An Outlook on Correlations in Stock Prices

We present an outlook of the studies on correlations in the price timeseries of stocks, discussing the construction and applications of "asset tree". The topic discussed here should illustrate how the complex economic system (financial market) enrichens the list of existing dynamical systems that physicists have been studying for long.Comment: 6 pages, RevTeX format. To appear in the Conference Proceedings of ECONOPHYS-KOLKATA II: International Workshop on Econophysics of Stock Markets and Minority Games", February 14-17, 2006, SINP, Kolkata, as a book chapter in Eds. A. Chatterjee and B.K. Chakrabarti, Econophysics of Stock and other Markets, (Springer-Verlag (Italia), Milan, 2006

Forecasting robust value-at-risk estimates: Evidence from UK banks

In this paper, we present a novel approach for forecasting Value-at-Risk (VaR) by combining a Bayesian GARCH(1,1) model with Student's-t distribution for the underlying volatility models, vine copula functions to model dependence, and peaks-over-threshold (POT) method of extreme value theory (EVT) to model the tail behaviour of asset returns. We further propose a new approach for threshold selection in extreme value analysis, which we call a hybrid method. The empirical results and back-testing analysis show that the model captures VaR quite well through periods of calmness and crisis; therefore, it is suitable for use as a measure of risk. Our results also suggest that with a correct implementation of the VaR model, Basel III is not needed

Drying colloidal systems: laboratory models for a wide range of applications

The drying of complex fluids provides a powerful insight into phenomena that take place on time and length scales not normally accessible. An important feature of complex fluids, colloidal dispersions and polymer solutions is their high sensitivity to weak external actions. Thus, the drying of complex fluids involves a large number of physical and chemical processes. The scope of this review is the capacity to tune such systems to reproduce and explore specific properties in a physics laboratory. A wide variety of systems are presented, ranging from functional coatings, food science, cosmetology, medical diagnostics and forensics to geophysics and art

Robin Hood: a system timing verifier for multi-phaselevel-sensitive clock designs

[[abstract]]An efficient system timing verification approach that employs latch graph representation is reported. It is a general approach that can handle most blocking schemes. Both early and late mode timing constraints are considered. The tool generates a detailed stack report to help designers identify where and how much the correction should be in case of violations. The algorithm has been implemented and tested on several real designs. An example with 1926 latches and dense interconnections is verified in 0.62 s[[fileno]]2030222030011[[department]]資訊工程學

Floorplanning by topological constraint reduction

[[abstract]]The problem considered is that of producing a legal floorplan that respects a given topological constraint set. The floorplanning approach described is targeted for multilayer sea-of-cells based designs. Therefore it is assumed that no channel separations are required between the blocks. The approach can be generalized to incorporate channel separations[[fileno]]2030222030010[[department]]資訊工程學

Food Aid, Food Prices, and Producer Disincentives in Ethiopia

Although the short-term aims of food aid are well conceived, strong concerns have been voiced regarding the long-term impacts of such aid on incentives for agricultural producers in recipient countries. This article examines the statistical link between food aid shipments and food prices in Ethiopia over the period 1996-2006. Monthly data from three markets and three commodities are used to estimate a system of seemingly unrelated regression models for food prices. Results indicate that previous year food aid shipments reduce prices in all producer and consumer markets. These effects, however, appear to be limited to the set of internationally traded commodities that are domestically marketed. A recursive regression procedure is used to identify the food aid threshold at which a negative aid effect emerges. Food aid shipments that constitute less than 10% of domestic production appear to be benign, but shipments above this level show signs of being disruptive to local markets. We use a simple policy simulation to argue that production-sensitive targeting, e.g., conditioning food aid on local food production, would help to circumvent disincentive effects. Copyright 2009, Oxford University Press.

Forecasting simultaneously high-dimensional time series: A robust model-based clustering approach

10.1002/for.2264Journal of Forecasting328673-684JOFO

Differentiation of Hemicriconemoides mangiferae and H. litchi (Nematoda: Criconematina) based on morphometrics and nuclear ribosomal DNA sequences

Hemicriconemoides mangiferae and H. litchi, which have been considered as junior synonyms of H. strictathecatus, are morphologically similar, making identification difficult. In the present study, six populations of Hemicriconemoides spp. were collected from mango and litchi in Taiwan and were differentiated based on morphometrics and molecular characteristics. By comparing morphometric data from females and males, three populations collected from mango were identified as H. mangiferae and another three populations from litchi were identified as H. litchi. According to SEM, both of the H. mangiferae and H. litchi males had an areolated lateral field with four incisures; caudal alae were not found. The internal transcribed spacer (ITS) sequences of ribosomal DNA (rDNA) from these nematode populations were sequenced and aligned. The sequence identity of the ITS region was 89-95% between H. mangiferae and H. litchi populations, suggesting rDNA sequence divergence could be a taxonomic aid for species differentiation. Since H. mangiferae and H. litchi are closely related to H. strictathecatus, more rDNA sequence information could be valuable to deal with molecular phylogenetic relationships of these species in depth