Comparing conditional hedging strategies.

The traditional approach to discriminate amongst two competing hedging strategies is to compare the sample portfolio return variance implied by each strategy. This simple approach suffers from two drawbacks. First, it is an unconditional performance measure which is theoretically not coherent with a dynamic hedging strategy that minimizes the conditional portfolio return variance. Second, estimating unconditional performance over the entire period may not be sufficcient since a strategy with a good unconditional hedging performance may not perform well at a particular point in time. In this paper, I use the Giacomini and White (2006), the Wald, and the Diebold and Mariano (1995) statistical tests in order to conditionally (and as a special case, unconditionally) compare the portfolio return variances implied by two competing hedging strategies. The attractive feature of the conditional perspective is that, in case of rejection of equal conditional hedging effectiveness among two initial strategies, it provides us with a new hedging strategy that selects at each date the initial strategy that will perform the best next period, conditional on current information. An application to several agricultural commodities illustrates the technique. For daily hedging horizons, it is found that most of the time Ederington's (1979) static strategy is superior to more elaborate dynamic strategies. This calls into question earlier results reported in the literature that were based on a much smaller database.GARCH; Hedging; Strategy; Portfolio; Variance; IT; Performance; Time; Tests; Order; Effectiveness; Information; Database;

Discovering new languages from the study of games semantics

This is a master thesis for the MPRI (http://mpri.master.univ-paris7.fr). The main body of the thesis is 18 pages long. A 4 pages summary in French is given.This is a master thesis for the MPRI (http://mpri.master.univ-paris7.fr). We give a generalisation of game semantics, in the spirit of Harmer, Hyland and Melies's work "Categorical Combinatorics for Innocent Strategies", but with more general definitions. In particular, this description encompasses "cellular" strategies as well as innocent ones. New general notions of "embeddings" and "history operators" are defined on games. A generic language for all history operators is given, along with a reduction. History operators define sets of strategies; in particular, both innocent and cellular strategies can be defined in this way. Thus the generic syntax gives them both a language, and their terms can interact through the reduction given. The generic syntax exhibits a new symmetry between functions and arguments, who can both name the terms exchanged. This property comes from the symmetry between the two players on the arenas of the games defined. In the same way, we gain a more precise access control on what part of the execution history can be read or refered to by the strategies. In comparison, neither the usual language for innocent strategies (PCF), nor our initial specific syntax for cellular strategies make these apparent

Narrative structure and political construction : The epic at work

The studies presented here1 explore an aspect of the dynamism and efficacy of literature so masterfully illuminated by John Foley, especially in Immanent Art: From Structure to Meaning in Traditional Oral Epic (1991). The construction of meaning through structure is at the very foundation of oral or "oral-derived" texts, which rely on the totality of tradition to create precise meaning. All the stories and narratives heard by listeners contribute to the creation of every character, every action, and every narrative motif.Not

Le pseudo-sublime de Longin

Le Traité du Sublime de Longin est décrypté en fonction des catégories de la rhétorique cicéronienne. Longin est du côté de Cicéron contre les atticistes (Lysias) : son grec pathos ou extase traduit le latin mouere . Mais à l'intérieur de ce cadre commun, Longin cherche à se différencier de Cicéron en privilégiant un sublime de la brièveté et non de la copia. Aux yeux de Quintilien ou de la Renaissance, c'est une illusion : la deinôsis démosthénienne est l' indignatio cicéronienne. En isolant le moment le plus spectaculaire de la copia , Longin déplaît à tous ceux qui veulent enseigner l'architecture des discours.Longinus' On the Sublime is decoded according to the categories of Ciceronian rhetoric. Longinus sides with Cicero against the atticists (Lysias): his Greek word, pathos or extasy, translates the latin mouere. But within the limits of this common ground, Longinus attempts to differentiate himself from Cicero by favouring a sublime marked by brevity, rather than by copia. In the eyes of Quintilian or of the Renaissance, such an atttempt is pure illusion. Demonstenes' deinôsis is but Cicero's indignatio. By boxing in the most spectacular aspect of the copia, Longinus displeases all those who wish to further support the role of the structures of speech

Testing futures returns predictability : implications for hedgers.

The predictability of futures returns is investigated using a semiparametric approach where it is assumed that the expected returns depend non parametrically on a combination of predictors. We first collapse the forecasting variables into a single index variable where the weights are identified up to scale, using the average derivative estimator proposed by Stoker (1986). We then use the Nadaraya-Watson kernel estimator to calculate (and visually depict) the relation between the estimated index and the expected futures returns. An application to four agricultural commodity futures illustrates the technique. The results indicate that for each of the commodities considered, the estimated index contains statistically significant information regarding the expected futures returns. Economic implications for a non-infinitely risk averse hedger are also discussed.Average derivative estimates; futures market; Hedging; Futures; Implications; Information;

Do Computers Write on Electric Screens?

