have trading rule profits in the currency markets declined over time abstract previous studies have reported mixed results regarding the success of technical trading rules in currency markets abnormal returns were observed in many studies using data up to the mid 1980s while more recent studies generally report less success for technical trading rules this paper tests whether moving average trading rule profits have declined over the period from 1971 to 2000 if so previous profits may represent a temporary inefficiency that has since been eliminated in the currency markets the hypothesis is tested using 18 exchange rate series over a longer time period than in previous studies rules are optimized for successive 5 year in sample periods from 1971 to 1995 and tested over subsequent 5 year out of sample periods results show that risk adjusted trading rule profits have declined over time from an average of over 3 in the late 1970s and early 1980s to about zero in the 1990s thus market inefficiencies reported in previous studies may have been only temporary inefficiencies

regime switches in exchange rate volatility and uncovered interest parity abstract we use a regime switching model to examine how exchange rate volatility is related to the failure of uncovered interest parity main findings are as follows first exchange rate returns are strongly influenced by regime switches in the relationship between the returns and interest rate differentials second low yielding currencies appreciate less frequently but once it occurs their movements are faster than when they depreciate third depreciation of low yielding currencies and low volatility are mutually dependent on each other finally these three findings are more evident for shorter horizons the second and third results are consistent with a market participants view short term carry trades in a low volatility environment and their rapid unwinding substantially influence exchange rates we consider the effects of funding liquidity to explain these results

methodical madness technical analysis and the irrationality of exchange rate forecasts substantial empirical research documents that exchange rate forecasts are not formed rationally this paper identifies a common technical trading signal the head and shoulders pattern as a potential source of departures from rationality in exchange rate forecasts forecasts based on this pattern are evaluated for daily dollar exchange rates over 1973 to 1994 using two criteria for rationality profitability and efficiency resulting profits replicable in real time are tested for statistical significance using a bootstrap technique we find that the rule is profitable but not efficient since it is dominated by simpler trading rules

answering the skeptics yes standard volatility models do provide accurate forecasts a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility using arch and stochastic volatility models while most of these studies have documented highly significant in sample parameter estimates and pronounced intertemporal volatility persistence traditional ex post forecast evaluation criteria suggest that the models provide seemingly poor volatility forecasts contrary to this contention we show that volatility models produce strikingly accurate interdaily forecasts for the latent volatility factor that would be of interest in most financial applications new methods for improved ex post interdaily volatility measurements based on high frequency intradaily data are also discussed

value at risk and expected shortfall in cryptocurrencies portfolio a vine copula based approach risk management is an important and helpful process for investors hedge funds traders and market makers one of its key points is the appropriate estimation of risk measures which can improve the

can markov switching models replicate chartist profits in the foreign exchange market abstract in this paper we show that the markov switching model is a relevant statistical alternative to the classical martingale model for exchange rates by extending the standard markov switching model we decisively reject the martingale model moreover the model generates autocorrelations and linear structures in line with what is observed in reality subsequently we test whether this model can explain chartist profits we find that the extended markov switching model is able to explain the profitability of a simple ma 30 rule finally we decompose the profitability of the ma 30 rule into a linear and nonlinear part we find that although the implied linear structure of the markov model explains a substantial part of the profitability part of the profits of the ma 30 rule can be attributed to the specific nonlinearities implicit in the markov model

market timing a test of a charting heuristic abstract we implement a graphical or charting heuristic the bull flag which accepts a particular pattern of historical prices as a signal for a future market price increase test it with several years of new york stock exchange composite index history and find positive results the results support the validity of technical analysis for stock market price prediction and fail to confirm the efficient markets hypothesis

can the markov switching model forecast exchange rates abstract a markov swirching model is fit for 18 exchange rates at quarterly frequencies the model fits well in sample for many exchange rates by the mean squared error criterion the markov model does not generate superior forecasts to a random walk or the forward rate there appears to ne some evidence that the forecasts of the markov model are superior at predicting the direction of change of the exchange rate

engaging private actors in transport planning to achieve future emission targets upscaling the climate and economic research in organisations cero process to regional perspectives sustainable transport analyses are traditionally carried out from two fundamentally different perspectives a internal travel analysis at an organisational level often as part of corporate enviro

sustainable energy prices and growth comparing macroeconomic and backcasting scenarios how do results from the sustainability research world of backcasting relate to the macroeconomic scenarios used for policy evaluation and planning the answer is that they don t mostly they come

