Forecasting for the generation of trading signals in financial markets

In this paper we show that optimal trading results can be achieved if we can forecast a key summary statistic of future prices. Consider the following optimization problem. Let the return r_i (over time i=1, 2, ..., n) for the ith day be given and the investor has to make investment decision d_i on the ith day with d_i=1 representing a ‘long' position and d_i=0 a ‘neutral' position. The investment return is given by r=Σⁿ_i=1r_id_i−cΣⁿ⁺¹_i=1∣d_i−d_i−1∣, where c is the transaction cost. The mathematical programming problem of choosing d₁, ..., d_n to maximize r under a given transaction cost c is shown to have an analytic solution, which is a function of a key summary statistic called the largest change before reversal. The largest change before reversal is recommended to be used as an output in a neural network for the generation of trading signals. When neural network forecasting is applied to a dataset of Hang Seng Index Futures Contract traded in Hong Kong, it is shown that forecasting the largest change before reversal outperforms the k‐step‐ahead forecast in achieving higher trading profits. Copyright © 2000 John Wiley & Sons, Ltd.     

A dynamic linear model approach for disaggregating time series data

An approach is proposed for obtaining estimates of the basic (disaggregated) series, x_i, when only an aggregate series, y_t, of k period non-overlapping sums of x_i's is available. The approach is based on casting the problem in a dynamic linear model form. Then estimates of x_i can be obtained by application of the Kalman filtering techniques. An ad hoc procedure is introduced for deriving a model form for the unobserved basic series from the observed model of the aggregates. An application of this approach to a set of real data is given.     

Communications préliminaires sur les chromosomes des Plécoptères

Summary The chromosomal sets of five species ofPerlodidæ (Plecoptera) are given in the present paper. The sexual chromosomes belong to three distinct types:X-O,X ₁-X ₂,X ₁-X ₂-X ₃. The author shows that these three types are likely derived from the most primitive patternX-Y, by translocation and inversion.     

Das Prinzip der Äthylogie in der organischen Chemie

Summary The concept of ethylogy is introduced to correlate reactions of compounds of the typea-C-X and those of their ethyloguesa-C-C-C-X,a being a group capable of electron donation andX an electron-accepting leaving group.Besides normal substitution and elimination ofX ina-C -C -C -X, the latter type of compound may undergo cleavage of the C -C bond. This fragmentation produces an olefin in addition to the products also derivable from the simpler compounda-C-X. A number of such fragmentation reactions are reviewed.In the case of-halo amines, there are indications that, depending on structure and stereochemistry, fragmentation can occur by a one-step or two-step process. It is considered likely that the duality and merging of mechanism encountered in simple systemsa-C-X will also prevail in the fragmentation of their ethylogues.     

Analysis of many short time sequences: Forecast improvements achieved by shrinkage

Credibility models in actuarial science deal with multiple short time series where each series represents claim amounts of different insurance groups. Commonly used credibility models imply shrinkage of group-specific estimates towards their average. In this paper we model the claim size yu in group i and at time t as the sum of three independent components: y_it = μ_r + δ_i + ?_it. The first component, μt = μ_t?1 + m_t, represents time-varying levels that are common to all groups. The second component, δ_i, represents random group offsets that are the same in all periods, and the third component represents independent measurement errors. In this paper we show how to obtain forecasts from this model and we discuss the nature of the forecasts, with particular emphasis on shrinkage. We also assess the forecast improvements that can be expected from such a model. Finally, we discuss an extension of the above model which also allows the group offsets to change over time. We assume that the offsets for different groups follow independent random walks.     

On the usefulness of macroeconomic forecasts as inputs to forecasting models

A forecasting model for y_t based on its relationship to exogenous variables (e.g. x?_t) must use x?_t, the forecast of x?_t. An example is given where commercially available x?_t's are sufficiently inaccurate that a univariate model for y_t appears preferable. For a variety of types of models inclusion of an exogenous variable x?_t is shown to worsen the y_t forecasts whenever x?_t must itself be forecast by x?_t and MSE (x?_t) > Var (x?_t). Tests with forecasts from a variety of sources indicate that, with a few notable exceptions, MSE (x?_t) > Var (x?_t) is common for macroeconomic forecasts more than a quarter or two ahead. Thus, either:

• (a) available medium range forecasts for many macroeconomic variables (e.g. the GNP growth rate) are not an improvement over the sample mean (so that such variables are not useful explanatory variables in forecasting models), and/or
• (b) the suboptimization involved in directly replacing x?_t by x?_t is a luxury that we cannot afford.

