Forecasting and trading strategies based on a price trend model

In this paper, we consider the price trend model in which it is assumed that the time series of a security's prices contain a stochastic trend component which remains constant on each of a sequence of time intervals, with each interval having random duration. A quasi‐maximum likelihood method is used to estimate the model parameters. Optimal one‐step‐ahead forecasts of returns are derived. The trading rule based on these forecasts is constructed and is found to bear similarity to a popular trading rule based on moving averages. When applying the methods to forecast the returns of the Hang Seng Index Futures in Hong Kong, we find that the performance of the newly developed trading rule is satisfactory. Copyright © 2000 John Wiley & Sons, Ltd.     

Efficient bayesian learning in non-linear dynamic models

This paper demonstrates the practical application of recently developed techniques of efficient numerical analysis for dynamic models. The models presented share a common basic structural foundation but nevertheless cover a very large arena of possible applications, as will be shown.     

A Systemic Development of the Interrogative Pronouns and Adverbs

This paper is about the questions used to design two large-scale organizational systems. It is thought that for these questions to be asked in a systematic manner they need to be drawn from some explicit framework. The most common framework for creating questions in the English language is the interrogative pronouns and adverts, more commonly known as Kipling’s six honest serving men. This paper re-visits these pronouns and adverbs drawing on a range of literatures to establish them into a coherent framework for designing and implementing the two large-scale projects. The paper is structured using the nodes in Checkland’s LUMAS model. It concludes with a systematically developed Interrogative Pronouns and Adverbs Framework that is worthy of further research and application.     

Trail geometry gives polarity to ant foraging networks

Pheromone trails are used by many ants to guide foragers between nest and food. But how does a forager that has become displaced from a trail know which way to go on rejoining the trail? A laden forager, for example, should walk towards the nest. Polarized trails would enable ants to choose the appropriate direction, thereby saving time and reducing predation risk. However, previous research has found no evidence that ants can detect polarity from the pheromone trail alone. Pharaoh's ants (Monomorium pharaonis) produce elaborate trail networks throughout their foraging environment. Here we show that by using information from the geometry of trail bifurcations within this network, foragers joining a trail can adaptively reorientate themselves if they initially walk in the wrong direction. The frequency of correct reorientations is maximized when the trail bifurcation angle is approximately 60 degrees, as found in natural networks. These are the first data to demonstrate how ant trails can themselves provide polarity information. They also demonstrate previously unsuspected sophistication in the organization and information content of networks in insect societies.     

Constant elevation of southern Tibet over the past 15 million years

The uplift of the Tibetan plateau, an area that is 2,000 km wide, to an altitude of about 5,000 m has been shown to modify global climate and to influence monsoon intensity. Mechanical and thermal models for homogeneous thickening of the lithosphere make specific predictions about uplift rates of the Tibetan plateau, but the precise history of the uplift of the plateau has yet to be confirmed by observations. Here we present well-preserved fossil leaf assemblages from the Namling basin, southern Tibet, dated to approximately 15 Myr ago, which allow us to reconstruct the temperatures within the basin at that time. Using a numerical general circulation model to estimate moist static energy at the location of the fossil leaves, we reconstruct the elevation of the Namling basin 15 Myr ago to be 4,689 +/- 895 m or 4,638 +/- 847 m, depending on the reference data used. This is comparable to the present-day altitude of 4,600 m. We conclude that the elevation of the southern Tibetan plateau probably has remained unchanged for the past 15 Myr.