energy backcasting a proposed method of policy analysis abstract there have recently emerged a number of analyses which suggest that there exists a large potential for soft energy policy paths it is difficult to illustrate this argument using conventional forecasting techniques therefore these analyses tend to use an alternative method called energy backcasting this involves setting policy goals and then determining how those goals could be met as yet however little attention has been paid to the theoretical aspects of backcasting techniques in this article a specific backcasting method is proposed which it is argued allows consideration of many factors obscured in traditional energy supply and demand forecasts

backcasting sustainable freight transport systems for europe in 2050 european freight transport emissions and fuel consumption are projected to increase this study focuses on long distance freight transport ldft and explores possible sustainable futures through quantitative modeling the evaluation was part of european foresight process between researchers policy makers and freight companies freightvision greenhouse gas ghg emissions and energy demand of road rail and inland waterways were estimated for an eu 27 in 2005 development was extrapolated to 2050 based on technology and freight performance forecasts stakeholders found the forecasted ghg emissions and fossil fuel share unsustainable so alternative futures were developed with backcasting the developed emission model was run with random parameter combinations to screen a set of sustainable futures with an 80 reduction of ghg emissions and fossil fuel share freight transport performance was not controlled in the backcasts but several sustainable futures were found if significant changes in transport efficiency and energy mix are implemented in spite of agreeing on the importance of reducing emissions stakeholders had difficulties in choosing a preferred technological future simple models were found to be an effective tool for communicating the influence of various measures further research is recommended to screen preferable technological roadmaps from the broad range of available futures

using genetic algorithms to find technical trading rules1 abstract we use a genetic algorithm to learn technical trading rules for the s p 500 index using daily prices from 1928 to 1995 after transaction costs the rules do not earn consistent excess returns over a simple buy and hold strategy in the out of sample test periods the rules are able to identify periods to be in the index when daily returns are positive and volatility is low and out when the reverse is true these latter results can largely be explained by low order serial correlation in stock index returns

loaded questions new approaches to utility forecasting abstract the purpose of this paper is to evaluate long term load forecasting using as an example the load forecasting process at ontario hydro a large canadian utility it is argued that predictive load forecasting based on econometric models is not a reliable or useful basis for system planning even were accurate predictions possible they wouldn t reveal what other futures are available nor the relative costs and benefits of alternative scenarios what is needed instead are non predictive backcasting analyses of the feasibility and impacts of alternative future electricity demand scenarios based on detailed end use analysis

sustainable mobility from technological innovation to societal learning abstract this paper addresses a persistent and worsening societal dilemma worldwide the ecological unsustainability of the automobile as the primary means for providing personal mobility the solution to this problem will require input from all segments of society and must include technological innovation changes in the physical infrastructure and land use and social cultural and institutional changes a fundamental rethinking of the entire system of personal mobility is necessary governments can play a significant role in promoting change by stimulating technological innovation through regulations incentives and subsidies by investing in the infrastructure by providing leadership and by organizing and supporting a debate with a focus on the system as a whole its spatial characteristics the motives for transport and the alternatives that are presently not developed from the technological perspective one of the much discussed solutions is a hydrogen powered automobile we argue that the future of this approach is questionable and propose a fundamental re framing of the significance of hydrogen from viewing it as a solution to the personal mobility problem to seeing it as a medium for transporting and storing energy that has been generated elsewhere preferably by renewable resources a new and radically different way of seeing the problem of individual mobility and of the roles of various stakeholders in finding solutions is also necessary this is the essence of higher order learning to facilitate such learning among various societal groups we advocate a combination of multi stakeholder visioning processes scenario building backcasting exercises and small scale socio technical experiments these approaches may be practiced at various levels from local to national with experimentation probably being best suited for a smaller scale an ongoing process of visioning future mobility in the boston metropolitan area illustrates how such approaches may be used