     

A biologically active analogue of oxytocin not containing a disulfide group

Zusammenfassung Die Synthese eines Analogen des Deamino-oxytocins, in dem ein Schwefelatom der Disulfidbrücke durch eine Methylengruppe ersetzt ist (I,X = CH₂,R=H), wird beschrieben. Die Verbindung hat oxytocinähnliche biologische Wirkungen.     

Chemical defense in the three European species ofCrematogaster ants

The composition of the Dufour gland of the antC. scutellaris has been reinvestigated by gas chromatography/mass spectrometry. The major components of the gland are (2E,5E,12Z)-4-oxoheneicosa-2,5,12-trien-1-ol acetate (1a) its ¹⁴ and ¹⁶ double bond isomers (1b and1c), and the corresponding (Z,Z)-dienes5a and5b, all containing an acetylated C₂₁ chain. The previously proposed structures1d, 1e, and5c, which are based on an homologous acetylated C₂₃ chain, correspond to minor derivatives present in the gland. Traces of acetylated C₁₉ homologs, tentatively identified as1g-1i, have also been found. The Dufour gland contents of the two other EuropeanCrematogaster species have also been studied.C. auberti is very similar toC. scutellaris in producing mainly1a, 1b and1c, together with the same higher and lower homologs, but it lacks the dienic derivatives5, whereasC. sordidula contains essentially the acetylated C₁₉ compounds1g, 1h, and1i, accompanied by acetylated C₁₇ homologs.     

Ligand recognition by the I domain-containing integrins

Seven of the integrin α subunits described to date, α ₁ , α ₂ , α _L , α _X , α _d , α _M and α _E , contain a highly conserved I (or A) domain of approximately 200 amino acid residues inserted near the amino-terminus of the subunit. As the result of a variety of independent experimental approaches, a large body of data has recently accumulated that indicates that the I domains are independent, autonomously folding domains capable of directly binding ligands that play a necessary and important role in ligand binding by the intact integrins. Recent crystallographic studies have elucidated the structures of recombinant α _M and α _L I domains and also delineated a novel divalent cation-binding motif within the I domains (metal ion-dependent adhesion site, MIDAS) that appears to mediate the divalent cation binding of the I domains and the I domain-containing integrins to their ligands.     

Cytogénétique desLeggada: (1) La formule chromosomique deMus (Leggada)bufo Th., (2) Nouvelles données sur la délétion portant sur le bras court d'unX chezMus (Leggada)triton Th

Summary The author treats 2 topics connected with his studies on the cytogenetics of the African pigmy-mice. (1)Mus (Leggada) bufo Th. shows the primitive complement already detected in other species or subspecies (minutoides ssp ₁,indutus, tenellus, setulosus): 2N=36,N.F.=36, sex chromosomesPR. (2) The deletion of the short arm of oneX-chromosome (X _dc ) was previously observed as heterozygous mutation by 4 in a sample of 7 and 5 . A more important sample (18 , 21 ) gives the following results: 11 X-X, 10 X-X _dc , 18 X-Y. The occurrence of X _dc -X _dc and of X _dc -Y is also very improbable. It is not easy to understand how the chromosomeX _dc may persist in the population if the complementsX _dc -X _dc andX _dc -Y are lethal, which seems to result from these observations.     

Chromosome number and sex chromosome mechanism in some more species of the Indian mantids

Zusammenfassung Über Chromosomenzahl und Mechanismus der Geschlechtschromosomen von 13 Arten (8 Unterfamilien) indischer Mantiden wird berichtet. Die GattungenHumbertiella, Didymocorypha, Novo Genus der Gruppe Gonypetae vic.Cimantis-Eumantis, Parathespis, Creobroter, Empusa und die ArtDeiphobe brunneri zeigen im Geschlecht dasXO-System.Hierodula coarctata, Cheddikulama straminea undDeiphobe indica zeigen 2n=27 undX ₁ X ₂ Y.

