Expenditures, Government, Econometric Forecasting, Forecasting, FOCUS, Macroeconometric, Macro-econometric, Econometric Modeling

PATTERNS OF WETLAND PLANT SPECIES RICHNESS ACROSS ESTUARINE RIVER GRADIENTS

It is widely accepted that in coastal wetlands a negative relationship exists between plant species richness (number of species) and salinity. However, the distribution of species richness across estuarine salinity gradients has not been closely examined. I hypothesized that plant species richness in coastal marshes (i.e., wetlands dominated by herbaceous plants) would follow a non-linear pattern with increased distance (salinity) downriver (Chapter 2). To test this hypothesis I conducted detailed marsh vegetation surveys along ≈ 50 km estuarine river gradients of the Nanticoke and Patuxent Rivers, MD/DE. I further hypothesized that the observed patterns of plant species richness on the Nanticoke and Patuxent Rivers could be accurately predicted by a mid-domain effect (MDE) model independent of measured abiotic factors using RangeModel 5.0 (Chapter 3). Lastly, I theorized that Marsh mesocosms subjected to intermediate salinity and inundation would exhibit significantly higher biomass and plant species richness compared to mesocosms subjected to extreme salt/fresh and flooding regimes utilizing a controlled greenhouse experiment (Chapter 4). I found that plant species richness can vary in both a linear (Patuxent River) and non-linear (Nanticoke River) pattern along an estuarine gradient. The MDE model did not explain a high proportion of the observed richness patterns for either river system compared to abiotic factors like porewater salinity. The controlled marsh mesocosm experiment supported the non-linear pattern of plant species richness observed along the Nanticoke River gradient, but did not show a significant difference in plant biomass or richness/diversity between purely fresh and low-salinity marsh mesocosms (α = 0.05). The results of this research suggest that tidal marsh plant richness/diversity patterns do not always conform to a simple linear relationship with increasing salinity and that the MDE is not as important of a mechanism in these communities compared to porewater salinity or flooding frequency. Furthermore tidal low salinity marshes exposed to elevated salinity and flooding frequencies are likely to see a shift in their plant community structure to more salt tolerant plants and less rich/diverse communities assuming they can accrete at a rate equal to or exceeding the present rates of sea-level rise in the Chesapeake Bay

Reflective cracking of shear keys in multi-beam bridges

Multi-beam bridges made from precast concrete box girders are one of the most common bridge types used in the United States. One problem that affects these bridges is the development of longitudinal or reflective cracks on the road surface because of failure of the shear keys. Some states have attempted to correct this problem by redesigning the shear key or adding post-tensioning, but the problem persists in many new bridges. The purpose of this study is to investigate why these shear key failures are occurring. This project studies two types of box girder designs, the common Precast/Prestressed Concrete Institute (PCI) box girder bridges and the Texas Department of Tranportation (TxDOT) box girder bridge. In the past, reflective cracking has occurred in bridges of both types. The analysis procedure involves finite element analyses of bridge models with realistic support and loading conditions, and comparing the PCI and TxDOT bridges. The results indicate that both PCI and TxDOT box girder have sufficient strength to resist cracking from vehicular loads, but uneven temperature changes and shrinkage strains cause high tensile stresses in the shear key regions and lead to reflective cracking. The analyses showed the highest stresses were often times near the supports, rather than at midspan. Past studies have proposed using larger composite deck slabs, transverse posttensioning, or full-depth shear keys to prevent shear key failure. Composite slabs were the most effective way to reduce high stresses in shear keys, and were effective for all loading cases considered. Post-tensioning and full-depth keys also showed a reduction in shear key stresses, but were less effective