Idiosyncratic risk in the Dow Jones Eurostoxx50 Index

Recent evidence by Campbell et al. [J.Y. Campbell, M. Lettau B.G. Malkiel, Y. Xu, Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk, The Journal of Finance (February) (2001)] shows an increase in firm-level volatility and a decline of the correlation among stock returns in the US. In relation to the Euro-Area stock markets, we find that both aggregate firm-level volatility and average stock market correlation have trended upwards.We estimate a linear model of the market risk–return relationship nested in an EGARCH(1, 1)-M model for conditional second moments. We then show that traditional estimates of the conditional risk–return relationship, that use ex-post excess-returns as the conditioning information set, lead to joint tests of the theoretical model (usually the ICAPM) and of the Efficient Market Hypothesis in its strong form.To overcome this problem we propose alternative measures of expected market risk based on implied volatility extracted from traded option prices and we discuss the conditions under which implied volatility depends solely on expected risk. We then regress market excess-returns on lagged market implied variance computed from implied market volatility to estimate the relationship between expected market excess-returns and expected market risk.We investigate whether, as predicted by the ICAPM, the expected market risk is the main factor in explaining the market risk premium and the latter is independent of aggregate idiosyncratic risk.     

Some comments on Hurst exponent and the long memory processes on capital markets

The analysis of long memory processes in capital markets has been one of the topics in finance, since the existence of the market memory could implicate the rejection of an efficient market hypothesis. The study of these processes in finance is realized through Hurst exponent and the most classical method applied is R/S analysis. In this paper we will discuss the efficiency of this methodology as well as some of its more important modifications to detect the long memory. We also propose the application of a classical geometrical method with short modifications and we compare both approaches.     

Amperometric Immunosensor for Rapid Detection of Honeybee Pathogen Melissococcus Plutonius

European foulbrood (EFB) is a honeybee larvae disease caused by a bacterium Melissococcus plutonius. An amperometric immunosensor based on a sandwich assay was developed for rapid point‐of‐care detection of this pathogen. An in‐house made anti‐Melissococcus antibody was immobilized to a gold surface of a screen‐printed sensor via self‐assembled monolayer of cysteamine activated with glutaraldehyde. The direct impedimetric detection of captured microbial cells was tested, however, a better performance was obtained after the formation of sandwich with the peroxidase‐labeled antibody in the amperometric mode. The label‐free assay was limited by higher non‐specific binding. The limit of detection of the immunosensor was 6.6×10⁴ CFU mL^?1 (colony‐forming units) with wide linear range between 10⁵ CFU mL^?1 and 10⁹ CFU mL^?1. The whole analysis was completed within 2 h, which is shorter compared to common laboratory diagnostic tools, such as enzyme‐linked immunosorbent assay or polymerase chain reaction. Furthermore, atomic force microscopy was used for confirmation of the bacteria presence on the electrode surface. The developed immunosensor was successfully employed in the analysis of real samples of honeybees and larvae. The achieved results demonstrate the potential of the amperometric immunosensor for practical in‐field diagnosis of EFB, which can prevent infection spreading and connected losses of honeybee colonies.     

Modelling and Numerical Valuation of Power Derivatives in Energy Markets

In this work we investigate the pricing of swing options in a model where the underlying asset follows a jump diffusion process. We focus on the derivation of the partial integro-differential equation (PIDE) which will be applied to swing contracts and construct a novel pay-off function from a tree-based pay-off matrix that can be used as initial condition in the PIDE formulation. For valuing swing type derivatives we develop a theta implicit-explicit finite difference scheme to discretize the PIDE using a Gaussian quadrature method for the integral part. Based on known results for the classical theta-method the existence and uniqueness of solution to the new implicit-explicit finite difference method is proven. Various numerical examples illustrate the usability of the proposed method and allow us to analyse the sensitivity of swing options with respect to model parameters. In particular, the effects of number of exercise rights, jump intensities and dividend yields will be investigated in depth.     