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I am deeply grateful to Prof. G. P.Sharma for his able guidance, laboratory facilities and kind permission to accompany the zoological trip of the department to Rameshwaram Island, for the collection of mantids.     

Exact test for opposite trends of probability changes in one or several 3×2 tables

Zusammenfassung Der «Likelihood»-Quotiententest wird auf einer 3×2-Kontigenztafel mit unbekannten Wahrscheinlichkeitenp _ij (i=1,2,3;j=1,2) angewandt, um die Hypothese H₀:p _i1=p _i2 (i=1,2,3) gegen die alternative Hypothese H₁:p ₁₁>p ₁₂ p ₃₁<p ₃₂ zuprüfen, und zwar wenn kleine Stichproben vorhanden sind. Ausserdem wird die Kombination solcher Tests behandelt. Als Beispiel wird diese Testtheorie beim Wahlverhalten des Kabeljaus im Dressurversuch über akustische Lokalisation in zwei Stimulussituationen verwendet.

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The close cooperation with Drs.E. Meelis, Institute of Theoretical Biology Leyden, The Netherlands, in applying the likelihood ratio test to this case is gratefully acknowledged.

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The author is greatly indebted to Dr.J. Oosterhoff, Mathematical Institute, University of Nijmegen, The Netherlands, for introducing the subclasses 1b and 1c in the computation of vector and for the explicit expressions in these cases which eliminated the need for a numerical optimization. Further more valuable remarks regarding the combination problem were obtained.     

Sopra un caso particolare della superficie F 4 (3) di M. Noether

Summary The Noetherian surfaceF ₄ ⁽³⁾ , which is represented on a plane by a linear ³ system ofC ₉(A ₁ ³ A ₂ ³ A ₃ ³ A ₄ ³ A ₅ ³ A ₆ ³ A ₇ ³ A ₈ ³ A ₉ ² A ₁₀), possesses generally only one linear pencil of elliptic cubics. IfA _i (i=1, 2, , 9) are the basis points of aHalphen pencil ofC ₉,A ₁₀ is infinitely near toA ₉, and in this caseF ₄ ⁽³⁾ is a not trivial example of such a surface with two pencils of elliptic cubics.     

Extracellular Mg2+ regulates intracellular Mg2+ and its subcellular compartmentation in fission yeast, Schizosaccharomyces pombe

Effects of extracellular magnesium ions ([Mg²⁺]_o ) on intracellular free Mg²⁺ ([Mg²⁺]_i ) and its subcellular distribution in single fission yeast cells, Schizosaccharomyces pombe, were studied with digital-imaging microscopy and an Mg²⁺ fluorescent probe (mag-fura-2). Using 0.44 mM [Mg²⁺]_o , [Mg²⁺]_i in yeast cells was 0.91±0.08 mM. Elevation of [Mg²⁺]_o to 1.97 mM induced rapid (within 5 min) increments in [Mg²⁺]_i (2.18±0.11 mM). Lowering [Mg²⁺]_o to 0.06 mM, however, exerted no significant effects on [Mg²⁺]_i (0.93±0.14 mM), at least for periods of up to 30 min. Irrespective of the [Mg²⁺]_o used, the subcellular distribution of [Mg²⁺]_i remained hetero geneous, i.e. where the sub-plasma membrane region >cytoplasm >nucleus. [Mg²⁺] in all three subcellular compartments increased significantly, two- to threefold, concomitant with [Mg²⁺]_i when placed in 1.97 mM [Mg²⁺]_o . We conclude that [Mg²⁺]_i in fission yeast is maintained at a physiologic level when [Mg²⁺]_o is low, but intracellular free Mg²⁺ rapidly rises when [Mg²⁺]_o is elevated. Like most eukaryotic cells, yeast may have a Mg²⁺ transport system(s) which functions to maintain gradients of Mg²⁺ from the outside to inside the cell and among its subcellular compartments. Received 18 April 1996; received after revision 4 July 1996; accepted 26 July 1996     

