Regime-Switching Behavior of the Term Structure of Forward Markets

This paper presents techniques for modelling and estimating the behavior of financial market price or return differentials that follow non-linear regime-switching behaviour. The methodology to be used here is estimation of variants of threshold autoregression (TAR) models. In the basic model the differentials are random within a band defined by transactions costs and contract risk; they occasionally jump outside the band, and then follow an autoregressive path back towards the band. The principal reference is Tchernykh (1998). The application here is to deviations from covered interest parity (CIP) between forward foreign exchange (FX) markets in Hong Kong and the Philippines. We have observed that these deviations from the band follow irregular steps, rather than single jumps. Therefore a Modified TAR model (MTAR) that allows for this behaviour is also estimated. The estimation methodology is a regime-switching maximum likelihood procedure. The estimates can provide indicators for policy-makers of the market's expectation of crisis, and could also provide indicators for the private sector of convergence of deviations to their usual bands. The TAR model has the potential to be applied to differentials between linked pairs of financial market prices more generally.

Brand Community globali. Analisi cross-culturale del caso Mini

L'analisi cross-culturale del caso Mini come esempio di una comunità di marca di tipo globale. Lo studio si focalizza su tre comunità virtuali (IT, RU, UK)

Idle regulation in non-clairvoyant scheduling of parallel jobs

AbstractThe optimization of parallel applications is difficult to achieve by classical optimization techniques because of their diversity and the variety of actual parallel and distributed platforms and/or environments. Adaptive algorithmic schemes, capable of dynamically changing the allocation of jobs during the execution to optimize global system behavior, are the best alternatives for solving this problem. In this paper, we focus on non-clairvoyant scheduling of parallel jobs with known resource requirements but unknown running times, with emphasis on the regulation of idle periods in the context of general list policies. We consider a new family of scheduling strategies based on two phases which successively combine sequential and parallel execution of jobs. We generalize known worst-case performance bounds by considering two extra parameters, in addition to the number of processors and maximum processor requirements considered in the literature, namely, job parallelization penalty and idle regulation factor. Furthermore, we prove that under certain conditions of idle regulation, the performance guarantee of parallel job scheduling in space-sharing mode can be improved

Performance Analysis for Visual Planetary Landing Navigation Using Optical Flow and DEM Matching

Visual navigation for planetary landing vehicles shows many scientific and technical challenges due to inclined and rather high velocity approach trajectories, complex 3D environment and high computational requirements for real-time image processing. High relative navigation accuracy at landing site is required for obstacle avoidance and operational constraints. The current paper discusses detailed performance analysis results for a recently published concept of a visual navigation system, based on a mono camera as vision sensor and matching of the recovered and reference 3D models of the landing site. The recovered 3D models are being produced by real-time, instantaneous optical flow processing of the navigation camera images. An embedded optical correlator is introduced, which allows a robust and ultra high-speed optical flow processing under different and even unfavorable illumination conditions. The performance analysis is based on a detailed software simulation model of the visual navigation system, including the optical correlator as the key component for ultra-high speed image processing. The paper recalls the general structure of the navigation system and presents detailed end-to-end visual navigation performance results for a Mercury landing reference mission in terms of different visual navigation entry conditions, reference DEM resolution, navigation camera configuration and auxiliary sensor information. I