(Re-)Imag(in)ing Price Trends

We reconsider trend-based predictability by employing flexible learning methods to identify price patterns that are highly predictive of returns, as opposed to testing predefined patterns like momentum or reversal. Our predictor data are stock-level price charts, allowing us to extract the most predictive price patterns using machine learning image analysis techniques. These patterns differ significantly from commonly analyzed trend signals, yield more accurate return predictions, enable more profitable investment strategies, and demonstrate robustness across specifications. Remarkably, they exhibit context independence, as short-term patterns perform well on longer time scales, and patterns learned from U.S. stocks prove effective in international markets.     

Metaphors in futures research

This special issue, as might be expected in a networked world, searching for proof that collaboration can work, is edited by four of us. It began with a conversation in 2014 over bland conference food in Helsinki between Osmo Kuusi, Matti Minkkinen and Sohail Inayatullah about the need to highlight metaphors in futures research. We noted that while extensively used, they remain inadequately theorized and lacking mindfulness. Further conversations between Inayatullah and Aleksandra Izgarjan focused the issue. We introduce the special issue with short openings by each one of us, theorizing in a biographical context. These are followed by a summary of the articles, essays, and reports, written by Minkkinen. Our intent is not just to focus on metaphors in futures research, but as well to see futures research as narrative-based itself: as not just describing reality and possibility but creating new worlds, on opening up of shared pathways.     

Ruin Problems for Phase-Type(2) Risk Processes

In this paper we consider a risk process in which claim inter-arrival times have a phase-type(2) distribution, a distribution with a density satisfying a second order linear differential equation. We consider some ruin related problems. In particular, we consider the compound geometric representation of the infinite time survival probability, as well as the (defective) distributions of the surplus immediately prior to ruin and of the deficit at ruin. We also consider explicit solutions for the infinite time ruin probability in the case where the individual claim amount distribution is phase-type.     

IMag[in]ing annual reports

Visual images are integral elements within corporate annual reports. Yet, these visual images have been largely ignored in accounting research. We begin to explore the significance of selected visual images appearing in U.S. annual reports during the late 1980s and early 1990s. Our intent is not to produce a general survey of images, but rather to offer different “ways of seeing” images and through these “ways of seeing” to encourage a critical dialogue that focuses upon the representational, ideological and constitutive role of images in annual reports. Our first way of seeing views the image as transparently conveying an intended corporate message. The second way of seeing draws upon neo-Marxist aesthetic literature and considers the ways in which images in annual reports may be mined for their ideological content and may also reveal society's deep structures of social classification, institutional forms and relationships. Finally, we employ critical postmodernist art theory to see images in terms of their constitutive role in creating different types of human subjectivities and realities. We argue that this way of seeing creates the potential for new voices to be heard and the possibility to subvert the dualisms typical of the totalizing theories of modernity.     

Metaphors,semiotics and futures studies

Metaphor belongs to key concepts of semiotics. I have made my career in the field of semiotics and I appreciate the possibility to tell to the scientific community of futurists how a semiotician sees the various functions of metaphors and their connections to the future. The edited volume CLA 2.0 (Inayatullah & Milojevic, 2015) shows that in addition to metaphors, many futures researchers have found the general language-based approach of semiotics. The paper deals with three issues: first the theory of metaphors as such, much discussed in the semiotic literature; then what semiotics says about the future; and finally, what kind of semiotics we are considering here. I would propose to scrutinise the problem of metaphors and future in light of my own new theory which I call ‘existential semiotics’.     

浅谈语境对隐喻的作用

隐喻不仅是一种修辞手法,也是一种语用现象.对隐喻的理解是一个复杂的过程,它是建立在对语境理解的基础上完成的.     

Risk forecasting in (T)GARCH models with uncorrelated dependent innovations

(G)ARCH-type models are frequently used for the dynamic modelling and forecasting of risk attached to speculative asset returns. While the symmetric and conditionally Gaussian GARCH model has been generalized in a manifold of directions, model innovations are mostly presumed to stem from an underlying IID distribution. For a cross section of 18 stock market indices, we notice that (threshold) (T)GARCH-implied model innovations are likely at odds with the commonly held IID assumption. Two complementary strategies are pursued to evaluate the conditional distributions of consecutive TGARCH innovations, a non-parametric approach and a class of standardized copula distributions. Modelling higher order dependence patterns is found to improve standard TGARCH-implied conditional value-at-risk and expected shortfall out-of-sample forecasts that rely on the notion of IID innovations.     

新巴塞尔协议框架下的信用风险缓释技术

信用风险缓释技术(Credit Risk Mitigation Techniques,CRMT)在新巴塞尔协议中占有相当重要地位,是新巴塞尔协议降低资本要求的主要方法。本文对新巴塞尔协议有关信用风险缓释技术的核心内容进行了梳理、归纳和概括,在此基础上探讨了当前国内商业银行加强担保抵押管理应该采取的几点措施:一是要建立严格的担保抵押管理程序和操作要求;二是要强化对担保抵押的全过程动态连续监管;三是要控制风险缓释技术本身所带来的剩余风险;四是要在风险缓释工具和借款人之间建立有效的隔离。     

Risk and safety in large-scale socio-technological (military) systems: a literature review

Contemporary military practice relies more and more on technology and its artefacts and seem to have become, thereby, large-scale socio-technological systems; systems in which the social and the technological are closely tied together. An important issue in these kinds of systems, especially military ones, is how to safely use this technology. This paper reviews the literature for research on risk and safety in large-scale socio-technological systems for their ability to account for the complex dynamics from which safety in these kinds of systems tends to emerge – or not. After this, it evaluates some current accounts of risk and safety in the military specifically, so as to assess the ‘status’ – or analytical strength – of accounts of risk and safety in this domain. More rigour is needed in evaluations of risk and safety of technology in the military so as to provide analyses with sufficient analytic strength. This rigour, it turns out, can often be found in the interdisciplinary STS (science, technology and society) literature that, until today however, does not often seem to address risk and safety of large-scale socio-technological systems directly, and which seems to pay even less attention to risk and safety in the military.     

