Google Trends and the forecasting performance of exchange rate models

In this paper, we use Google Trends data for exchange rate forecasting in the context of a broad literature review that ties the exchange rate movements with macroeconomic fundamentals. The sample covers 11 OECD countries’ exchange rates for the period from January 2004 to June 2014. In out‐of‐sample forecasting of monthly returns on exchange rates, our findings indicate that the Google Trends search query data do a better job than the structural models in predicting the true direction of changes in nominal exchange rates. We also observed that Google Trends‐based forecasts are better at picking up the direction of the changes in the monthly nominal exchange rates after the Great Recession era (2008–2009). Based on the Clark and West inference procedure of equal predictive accuracy testing, we found that the relative performance of Google Trends‐based exchange rate predictions against the null of a random walk model is no worse than the purchasing power parity model. On the other hand, although the monetary model fundamentals could beat the random walk null only in one out of 11 currency pairs, with Google Trends predictors we found evidence of better performance for five currency pairs. We believe that these findings necessitate further research in this area to investigate the extravalue one can get from Google search query data.     

Exchange rate forecasting and the performance of currency portfolios

We examine the potential gains of using exchange rate forecast models and forecast combination methods in the management of currency portfolios for three exchange rates: the euro versus the US dollar, the British pound, and the Japanese yen. We use a battery of econometric specifications to evaluate whether optimal currency portfolios implied by trading strategies based on exchange rate forecasts outperform single currencies and the equally weighted portfolio. We assess the differences in profitability of optimal currency portfolios for different types of investor preferences, two trading strategies, mean squared error‐based composite forecasts, and different forecast horizons. Our results indicate that there are clear benefits of integrating exchange rate forecasts from state‐of‐the‐art econometric models in currency portfolios. These benefits vary across investor preferences and prediction horizons but are rather similar across trading strategies.     

外汇欧式期权在市场不完备下的对冲误差分析

本文研究了外汇欧式期权的对冲误差问题,针对典型的静态和动态Delta对冲策略,在对冲过程不连续和利率平价公式不成立的市场不完备情形下,给出了即期对冲和远期对冲的对冲误差公式,从而能够更准确地衡量实际对冲组合产生的风险.在研究Delta对冲策略过程中,本文提出了一个包含摩擦系数ε的外汇远期汇率模型,并通过分析即期对冲和远期对冲的差异,给出了最优对冲方式的判别条件.该判别条件依赖于摩擦系数ε,做市商仅通过对摩擦系数ε实时的监控,便可以选择最优的风险对冲方式,从而提高了对冲效率.本文提出的对冲误差的具体解析式和最优对冲方式的判别条件为外汇期权对冲及其风险管理提供了理论依据.实证结果表明,本文提出的期望收益差与实际对冲组合的收益差基本一致,从而验证了判别条件的合理性.     

The US Dollar/Euro Exchange Rate: Structural Modeling and Forecasting During the Recent Financial Crises

The paper investigates the determinants of the US dollar/euro within the framework of the asset pricing theory of exchange rate determination, which posits that current exchange rate fluctuations are determined by the entire path of current and future revisions in expectations about fundamentals. In this perspective, we innovate by conditioning on Fama–French and Carhart risk factors, which directly measures changing market expectations about the economic outlook, on new financial condition indexes and macroeconomic variables. The macro‐finance augmented econometric model has a remarkable in‐sample and out‐of‐sample predictive ability, largely outperforming a standard autoregressive specification. We also document a stable relationship between the US dollar/euro Carhart momentum conditional correlation (CCW) and the euro area business cycle. CCW signals a progressive weakening in economic conditions since June 2014, consistent with the scattered recovery from the sovereign debt crisis and the new Greek solvency crisis exploded in late spring/early summer 2015. Copyright © 2016 John Wiley & Sons, Ltd.     