Phosphate transport inTrypanosoma cruzi

Zusammenfassung Epimastigoten vonTrypanosoma cruzi sind für Orthophosphate (P _i ) relativ undurchlässig. Man kann trotzdem bei zellen, die aus Ortophosphat armen Kulturen stammen, einen signifikanten Übertritt von Ortophosphat ins Zellinnere messen. Bei diesen Zellen ist die Geschwindigkeit des P _i -Transportes ins Zellinnere trotz eines diesem Vorgang entgegenwirkenden Phosphat-Konzentrationsgradienten etwa 5 mal grösser als die der P _i -Abgabe aus dem Zellinnern des umgebenden Mediums. Die Durchlässigkeitsschranke für P _i wird durch 3 mM Jodacetat zerstört.

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This work was supported by grants of Consejo Nacional de Investigaciones Científicas y Técnicas (Argentina), the Instituto Nacional de Farmacología, and the Wellcome Trust.     

A new interpretation of the sex determining mechanism of the European earwig,Forficula auricularia

Riassunto Osservazioni su femmine diForficula auricularia L. indicano che esse possiedono un solo cariotipo formato da 22 autosomi e da 2 cromosomiX. Sulla base di questo studio, suggeriamo che i maschi con 3 cromosomi sessuali sono del tipoXYY, e nonXXY come precedentemente ritenuto da varii autori. Ci sono maschiXY ₁t, XY₂, XY₂Y₂ e mosaiciXY ₂/XY₂Y₂ nella popolazione. Inoltre viene dimostrato che solamente il più grande dei due cromosomi Y, che caratterizzano questa specie, viene accumulato nei maschi con un meccanismo multiple di cromosomi sessuali.

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Supported by a postgraduate award from the Commonwealth of Australia to G.C.W. and by Public Health Service Grant No. GM-07212 from the Division of General Medical Sciences, U.S. National Institutes of Health and by a grant from the Australian Research Grants Committee.     

Sex chromosomes of a pygopodid lizard,Lialis burtonis

Zusammenfassung Es wird erstmals über den Karyotyp einer Eidechse der Familie Pygopodidae,Lialis burtonis mit dem GeschlechtschromosomensystemX ₁ X ₂ Y berichtet. Die diploide Chromosomenzahl des Männchens ist 33 und diejenige des Weibchens 34. Morphologisch scheint der Karyotyp eine Ähnlichkeit mit demjenigen der Geckoniden zu besitzen.     

Semiparametric forecast intervals

Consider forecasting the economic variable Y_t+h with predictors X _t, where h is the forecast horizon. This paper introduces a semiparametric method that generates forecast intervals of Y_t+h| X _t from point forecast models. First, the point forecast model is estimated, thereby taking advantage of its predictive power. Then, nonparametric estimation of the conditional distribution function (CDF) of the forecast error conditional on X _t builds the rest of the forecast distribution around the point forecast, from which symmetric and minimum‐length forecast intervals for Y_t+h| X _t can be constructed. Under mild regularity conditions, asymptotic analysis shows that (1) regardless of the quality of the point forecast model (i.e., it may be misspecified), forecast quantiles are consistent and asymptotically normal; (2) minimum length forecast intervals are consistent. Proposals for bandwidth selection and dimension reduction are made. Three sets of simulations show that for reasonable point forecast models the method has significant advantages over two existing approaches to interval forecasting: one that requires the point forecast model to be correctly specified, and one that is based on fully nonparametric CDF estimate of Y_t+h| X _t. An application to exchange rate forecasting is presented. Copyright © 2010 John Wiley & Sons, Ltd.     

Modeling expert forecasting knowledge for incorporation into expert systems

The use of continuous multivariate models to represent experts' knowledge of relations among a set of variables is reviewed. Such knowledge models can be incorporated into expert systems, complementing contingent rules, especially when representing experts' knowledge of functional relations among entities in noisy domains. Past work has most commonly involved linear averaging models in static domains, although nonlinear models and dynamic domains are also possible. Detecting errors in continuous multivariate models requires a different approach from detecting errors in collections of if-then rules. Methods for eliciting expert knowledge include modeling judgments made in real or hypothetical situations and using expert's self-insight directly to assist in construction of the model. Procedures for managing each of these methods have been computerized and could be included as elicitation tools in expert system building environments.