Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?

This article introduces a new model for transaction prices in the presence of market microstructure noise in order to study the properties of the price process on two different time scales, namely, transaction time where prices are sampled with every transaction and tick time where prices are sampled with every price change. Both sampling schemes have been used in the literature on realized variance, but a formal investigation into their properties has been lacking. Our empirical and theoretical results indicate that the return dynamics in transaction time are very different from those in tick time and the choice of sampling scheme can therefore have an important impact on the properties of realized variance. For RV we find that tick time sampling is superior to transaction time sampling in terms of mean-squared-error, especially when the level of noise, number of ticks, or the arrival frequency of efficient price moves is low. Importantly, we show that while the microstructure noise may appear close to IID in transaction time, in tick time it is highly dependent. As a result, bias correction procedures that rely on the noise being independent, can fail in tick time and are better implemented in transaction time.     

Optimal sampling for repeated binary measurements

The authors consider the optimal design of sampling schedules for binary sequence data. They propose an approach which allows a variety of goals to be reflected in the utility function by including deterministic sampling cost, a term related to prediction, and if relevant, a term related to learning about a treatment effect To this end, they use a nonparametric probability model relying on a minimal number of assumptions. They show how their assumption of partial exchangeability for the binary sequence of data allows the sampling distribution to be written as a mixture of homogeneous Markov chains of order k. The implementation follows the approach of Quintana & Müller (2004), which uses a Dirichlet process prior for the mixture.     

Classifying At‐Risk High School Youth: The Influence of Exposure to Community Violence and Protective Factors on Academic and Health Outcomes

Using cluster analysis, 789 predominately Latino and African American high school youth were classified into varying academic at‐risk profiles using self‐reported levels of academic confidence, motivation to attend school, perceived family support, connections with teachers and peers, and exposure to violence. Six clusters emerged, 5 of which were identified as “at‐risk.” The clusters were examined in relation to academic stress, health status, grades, and school retention. Exposure to violence was one distinguishing feature of youth identified as most vulnerable, vulnerable, and resilient; however, youth identified as resilient recorded better academic outcomes.     

D-efficient window experimental designs

In the paper we present a new method of calculating sampling intervals, so-called windows, allowing an experimenter some flexibility in timing the sample collection, while a minimum required design efficiency for parameter estimation is assured. The method is based on the Equivalence Theorem for D-optimality what makes the length of each window related to the parameter sensitivities. An example of calculating the windows in a pharmacokinetic study is presented. Some other methods of calculating efficient sampling windows are briefly discussed.     

Adaptive Management: A Paradigm for Remediation of Public Facilities Following a Terrorist Attack

Terrorist actions are aimed at maximizing harm (health, psychological, economical, and political) through the combined physical impacts of the act and fear. Immediate and effective response to a terrorist act is critical to limit human and environmental harm, effectively restore facility function, and maintain public confidence. Though there have been terrorist attacks in public facilities that we have learned from, overall our experiences in restoration of public facilities following a terrorist attack are limited. Restoration of public facilities following a release of a hazardous material is inherently far more complex than in industrial settings and has many unique technical, economic, social, and political challenges. For example, there may be a great need to quickly restore the facility to full operation and allow public access even though it was not designed for easy or rapid restoration, and critical information is needed for quantitative risk assessment and effective restoration must be anticipated to be incomplete and uncertain. Whereas present planning documents have substantial linearity in their organization, the “adaptive management” paradigm provides a constructive parallel paradigm for restoration of public facilities that anticipates and plans for uncertainty, inefficiencies, and stakeholder participation. Adaptive management grew out of the need to manage and restore natural resources in highly complex and changing environments with limited knowledge about causal relationships and responses to restoration actions. Similarities between natural resource management and restoration of a public facility after a terrorist attack suggest that integration of adaptive management principles explicitly into restoration processes will result in substantially enhanced and flexible responses necessary to meet the uncertainties of potential terrorist attacks.     

Bayesian analysis of elapsed times in continuous‐time Markov chains

The authors consider Bayesian analysis for continuous‐time Markov chain models based on a conditional reference prior. For such models, inference of the elapsed time between chain observations depends heavily on the rate of decay of the prior as the elapsed time increases. Moreover, improper priors on the elapsed time may lead to improper posterior distributions. In addition, an infinitesimal rate matrix also characterizes this class of models. Experts often have good prior knowledge about the parameters of this matrix. The authors show that the use of a proper prior for the rate matrix parameters together with the conditional reference prior for the elapsed time yields a proper posterior distribution. The authors also demonstrate that, when compared to analyses based on priors previously proposed in the literature, a Bayesian analysis on the elapsed time based on the conditional reference prior possesses better frequentist properties. The type of prior thus represents a better default prior choice for estimation software.     

How far does the gender gap extend?: Decision making on state Supreme Courts in Fourth Amendment Cases, 1980–2000

The importance of women on the bench and the influence of gender on judicial decision making has garnered much scholarly attention. We examine the voting behavior of male and female justices in 718 Fourth Amendment search and seizure votes cast on state Supreme Courts between 1980 and 2000. We find that women justices, controlling for institutional, political, and legal constraints, are more likely to rule in favor of the criminal defendant than their male brethren in cases decided after 1991 but not before. We also find women justices serving with female colleagues are more inclined to render liberal votes. We conclude the influence of gender may be evident in a wider variety of cases than those dealing with women's lives but that this influence is dependent upon the existence of a critical mass of women on the state court benches.     

Mission,money, and merit: Strategic decision making by nonprofit managers

Public and nonprofit organizations need to make strategic choices about where to invest their resources. They also need to expose hidden managerial assumptions and lack of adequate knowledge that prevent the attainment of consensus in strategic decision making. The approach we developed and tested in the field used a dynamic, three‐dimensional model that tracks individual programs in an organization's portfolio on their contribution to mission, money, and merit. The first dimension measures whether the organization is doing the right things; the second, whether it is doing things right financially; and the third, whether it doing things right in terms of quality. Senior managers provide their own evaluations of the organization's programs. Both the consensus view and the variation in individual assessments contribute to an improved managerial understanding of the organization's current situation and to richer discussions in strategic decision making. In field tests, this visual model proved to be a useful and powerful tool for illuminating underlying assumptions and variations in knowledge among managers facing the complex, multidimensional tradeoffs needed in strategic decision making.     

Innovation,accountability, and independence at three private foundations funding higher education civic engagement, 1995 to 2005

This case study looks at changes in private foundation funding for higher education civic engagement from 1995 to 2005. The focus is three large, established foundations that were U.S. national leaders in supporting this activity during these years: Carnegie, Pew, and Kellogg. Data sources include (1) in‐depth conversations with four strategically placed foundation insiders and six nationally recognized campus leaders and (2) scans of Web sites of the three foundations that document the change in funding priorities over time, plus Web sites of the main campus initiatives supported and national campus civic engagement organizations such as Campus Compact. Research findings con‐ firm and specify other studies that suggest that foundations shift their funding priorities according to their perceived role as innovators, pressures to be accountable and show clear results, and their independence as private organizations. The article concludes by raising questions about private foundations generally in relation to issues of innovativeness, accountability, and independence.