Performance Evaluation of Judgmental Directional Exchange Rate Predictions

Cataloged from PDF version of article.A procedure is proposed for examining different aspects of performance for judgemental directional probability predictions of exchange rate movements. In particular, a range of new predictive performance measures is identified to highlight specific expressions of strengths and weaknesses in judgemental directional forecasts. Proposed performance qualifiers extend the existing accuracy measures, enabling detailed comparisons of probability forecasts with ex-post empirical probabilities that are derived from changes in the logarithms of the series. This provides a multi-faceted evaluation that is straightforward for practitioners to implement, while affording the flexibility of being used in situations where the time intervals between the predictions have variable lengths. The proposed procedure is illustrated via an application to a set of directional probability exchange rate forecasts for the US Dollar/Swiss Franc from 23/7/96 to 7/12/99 and the findings are discussed. D 2005 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved

Fermat hypersurfaces and Subcanonical curves

We extend the classical Enriques-Petri Theorem to $s$-subcanonical projectively normal curves, proving that such a curve is $(s+2)$-gonal if and only if it is contained in a surface of minimal degree. Moreover, we show that any Fermat hypersurface of degree $s+2$ is apolar to an $s$-subcanonical $(s+2)$-gonal projectively normal curve, and vice versa.Comment: 18 pages; AMS-LaTe

Study of manufacturing and measurement reproducibility on a laser textured structured surface

In recent years there has been increasing interest in the use of structured surfaces to provide specific functional performance. Such surfaces often consist of localised micro-scale surface features with predetermined geometries. The performance of the feature manufacturing process affects the functional performance of the surface, and can be assessed by measurement of the resulting surface features. Measurement of the resulting micromanufactured surface features necessitates use of areal optical surface topography instruments. However, conventional characterisation methods, based on areal surface texture parameters, often prove inadequate, and may fail to capture the relevant geometric properties needed for an effective dimensional verification. This paper investigates an alternative route to verification, based on the determination of geometric attributes of the microfabricated features. This approach allows for direct assessment of manufacturing process performance, by comparison of the geometric attributes with their nominal values. An example application is shown in which a micromachining process (laser texturing) is used to fabricate a periodic pattern of dimples, which provide a low friction bearing surface. In this paper, manufacturing process performance is assessed by characterisation of the diameter and out-of-roundness. Sources of uncertainty associated with these geometric parameters are also considered

Apolarity, Hessian and Macaulay polynomials

A result by Macaulay states that an Artinian graded Gorenstein ring R of socle dimension one and socle degree b can be realized as the apolar ring of a homogeneous polynomial f of degree b. If R is the Jacobian ring of a smooth hypersurface g=0, then b is just equal to the degree of the Hessian polynomial of g. In this paper we investigate the relationship between f and the Hessian polynomial of g.Comment: 12 pages. Improved exposition, minor correction

Apparatus and methods for humidity control

Apparatus is provided which controls humidity in a gas. The apparatus employs a porous interface that is preferably a manifolded array of stainless steel tubes through whose porous surface water vapor can pass. One side of the porous interface is in contact with water and the opposing side is in contact with gas whose humidity is being controlled. Water vapor is emitted from the porous surface of the tubing into the gas when the gas is being humidified, and water vapor is removed from the gas through the porous surfaces when the gas is being dehumidified. The temperature of the porous interface relative to the gas temperature determines whether humidification or dehumidification is being carried out. The humidity in the gas is sensed and compared to the set point humidity. The water temperature, and consequently the porous interface temperature, are automatically controlled in response to changes in the gas humidity level above or below the set point. Any deviation from the set point humidity is thus corrected

Evaluating predictive performance of judgemental extrapolations from simulated currency series

Cataloged from PDF version of article.Judgemental forecasting of exchange rates is critical for ®nancial decision-making. Detailed investigations of the potential e ects of time-series characteristics on judgemental currency forecasts demand the use of simulated series where the form of the signal and probability distribution of noise are known. The accuracy measures Mean Absolute Error (MAE) and Mean Squared Error (MSE) are frequently applied quantities in assessing judgemental predictive performance on actual exchange rate data. This paper illustrates that, in applying these measures to simulated series with Normally distributed noise, it may be desirable to use their expected values after standardising the noise variance. A method of calculating the expected values for the MAE and MSE is set out, and an application to ®nancial experts' judgemental currency forecasts is presented. Ó 1999 Elsevier Science B.V. All rights reserved

