Financial density forecasts: A comprehensive comparison of risk‐neutral and historical schemes

We investigate the forecasting ability of the most commonly used benchmarks in financial economics. We approach the usual caveats of probabilistic forecasts studies—small samples, limited models, and nonholistic validations—by performing a comprehensive comparison of 15 predictive schemes during a time period of over 21 years. All densities are evaluated in terms of their statistical consistency, local accuracy and forecasting errors. Using a new composite indicator, the integrated forecast score, we show that risk‐neutral densities outperform historical‐based predictions in terms of information content. We find that the variance gamma model generates the highest out‐of‐sample likelihood of observed prices and the lowest predictive errors, whereas the GARCH‐based GJR‐FHS delivers the most consistent forecasts across the entire density range. In contrast, lognormal densities, the Heston model, or the nonparametric Breeden–Litzenberger formula yield biased predictions and are rejected in statistical tests.     

Carapace ontogeny of the bromeliad dwelling ostracod Elpidium bromeliarum Müller, 1880 (Crustacea: Ostracoda)

Ostracods have discontinuous development, marked by ecdyses, and determinate growth. Ontogenetic studies have suggested a pattern of nine postembryonic stages (eight juvenile phases and the adult) for the main freshwater ostracod superfamilies Cypridoidea, Cytheroidea and Darwinuloidea. However, cases of a supposed extra moult in the adult stage have been proposed for some ostracod species, which would amount to 10 postembryonic growth stages. One such example is Elpidium bromeliarum Müller, 1880, a cytheroidean that inhabits tank-bromeliads. The present study is aimed at investigating the ontogenetic development of E. bromeliarum using width and length measurements, as well as carapace and appendage morphology in order to test the existing hypothesis of an additional growth stage in adults of this species. Our results revealed nine postembryonic growth stages (eight juvenile and the adult), with sexual dimorphism beginning its expression in the last juvenile stage. Thus, the ontogenetic development of E. bromeliarum agrees with the overall pattern observed for podocopid ostracods and the hypothesis of 10 postembryonic growth stages was not corroborated. We argue that the inability to differentiate juveniles from adults, or different species from one another, may have misled to the assumption of an additional moult in E. bromeliarum.     

The Future of Mathematics in Economics: A Philosophically Grounded Proposal

The use of mathematics in economics has been widely discussed. The philosophical discussion on what mathematics is remains unsettled on why it can be applied to the study of the real world. We propose to get back to some philosophical conceptions that lead to a language-like role for the mathematical analysis of economic phenomena and present some problems of interest that can be better examined in this light. Category theory provides the appropriate tools for these analytical approach.     

Soft System Dynamics Methodology in Action: A study of the Problem of Citizen Insecurity in an Argentinean Province

This paper illustrates an application of soft system dynamics methodology (SSDM). SSDM arose as a fusion of two well-known methodologies in the systems movement: system dynamics (SD) and soft systems methodology (SSM). SSDM includes 10 steps to orchestrate and implant change in social systems, based on a multimethodological and multiparadigmatic approach as an outcome of the combination of the mentioned methodologies. After a brief introduction, the paper starts by briefly explaining SSM and SD, their stages and their problematical issues as systemic methodologies, then goes on to explain SSDM, its philosophical roots and stages, ending with a comparison among the three. It then introduces the citizen insecurity problem in Argentina, specifically in Mendoza Province, where SSDM was applied to analyze this issue. The paper concludes with an explanation of the learning points that arose from the use of SSDM in this study and suggestions for further research on citizen security and SSDM.     

South American SLR stations monitoring ground displacement caused by the M8.8 Chilean earthquake of 2010

The M8.8 Chilean earthquake of February 27, 2010 caused a large surface displacement near its epicenter. Satellite Laser Ranging (SLR) station 7405, cooperatively operated by Germany and Chile about 130 km from the epicenter was affected by the earthquake. Another SLR station, No. 7406, operated jointly by the National Astronomical Observatories of the Chinese Academy of Sciences and San Juan University of Argentina, was about 600 km from the epicenter. Combining the observations of these two SLR stations with global SLR station observations, we calculate the geocentric coordinates of the two stations based on ITRF2000. The results show that the coordinates of the two stations have changed by varying degrees. SLR-7405 moved substantially towards the southwest with displacements of about 3.11, 0.52 and 0.49 m in X, Y, Z directions; the corresponding displacements for SLR-7406 are about 0.02, 0.03 and 0.02 m. This solution, as an independent result derived from SLR observations, could provide an essential external check for other positioning techniques such as GPS.     

