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.     

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.

     

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.     

New contribution to the study of chromosomes of the European Cryptocephalinae (Coleoptera,Chrysomelidae)

Summary The chromosomes of three species ofPachybrachis and nine ofCryptocephalus chrysomelids were analyzed. The male meiotic bivalent formula ofP. azureus Suffr.,P. catalonicus Burl. andP. petitpierrei Daccordi is 7^II+Xy_r.Cryptocephalus sexmaculatus Ol. andC. vittula Suffr. have 13^II+Xy_p,C. bipunctatus L. 14^II+Xy_r,C. ochroleucus Steph. andC. ocellatus Drap. 14^II+Xy_p,C. crassus 01. 15^II+Xy_r,C. sulphureus 01. 15^II+Xy_p, the same number as inC. fulvus Goeze with 2n=32 chromosomes, whileC. primarius Har. has 19^II+Xy_p. The modal chromosome number inCryptocephalus is 2n=30 (about 60% of spp.), and most species are characterized their small chromosomes. The low variation found in the karyotypes of Cryptocephalinae along with their possible interrelationships with allied chrysomelid subfamilies are also discussed.     

Polarographic determination of the reaction rate of the second step in an SN1 displacement

Zusammenfassung Die Zeitabhängigkeit des polarographischen Stromes, welche man bei der gemäss SN1 verlaufenden Hydrolyse vonp-Methoxy-2-phenylpropylchlorid beobachtet, ermöglicht die Bestimmung der Geschwindigkeitskonstantenk ₁ der Gesamtreaktion sowie auch der Geschwindigkeitskonstantenk ₂ des zweiten raschen Schrittes, welcher nach pseudo-erster Ordnung verläuft. Fürk ₂ ergibt sich in Aceton, das 5% Wasser enthält, bei 25°Ck ₂=2,0×10³ sec^–1.

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We would like to thank the N.R.C. for provision of a grant to purchase the Electrochemical System and the University of New Brunswick for a Fellowship for one of us (D.B.).     

Alexis Fontaine's ‘Fluxio-differential method’ and the origins of the calculus of several variables

Alexis Fontaine des Bertins (1704–1771) was the first French mathematician to introduce what we would now regard as results in the calculus of several variables. One example is Fontaine's theorem nF = (?F/?x)x + (?F/?y)y of 1737 for homogeneous expressions F of degree n in x and y. Many years later Fontaine indicated this particular result to have been ‘a continuation of the method of solution’ introduced by him in 1734 to solve the problem of the tautochrones. It is tempting to disregard this announcement, since the method applied to the tautochrones was a method of variations and not manifestly an exercise in the calculus of several variables. Do we have just another case of a mathematician's confusion about the origins of his earlier work? In this paper I describe Fontaine's possible intentions in his remarks.     

Effect of strychnine on the electroretinogram of the isolated rabbit retina

Zusammenfassung Strychnin in einer Konzentration von 3×10^–6 bis 3,5×10^–5 M/l verursacht eine vorübergehende Vergrösserung derb-Welle des ERG der isolierten Kaninchennetzhaut, in einer Konzentration von 7×10^–5 bis 7×10^–4 M/l verkleinert es dieb-Welle. Aus den Ergebnissen wird geschlossen, dass die Substanz zumindest teilweise schon auf die Schicht des zweiten Neurons wirkt.     

Application of the linear partial information model to forecasting the Swiss timber market

Most often, statistical analyses only provide partial information about the appropriateness of different models, structures and parameters which may underlie the dynamic process that has generated a time series. Linear partial information (LPI), in particular, consists of linear restrictions such as LPI: p_a> p_b, p_a> p_c where p_a denotes the probability that structure a holds. Fuzzy information of this type can be put to use for decision-making by LPI analysis. In this paper, LPI analysis is applied to answer the question of whether subsidizing price, given an abnormal disturbance on the timber market, would contribute to continuous forest management, a stated goal of Swiss environmental policy.     

On the synthesis of serine and homoserine samples asymmetrically labelled with tritium and deuterium in the hydroxymethylene group

Summary (1 R) [1-³H,²H₁] 3-Phenylpropanol, the key intermediate in the synthesis of (4 R) [4-³H,²H₁] D, L-homoserine and of the (4 S)-isomer, is obtained from (1 S) [1-²H₁] 3-phenylpropanol and (1 RS) [1-³H] ethanol upon incubation with yeast alcohol dehydrogenase and NAD⁺; under similar conditions 2-phenylethanol undergoes very small exchange with [1-²H₂] ethanol.     

Biomedicine and diseases: the Klippel-Trenaunay syndrome, vascular anomalies and vascular morphogenesis

Vascular morphogenesis is a vital process for embryonic development, normal physiologic conditions (e.g. wound healing) and pathological processes (e.g. atherosclerosis, cancer). Genetic studies of vascular anomalies have led to identification of critical genes involved in vascular morphogenesis. A susceptibility gene, VG5Q (formally named AGGF1), was cloned for Klippel-Trenaunay syndrome (KTS). AGGF1 encodes a potent angiogenic factor, and KTS-associated mutations enhance angiogenic activity of AGGF1, defining ‘increased angiogenesis’ as one molecular mechanism for the pathogenesis of KTS. Similar studies have identified other genes involved in vascular anomalies as important genes for vascular morphogenesis, including TIE2, VEGFR-3, RASA1, KRIT1, MGC4607, PDCD10, glomulin, FOXC2, NEMO, SOX18, ENG, ACVRLK1, MADH4, NDP, TIMP3, Notch3, COL3A1 and PTEN. Future studies of vascular anomaly genes will provide insights into the molecular mechanisms for vascular morphogenesis, and may lead to the development of therapeutic strategies for treating these and other angiogenesis-related diseases, including coronary artery disease and cancer.Received 24 November 2004; received after revision 21 January 2005; accepted 2 March 2005     

