Options as a predictor of common stock price changes

Since rather novel techniques such as neural nets allow investigation of nonlinear model specification previously untested, it may be that traditional models of price formation underperform through misspecification rather than market efficiency. This paper explores whether a multilayer backpropagation model offers exploitable profit opportunities for some limited period. Using an intradaytransaction dataset obtained from the European Options Exchange (Amsterdam), We attempted to predict the return on Philips. Two neural nets are contrasted to ordinary linear regression analysis on the basis of three benchmarks (MSE, and net realized returns). An adaptively trained 33-14-1 architecture scored best on all criteria and yielded an annualized 11% return following a simple one-period trading strategy.     

Employers' Responses to Demographic Changes in Rural Labour Markets: The Case of Dumfries and Galloway

Employers in many rural areas are facing the problem of a declining workforce due to demographic changes in the population. These demographic changes are a result of a combination of population ageing, the in-migration of mainly retired people, out-migration and low fertility rates. This paper examines how employers are adjusting to demographic changes in Dumfries and Galloway, a rural local authority in south west Scotland. The area has one of the highest proportions of older people in the UK, and as such provides a useful insight into employers' responses to population ageing. Fifty locally based employers were questioned concerning the labour market impact of population ageing and their responses to this situation. The paper argues that in order to ensure the medium-term economic viability of the local economy, employers will need a set of strategies both to attract workers to the area and to increase the participation and retention of older workers resident in the area.     

The Value of Relationship Lending: Small Banks in an Era of Consolidation

Consolidation in the banking industry has caused concern about the survival of small banks. Empirical evidence, however, shows that small banks are performing better than larger banks in terms of loan growth and profitability. This paper investigates the determinants of such unexpected superior performance; in particular we posit that peculiarities of small banks, like their ability to lever on relationship lending, are good explanatory variables of their recent loan growth .     

米兰

用手思考的城市罗马,Caput Mundi,所谓世界之都、永恒之城、所有道路殊途同归的地方。城市的记忆是罗马人的生活原点。上千年的古迹,日日鲜活地存在于罗马人的起居生活中,于是,罗马的设计从手中的一根针线,到整个城市格局,始终都不能摆脱对这个城市的历史记忆。不受机械化生产的影响,回归创造物件最原始的功能需求、取材实验、质地纹理认识、工具、工法,一连串用手思考的过程,让我们在罗马,找到了手工的尊严:在整个社会每日千万只手的日常操作中,无论制作者或使用者,无论是衣服、珠宝、游艇还是已经渐渐远去的胶片电影,我们都能在其中看到对生活之美的精神追求。     

创新区域转移

目前全球关注的重点似乎集中在就业、生存、领导能力、技术水平，尤其是创新等方面。     

Semiparametric inference in a GARCH-in-mean model

A new semiparametric estimator for an empirical asset pricing model with general nonparametric risk-return tradeoff and GARCH-type underlying volatility is introduced. Based on the profile likelihood approach, it does not rely on any initial parametric estimator of the conditional mean function, and it is under stated conditions consistent, asymptotically normal, and efficient, i.e., it achieves the semiparametric lower bound. A sampling experiment provides finite sample comparisons with the parametric approach and the iterative semiparametric approach with parametric initial estimate of Conrad and Mammen (2008). An application to daily stock market returns suggests that the risk-return relation is indeed nonlinear.     

Environmental Values and Response to Ecolabels Among International Visitors to New Zealand

This paper explores the extent to which the UK tourism industry has accepted the increased standards of performance under the new Disability Discrimination Act. The research utilises the mystery shopper technique to request basic information from 210 randomly selected companies from various sectors of the tourism industry. The request stated that the mystery shopper is visually impaired and would like to use the services provided by the company. Results show generally an extremely low ability of organisations to meet the simple requests made, although some sectors of the industry were more able to comply than others.     

Manta ray tourism: interpersonal and social values conflicts,sanctions, and management

Scuba diving and snorkeling with manta rays (M. birostris, M. alfredi) at sites in Hawaii, USA, have become popular, with upward of 30 tour boats and 300 participants daily. This article examined whether conflicts are occurring within and between these activities and if so, what types of conflict are prevalent and how would participants respond (support restrictions, sanction others). Data from surveys of 444 participants following evening trips to view manta rays showed that 79% of snorkelers experienced in-group conflict with other snorkelers, and 53% of scuba divers reported conflict with other divers. Most conflicts were interpersonal (physical interactions among individuals interfering with experiences). Conflict behaviors included bumping into people (up to 92%), not being aware (up to 73%), and blinding people with underwater flashlights (up to 56%). There were fewer out-group conflicts between different activities (snorkelers vs. scuba divers) and minimal social values conflicts (negative preconceptions, no physical interactions among individuals). Participants supported limiting numbers of snorkelers, scuba divers, and boats, and providing education on how to behave with others. Those experiencing conflicts were more supportive of these strategies and more likely to directly sanction participants causing conflicts, but were not more likely to indirectly sanction managers and operators.     

Improved instrumental variables estimation of simultaneous equations under conditionally heteroskedastic disturbances

In this paper we develop estimation techniques and a specification test for the validity of instrumental variables allowing for conditionally heteroskedastic disturbances. We propose modified two‐stage least squares (2SLS) and modified 3SLS procedures where the conditional heteroskedasticity is taken into account, which are natural extensions of the traditional 2SLS and 3SLS estimators and which achieve a lower variance. We recommend the use of these modified 2SLS and 3SLS procedures in practice instead of alternative estimators like limited‐information maximum likelihood/full‐information maximum likelihood, where the non‐existence of moments leads to extreme values, and also for ease of computation. It is shown theoretically and with simulation that in some cases 2SLS, 3SLS and our modified 2SLS and 3SLS procedures can have very severe biases (including the weak instruments case), and we present bias correction procedures to apply in practice along the lines of Flores‐Lagunes ( 2007 ). Our new estimation procedures can also be used to extend the test for weak instruments of Stock and Yogo ( 2005 ) and to allow for conditional heteroskedasticity. Finally, we show the usefulness of our estimation procedures with an application to the demand and supply of fish. Copyright © 2010 John Wiley & Sons, Ltd.