Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility

This paper presents a comprehensive empirical evaluation of option-implied and returns-based forecasts of volatility, in which new developments related to the impact on measured volatility of market microstructure noise and random jumps are explicitly taken into account. The option-based component of the analysis also accommodates the concept of model-free implied volatility, such that the forecasting performance of the options market is separated from the issue of misspecification of the option pricing model. The forecasting assessment is conducted using an extensive set of observations on equity and option trades for News Corporation for the 1992 to 2001 period, yielding certain clear results. According to several different criteria, the model-free implied volatility is the best performing forecast, overall, of future volatility, with this result being robust to the way in which alternative measures of future volatility accommodate microstructure noise and jumps. Of the volatility measures considered, the one which is, in turn, best forecast by the option-implied volatility is that measure which adjusts for microstructure noise, but which retains some information about random jumps.Volatility Forecasts; Quadratic Variation; Intraday Volatility Measures; Model-free Implied Volatility.

Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?

This paper presents a comprehensive empirical evaluation of option-implied and returns-based forecasts of volatility, in which recent developments related to the impact on measured volatility of market microstructure noise are taken into account. The paper also assesses the robustness of the performance of the option-implied forecasts to the way in which those forecasts are extracted from the option market. Using a test for superior predictive ability, model-free implied volatility, which aggregates information across the volatility 'smile', and at-the-money implied volatility, which ignores such information, are both tested as benchmark forecasts. The forecasting assessment is conducted using intraday data for three Dow Jones Industrial Average (DJIA) stocks and the S&P500 index over the 1996-2006 period, with future volatility proxied by a range of alternative noise-corrected realized measures. The results provide compelling evidence against the model-free forecast, with its poor performance linked to both the bias and excess variability that it exhibits as a forecast of actual volatility. The positive bias, in particular, is consistent with the option market factoring in a substantial premium for volatility risk. In contrast, implied volatility constructed from liquid at-the-money options is given strong support as a forecast of volatility, at least for the DJIA stocks. Neither benchmark is supported for the S&P500 index. Importantly, the qualitative results are robust to the measure used to proxy future volatility, although there is some evidence to suggest that any option-implied forecast may perform less well in forecasting the measure that excludes jump information, namely bi-power variation.Volatility Forecasts; Quadratic Variation; Intraday Volatility Measures

Visual drainage assessment: A standardised visual soil assessment method for use in land drainage design in Ireland

peer-reviewedThe implementation of site-specific land drainage system designs is usually disregarded by landowners in favour of locally established ‘standard practice’ land drainage designs. This is due to a number of factors such as a limited understanding of soil–water interactions, lack of facilities for the measurement of soil’s physical or hydrological parameters and perceived time wastage and high costs. Hence there is a need for a site-specific drainage system design methodology that does not rely on inaccessible, time-consuming and/or expensive measurements of soil physical or hydrological properties. This requires a standardised process for deciphering the drainage characteristics of a given soil in the field. As an initial step, a new visual soil assessment method, referred to as visual drainage assessment (VDA), is presented whereby an approximation of the permeability of specific soil horizons is made using seven indicators (water seepage, pan layers, texture, porosity, consistence, stone content and root development) to provide a basis for the design of a site-specific drainage system. Across six poorly drained sites (1.3 ha to 2.6 ha in size) in south-west Ireland a VDA-based design was compared with (i) an ideal design (utilising soil physical measurements to elucidate soil hydraulic parameters) and (ii) a standard design (0.8 m deep drains at a 15 m spacing) by model estimate of water table control and rainfall recharge/drain discharge capacity. The VDA method, unlike standard design equivalents, provided a good approximation of an ideal (from measured hydrological properties) design and prescribed an equivalent land drainage system in the field. Mean modelled rainfall recharge/drain discharge capacity for the VDA (13.3 mm/day) and ideal (12.0 mm/day) designs were significantly higher (P < 0.001, s.e. 1.42 mm/day) than for the standard designs (0.5 mm/day), when assuming a design minimum water table depth of 0.45 m

Dáil reforms since 2011: Pathway to power for the 'puny' parliament?

