Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models

We introduce a long‐memory autoregressive conditional Poisson (LMACP) model to model highly persistent time series of counts. The model is applied to forecast quoted bid–ask spreads, a key parameter in stock trading operations. It is shown that the LMACP nicely captures salient features of bid–ask spreads like the strong autocorrelation and discreteness of observations. We discuss theoretical properties of LMACP models and evaluate rolling‐window forecasts of quoted bid–ask spreads for stocks traded at NYSE and NASDAQ. We show that Poisson time series models significantly outperform forecasts from AR, ARMA, ARFIMA, ACD and FIACD models. The economic significance of our results is supported by the evaluation of a trade schedule. Scheduling trades according to spread forecasts we realize cost savings of up to 14 % of spread transaction costs. Copyright © 2013 John Wiley & Sons, Ltd.     

Estimating overnight de facto population by forecasting symptomatic variables: an integrated framework

In spite of the importance that measurements of temporary (de facto) populations have for public sector planning of services and infrastructures and for private firms' location purposes, no well‐established framework exists in the literature showing how to systematically perform such estimates. As a first step to overcoming the conceptual and practical difficulties surrounding the estimation of de facto population, this paper relies on forecasting symptomatic variables to integrate existing direct and indirect methods into a unified theoretical framework for estimating overnight residents. Copyright © 2009 John Wiley & Sons, Ltd.     

Improving Hull and White's Method of Estimating Portfolio Value‐at‐Risk

We propose a method approach. We use six international stock price indices and three hypothetical portfolios formed by these indices. The sample was observed daily from 1 January 1996 to 31 December 2006. Confirmed by the failure rates and backtesting developed by Kupiec (Technique for verifying the accuracy of risk measurement models. Journal of Derivatives 1995; 3 : 73–84) and Christoffersen (Evaluating interval forecasts. International Economic Review 1998; 39 : 841–862), the empirical results show that our method can considerably improve the estimation accuracy of value‐at‐risk. Thus the study establishes an effective alternative model for risk prediction and hence also provides a reliable tool for the management of portfolios. Copyright © 2011 John Wiley & Sons, Ltd.     

Effect of SiO2 addition on the dielectric properties and microstructure of BaTiO3-based ceramics in reducing sintering

The effect of SiO₂ doping on the sintering behavior, microstructure, and dielectric properties of BaTiO₃-based ceramics has been investigated. Silica was added to the BaTiO₃-based powder prepared by the solid state method with 0.075mol%, 0.15mol%, and 0.3mol%, respectively. The SiO₂-doped BaTiO₃-based ceramic with high density and uniform grain size were obtained, which were sintered in reducing atmosphere. A scanning electron microscope, X-ray diffraction, and LCR meter were used to determine the microstructure as well as the dielectric properties. SiO₂ can form a liquid phase belonging to the ternary system of BaO-TiO₂-SiO₂, leading to the formation of BaTiO₃ ceramics with high density at a lower sintering temperature. The SiO₂-doped BaTiO₃-based ceramics can be sintered to a theoretical density higher than 95% at 1220℃ with a soaking time of 2 h. The dielectric constants of the sample with 0.15mol% SiO₂ addition sintered at 1220℃ is about 9000. Doping with a small amount of silica can improve the sintering and dielectric properties of BaTiO₃-based ceramics.     

Selection of a Representative Sample

Sometimes a larger dataset needs to be reduced to just a few points, and it is desirable that these points be representative of the whole dataset. If the future uses of these points are not fully specified in advance, standard decision-theoretic approaches will not work. We present here methodology for choosing a small representative sample based on a mixture modeling approach.     

Mountain goats in the Greater Yellowstone Ecosytem: a prehistoric and historical context

Because the relatively recent colonization of portions of Yellowstone National Park by introduced mountain goats ( Oreamnos americanus ) from public game lands in Montana raises important policy and management questions for the park, it is necessary to understand the prehistoric and early historical record of mountain goats in the Greater Yellowstone Ecosystem. We reviewed previous paleontological, archeological, and historical studies of goat presence and examined a large body of historical material for evidence of goats. Native mountain goat range most closely approached the Greater Yellowstone Ecosystem to the west, but no modern authority claims goats were resident in the ecosystem in recent centuries. Historical accounts of goat presence in the region prior to 1882 (and thus prior to any known introduction of goats by Euro-Americans) are limited to one possible sighting by unreliable observers and a few casual mentions of goat presence by people of limited or unknown familiarity with the ecosystem. Other early observers in the region specifically stated that goats were not native. Between 1882 and 1926 other observers and residents agreed that mountain goats were not native to the park, or to the larger area around it. It is impossible to prove absolutely that there were no goats in the ecosystem prior to modern introductions, but historical evidence demonstrates that if present, such goats must have been exceedingly rare and uncharacteristically unsightable. National Park Service policy relating to exotic species developed gradually after the creation of Yellowstone National Park in 1872, moving from a general receptivity to introduction of at least some favored nonnative species to a general prohibition on all such introductions. Current policy, while disapproving of all nonnative species, seems to reserve special efforts at removal of nonnatives for those species that pose the greatest threat to native species and ecosystems. Current policy is not helpful in defining the minimum amount of evidence needed to prove a species was present or absent, or whether or not an introduced nonnative species is causing sufficient harm to justify its removal.     

非破坏性检测地下LNAPL污染技术研究

采用非破坏性透地雷达,对台湾嘉义市水上乡地下污染情况施测,参考实地钻探报告,对污染范围进行描绘,经比对施测结果与钻探报告,透地雷达检测比水轻非水相液体(LNAPL)污染结果准确,污染范围判定吻合.     

Awareness of Residents Regarding the Construction of a Sustainable Urban Community: A Case Study of Action Research in Taiwan

Chung-Sheng Community in Taoyuan City, Taiwan is a typical urban community. By adopting participatory action research, this study examines resident awareness regarding the feasibility of transforming Chung-Sheng Community into a sustainable community. Action research can help avoid constant “trial and error” in constructing sustainable communities and enhance process efficiency. Meanwhile, an active research approach can help communities better achieve sustainable development. Constructing a sustainable urban community requires energy, effective frameworks, and professional assistance. Achieving these requires a continuous and participatory action research process, and careful exploration of the awareness of community residents, which is the focus of this investigation.     

Exploring Sustainable Development of Cultural Living Circles Through Action Research: The Case of Sanyi Township, Miaoli, Taiwan

A cultural living circle comprises a “living cultural space” with local characteristics established via interactions between resident daily behaviors and the surrounding environment. In studying the long-term promotion of a cultural living circle in Sanyi Woodcarving Village, Miaoli, Taiwan to explore the sustainable development of cultural living circle, the authors engaged in local community building to identify its dynamic composition through Action Research, and conducted a field study examining cultural living circles and main interaction networks through literature review and in-depth interviews. This study obtains three findings. First, cultural living circles are created through interactions among four main systems, educational, community, professional and administrative. Second, in the interaction network, a core “leading system” guides other “subservient systems” to establish a “core-satellite” model. Third, the role changing that occurs during cultural living circle development constructs a solid and flexible link that can realize sustainable development of cultural living circles.