Non-Stationary Interest Rate Differentials and the Role of Monetary Policy

The present work deals with a frequently detected failure of the uncovered interest rate parity (UIP) - the absence of bivariate cointegration between domestic and foreign interest rates. We explain non-stationarity of the interest differential via central bank reactions to exchange rate variations. Thereby, the exchange rate in levels introduces an additional stochastic trend into the system. Trivariate cointegration between the interest rates and the exchange rate accounts for the missing stationarity property of the interest differential. We apply the concept to the case of Turkey and Europe,where we can validate the theoretical considerations by multivariate time series techniques.Uncovered Interest Rate Parity, Monetary Policy Rules, Cointegration, Vector-Error Correction Model

Individual Investor Sentiment and Stock Returns - What Do We Learn from Warrant Traders?

In this paper, we propose a measure of individual investor sentiment that is derived from the market for bank-issued warrants. Due to a unique warrant transaction data set from a large discount broker we are able to calculate a daily sentiment measure and test whether individual investor sentiment is related to daily stock returns by using vector autoregressive models and Granger causality tests. We find that there exists a mutual influence of sentiment and stock market returns, but only in the very short-run (one and two trading days). Returns have a negative influence on sentiment, while the influence of sentiment on returns is positive for the next trading day. The influence of stock market returns on sentiment is stronger than vice versa. Our sentiment measure simultaneously avoids problems that are associated with existing sentiment measures, which are based on the closed-end fund discount, stock market transactions, the put-call ratio or investor surveys.

Report from GI-Dagstuhl Seminar 16394: Software Performance Engineering in the DevOps World

This report documents the program and the outcomes of GI-Dagstuhl Seminar 16394 "Software Performance Engineering in the DevOps World". The seminar addressed the problem of performance-aware DevOps. Both, DevOps and performance engineering have been growing trends over the past one to two years, in no small part due to the rise in importance of identifying performance anomalies in the operations (Ops) of cloud and big data systems and feeding these back to the development (Dev). However, so far, the research community has treated software engineering, performance engineering, and cloud computing mostly as individual research areas. We aimed to identify cross-community collaboration, and to set the path for long-lasting collaborations towards performance-aware DevOps. The main goal of the seminar was to bring together young researchers (PhD students in a later stage of their PhD, as well as PostDocs or Junior Professors) in the areas of (i) software engineering, (ii) performance engineering, and (iii) cloud computing and big data to present their current research projects, to exchange experience and expertise, to discuss research challenges, and to develop ideas for future collaborations

Die klinische Anwendung von intrathekalem Ropivacain bei der Sectio Caesarea

Die Anzahl der Kaiserschnitte nimmt in Deutschland zu. Ropivacain ist hierbei seit kurzem für die Spinalanästhesie zugelassen. Ziel der Studie ist, eine optimale Dosis zu finden. Es wurde eine retrospektive Datenauswertung durchgeführt. Daten aller 39 Patientinnen, die im Studienzeitraum einen elektiven Kaiserschnitt mit Ropivacain zur Spinalanästhesie erhielten, wurden ausgewertet. Drei mögliche Dosierungen wurden verwendet. Verschiedene Parameter wie z.B. hämodynamischer Verlauf, Ausbreitungs- und Rückbildungsgeschwindigkeit wurden erfasst. 12,5mg reichten nicht aus, die Gruppe wurde daher abgebrochen. Zwischen 15 mg und 17,5 mg zeigte sich ein signifikanter Unterschied bei der hämodynamischen Stabilität. Die weiteren Parameter unterschieden sich nicht signifikant. Da es in der Studie eine hohe Quote an Verfahrenswechseln gab, muss die Anwendung von Ropivacain zur Sectio als Monosubstanz kritisch überdacht werden. <br

Elastic Business Process Management: State of the Art and Open Challenges for BPM in the Cloud

With the advent of cloud computing, organizations are nowadays able to react rapidly to changing demands for computational resources. Not only individual applications can be hosted on virtual cloud infrastructures, but also complete business processes. This allows the realization of so-called elastic processes, i.e., processes which are carried out using elastic cloud resources. Despite the manifold benefits of elastic processes, there is still a lack of solutions supporting them. In this paper, we identify the state of the art of elastic Business Process Management with a focus on infrastructural challenges. We conceptualize an architecture for an elastic Business Process Management System and discuss existing work on scheduling, resource allocation, monitoring, decentralized coordination, and state management for elastic processes. Furthermore, we present two representative elastic Business Process Management Systems which are intended to counter these challenges. Based on our findings, we identify open issues and outline possible research directions for the realization of elastic processes and elastic Business Process Management.Comment: Please cite as: S. Schulte, C. Janiesch, S. Venugopal, I. Weber, and P. Hoenisch (2015). Elastic Business Process Management: State of the Art and Open Challenges for BPM in the Cloud. Future Generation Computer Systems, Volume NN, Number N, NN-NN., http://dx.doi.org/10.1016/j.future.2014.09.00

Time Inconsistent Preferences and the Annuitization Decision

Good news can involve difficult decisions. For example winning a lottery jackpot can go along with the decision, whether to have the jackpot paid out immediately as a lump sum or as periodic annual payments. Also when entering retirement most people face the decision whether they want their defined contribution account balance paid as a lump sum or to annuitize that amount. The fact that people tend to choose the lump sum even if economic reasons suggest that they should choose the annuity is called the annuity paradox. In a large online survey we find that people behave time inconsistent: older people have a stronger tendency to choose the lump sum than younger people when they are asked to predict today what to choose when they retire. This effect is considerably stronger for participants that answer simple time preference questions inconsistently. Our findings suggest to think about precommitment devices for the annuitization decision, in the retirement case, already at the time when the defined benefit plan is started