How do we, humans, communicate with computers, or computational machines? What are the activities do humans and machines share, what are the meeting points between the two? Eventually, how can we build concepts of these meeting points that leaves space for the proper mode of existence of both humans and machines, without subduing one to the other? Computers are machines that operates on a scale different from humans: the calculus done by machines is too fast and untangible for humans. This is why computers\u27 activities has to be textualized, put into a form that can be understand for humans. For instance into a graphical interface, or a command line. More generally, this article tackles the problem of interface between humans and machines, the way the relation between humans and machines has been conceptualized. It is inspired both by philosophy of the modes of existence – since computers are machines with their own mode of existence – and semiotics, since computers\u27 activities have to be converted in some sort of signs that can be read by humans. First, inspired by Gilbert Simondon, we try to understand the mode of existence of computational machines. By commenting on Turing 1936\u27s seminal article, On Computable Numbers, we show that computational machines are at their core writing machines. But a writing based on calculus, different from the human way of writing. Writing can therefore be understood as a meeting point for humans and machines, provided we give a definition of writing that is large enough to include both humans and machines. Secondly, we examine theories that deals with the relationship between the two, mostly english-speaking theorists of interface (Manovich, Galloway) compared to french semiotics of les écrits d\u27écran ( written writing screens ). We show that both approaches share an anthropocentric conception of machines and/or writing, making the machine a mere instrument fulfilling human needs. Eventually, we propose some elements towards a non-anthropocentric semiotics, by focusing on the notions of interpretation and the spatiality of writing. This non-anthropocentric semiotics is the first step towards a semiotics that would make room for the mode of existence of computational machines, enabling us to renew the way we think our relationship to them

Handbook of methods for the analysis of the various parameters of the carbon dioxide system in sea water. Version 2

The collection of extensive, reliable, oceanic carbon data is a key component of the Joint Global Ocean Flux Study (JGOFS). A portion of the US JGOFS oceanic carbon dioxide measurements will be made during the World Ocean Circulation Experiment Hydrographic Program. A science team has been formed to plan and coordinate the various activities needed to produce high quality oceanic carbon dioxide measurements under this program. This handbook was prepared at the request of, and with the active participation of, that science team. The procedures have been agreed on by the members of the science team and describe well tested methods. They are intended to provide standard operating procedures, together with an appropriate quality control plan, for measurements made as part of this survey. These are not the only measurement techniques in use for the parameters of the oceanic carbon system; however, they do represent the current state-of-the-art for ship-board measurements. In the end, the editors hope that this handbook can serve widely as a clear and unambiguous guide to other investigators who are setting up to analyze the various parameters of the carbon dioxide system in sea water

Evaluating How Information and Communication Technology (ICT) Interventions Affect the Wellbeing of Indigenous Communities in the North Rupununi, Guyana

Having its roots in computer science and information systems, the field of information and communication technologies (ICT) in development has arguably been dominated by technocentric approaches, mainly concerned with describing and managing the mechanisms of technology diffusion and adoption. However, the high failure rate of many ICT for development (ICT4D) interventions and their limited focus on wellbeing impact has drawn attention to the needs for designing better evaluation frameworks to help make sense of the complex realities in which ICT interventions take place, and for interrogating the usefulness of mainstream approaches on the impact of ICT4D interventions on wellbeing. Efforts to operationalise the capability approach, and to apply it to the field of ICT4D constitute an increasingly popular alternative in this regard. The alternative shifts the focus of ICT4D evaluation away from an exclusive focus on technology access and use, towards understanding their multidimensional development outcomes, including their impact on wellbeing. One avenue, which has largely been underexplored, is the potential contribution of systems thinking approaches for further strengthening the focus on multidimensional development outcomes while improving the practical applicability of ICT4D evaluations. This doctoral research sets out to explore how systems thinking concepts and techniques can be used to complement existing approaches so as to increase the success rate of ICT4D interventions, as measured by their effect on the wellbeing of intended beneficiaries. Drawing on multiple theoretical influences, including the capability approach, systemic inquiry, critical theory and pragmatism, this thesis evaluates four ICT4D interventions, including a researcher-led ICT4D intervention, which have all taken place in Indigenous communities of the North Rupununi, Guyana, between 2005 and 2015. The findings of this study suggest that the wellbeing impact of ICT4D interventions is primarily determined by whether they are introduced to address locally-defined needs and the extent to which beneficiary communities are involved in their design, implementation and evaluation. It argues that applying concepts and techniques from systems thinking can help address some of the criticism and shortcomings of established and emerging approaches for evaluating ICT4D interventions, by looking beyond efficiency and optimisation towards questions of participation, power, purpose and values. The research then outlines the contours of a Systemic Implementation and Evaluation (SIE) framework, as a way to draw attention to the inevitable clashes of worldviews that characterise interventions involving multiple stakeholders, and to allow a critical reflection on the nature of these interventions and the changes brought about. It concludes by producing a series of policy recommendations associated with enhancing the impact of ICT4D interventions on Indigenous wellbeing

The Intradermal Tuberculin Test as a Research Tool

Epidemiological studies and controlled comparative trials in tuberculosis require precise measurement of delayed hypersensitivity to tuberculin, and only the intradermal test can provide this accuracy. The correct procedures for random sampling, random allocation of treatments and blindness of assessment are discussed. Some basic principles of planning, collecting and recording data, analysing and interpreting of results, are illustrated by two examples.S. Afr. Med. J., 47, 142 (1973

Measuring xCO₂ using the CAT/NDIR method system set up, calibration, maintenance and shutdown

Accurate measurement of partial pressure of CO2 in seawater is currently performed by measuring pC02 in an aliquot of a small volume of gas equilibrated with a large volume of the seawater to be measured. PC02 in the gas phase can be accurately measured either by gas chromatography or infra-red analysis. In order to minimize human labor to monitor pC02 in surface seawater we opted for the infra-red analysis which does not require a highly trained person and which can easily be automated. This report describes how we have designed and automated a system for continual surface seawater pC02 monitoring. It further indicates the necessary steps to set up, run, and maintain the system. With minor modifications this system can also be used to measure pC02 in discrete seawater samples. (Goyet et al., 1993)Funding was provided by the Department of Energy under Grant No. FG02 94ER61544