Evaluating the predictiveness and profitability of foreign exchange forecasting models

This paper evaluates the performance of two competing currency models as a forecasting and trading tool in fund management. A dynamic vector error correction model is utilized to construct a currency forecasting and fair value forecasting model for the Euro-Dollar exchange rate. Emphasis is placed on robustness testing model performance by changing its specification and how they perform across different time periods. Based on the accuracy of the forecasts the fair value model outperforms the currency forecasting model; a finding that is not supported using directional forecasts. This is robust to changes in model specification and across different time spans that cover pre-and current financial crisis periods. It is also discovered that the evaluation criteria used and prevailing market conditions determines whether model performance translates into value added in a currency fund

Discrete variational integrators and optimal control theory

A geometric derivation of numerical integrators for optimal control problems is proposed. It is based in the classical technique of generating functions adapted to the special features of optimal control problems.Comment: 17 page

Tulczyjew's triples and lagrangian submanifolds in classical field theories

In this paper the notion of Tulczyjew's triples in classical mechanics is extended to classical field theories, using the so-called multisymplectic formalism, and a convenient notion of lagrangian submanifold in multisymplectic geometry. Accordingly, the dynamical equations are interpreted as the local equations defining these lagrangian submanifolds.Comment: 29 page

How value-glamour investors use financial information: UK evidence of investor's confirmation bias

The paper investigates investor’s behaviour in the context of value–glamour investing and fundamental analysis, and provides a direct test of the confirmation bias by bringing together the evidence from several strands of literature into a well-defined framework of investor behaviour. The empirical evidence presented is in line with a model of investor’s asymmetric reaction to good and bad news due to confirmation bias. Pessimistic value investors typically under-react to good financial information, but they process bad information rationally or over-confidently. On the contrary, glamour investors are often too optimistic to timely update prices following bad financial information, but they are likely to fairly price or even over-react when receiving good information

Dendritic Excitability Modulates Dendritic Information Processing in a Purkinje Cell Model

Using an electrophysiological compartmental model of a Purkinje cell we quantified the contribution of individual active dendritic currents to processing of synaptic activity from granule cells. We used mutual information as a measure to quantify the information from the total excitatory input current (IGlu) encoded in each dendritic current. In this context, each active current was considered an information channel. Our analyses showed that most of the information was encoded by the calcium (ICaP) and calcium activated potassium (IKc) currents. Mutual information between IGlu and ICaP and IKc was sensitive to different levels of excitatory and inhibitory synaptic activity that, at the same time, resulted in the same firing rate at the soma. Since dendritic excitability could be a mechanism to regulate information processing in neurons we quantified the changes in mutual information between IGlu and all Purkinje cell currents as a function of the density of dendritic Ca (gCaP) and Kca (gKc) conductances. We extended our analysis to determine the window of temporal integration of IGlu by ICaP and IKc as a function of channel density and synaptic activity. The window of information integration has a stronger dependence on increasing values of gKc than on gCaP, but at high levels of synaptic stimulation information integration is reduced to a few milliseconds. Overall, our results show that different dendritic conductances differentially encode synaptic activity and that dendritic excitability and the level of synaptic activity regulate the flow of information in dendrites