Asymmetric response and interaction of U.S. and local news in financial markets

This paper examines the extent to which financial returns on market indices exhibit mean and volatility asymmetries, as a response to past information from both the U.S. market and the local market itself. In particular, we wish to assess the asymmetric effect of a combination of local and U.S. market news on volatility. To the best of the authors knowledge, this joint effect has not been considered previously. We propose a double threshold non‐linear heteroscedastic model, combined with a GJR‐GARCH effect in the conditional volatility equation, to capture jointly both mean and volatility asymmetric behaviours and the interactive effect of U.S. and local market news. In an application to five major international market indices, clear evidence of threshold non‐linearity is discovered, supporting the hypothesis of an uneven mean‐reverting pattern and volatility asymmetry, both in reaction to U.S. market news and news from the local market itself. Significant, but somewhat different, interactive effects between local and U.S. news are observed in all markets. An asymmetric pattern in the exogenous relationship between the local market and the U.S. market is also found. Copyright © 2005 John Wiley & Sons, Ltd.     

Pragmatic inquiry

Inquiry into how people might act to solve a problem, which involves powerful communities of stakeholders, cannot be undertaken using only the principles of scientific inquiry. Science is useful for inquiry into physical activity but less so for inquiry into designing appropriate social systems such as a strategic plan or the appropriate solution to a social conflict. This paper argues that complex problem solving needs to draw on a set of pragmatic principles, which it explains. Pragmatism is an epistemology intended to deal with alternative interpretations of the same physical reality. It is increasingly coming back into the attention of soft operational researchers. After briefly explaining which thread of pragmatism is being drawn upon, this paper identifies five interrelated principles for undertaking a pragmatic inquiry. To explain these interrelations, the principles are designed into a linked system of pragmatic inquiry which is applied in a small case study.     

Ideals containing the squares of the variables

We study the Betti numbers of graded ideals containing the squares of the variables, in a polynomial ring. We prove the lex-plus-powers conjecture for such ideals.     

Announcing the Burtin graphic contest winners

The graphics contest announced in Volume 23, Issue 4, of CHANCE asked readers to create a display of a 1951 data set on antibiotic effectiveness. The three winners of the contest are Mark Nicolich, Brian Schmotzer, and Dibyojyoti Haldar. The winners’ graphs are different, yet communicate the same information—each compares the antibiotics and bacteria and succinctly summarizes the influence of the gram staining factor.     

Accelerating molecular dynamic simulation on graphics processing units

We describe a complete implementation of all‐atom protein molecular dynamics running entirely on a graphics processing unit (GPU), including all standard force field terms, integration, constraints, and implicit solvent. We discuss the design of our algorithms and important optimizations needed to fully take advantage of a GPU. We evaluate its performance, and show that it can be more than 700 times faster than a conventional implementation running on a single CPU core. © 2009 Wiley Periodicals, Inc. J Comput Chem, 2009     

Some sufficient conditions for the E- and MV-optimality of block designs having blocks of unequal size

Summary In this paper we consider experimental situations in which ν treatments are to be tested inb blocks whereb _i blocks containk _i experimental units,i=1,...,p, k ₁<k ₂<...<k _p . The idea of a group divisible (GD) design is extended to that of a group divisible design with unequal block sizes (GDUB design) and then a number of results concerning the E- and MV-optimality of GD designs are generalized to the case of GDUB designs.