CHANGING VOLATILITY AND THE PRICING OF OPTIONS ON STOCK INDEX FUTURES

This paper presents empirical results regarding the suitability of the Black model for the pricing of options on stock index futures. Whaley's technique is used to present empirical evidence regarding the pricing biases of the model. Information provided by the implied volatilities suggests that model refinements should address the changing volatility issue.     

Consumer spending on designer jeans: an operant conditioning interpretation

The explanation of consumer spending on designer jeans in terms of classical conditioning is re-examined in the light of an operant conditioning model. A plea is made for the rigorous use of behavioural explanations in consumer research.     

Towards a holistic framework for road safety in Australia

Current road safety programs and thinking in Australia are constructed within a paradigm that tends to accept existing cultural arrangements. Such programs therefore, favour symptomatic solutions and technical and/or physical solutions as a way forward. Fundamental redesign of cultural arrangements is necessary in order to challenge the “culture of speed”. Our research is developing a holistic, social ecological model for reconnecting road safety with communities that value quality of life and slower ways of being. Improving road safety through reduction in the volume and speed of motorised traffic is integrally related to enhancing health and fitness, reducing greenhouse gas emissions, and improving neighbourhood planning and community cohesion. In this regard, community-based travel behaviour change initiatives are deserving of much greater attention in the road safety area. As well as these changes at the personal and community scale, policy changes to urban and transport planning that address the broader issues of sustainability in an era of climate change and peak oil can also be linked to improvements in road safety.     

Stochastic utility theorem

This paper analyzes individual decision making. It is assumed that an individual does not have a preference relation on the set of lotteries. Instead, the primitive of choice is a choice probability that captures the likelihood of one lottery being chosen over the other. Choice probabilities have a stochastic utility representation if they can be written as a non-decreasing function of the difference in expected utilities of the lotteries. Choice probabilities admit a stochastic utility representation if and only if they are complete, strongly transitive, continuous, independent of common consequences and interchangeable. Axioms of stochastic utility are consistent with systematic violations of betweenness and a common ratio effect but not with a common consequence effect. Special cases of stochastic utility include the Fechner model of random errors, Luce choice model and a tremble model of [Harless, D., Camerer, C., 1994. The predictive utility of generalized expected utility theories. Econometrica 62, 1251–1289].     

The effect of seasonal adjustment on the properties of business cycle regimes

We study the impact of seasonal adjustment on the properties of business cycle expansion and recession regimes using analytical, simulation and empirical methods. Analytically, we show that the X‐11 adjustment filter both reduces the magnitude of change at turning points and reduces the depth of recessions, with specific effects depending on the length of the recession. A Monte Carlo analysis using Markov‐switching models confirms these properties, with particularly undesirable effects in delaying the recognition of the end of a recession. However, seasonal adjustment can help to clarify the true regime when this is well underway. These results continue to hold when a seasonally non‐stationary process with regime‐dependent mean is misspecified as one with deterministic seasonal effects. The empirical findings, based on four coincident US business cycle indicators, reinforce the analytical and simulation results by showing that seasonal adjustment leads to the identification of longer and shallower recessions than obtained using unadjusted data. Copyright © 2008 John Wiley & Sons, Ltd.