电信行业结构的演化分析

应用产业组织理论和Pakes-McGuire模型,仿真计算并比较了我国电信改革前的自然垄断的行业结构和引入竞争机制后的市场结构的演化,从产业结构演化的角度证实了电信行业中引入竞争机制的必要性.     

不完全市场中投资策略的实证研究

Klaus[1]采用随机动力系统理论分析了不完全市场中市场份额的长期演变行为,找到了可以获得最大收益的投资策略的显式表达式,并证明了这个投资策略是渐进稳定的.本文的工作是以股票作为基础资产,利用中国证券市场上的原始股票数据,检验Klaus的理论成果在不完善的中国股票市场上的运行情况,并对得到的结果进行分析.     

ENVIRONMENTAL POLLUTION AND UNILATERAL CONTROL IN AN OPEN ECONOMY

In this paper we study two questions in environmental economics. First, within the context of a simple 2 × 2 × 2 static general equilibrium model, we seek to determine the conditions under which environmental policy, pursued unilaterally by a large country will make that country worse off. The empirical dimension of this question is stressed, and the key parameters which are germane to any policy discussion regarding this issue are identified. Second, we study—once again from the perspective of a large country—the possibility of using the domestic tax structure optimally to attain environmental policy objectives. Keeping the empirical dimension of the question in mind, we show how to compute optimal externality correcting taxes. We then briefly focus on the links between our stylized analytical model and the applied general equilibrium models currently being developed to study the effects of environmental policy quantitatively.     

How to Reach the Equilibrium of Labor Market by Using of Utility Function

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Usefulness of D-optimal designs and multicriteria optimization in laborious analytical procedures. Application to the extraction of quinolones from eggs

An analytical method has been developed to extract ciprofloxacin and enrofloxacin from eggs. The aim of this work is to determine the experimental conditions of extraction providing high recoveries with small standard deviations. An experimental design based on the D-optimality criterion and replicated three times was built to evaluate the effect of five factors related to the extraction which is the most inaccurate stage of the procedure. This non-classical design is needed because there are several practical constraints: (i) the extraction procedure is time-consuming, quinolones are not stable and the design must be performed in a single working session. (ii) The tube capacity of the centrifuge is 6, so the number of experiments will be 6 or a multiple of 6. In the optimal experimental conditions, the extraction is performed once with 5 ml of methanol. Then, fatty acids are removed with a mixture of hexane/ether. Analytes are finally separated and detected by HPLC-fluorescence without the additional step of purification by solid-phase extraction (SPE). Under these conditions, the mean recovery is 64% and 70% and the standard deviation 5% and 4% for ciprofloxacin and enrofloxacin, respectively. The capability of decision, CCalpha, is 3.1 and 2.8 microg kg(-1) of ciprofloxacin and enrofloxacin, respectively. The capability of detection, CCbeta, is 7.8 and 7.0 microg kg(-1) of ciprofloxacin and enrofloxacin, respectively. In both cases the probabilities of false positive, alpha, and of false negative, beta, were fixed at 0.05.     

The European Fibres Group (EFG) 1993–2002: "Understanding and improving the evidential value of fibres"

The paper outlines the history of the European Fibres Group (EFG) and includes its aims and achievements from the time of its formation in 1993 to the present day. The main emphasis is on the subject of "the evidential value of fibres", how the EFG have provided the data and where to locate it. Additionally the paper provides a look into what the group has accomplished in the recognition of the "lack of data" and the research being conducted to correct this problem. Finally it outlines other projects that are underway to improve its members' knowledge.This paper is dedicated to the memory of Mike Grieve, co-founder and General Secretary of the EFG who passed away on 5th September 2002. Mike was to co-author this paper and much of it reflects his work. He was a colleague, friend and mentor to all forensic fibre examiners and was acknowledged as a premier forensic fibre expert in the world.K.G. Wiggins is the Chairman of the European Fibres Group