Functions and pathologies of BiP and its interaction partners

The endoplasmic reticulum (ER) is involved in a variety of essential and interconnected processes in human cells, including protein biogenesis, signal transduction, and calcium homeostasis. The central player in all these processes is the ER-lumenal polypeptide chain binding protein BiP that acts as a molecular chaperone. BiP belongs to the heat shock protein 70 (Hsp70) family and crucially depends on a number of interaction partners, including co-chaperones, nucleotide exchange factors, and signaling molecules. In the course of the last five years, several diseases have been linked to BiP and its interaction partners, such as a group of infectious diseases that are caused by Shigella toxin producing E. coli. Furthermore, the inherited diseases Marinesco-Sj?gren syndrome, autosomal dominant polycystic liver disease, Wolcott-Rallison syndrome, and several cancer types can be considered BiP-related diseases. This review summarizes the physiological and pathophysiological characteristics of BiP and its interaction partners. Received 20 November 2008; received after revision 09 December 2008; accepted 12 December 2008     

燃料电池气、水、热平衡分析及综合管理系统设计

建立了质子交换膜燃料电池系统的气、水和热平衡计算模型,总结了电堆气、水和热管理相关物理量的计算方法;以60kW电堆为例计算分析,认为气、水、热管理三者有着密切的联系,应建立综合管理的概念;设计了气、水、热综合管理系统,该系统充分回收利用了电堆的尾气、电化学反应生成的水和电堆产生的热量。     

湘西地区不同居群箭叶淫羊藿叶片的脂质过氧化

对湘西地区凤凰、永顺、龙山3个不同居群的箭叶淫羊藿叶片的超氧阴离子自由基（·O₂）的产生速率和丙二醛（MDA）的含量进行测定.结果表明：永顺的箭叶淫羊藿的超氧阴离子自由基的产生速率最大,为(0.059　1±0.003　3) μmol·min^-1·g^-1,而龙山的箭叶淫羊藿的超氧阴离子自由基的产生速率最小,为(0.053　0±0.000　9) μmol·min^-1·g^-1;在3个不同居群的箭叶淫羊藿叶片的MDA的含量中,永顺的箭叶淫羊藿的含量最高,为(0.014 9±0.001 4) nmol·g^-1,而龙山的箭叶淫羊藿的含量最低,为(0.007　5±0.001　4) nmol·g^-1.     

Recent results on hydrogen and hydration in biology studied by neutron macromolecular crystallography

Neutron diffraction provides an experimental method of directly locating hydrogen atoms in proteins, a technique complimentary to ultra-high-resolution [1, 2] X-ray diffraction. Three different types of neutron diffractometers for biological macromolecules have been constructed in Japan, France and the United States, and they have been used to determine the crystal structures of proteins up to resolution limits of 1.5-2.5 A. Results relating to hydrogen positions and hydration patterns in proteins have been obtained from these studies. Examples include the geometrical details of hydrogen bonds, H/D exchange in proteins and oligonucleotides, the role of hydrogen atoms in enzymatic activity and thermostability, and the dynamical behavior of hydration structures, all of which have been extracted from these structural results and reviewed. Other techniques, such as the growth of large single crystals, the preparation of fully deuterated proteins, the use of cryogenic techniques, and a data base of hydrogen and hydration in proteins, will be described.     

120kW级燃料电池可变喉口引射器的设计及特性

引射器是质子交换膜燃料电池氢气循环系统中的关键部件，依靠超音速流动的射流工质实现阳极排气的再循环。传统的固定结构引射器通常针对电堆额定工况设计，工作在非设计工况时性能较差；而可变喉口引射器可以动态地改变其喉口大小，有效扩大其工作范围。基于Sokolov设计理论，搭建了引射器的一维模型并探究了其工作特性，在此基础上提出了一种可变喉口引射器的设计方法。研究结果表明，引射器的工作特性主要受其操作压力、喉口直径和混合室直径影响；通过缩小喉口、提高工作流体压力可以使工作喷嘴保持临界状态，这对大负载下的引射性能影响较小，但能够有效提高电堆小负载下的引射比，并使引射器的工作范围向小负载扩展。