Mean Reversion in Stock Prices: New Evidence from Panel Unit Root Tests for Seventeen European Countries

There is a large and growing literature that investigates evidence for mean reversion in stock prices. Empirically, there is no consensus as to whether stock prices are mean reverting or random walk processes at best, the results are mixed. In this paper, we provide further evidence on the mean reversion hypothesis for seventeen European countries using the Levin and Lin (1992), seemingly unrelated regression and the multivariate augmented Dickey-Fuller panel unit root tests. Our main finding is that stock prices of all seventeen European countries are characterised by a unit root, consistent with the efficient market hypothesis.

Precoder Design for Physical Layer Multicasting

This paper studies the instantaneous rate maximization and the weighted sum delay minimization problems over a K-user multicast channel, where multiple antennas are available at the transmitter as well as at all the receivers. Motivated by the degree of freedom optimality and the simplicity offered by linear precoding schemes, we consider the design of linear precoders using the aforementioned two criteria. We first consider the scenario wherein the linear precoder can be any complex-valued matrix subject to rank and power constraints. We propose cyclic alternating ascent based precoder design algorithms and establish their convergence to respective stationary points. Simulation results reveal that our proposed algorithms considerably outperform known competing solutions. We then consider a scenario in which the linear precoder can be formed by selecting and concatenating precoders from a given finite codebook of precoding matrices, subject to rank and power constraints. We show that under this scenario, the instantaneous rate maximization problem is equivalent to a robust submodular maximization problem which is strongly NP hard. We propose a deterministic approximation algorithm and show that it yields a bicriteria approximation. For the weighted sum delay minimization problem we propose a simple deterministic greedy algorithm, which at each step entails approximately maximizing a submodular set function subject to multiple knapsack constraints, and establish its performance guarantee.Comment: 37 pages, 8 figures, submitted to IEEE Trans. Signal Pro

Robust Linear Precoder Design for Multi-cell Downlink Transmission

Coordinated information processing by the base stations of multi-cell wireless networks enhances the overall quality of communication in the network. Such coordinations for optimizing any desired network-wide quality of service (QoS) necessitate the base stations to acquire and share some channel state information (CSI). With perfect knowledge of channel states, the base stations can adjust their transmissions for achieving a network-wise QoS optimality. In practice, however, the CSI can be obtained only imperfectly. As a result, due to the uncertainties involved, the network is not guaranteed to benefit from a globally optimal QoS. Nevertheless, if the channel estimation perturbations are confined within bounded regions, the QoS measure will also lie within a bounded region. Therefore, by exploiting the notion of robustness in the worst-case sense some worst-case QoS guarantees for the network can be asserted. We adopt a popular model for noisy channel estimates that assumes that estimation noise terms lie within known hyper-spheres. We aim to design linear transceivers that optimize a worst-case QoS measure in downlink transmissions. In particular, we focus on maximizing the worst-case weighted sum-rate of the network and the minimum worst-case rate of the network. For obtaining such transceiver designs, we offer several centralized (fully cooperative) and distributed (limited cooperation) algorithms which entail different levels of complexity and information exchange among the base stations.Comment: 38 Pages, 7 Figures, To appear in the IEEE Transactions on Signal Processin

Beamforming and Rate Allocation in MISO Cognitive Radio Networks

We consider decentralized multi-antenna cognitive radio networks where secondary (cognitive) users are granted simultaneous spectrum access along with license-holding (primary) users. We treat the problem of distributed beamforming and rate allocation for the secondary users such that the minimum weighted secondary rate is maximized. Such an optimization is subject to (1) a limited weighted sum-power budget for the secondary users and (2) guaranteed protection for the primary users in the sense that the interference level imposed on each primary receiver does not exceed a specified level. Based on the decoding method deployed by the secondary receivers, we consider three scenarios for solving this problem. In the first scenario each secondary receiver decodes only its designated transmitter while suppressing the rest as Gaussian interferers (single-user decoding). In the second case each secondary receiver employs the maximum likelihood decoder (MLD) to jointly decode all secondary transmissions, and in the third one each secondary receiver uses the unconstrained group decoder (UGD). By deploying the UGD, each secondary user is allowed to decode any arbitrary subset of users (which contains its designated user) after suppressing or canceling the remaining users.Comment: 32 pages, 6 figure

Feasibility of an ecosystem-based management in an eastern Canadian boreal forest : testing for ecological suitability, economic viability, social acceptability and adaptability to wildfire and climate change