The Subaru-XMM-Newton Deep Survey (SXDS) VIII.: Multi-wavelength Identification, Optical/NIR Spectroscopic Properties, and Photometric Redshifts of X-ray Sources

We report the multi-wavelength identification of the X-ray sources found in the Subaru-XMM-Newton Deep Survey (SXDS) using deep imaging data covering the wavelength range between the far-UV to the mid-IR. We select a primary counterpart of each X-ray source by applying the likelihood ratio method to R-band, 3.6micron, near-UV, and 24micron source catalogs as well as matching catalogs of AGN candidates selected in 1.4GHz radio and i'-band variability surveys. Once candidates of Galactic stars, ultra-luminous X-ray sources in a nearby galaxy, and clusters of galaxies are removed there are 896 AGN candidates in the sample. We conduct spectroscopic observations of the primary counterparts with multi-object spectrographs in the optical and NIR; 65\% of the X-ray AGN candidates are spectroscopically-identified. For the remaining X-ray AGN candidates, we evaluate their photometric redshift with photometric data in 15 bands. Utilising the multi-wavelength photometric data of the large sample of X-ray selected AGNs, we evaluate the stellar masses, M*, of the host galaxies of the narrow-line AGNs. The distribution of the stellar mass is remarkably constant from z=0.1 to 4.0. The relation between M* and 2--10 keV luminosity can be explained with strong cosmological evolution of the relationship between the black hole mass and M*. We also evaluate the scatter of the UV-MIR spectral energy distribution (SED) of the X-ray AGNs as a function of X-ray luminosity and absorption to the nucleus. The scatter is compared with galaxies which have redshift and stellar mass distribution matched with the X-ray AGN. The UV-NIR SEDs of obscured X-ray AGNs are similar to those of the galaxies in the matched sample. In the NIR-MIR range, the median SEDs of X-ray AGNs are redder, but the scatter of the SEDs of the X-ray AGN broadly overlaps that of the galaxies in the matched sample.Comment: Accepted for publication in PASJ Subaru special issue. 42 pages, 22 figures. Entire contents of Tables 3, 8, 9, 10, and 11, and ASCII format tables are available from http://www.astr.tohoku.ac.jp/~akiyama/SXDS/index.htm

Communication issues in requirements elicitation: A content analysis of stakeholder experiences

The gathering of stakeholder requirements comprises an early, but continuous and highly critical stage in system development. This phase in development is subject to a large degree of error, influenced by key factors rooted in communication problems. This pilot study builds upon an existing theory-based categorisation of these problems through presentation of a four-dimensional framework on communication. Its structure is validated through a content analysis of interview data, from which themes emerge, that can be assigned to the dimensional categories, highlighting any problematic areas. The paper concludes with a discussion on the utilisation of the framework for requirements elicitation exercises

Algorithms for zero-dimensional ideals using linear recurrent sequences

Inspired by Faug\`ere and Mou's sparse FGLM algorithm, we show how using linear recurrent multi-dimensional sequences can allow one to perform operations such as the primary decomposition of an ideal, by computing the annihilator of one or several such sequences.Comment: LNCS, Computer Algebra in Scientific Computing CASC 201

Regulating financial conglomerates

We investigate the optimal regulation of financial conglomerates which combine a bank and a non-bank financial institution. The conglomerate’s risk-taking incentives depend upon the level of market discipline it faces, which in turn is determined by the conglomerate’s liability structure. We examine optimal capital requirements for stand-alone institutions, for integrated financial conglomerates, and for financial conglomerates that are structured as holding companies. For a given risk profile, integrated conglomerates have a lower probability of failure than either their stand-alone or decentralized equivalent. However, when risk profiles are endogenously selected, conglomeration may extend the reach of the deposit insurance safety net and hence provide incentives for increased risk-taking. As a result, integrated conglomerates may optimally attract higher capital requirements. In contrast, decentralised conglomerates are able to hold assets in the socially most efficient place. Their optimal capital requirements encourage this. Hence, the practice of “regulatory arbitrage”, or of transferring assets from one balance sheet to another, is welfare-increasing. We discuss the policy implications of our finding in the context not only of the present debate on the regulation of financial conglomerates but also in the light of existing US bank holding company regulation