beating the foreign exchange market filter rule profits found in foreign exchange markets in the early days of the current managed float persist in later periods as shown by statistical tests developed and implemented here the test is consistent with but independent of a wide variety of asset pricing models the profits found cannot be explained by risk if risk premia are constant over time inclusion of the home foreign interest rate differential in computing profits has little effect on the comparison of filter returns to those of buy and hold in the early years of the generalized managed floating that began in march 1973 filter rule profits in excess of buy and hold were found for many countries logue sweeney and willett 18 dooley and shafer 6 cornell and dietrich 5 it was unclear however whether such profits indicated inefficiencies first it was not clear that risk was adequately handled in such tests and often risk was ignored second there was no evidence such profits would be available postsample and third there was no statistical test of the significance of these profits this paper uses the logic of risk return tradeoffs to analyze the role of risk in such tests and illustrates the logic in a discussion using the sharpe lintner capital asset pricing model capm although a breeden consumption based capm a merton intertemporal capm or an arbitrage pricing model apm could easily be used the paper develops a test of statistical significance appropriate to foreign exchange markets section i analyzing the rate of return on foreign exchange speculation less the foreign domestic interest rate differential the test explicitly assumes that risk premia are constant over the sample the excess rates of return observable in using filters in going from a risk free dollar asset to a risk free deutsche mark dm asset persist into the 1980 s section ii and this is true even when taking account of transactions costs it turns out that these results for the dm case do not depend very much on the interestrate differential but primarily on exchange rate behavior this is useful to know because it is often quite difficult to find matching interest rate data of high quality for a sample of nine other currencies using only exchange rates section iii shows that the excess returns made in the first 610 days of the float persist in the next 1 220 days into the 1980 s dooley and shafer 7 find similar persistence in experiments that do not use buy and hold and have no significance tests when filter rule profits have been found in spot exchange markets it has often been argued that the profits are due to risk this paper uses the capm to analyze rates of return both to buy and hold and to filter strategies it turns out that the claremont mckenna college and claremont graduate school arthur d warga douglas joines and thomas d willett offered helpful comments and ning ning koo provided research assistance

outlook on biofuels in future studies a systematic literature review abstract foresight methods are useful for long range planning such as strategic energy management energy policy and renewable and sustainable energy planning to manage uncertainties futures studies may affect the anticipation and speculation of future and emerging technologies in this paper biofuels futures are explored based on a critical evaluation of the literature to draw the state of the art for the future oriented biofuel research a six fold typology mapping from two main futures studies methodologies is used i descriptive scenarios forecasts and statistical scenarios as descriptive methods ii roadmaps visions and backcasts as prescriptive methods the expectations embodied in the literature are then explored through deriving research challenges about the future of biofuels 1 the main motives and driving forces in a biofuel era 2 the main obstacles or difficulties confronting a biofuel era 3 the plausibility and importance of each of different scenarios 4 key technological breakthroughs for the bioeconomy 5 details about development maturity and flourish 6 biofuel era s significant achievement the literature explains a wide range of plausible futures from centralized systems related to technological breakthroughs to decentralized systems based on small scale renewable fundamental technological elements are uncovered and a plausible biofuel economy is drawn along with the necessary pathway to reach it the review shows a general agreement that a biofuel economy would develop gradually and a prompt shift to biofuels would require powerful governmental support coupled with significant disruptions such as changes in environmental principles of countries technology breakthroughs higher oil prices and urgency of climate change

low carbon scenarios for russia s energy system a participative backcasting approach abstract despite the high profile of climate change in scientific and policy discourse the russian government has thus far failed to commit to an emission reduction target based on the latest science given russia is a key supplier of fossil fuels a major greenhouse gas emitter and climate impacts on its vast territory likely to have far reaching consequences this contextual research shows that the country s current policies fall woefully short of what is required to implement the paris agreement to support russia in developing informed internally consistent and scientifically literate energy policies this paper presents low carbon emission trajectories commensurate with the 2 c goal using stakeholder informed backcasting the results illustrate that even if russia s co2 emissions peak in 2017 a reduction rate of at least 9 per year between 2020 and 2030 is required to meet a 2 c budget constraint these sustained rates are in excess of anything achieved globally or indeed deemed possible within most studies such emission reductions would involve unprecedented material changes to russia s energy system including both rapidly cutting energy demand and building extensive low carbon infrastructures nevertheless failure to transform russia s existing policies will likely have global repercussions for achieving the paris agreement s goals

can markov switching models predict excess foreign exchange returns abstract this paper merges the literature on technical trading rules with the literature on markov switching to develop economically useful trading rules the markov models out of sample excess returns modestly exceed those of standard technical rules and are profitable over the most recent subsample a portfolio of markov and standard technical rules outperforms either set individually on a risk adjusted basis the markov rules high excess returns contrast with mixed performance on statistical tests of forecast accuracy there is no clear source for the trends but permitting the mean to depend on higher moments of the exchange rate distribution modestly increases returns