英汉俗谚中的隐喻比较及其差异根源

隐喻是我们赖以生存的一种语言现象和认知模式,它受社会文化背景影响,表现出明显的文化特征。从英汉隐喻的来源入手,通过对英汉一些常见的动、植物词汇和人体词汇隐喻的实例分析及其差异根源的探究,可以揭示英汉隐喻现象所折射出来的不同民族文化心理及其对跨文化交际的影响。     

英语经济语篇隐喻映射研究

本文结合Sketch Engine的词汇素描功能和WordNet的语义分类对经济语篇中的目标域market做词汇搭配,语法结构和语义分析.按照动词、名词、形容词三大词性分析源域的语义归属,探讨源域对目标域的语义映射.研究发现:在词汇搭配、语法结构方面,目标域market的动词性隐喻所占比例最高,且动宾关系明显;在语义范畴内,目标域market更多地被映射成一个高级生命体,有认知,有情感.     

英汉俗谚中的隐喻比较及其差异根源

隐喻是我们赖以生存的一种语言现象和认知模式,它受社会文化背景影响,表现出明显的文化特征。从英汉隐喻的来源入手,通过对英汉一些常见的动、植物词汇和人体词汇隐喻的实例分析及其差异根源的探究,可以揭示英汉隐喻现象所折射出来的不同民族文化心理及其对跨文化交际的影响。     

Risk and Regulation in Derivatives (or Why Derivatives Are a Blessing,Not a Curse)

In this article, first published in 1994, the authors aimed to defuse the widespread hysteria about derivatives fueled by media accounts (like Fortune magazine's cover story in the same year) by offering a systematic analysis of the risks to companies, investors, and the entire financial system associated with the operation of the relatively new derivatives markets. Such analysis ended up providing assurances like the following:

• As long as most companies are using derivatives mainly to limit their financial exposures and not to enlarge them in efforts to pad their operating profits, reported losses on derivatives should not be a matter for concern. “Complaining about losses on a swap used to hedge a firm's exposure,” as the authors note, “is like objecting to the costs of a fire insurance policy if the building doesn't burn down.”
• To the extent that companies are using derivatives to hedge—and what evidence we have suggests that most are—the default risk of derivatives has been greatly exaggerated. An interest rate swap used by a B‐rated company to hedge a large exposure to interest rates will generally have significantly less default risk than a AAA‐rated corporate bond issue.
• Thanks to the corporate use of derivatives, much of the impact of economic shocks such as spikes in interest rates or oil prices is being transferred away from the hedging companies to investors and other companies better able to absorb them. And in this fashion, defaults in the economy as a whole, and hence systemic risk, are effectively being reduced, not increased, through the operation of the derivatives markets.

Moreover, the authors warn in closing that the likely effect of then proposed derivatives regulation would be to restrict access to and increase the costs to companies of using derivatives markets. As one example, the excessive capital requirements associated with derivatives facing bank dealers—based on gross rather than net measures of exposure—and which regulators have since proposed extending to nonbank dealers—were expected to have the unintended effect of encouraging dealers to sell precisely the kinds of riskier, leveraged derivatives that Bankers Trust sold Procter & Gamble, and that functioned as Exhibit A in the Fortune article.     

Greenpeace v. Shell: media exploitation and the Social Amplification of Risk Framework (SARF)

This paper examines the usefulness of the Social Amplification of Risk Framework (SARF) in understanding the media's role in risk communication. Since the SARF was created in 1988, it has been both further developed and critiqued for (amongst other things) its: static conception of communication; lack of attention towards how key actors use the media; lack of systematic attention towards the media as an amplification station; and simplistic assumptions of how the media operate as an amplification station. A complex heavily‐mediated risk communication case study—the battle between Greenpeace and Shell over the deep‐sea disposal of the Brent Spar oil rig (1995)—is used to explore whether the SARF in its current stage of development stands up to these critiques. It is concluded that these critiques are more a consequence of how researchers have used the SARF rather than a fault of the SARF itself. Using the SARF framework with a qualitative case study methodology enabled systematic analysis of the role of relevant media in the social amplification of risk in the Spar issue, exposing how Greenpeace used the media to successfully communicate three risk signals, together with the inadequacies of Shell's reactions; and revealing the layering within amplification stations, including the media itself.     

Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange

This paper investigates the use of tick-by-tick data for intraday market risk measurement. We propose a method to compute an Intraday Value at Risk based on irregularly spaced high-frequency data and an intraday Monte Carlo simulation. A log-ACD–ARMA–EGARCH model is used to specify the joint density of the marked point process of durations and high-frequency returns. We apply our methodology to transaction data for three stocks actively traded on the Toronto Stock Exchange. Compared to traditional techniques applied to intraday data, our methodology has two main advantages. First, our risk measure has a higher informational content as it takes into account all observations. On the total risk measure, our method allows for distinguishing the effect of random trade durations from the effect of random returns, and for analyzing the interaction between these factors. Thus, we find that the information contained in the time between transactions is relevant to risk analysis, which is consistent with predictions from asymmetric-information models in the market microstructure literature. Second, once the model has been estimated, the IVaR can be computed by any trader for any time horizon based on the same information and with no need of sampling the data and estimating the model again when the horizon changes. Backtesting results show that our approach constitutes reliable means of measuring intraday risk for traders who are very active in the market.