An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition

This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the appropriate dynamic minimum-variance hedge ratio for various hedging horizons for a number of assets. The effectiveness of the dynamic multiscale hedging strategy is then tested, both in- and out-of-sample, using standard variance reduction and expanded to include a downside risk metric, the time horizon dependent Value-at-Risk. Measured using variance reduction, the effectiveness converges to one at longer scales, while a measure of VaR reduction indicates a portion of residual risk remains at all scales. Analysis of the hedge portfolio distributions indicate that this unhedged tail risk is related to excess portfolio kurtosis found at all scales.

Logic Programming: Context, Character and Development

Logic programming has been attracting increasing interest in recent years. Its first realisation in the form of PROLOG demonstrated concretely that Kowalski's view of computation as controlled deduction could be implemented with tolerable efficiency, even on existing computer architectures. Since that time logic programming research has intensified. The majority of computing professionals have remained unaware of the developments, however, and for some the announcement that PROLOG had been selected as the core language for the Japanese 'Fifth Generation' project came as a total surprise. This thesis aims to describe the context, character and development of logic programming. It explains why a radical departure from existing software practices needs to be seriously discussed; it identifies the characteristic features of logic programming, and the practical realisation of these features in current logic programming systems; and it outlines the programming methodology which is proposed for logic programming. The problems and limitations of existing logic programming systems are described and some proposals for development are discussed. The thesis is in three parts. Part One traces the development of programming since the early days of computing. It shows how the problems of software complexity which were addressed by the 'structured programming' school have not been overcome: the software crisis remains severe and seems to require fundamental changes in software practice for its solution. Part Two describes the foundations of logic programming in the procedural interpretation of Horn clauses. Fundamental to logic programming is shown to be the separation of the logic of an algorithm from its control. At present, however, both the logic and the control aspects of logic programming present problems; the first in terms of the extent of the language which is used, and the second in terms of the control strategy which should be applied in order to produce solutions. These problems are described and various proposals, including some which have been incorporated into implemented systems, are described. Part Three discusses the software development methodology which is proposed for logic programming. Some of the experience of practical applications is related. Logic programming is considered in the aspects of its potential for parallel execution and in its relationship to functional programming, and some possible criticisms of the problem-solving potential of logic are described. The conclusion is that although logic programming inevitably has some problems which are yet to be solved, it seems to offer answers to several issues which are at the heart of the software crisis. The potential contribution of logic programming towards the development of software should be substantial

Scaling the twin peaks : systemic risk and dual regulation

In April 2013, the UK implemented a dual-regulation approach to financial services often referred to as twin peaks. In this paper, we assess the impact of the introduction of twin peaks regulation on the systemic risk contributions of UK financial institutions. Using a matched sample of single- and dual-regulated financial institutions, we provide evidence that twin peaks regulation resulted in a relative reduction in systemic risk for dual-regulated firms

Cloning and functional characterisation of avian transcription factor E2A.

BACKGROUND: During B lymphocyte development the E2A gene is a critical regulator of cell proliferation and differentiation. With regards to the immunoglobulin genes the E2A proteins contribute to the regulation of gene rearrangement, expression and class switch recombination. We are now using the chicken cell line DT40 as a model system to further analyse the function of E2A. RESULTS: Here we report the cloning and functional analysis of the transcription factor E2A from chicken. Using RACE PCR on the chicken lymphoma cell line DT40 we have isolated full-length clones for the two E2A splice variants E12 and E47. Sequence conservation between the human and chicken proteins is extensive: the basic-helix-loop-helix DNA binding domain of human and chicken E47 and E12 are 93% and 92% identical, respectively. In addition high levels of conservation are seen in activation domain I, the potential NLS and the ubiquitin ligase interaction domain. E2A is expressed in a variety of tissues in chicken, with higher levels of expression in organs rich in immune cells. We demonstrate that chicken E12 and E47 proteins are strong transcriptional activators whose function depends on the presence of activation domain I. As in mammals, the dominant negative proteins Id1 and Id3 can inhibit the function of chicken E47. CONCLUSIONS: The potential for homologous recombination in DT40 allows the genetic dissection of biochemical pathways in somatic cells. With the cloning of avian E2A and the recent description of an in vitro somatic hypermutation assay in this cell line, it should now be possible to dissect the potential role of E2A in the regulation of somatic hypermutation and gene conversion.RIGHTS : This article is licensed under the BioMed Central licence at http://www.biomedcentral.com/about/license which is similar to the 'Creative Commons Attribution Licence'. In brief you may : copy, distribute, and display the work; make derivative works; or make commercial use of the work - under the following conditions: the original author must be given credit; for any reuse or distribution, it must be made clear to others what the license terms of this work are

A4_16 Set Phasers to stun

This article considers the possibility of creating a ’stun ray’ style weapon similar in concept to the phaserused in Star Trek when on a setting to stun its target. It is found that in order to create such an energybased stun weapon which was effective over a similar range to that of the phaser which did not simplykill the target should be technologically possible

A4_9 Water-Propelled Jetpacks

Theoretically it would be possible to create a jetpack that used water as a primary propulsion method. This paper looks at the physics behind such a proposition, by deriving a relationship between the mass of the water required m and the time spent airborne t. The masses of water involved are analysed for practicability, and it is found that 99.0 kg of water is required per second of flight, which is concluded to be an unfeasibly large amount

A4_8 Don't Aim at Him!

 This paper investigates the horizontal deviation due to gravity that would be experienced by a bullet fired from a rifle. The paper looks at the recent setting of a new sharpshooting distance record as a case study for the investigation. While the deviation quoted by the soldier involved significantly differed from that calculated we show that a significant deviation is measured