We know that the Dáil is dominated by the government. From 2010 to 2016 there was a clamour for change, which ultimately led to significant reforms of the Oireachtas, and specifically the Dáil. In this article we show that the basis for the weakness of the Dáil was the government’s control of the legislative agenda. This article tracks the changes that were made, and we make an early assessment of them. However, firm conclusions are difficult to draw because of the extent to which the strengthening of the Dáil is a function of the weak position of the current minority government

Men's information-seeking behavior regarding cancer risk and screening: A meta-narrative systematic review

Objective: Preventive strategies are known to reduce cancer risk and incidence and improve prognosis. Men seldom seek medical information about cancer prevention and risk reduction. The aim of this meta-narrative systematic review was to critically appraise evidence from qualitative, quantitative, and mixed-methods studies that explored men's information-seeking behaviors in relation to cancer prevention and risk reduction. Methods: MEDLINE, CINAHL Plus with Full Text, PsycINFO, PsycARTICLES, Psychology and Behavioral Sciences Collection, Education Full Text, and ERIC were systematically searched for studies published in English between January 1, 2006 and May 30, 2016. A total of 4117 titles were identified; of which, 31 studies were included (21 qualitative studies, 9 quantitative studies, and 1 mixed-methods study). The methodological quality of the studies was appraised by using different tools. Results: Most studies focused on screening for prostate (n = 18) and colorectal cancer (n = 7). Most men were passive information-gatherers rather than active information-seekers. Key sources of information included the Internet for active information-seekers and health care professionals for passive information-gatherers. Barriers to information-seeking included information overload, embarrassment, and fear. Low literacy and health literacy levels were addressed in 3 studies and were identified as impediments to active information-seeking. Facilitators to information-seeking included family support, media, celebrity endorsements, and targeted information. Conclusions: Men's information-seeking behavior regarding cancer risk reduction, prevention, and screening is influenced by several factors. This necessitates targeted interventions aimed at raising awareness of cancer prevention and screening, while accounting for men's informational needs, preferred learning strategies, and literacy levels

Personal protective equipment solution for UK military medical personnel working in an Ebola virus disease treatment unit in Sierra Leone.

The combination of personal protective equipment (PPE) together with donning and doffing protocols was designed to protect British and Canadian military medical personnel in the Kerry Town Ebola Treatment Unit (ETU) in Sierra Leone. The PPE solution was selected to protect medical staff from infectious risks, notably Ebola virus, and chemical (hypochlorite) exposure. PPE maximized dexterity, enabled personnel to work in hot temperatures for periods of up to 2h, protected mucosal membranes when doffing outer layers, and minimized potential contamination of the doffing area with infectious material by reducing the requirement to spray PPE with hypochlorite. The ETU was equipped to allow medical personnel to provide a higher level of care than witnessed in many existing ETUs. This assured personnel working as part of the international response that they would receive as close to Western treatment standards as possible if they were to contract Ebola virus disease (EVD). PPE also enabled clinical interventions that are not seen routinely in West African EVD treatment regimens, whilst providing a robust protective barrier. Competency in using PPE was developed during a nine-day pre-deployment training programme. This allowed over 60 clinical personnel per deployment to practice skills in PPE in a simulated ETU and in classrooms. Overall, the training provided: (i) an evidence base underpinning the PPE solution chosen; (ii) skills in donning and doffing of PPE; (iii) personnel confidence in the selected PPE; and (iv) quantifiable testing of each individual's capability to don PPE, perform tasks and doff PPE safely

Developing a Research Mentorship Program: The American Society of Pediatric Nephrology's Experience

Background: Most pediatric nephrologists work in academia. Mentor-mentee relationships provide support and guidance for successful research career. Mentorship program implementation is valuable in medical fields for providing research opportunities to young faculty. Methods: The American Society of Pediatric Nephrology (ASPN) established a research mentorship program to (a) assist with matching of appropriate mentor-mentee dyads and (b) establish metrics for desirable mentor-mentee outcomes with two independent components: (1) the grants review workshop, a short-term program providing mentor feedback on grant proposals, and (2) the longitudinal program, establishing long-term mentor-mentee relationships. Regular surveys of both mentors and mentees were reviewed to evaluate and refine the program. Results: Twelve mentees and 17 mentors participated in the grant review workshop and 19 mentees were matched to mentors in the longitudinal program. A review of NIH RePORTER data indicated that since 2014, 13 NIH grants have been awarded. Mentees in the longitudinal program reported that the program helped most with identifying an outside mentor, improving grant research content, and with general career development. Mentors perceived themselves to be most helpful in assisting with overall career plans. Email communications were preferred over phone or face-to-face communications. Mentees endorsed strong interest in staying in touch with their mentors and 100% of mentors expressed their willingness to serve in the future. Conclusion: This mentorship program was initiated and supported by a relatively small medical society and has shown early success in cultivating mentoring relationships for a future generation of clinician-scientists