Estimation and Forecasting of Locally Stationary Processes

This paper develops a state space framework for the statistical analysis of a class of locally stationary processes. The proposed Kalman filter approach provides a numerically efficient methodology for estimating and predicting locally stationary models and allows for the handling of missing values. It provides both exact and approximate maximum likelihood estimates. Furthermore, as suggested by the Monte Carlo simulations reported in this work, the performance of the proposed methodology is very good, even for relatively small sample sizes. Copyright © 2011 John Wiley & Sons, Ltd.     

Capturing complex, non-linear team behaviours during competitive football performance

This study investigated changes in the complexity (magnitude and structure of variability) of the collective behaviours of association football teams during competitive performance. Raw positional data from an entire competitive match between two professional teams were obtained with the ProZone® tracking system. Five compound positional variables were used to investigate the collective patterns of performance of each team including: surface area, stretch index, team length, team width, and geometrical centre. Analyses involve the coefficient of variation (%CV) and approximate entropy (ApEn), as well as the linear association between both parameters. Collective measures successfully captured the idiosyncratic behaviours of each team and their variations across the six time periods of the match. Key events such as goals scored and game breaks (such as half time and full time) seemed to influence the collective patterns of performance. While ApEn values significantly decreased during each half, the %CV increased. Teams seem to become more regular and predictable, but with increased magnitudes of variation in their organisational shape over the natural course of a match.     

Breeding biology of the threatened Campo Miner Geositta poeciloptera (Aves: Scleruridae), a Neotropical grassland specialist

The Campo Miner is a threatened grassland passerine endemic to the South American Cerrado, whose life history is almost unknown. In this paper, we studied during three breeding seasons (2014 to 2016) the breeding biology of a colour banded population of the species found in the Upper Rio Grande Grasslands, south-eastern Brazil. We found 98 nests, 81 of which became active and were monitored. The Campo Miner breeds in frequently burnt-and-grazed natural grasslands, successfully nesting in highly disturbed sites, such as dirt banks along roads and even in mine pits. The species is socially monogamous and both parents build the nest, which is a cavity/with-tunnel/simple/platform type. The nest chamber is lined with a platform made of grass fragments, charcoal, hairs, and mammal faeces. The most common clutch size is three eggs (n = 66), with some nests containing one (n = 1), two (n = 12) or four eggs (n = 2). The egg is white and pyriform and the incubation, performed by both parents, lasts 17.5 days. Mean nestling period is 15.5 days, with both parents feeding the young. Breeding season lasted for about 125 days (August to December) and multiple breeding attempts in a single season were common, with a maximum of three attempts recorded. All species of Scleruridae built their nests inside cavities dug in the soil with an access tunnel to it, where they lay a small clutch (usually 2–3 white eggs), but no other species in the family has been studied in detail to date. Further studies are required to understand why a species apparently tolerant to anthropogenic impacts such as G. poeciloptera can be so rare, patchily distributed and threatened throughout its range.     

First record of Monobrachium parasitum Mereschkowsky, 1877 (Cnidaria: Hydrozoa) from Brazil,in the tropical southwestern Atlantic,and its implication for bipolarity concepts

Project HABITATS was recently initiated in the Campos Basin (20.5–24° S), state of Rio de Janeiro, to assess biological impacts of petroleum exploration and exploitation on the continental shelf and slope of Brazil. Among species discovered in benthic samples from the area is the hydroid Monobrachium parasitum Mereschkowsky, 1877, occurring in an epibiotic association with the pelecypod mollusc Mendicula ferruginosa (Forbes, 1844): this is the first report of an association between the two species. Monobrachium parasitum has always been reported from cold waters, and is generally considered bipolar. This report records the occurrence of M. parasitum at lower latitudes, where they have seldom been collected: it is also the first account of this species from South America and the southwestern Atlantic. Moreover, the bathymetric distribution of M. parasitum is extended to a depth of 998 m. No previous records exist of hydroids from the Brazilian continental slope.     

Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts

We evaluate residual projection strategies in the context of a large‐scale macro model of the euro area and smaller benchmark time‐series models. The exercises attempt to measure the accuracy of model‐based forecasts simulated both out‐of‐sample and in‐sample. Both exercises incorporate alternative residual‐projection methods, to assess the importance of unaccounted‐for breaks in forecast accuracy and off‐model judgement. Conclusions reached are that simple mechanical residual adjustments have a significant impact on forecasting accuracy irrespective of the model in use, likely due to the presence of breaks in trends in the data. The testing procedure and conclusions are applicable to a wide class of models and of general interest. Copyright © 2010 John Wiley & Sons, Ltd.