Forward Exchange Market Unbiasedness: The Case of the Australian Dollar Since 1984

This paper implements a new statistical approach to robust regression with nonstationary time series. The methods are presently under theoretical development in other work, and are briefly exposited here. They allow us to perform regressions in levels with nonstationary time series data, they accommodate data distributions with heavy tails and they permit serial dependence and temporal heterogeneity of unknown form in the equation errors. With these features the methods are well suited to applications with frequently sampled exchange rate data, which generally display all of these empirical characteristics. Our application is to daily data on spot and forward exchange rates between the Australian and US dollars over the period 1984-1991 following the deregulation of the Australian foreign exchange market. We find big differences between the robust and the non-robust regression outcomes and in the associated statistical tests of the hypothesis that the forward rate is an unbiased predictor of the future spot rate. The robust regression tests reject the unbiasedness hypothesis but still give the forward rate an important role as a predictor of the future spot rate.

Cyclic pyrrole-imidazole polyamides targeted to the androgen response element

Hairpin pyrrole−imidazole (Py-Im) polyamides are a class of cell-permeable DNA-binding small molecules that can disrupt transcription factor−DNA binding and regulate endogenous gene expression. The covalent linkage of antiparallel Py-Im ring pairs with an γ-amino acid turn unit affords the classical hairpin Py-Im polyamide structure. Closing the hairpin with a second turn unit yields a cyclic polyamide, a lesser-studied architecture mainly attributable to synthetic inaccessibility. We have applied our methodology for solution-phase polyamide synthesis to cyclic polyamides with an improved high-yield cyclization step. Cyclic 8-ring Py-Im polyamides 1−3 target the DNA sequence 5′-WGWWCW-3′, which corresponds to the androgen response element (ARE) bound by the androgen receptor transcription factor to modulate gene expression. We find that cyclic Py-Im polyamides 1−3 bind DNA with exceptionally high affinities and regulate the expression of AR target genes in cell culture studies, from which we infer that the cycle is cell permeable

Wafer Screening of ABCN-25 readout ASIC

The ABCN-25 chip was fabricated in 2008 in the IBM 0.25 micron CMOS process. One wafer was immediately diced to make chips available for evaluation with test PCBs and hybrids, programmes which are reported separately to this conference. A second wafer was later diced untested to ensure continuity of supply. Early indications based on the first diced wafer suggested a percentage yield of more than 95%, however the community decided to screen the remaining wafers such that faulty die could be excluded from the module construction programme. This paper documents the test hardware, software and procedures used to perform the screening. An overview of results is also given

Correlated Persistent Tunneling Currents in Glasses

Low temperature properties of glasses are derived within a generalized tunneling model, considering the motion of charged particles on a closed path in a double-well potential. The presence of a magnetic induction field B violates the time reversal invariance due to the Aharonov-Bohm phase, and leads to flux periodic energy levels. At low temperature, this effect is shown to be strongly enhanced by dipole-dipole and elastic interactions between tunneling systems and becomes measurable. Thus, the recently observed strong sensitivity of the electric permittivity to weak magnetic fields can be explained. In addition, superimposed oscillations as a function of the magnetic field are predicted.Comment: 4 page

Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920’s

This paper provides a robust statistical approach to testing the unbiasedness hypothesis in forward exchange market efficiency studies. The methods we use allow us to work explicitly with levels rather than differenced data. They are statistically robust to data distributions with heavy tails, and they can be applied to data sets where the frequency of observation and the futures maturity do not coincide. In addition, our methods allow for stochastic trend nonstationarity and general forms of serial dependence. The methods are applied to daily data of spot exchange rates and forward exchange rates during the 1920’s, which marked the first episode of a broadly general floating exchange rate system. The tail behavior of the data is analyzed using an adaptive data-based method for estimating the tail slope of the density. The results confirm the need for the use of robust regression methods. We find cointegration between the forward rate and spot rate for the four currencies we consider (the Belgian and French francs, the Italian lira and the US dollar, all measured against the British pound), we find support for a stationary risk premium in the case of the Belgian franc, the Italian lira and the US dollar, and we find support for the simple market efficiency hypothesis (where the forward rate is an unbiased predictor of the future spot rate and there is a zero mean risk premium) in the case of the US dollar