Weather forecasting for weather derivatives : [revised version: January 2, 2004]

We take a simple time-series approach to modeling and forecasting daily average temperature in U.S. cities, and we inquire systematically as to whether it may prove useful from the vantage point of participants in the weather derivatives market. The answer is, perhaps surprisingly, yes. Time-series modeling reveals conditional mean dynamics, and crucially, strong conditional variance dynamics, in daily average temperature, and it reveals sharp differences between the distribution of temperature and the distribution of temperature surprises. As we argue, it also holds promise for producing the long-horizon predictive densities crucial for pricing weather derivatives, so that additional inquiry into time-series weather forecasting methods will likely prove useful in weather derivatives contexts

Stock returns and expected business conditions : half a century of direct evidence

We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions consistently affect expected excess returns in a statistically and economically significant counter-cyclical fashion: depressed expected business conditions are associated with high expected excess returns. Moreover, inclusion of expected business conditions in otherwise standard predictive return regressions substantially reduces the explanatory power of the conventional financial predictors, including the dividend yield, default premium, and term premium, while simultaneously increasing R2. Expected business conditions retain predictive power even after controlling for an important and recently introduced non-financial predictor, the generalized consumption/wealth ratio, which accords with the view that expected business conditions play a role in asset pricing different from and complementary to that of the consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk, while time-varying consumption/wealth may capture time-varying risk aversion. Klassifikation: G1

The Role of Quasi-identifiers in k-Anonymity Revisited

The concept of k-anonymity, used in the recent literature to formally evaluate the privacy preservation of published tables, was introduced based on the notion of quasi-identifiers (or QI for short). The process of obtaining k-anonymity for a given private table is first to recognize the QIs in the table, and then to anonymize the QI values, the latter being called k-anonymization. While k-anonymization is usually rigorously validated by the authors, the definition of QI remains mostly informal, and different authors seem to have different interpretations of the concept of QI. The purpose of this paper is to provide a formal underpinning of QI and examine the correctness and incorrectness of various interpretations of QI in our formal framework. We observe that in cases where the concept has been used correctly, its application has been conservative; this note provides a formal understanding of the conservative nature in such cases.Comment: 17 pages. Submitted for publicatio

Weather Forecasting for Weather Derivatives

We take a simple time-series approach to modeling and forecasting daily average temperature in U.S. cities, and we inquire systematically as to whether it may prove useful from the vantage point of participants in the weather derivatives market. The answer is, perhaps surprisingly, yes. Time-series modeling reveals conditional mean dynamics, and crucially, strong conditional variance dynamics, in daily average temperature, and it reveals sharp differences between the distribution of temperature and the distribution of temperature surprises. As we argue, it also holds promise for producing the long-horizon predictive densities crucial for pricing weather derivatives, so that additional inquiry into time-series weather forecasting methods will likely prove useful in weather derivatives contexts.Risk management; hedging; insurance; seasonality; temperature; financial derivatives

Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence

We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions consistently affect expected excess returns in a statistically and economically significant counter-cyclical fashion: depressed expected business conditions are associated with high expected excess returns. Moreover, inclusion of expected business conditions in otherwise standard predictive return regressions substantially reduces the explanatory power of the conventional financial predictors, including the dividend yield, default premium, and term premium, while simultaneously increasing R2. Expected business conditions retain predictive power even after controlling for an important and recently introduced non-financial predictor, the generalized consumption/wealth ratio, which accords with the view that expected business conditions play a role in asset pricing different from and complementary to that of the consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk, while time-varying consumption/wealth may capture time-varying risk aversion.Business Cycle, Expected Equity Returns, Prediction, Livingston Survey, Risk Aversion, Equity Premium, Risk Premium

Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence

We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions consistently affect expected excess returns in a statistically and economically significant counter-cyclical fashion: depressed expected business conditions are associated with high expected excess returns. Moreover, inclusion of expected business conditions in otherwise standard predictive return regressions substantially reduces the explanatory power of the conventional financial predictors, including the dividend yield, default premium, and term premium, while simultaneously increasing. Expected business conditions retain predictive power even after controlling for an important and recently introduced non-financial predictor, the generalized consumption/wealth ratio, which accords with the view that expected business conditions play a role in asset pricing different from and complementary to that of the consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk, while time-varying consumption/wealth may capture time-varying risk aversion.Business cycle, expected equity returns, prediction, Livingston survey, risk aversion, equity premium, risk premium

Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence

We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions consistently affect expected excess returns in a statistically and economically significant counter-cyclical fashion: depressed expected business conditions are associated with high expected excess returns. Moreover, inclusion of expected business conditions in otherwisestandard predictive return regressions substantially reduces the explanatory power of the conventional financial predictors, including the dividend yield, default premium, and term premium, while simultaneously increasing R-squared. Expected business conditions retain predictive power even after controlling for an important and recently introduced non-financial predictor, the generalized consumption/wealth ratio, which accords with the view that expected business conditions play a role in asset pricing different from and complementary to that of the consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk, while time-varying consumption/wealth may capture time-varying risk aversion.

Treatment of Prodcued Water Using Ferrate (VI) and Directional Solvent Extraction

Oil field fracking operations creates by-product “produced water” that is highly variable in composition and difficult to treat. This study aims to examine two novel treatment processes together in improving the quality of a synthetic, hypersaline produced water, and examines if effluent would be suitable for reuse. Here, we examine the ability of ferrate (VI) to coagulate organic and inorganic compounds to reduce turbidity while the efficacy of diisopropylamine (DIPA) in water extraction from the subsequent hypersaline solutions was also assessed under a variety of temperature ranges. For the final product water that is separated and treated through both processes, various characteristics were examined. Of note, significant reductions in turbidity (95.07% - 97.66% removal) and salinity (94.2% - 99.13% rejection) were observed at a variety of hypersaline concentrations and temperature ranges. Results indicate that this treatment process may show a favorable per-unit treatment cost compared to conventional processes