trading rule profits in european currency spot cross rates abstract the moving average ma trading rule is applied to six european spot cross rates jy bp dm bp jy dm sf dm sf bp and jy sf to see if opportunities for profitable trading exist the results suggest that ma trading rules are marginally profitable only for the jy dm and the jy sf cross rates while trading rules are not profitable for the other four cross rates bootstrapping and out of sample tests provide similar results examination of subsamples characterized by central bank intervention do not produce different results computation of box pierce statistics adjusted for heteroscedasticity show that daily returns for all six cross rates are serially uncorrelated overall the results suggests that cross rates are sufficiently transparent to eliminate ma trading rule profit

logistic growth curve modeling of us energy production and consumption abstract this research used four parameter multi cycle logistic growth curve models on us energy information agency annual data from 1949 to 2015 to produce fixed condition forecasts of us energy production and consumption to 2040 these models and forecasts were used to assess the ability of us energy production sources to meet demand to anticipate production and technology challenges and to make general policy recommendations the logistic fixed condition forecasts indicated the ongoing increases in total us energy production dominated by crude oil and natural gas production will likely peak in 2017 at 95 0 quadrillion quad btu then rapidly decrease through 2040 at 36 2 quad btu while total us energy consumption indicated an ongoing plateau at 98 1 quad btu new growth cycles not evident in the 2015 data will certainly occur mitigating the decline in energy production before 2040 however without adequate foresight and preemptive action it is possible that new production growth would not be adequate to reverse the decline given historical growth trends therefore in addition to continued increases in energy efficiency reductions in use and implementation of carbon management technologies direct effort towards the sustainable development of substantial new growth cycles in all energy production sources through adequate investment of resources should be a priority of the us energy industry policy makers and the public alike

modelling socio economic and energy data to generate business as usual scenarios for carbon emissions abstract the uk government is legally committed to achieving an 80 reduction in carbon dioxide emissions compared with 1990 by 2050 the use of scenarios is wide ranging to inform policy development and forming a business as usual scenario helps to understand possible effects of different policy interventions however the term business as usual is frequently misused we show how econo physical business as usual scenarios can be developed by examining the historical behaviour of coefficients which manifest the relationship between components of an economy we endogenise economic growth by mimicking national level policies that focus on a target level of unemployment our case study demonstrates the trendability of coefficients which for one example coefficient is replicated for australia colombia taiwan and the usa we manifest a gross domestic product growth of 2 falling to 1 which contrasts with an exogenous growth of 2 3 of a comparator business as usual scenario we suggest that it may be possible to achieve a greater reduction in the business as usual carbon dioxide emissions in the uk fifth carbon budget than currently projected

backcasting and econometrics for sustainable planning information technology and individual preferences of travel this paper develops a framework building on backcasting from sustainable outcomes or more sustainable outcomes in combination with econometric modelling to arrive at the outcomes to reach lon

linear non linear and essential foreign exchange rate prediction with simple technical trading rules abstract this paper investigates the predictability of spot foreign exchange rate returns from past buy sell signals of the simple technical trading rules by using the nearest neighbors and the feedforward network regressions the optimal choices for nearest neighbors hidden units in a feedforward network and the training set are determined by the cross validation method which minimizes the mean square error although this method is computationally expensive the results indicate that it has the advantage of avoiding overfitting in noisy environments and indicate that simple technical rules provide significant forecast improvements for the current returns over the random walk model

forecasting crude oil market volatility further evidence with jumps this paper analyzes volatility models and their forecasting abilities in the presence of jumps in two crude oil markets brent and west texas intermediate wti between january 6th 1992 and december 31st 2014 we compare a number of garch type models that capture short memory as well as asymmetry garch gjr garch and egarch estimated on raw returns to three competing approaches that deal with the presence of jumps garch type models estimated on jump filtered returns and two new classes of volatility models called generalized autoregressive score gas and markov switching multifractal msm models estimated using raw returns the forecasting performance of these volatility models is evaluated using the model confidence set approach which allows us to identify a subset of models that outperform all the other competing models we find that asymmetric models estimated on filtered returns provide better out of sample forecasts than do garch gas type and msm models estimated on raw return series for brent and wti returns

