Dependence structures in financial time series: a chaos-theoretic approach

Of much interest in financial econometrics is the recovery of joint distributional behaviour of collections of contemporaneous financial time series, e.g., two related commodity price series, or two asset returns series. An approach to model their joint behaviour is to use copulas. Essentially, copulas are selected on the basis of a measure of correlation between the two series and are made to match their marginal properties. Of course, generalisations exist for more than two series. A possible limitation of this approach is that only linear correlations between series might be captured. We consider incorporating more general dependence structures, through the use of the correlation integral (as in the BDS test), as a means to refine the choice of candidate copulas in an empirical situation.Archimedean copula; copula; correlation integral; dependence; Poisson convergence

Edgeworth expansion for the sample autocorrelation function

Fractionally integrated process, introduced independently by Granger and Joyeux (1980) and Hosking (1981), exhibit second-order dependence structures of rich variety, and stir much interest by way of their mathematical properties and their applications in modelling real phenomena. Their mathematical complexity oers signicant challenges in deriving estimates of parameters relating to the long memory behaviour, both in parametric and non-parametric models, with the latter having slower convergence properties. Some seminal papers include those by Yajima (1985), Fox and Taqqu (1986), and Dahlhaus (1988, 1989) on parametric estimation, and by Hurst (1951), Geweke and Porter-Hudak (1983), Robinson (1995) and Hurvich et al. (1998). We have in mind to consider the ACF bootstrap (as it is called), based on a result of Ramsey (1974), which generates a surrogate series

Cosmic-ray acceleration at collisionless astrophysical shocks using Monte-Carlo simulations

Context. The diffusive shock acceleration mechanism has been widely accepted as the acceleration mechanism for galactic cosmic rays. While self-consistent hybrid simulations have shown how power-law spectra are produced, detailed information on the interplay of diffusive particle motion and the turbulent electromagnetic fields responsible for repeated shock crossings are still elusive. Aims. The framework of test-particle theory is applied to investigate the effect of diffusive shock acceleration by inspecting the obtained cosmic-ray energy spectra. The resulting energy spectra can be obtained this way from the particle motion and, depending on the prescribed turbulence model, the influence of stochastic acceleration through plasma waves can be studied. Methods. A numerical Monte-Carlo simulation code is extended to include collisionless shock waves. This allows one to trace the trajectories of test particle while they are being accelerated. In addition, the diffusion coefficients can be obtained directly from the particle motion, which allows for a detailed understanding of the acceleration process. Results. The classic result of an energy spectrum with $E^{-2}$ is only reproduced for parallel shocks, while, for all other cases, the energy spectral index is reduced depending on the shock obliqueness. Qualitatively, this can be explained in terms of the diffusion coefficients in the directions that are parallel and perpendicular to the shock front.Comment: 12 pages, 15 figures, accepted for publication in A&

Binary time series generated by chaotic logistic maps

This paper examines stochastic pairwise dependence structures in binary time series obtained from discretised versions of standard chaotic logistic maps. It is motivated by applications in communications modelling which make use of so-called chaotic binary sequences. The strength of non-linear stochastic dependence of the binary sequences is explored. In contrast to the original chaotic sequence, the binary version is non-chaotic with non-Markovian non-linear dependence, except in a special case. Marginal and joint probability distributions, and autocorrelation functions are elicited. Multivariate binary and more discretised time series from a single realisation of the logistic map are developed from the binary paradigm. Proposals for extension of the methodology to other cases of the general logistic map are developed. Finally, a brief illustration of the place of chaos-based binary processes in chaos communications is given.Binary sequence; chaos; chaos communications; dependence; discretisation; invariant distribution; logistic map; randomness

Constraints on the development of coal mining in arctic Alaska based on review of Eurasian arctic practices

Arctic Alaska's enormous reserves of coal may be a significant future source of energy for the United States and for the Pacific Basin. Large coal reserves have been developed in the Arctic portions of Eurasia, where problems similar to those that might be encountered in Alaska have already been faced. To determine the nature of these problems, the Mineral Industry Research Laboratory of the University of Alaska, under contracts S 0133057 with the U.S. Bureau of Mines, has conducted a literature review on Eurasian coal mining and visited mines in Svalbard, Norway; Carmacks, Y.T.; and Healy, Alaska. The purpose was to establish the most significant physical constraints which may apply to the eventual development of Northwestern Arctic Alaskan coal.Contract S 0133057 with the U.S. Bureau of Mine

Concentration of submicrometre particles from vehicle emissions near a major road.

As part of a program of study to assess the exposure risks related to particulate matter in the outdoor environment, number concentrations of particles from vehicle emissions were measured at increasing distances from a major road. Particles in the size range from 0.015 – 0.697 µm were measured with the Scanning Mobility Particle Sizer (SMPS) and in the size range from 0.5 – 20 µm, with the Aerodynamic Particle Sizer (APS). In addition to number concentration measurements, an approximation of PM2.5 fraction was obtained using a DustTrak (simple photometer). The measurements conducted at distances from the road ranging from 15 to 375 m showed, that for conditions where the wind is blowing directly from the road, the concentration of fine and ultrafine particles decays to around half of the maximum (measured at the closest point to the road) at a distance of approximately 100 - 150 m from the road. For the wind blowing parallel to the road, the reduction to half of the concentration occurs at 50 – 100 m. There is no effect on total particle number concentration at a distance greater than 15 m from the road when the wind is blowing towards the road and away from the sampling points. Total number concentrations of larger particles measured were not significantly higher than the average values for the urban environment, and decrease with distance from the road, reaching about 60% at 150 m from the road for wind from the road. PM2.5 levels also decrease with distance to around 75% for wind from the road and to 65% for wind parallel to the road, at a distance of 375 m

Does Company Specific News Effect the US, UK, and Australian Markets within 60 minutes?

The efficient market hypothesis states that an efficient market rapidly incorporates all available information into the price of the asset. It has been well established that no market, particularly the stock market, is truly efficient as there are too many traders with differing strategies, and differing access to and interpretation of information. Despite this there is considerable evidence that the stock market does assimilate new information into prices. There has however been little research into the intraday effect of company specific news. In this paper we investigate the intraday effect of company specific news on the US, UK, and Australian markets. We use a scheme to determine whether the markets react to news by determining the likelihood of certain events occurring, and the likelihood of news occurring within 60 minutes of them, and compare the two. We find that there is strong evidence that these markets do react to news within 60 minutes, and indicate which events are most likely to correlate to news.Return; Volatility; News

IMPOSING MONOTONICITY AND CURVATURE ON FLEXIBLE FUNCTIONAL FORMS

Replaced with revised version of paper 05/29/04.Research Methods/ Statistical Methods,