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.     

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.     

Negotiating the “Global” within the Global Playscapes of Mount Everest*

Within the anthropology of tourism, “tourist” and “local” are often used to conceptualize social relations constitutive of international tourism, where “First World” mobile subjects visit stationary “Third World” “Others.” Globalization, as both discourse and condition, is changing the contours and conceptualizations of tourist spaces. In this paper, I show how “the global” is negotiated by different subjects, and how recreational mountain climbers from Nepal negotiate their identities as “locals” as well as global, mobile, travel subjects within “the global playscapes” of Himalayan mountaineering. I suggest that the question of who can be a tourist within a globalizing world should be closely examined.     

Individualism vs Collectivism in Different Cultures: A cross-cultural study

In this study, individualism vs collectivism, in line with the work of Triandis in 1985, was assessed in two groups of male and female students, in Egypt and Germany. The results confirm the effect that cultural background has on individualist vs collectivist orientations in both of these cultures for male and female students. Men and women scored higher on individualism in Germany than in Egypt, whereas collectivism scores were higher in Egypt than in Germany. These findings are discussed in terms of general recommendations for intercultural interventions that discourage viewing people solely in terms of group membership, and instead as distinct individuals.     

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.     

Stochastic Modelling of Times to Temperature for Furnaces Supplying Titanium Blooms to a Rolling Mill at TIMET

In conjunction with TIMET at Waunarlwydd (Swansea, UK) a model has been developed that will optimise the scheduling of various blooms to their eight furnaces so as to minimise the time taken to roll these blooms into the finished mill products. This production scheduling model requires reliable data on times taken for the various furnaces that heat the slabs and blooms to reach the temperatures required for rolling. These times to temperature are stochastic in nature and this paper identifies the distributional form for these times using the generalised F distribution as a modelling framework. The times to temperature were found to be similarly distributed over all furnaces. The identified distributional forms were incorporated into the scheduling model to optimise a particular campaign that was run at TIMET Swansea. Amongst other conclusion it was found that, compared to the actual campaign, the model produced a schedule that reduced the makespan by some 35%.     

The Access/Impact Problem and the Green and Gold Roads to Open Access

The research access/impact problem arises because journal articles are not accessible to all of their would-be users; hence, they are losing potential research impact. The solution is to make all articles Open Access (OA; i.e., accessible online, free for all). OA articles have significantly higher citation impact than non-OA articles. There are two roads to OA: the “golden” road (publish your article in an OA journal) and the “green” road (publish your article in a non-OA journal but also self-archive it in an OA archive). Only 5% of journals are gold, but over 90% are already green (i.e., they have given their authors the green light to self-archive); yet only about 10–20% of articles have been self-archived. To reach 100% OA, self-archiving needs to be mandated by researchers' employers and funders, as the United Kingdom and the United States have recently recommended, and universities need to implement that mandate.     

A simple estimator for a shared frailty regression model

Summary. We propose a simple estimation procedure for a proportional hazards frailty regression model for clustered survival data in which the dependence is generated by a positive stable distribution. Inferences for the frailty parameter can be obtained by using output from Cox regression analyses. The computational burden is substantially less than that of the other approaches to estimation. The large sample behaviour of the estimator is studied and simulations show that the approximations are appropriate for use with realistic sample sizes. The methods are motivated by studies of familial associations in the natural history of diseases. Their practical utility is illustrated with sib pair data from Beaver Dam, Wisconsin.     

Asthma Patients' Activities and Air Pollution: A Semiparametric Censored Regression Analysis

Asthma patients' health status may be especially sensitive to some types of air pollution, but the evidence on this is mixed. We explore the effects of ground-level ozone on asthma patient's activities, breaking apart the usual aggregated category of leisure into indoor and outdoor activities, and differentiating those by whether the activities were active or inactive. Applying the semiparametric censored estimation method we demonstrate that even though the period over which activities were observed was relatively low in ozone levels, there is a significant impact of ozone on a few activities. The (non-ozone) economic and demographic variables in the model play significant roles in explaining the allocation of time among seven activities, suggesting the suitability of the approach for other household decision-making contexts.