Furan fatty acid steryl esters from the marine spongeDictyonella incisa which show inflammatory activity

Summary Three new furan fatty acids, (9Z, 19Z)-3, 6-epoxyhexacosa-3,5,19-tetraenoic acid (1a), (8Z, 11Z, 14Z, 17Z)-3, 6-epoxyeicosa-3,5,8,11,14,17-hexaenoic acid (2a), and (8Z, 11Z, 14Z, 17E)-3, 6-epoxyeicosa-3,5,8,11,14,17-hexaenoic acid (3a), and a new polyunsaturated fatty acid (5Z, 8Z, 11Z, 14Z, 17E)-eicosa-5,8,11,14,17-pentaenoic acid (6a), present in the spongeDictyonella incisa as the respective steryl esters, have been isolated as methyl esters and their structures have been determined by spectral and chemical analysis. The furan fatty acid esters have shown a high inflammatory activity, which suggests their potential role as feeding deterrents.     

Estimating and Predicting the General Random Effects Model

This paper extends the ‘remarkable property’ of Breusch (Journal of Econometrics 1987; 36 : 383–389) and Baltagi and Li (Journal of Econometrics 1992; 53 : 45–51) to the three‐way random components framework. Indeed, like its one‐way and two‐way counterparts, the three‐way random effects model maximum likelihood estimation can be obtained as an iterated generalized least squares procedure through an appropriate algorithm of monotonic sequences of some variance components ratios, θ_i (i = 2, 3, 4). More specifically, a search over θ_iwhile iterating on the regression coefficients estimates β and the other θ_jwill guard against the possibility of multiple local maxima of the likelihood function. In addition, the derivations of related prediction functions are obtained based on complete as well as incomplete panels. Finally, an application to international trade issues modeling is presented. Copyright © 2014 John Wiley & Sons, Ltd.     

Influence of turbulence on electrokinetic phenomena; experimental determination of the thickness of the diffuse part of the double layer

Zusammenfassung Durch Messungen in 10^–5, 10^–4 und 10^–3 N benzolischen Lösungen von Zn-di-i-propylsalizylat haben wir einen beträchtlichen Einfluss von Turbulenz auf Strömungsströme feststellen können. Dieser Einfluss kann ausgedrückt werden durch einen Faktorf, der in einem unserer Experimente einen Wert vonf=66 erreichte; aus den Werten vonf kann die Dicke der diffusen Doppelschicht in der Flüssigkeit berechnet werden.     

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.     

The portraiture of the honourable Robert Boyle,F.R.S.

“To whom is the Consecration of Medal, Stature or even Pyramid more jusly due, than to … the late Illustraious Boyle? … for the happy Improvement of Otto Guericks Magdeburg Exhausterm and for his Profound and Noble Researches into all the abstruser Parts and Recesses of the most useful Philosophy … I have named the Illustrious Boyle, and fix his Trophy here.”

John Evelyn, Numismata, 1697.

     

The effect of X-rays and EMS on the behavior of the transposing element,TE98, inDrosophila melanogaster

Summary The sensitivity of TE98 (carryingw ^+R andrst ⁺) to X-rays does not differ significantly from the mutability ofcurled andkarmoisin loci. In addition no spontaneous mutants of TE98 were recovered, indicating its extreme stability. On the effect of EMS nowhite mutants were found supporting the view that thew ⁺ gene of TE98 is duplicated.     

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.     

Characterization of the estrogen receptors in the uterine and blood eosinophil leukocytes

Summary Estrogen receptors are found in the rat uterine and in the eosinophil-rich human blood leukocyte 24,000g fractions, but not in the low-eosinophil count human blood leukocyte 24,000g fraction. The total number of binding sites per blood eosinophil leukocyte is 7,400 sites per cell, and theK _d =5.6×10^–10 M.Acknowledgments. This work was supported in part by funds from the Unité de Recherches sur le Métabolisme Moléculaire et la Physio-Pathologie des Stéroïdes de l'INSERM, Hôpital de Bicetre, France, and by grant No. 2015 from the Oficina Técnica de Desarrollo Científico y Creación Artística of the University of Chile.     

Study of the relationship between the magnitude of biological activity and the structure of aliphatic compounds

Zusammenfassung Es wurde festgestellt, dass die experimentellen Daten der sogenannten physikalischen Toxizität von aliphatischen Verbindungen die Gleichung log ( _i/ _Ät)= erfüllen, wo _iund _Ät die Grösse der biologischen Wirkung des i-ten Derivats und des Äthylderivats bezeichnen und und die Konstanten sind. Die Bedeutung der beiden Konstanten wurde erwähnt.     

Parallel evolution of multiple sex-chromosome systems in the phyllostomatid bats,Carollia andChoeroniscus

Resumen Se describen los cariotipos deCarollia perspicillata, C. brevicauda, yC. castanea de Costa Rica y del Perú, y deChoeroniscus godmani de Costa Rica. La sistema de multiple cromosomas sexuales de machosXY ₁ Y ₂/hembrasXX reportado por investigadores anteriores se encontraba en todos individuos con la excepcion deC. castanea del Perú yChoeroniscus godmani de Costa Rica. Estas poblaciones se consideran de haberse mantenido la sistema primitiva de cromosomas sexualesXX/XY.