Dans la quête de la mise en place d’une stratégie d’aménagement écosystémique (AE) dans la forêt boréale de l’est du Canada, nous avons réalisé une étude de faisabilité sur la viabilité économique, l’acceptabilité sociale et la pertinence écologique. À l’aide de modèles d’approvisionnement en bois, nous avons comparé une stratégie AE à une stratégie de normalisation des forêts (status quo) afin d’en évaluer sa robustesse et son l’adaptabilité face à l'augmentation du taux de brûlage et des anomalies de croissance induites par les changements climatiques. Les modèles d'approvisionnement en bois utilisent le plus souvent un modèle de croissance et de rendement calibré à l'échelle du peuplement (tables de production) pour projeter l’évolution du volume marchand des strates d’aménagement. Puisque les stratégies d'aménagement écosystémique ont tendance à repousser l'âge d'exploitabilité, il est pertinent d'évaluer jusqu'à quel degré les tables de production actuelles peuvent être utilisées comme intrant dans un contexte d'aménagement écosystémique. Lorsqu’une table de production est évaluée relativement à un modèle de croissance calibré à l’échelle de l’arbre, nous montrons que bien que le modèle à l’échelle d'arbre semble moins biaisé, aucun modèle performe de manière adéquate pour prédire la croissance en volume marchand dans notre aire d’étude, particulièrement lorsque nous subdivisons les données par les attributs qui peuvent jouer un rôle pendant la mise en place d’AÉ. Pour les deux modèles, la source majeure d’erreur est liée à la densité du peuplement. Grâce à leur simplicité relative, nous avons préféré utiliser les tables de production pour élaborer nos modèles d’approvisionnement en bois. La programmation linéaire standard a été utilisée pour tester les effets de quatre enjeux clefs sur le niveau d’approvisionnement en bois: (1) tendre vers une structure d’âge forestière établie à partir du régime naturel des feux et de la dynamique forestière, (2) agglomérer les blocs de récolte dans des chantiers de récolte afin de reproduire les patrons de perturbation naturelle à l’échelle du paysage, (3) maintenir les taux cumulés de coupe totale et de perturbation naturelle à l’intérieur du domaine historique de variabilité, et (4) exclure de la récolte les aires d’intérêt potentiel pour les peuples autochtones. Comparé à un scénario de status quo, l’inclusion des trois premiers enjeux résulte en une baisse de 3 à 22% de l’approvisionnement périodique et une période de restauration requérant que la coupe totale soit exclue sur 43 à 67% de la superficie productive pour les prochains 50 ans. Une validation des filtres bruts utilisés dans cette étude (les trois premiers enjeux) a été faite en utilisant les besoins en habitats du caribou des bois (Rangifer tarandus caribou). Pratiquement tous les scénarios induisaient un taux de perturbation susceptible de permettre le maintien du caribou des bois d’ici 25 ans. Enfin, nous avons intégré le taux de brûlage et la sensibilité des tables de production au climat dans nos modèles d’approvisionnement afin de quantifier les incertitudes induites par le climat et les feux pour les deux stratégies d’aménagements. Les deux modèles suggèrent une réduction de l’approvisionnement périodique en bois entre 13 et 79%. Même si les indicateurs écologiques favorisent l’AE par rapport la normalisation des forêts, juste un changement de stratégie n’est pas suffisant faire face aux impacts du risque de feu et des changements climatiques en forêt boréale. Mots clefs: Forêt boréale, aménagement écosystémique, croissance et rendement, faisabilité, adaptation, feux de la forêt, changements climatiquesIn the quest of implementing an ecosystem-based management (EBM) in a boreal forest in eastern Canada, we conducted a feasibility study focusing on ecological suitability, economic viability and social acceptability. Through timber supply models, we compared the outputs of EBM with a business as usual (BAU) management to determine former’s robustness and adaptability to the increase in wildfire and growth anomalies induced by climate changes. Timber supply analyses use yield models, most often at the stand-level to project harvestable volume over the planning horizon. Since EBM tend to delay harvesting age, the question may be raised on to what extent existing yield tables can be used with such strategies. When a yield table is rated against a tree-level model, we show that although the tree-level model is less biased, none of the models performed adequately to predict the volume growth of our study area, especially when subdividing the data by attributes that may have an important role while implementing EBM. For both models, the major source of error was related to stand density. Due to its relative simplicity, we chose stand-level yield tables to build our timber supply models. We then carried out a feasibility study of implementing an EBM strategy in a boreal forest in eastern Canada. With standard linear programming, we tested four policy issues; age structure, harvest agglomeration; limit of cumulative disturbance, and land base of aboriginal interest. These issues were dealt with 3% – 22% reduction in periodic wood supply and a transition period of 50 years where clear-cut needs to be excluded in 43% – 67% of the productive area. Validation of the outputs through habitat requirement of woodland caribou (Rangifer tarandus caribou) as a fine filter showed that most of the scenarios should likely allow a self-sustaining caribou population within next 25-years. Finally, we integrated climate sensitive fire burn rates and yield tables in the timber supply models to quantify the uncertainty induced by climate and fire under both management strategies. Both models responded with a reduction of periodic wood supply by 13% – 79%. Although ecological indicators are relatively better under EBM, merely switching the management strategy is not enough to address the impacts of fire and climate change in the boreal forests. Key words: Boreal forest, ecosystem-based management, growth and yield, feasibility, adaptation, wildfire, climate chang