score driven models of stochastic seasonality in location and scale an application case study of the indian rupee to usd exchange rate abstractwe estimate the stochastic seasonality of the indian rupee inr to united states dollar usd exchange rate by using new dynamic conditional score dcs specifications we use the dcs skew gen t dcs skewed generalized t distribution and dcs nig dcs normal inverse gaussian distribution models which are alternatives to the dcs t dcs student s t distribution and dcs egb2 dcs exponential generalized beta distribution of the second kind models from the literature dcs models are robust to outliers and such models effectively disentangle the local level seasonality and irregular components for the latter we apply dcs egarch dcs exponential generalized autoregressive conditional heteroscedasticity scale dynamics and we use new dcs models with seasonal volatility we use inr usd data for the period of 1 january 1982 to 7 july 2017 we find that the dcs skew gen t and dcs nig models are superior to the dcs t and dcs egb2 models respectively the amplitude of the inr usd seasonality is rel

is beta t egarch 1 1 superior to garch 1 1 statistical performance in sample point forecast precision and out of sample density forecast precision of garch 1 1 and beta t egarch 1 1 models are compared we study the volatility of nine gl

trading asymmetric trend and volatility by leverage trend garch in taiwan stock index this article develops a leverage trend generalized autoregressive conditional heteroscedasticity garch model by incorporating asymmetric trend of returns of the exponential autoregressive and asymmetric volatility of garch models to study the asymmetric effects using in sample daily data of taiex over the period 4 january 1980 to 25 august 1997 and postsample daily data over the period 26 august 1997 to 10 september 2007 the evidence reveals that a curvaceous risk return relationship and both asymmetric volatility and asymmetric trend of returns are significant in taiex the episode of asymmetric trend of returns is that the positive information creates a higher return trend than the negative information of the same amount while similarly to most studies the evidence of asymmetric volatility appears that the negative information makes a higher volatility than the positive information of the same size most remarkably we evidence that the volatility asymmetry effect is a conservative trading factor

negotiating energy futures the politics of energy forecasting abstract over the last decade it has become increasingly clear that energy forecasts have been used for partisan purposes through energy models and forecasts industrial political and administrative interests compete for cognitive and methodological hegemony we have termed this integration of modelling and politics the scientific negotiation of energy futures this article presents core elements of a sociopolitical and institutional perspective with which to analyse the generation of assumptions that underlie energy models and forecasts we focus on the factors that shape the choice of data functional forms and modelling methodologies we point to the filters of professional orientation and organizational structures that give every forecast an inherent cognitive bias we stress the legitimation function of forecasts in political decision making these factors are illustrated with a comparative analysis of energy modelling and forecasting over the last 20 years in the uk canada denmark france the netherlands norway the usa and fr germany and a discussion of the iiasa world energy model

forecasts scenarios visions backcasts and roadmaps to the hydrogen economy a review of the hydrogen futures literature scenarios roadmaps and similar foresight methods are used to cope with uncertainty in areas with long planning horizons such as energy policy and research into the future of hydrogen energy has been no exception such studies can play an important role in the development of shared visions of the future creating powerful expectations of the potential of emerging technologies and mobilising resources necessary for their realisation this paper reviews the hydrogen futures literature using a six fold typology to map the state of the art of scenario construction the paper then explores the expectations embodied in the literature through the answers it provides to questions about the future of hydrogen what are the drivers barriers and challenges facing the development of a hydrogen economy what are the key technological building blocks required in what kinds of futures does hydrogen become important what does a hydrogen economy look like how and when does it evolve and what does it achieve the literature describes a diverse range of possible futures from decentralised systems based upon the small scale renewables through to centralised systems reliant on nuclear energy or carbon sequestration there is a broad consensus that the hydrogen economy emerges only slowly if all under business as usual scenarios rapid transitions to hydrogen occur only under conditions of strong governmental support combined with or as a result of major discontinuities such as shifts in society s environmental values game changing technological breakthroughs or rapid increases in the oil price or speed and intensity of climate change

responsible mineral and energy futures views at the nexus societal prosperity is underpinned by access to the increasingly interdependent resources of minerals and energy in an era of mineral resource constraints and radical transition in the energy sector this paper reviews the extent to which a long term view of production and use is adopted in both fields a long term view including the mineral energy nexus is deemed to be necessary although not sufficient for managing future resource constraints and energy transitions alarmingly it identifies that the future of minerals resources and production is generally considered 5 10 years ahead rather than several decades or more as for energy additionally the sectors are generally studied independently rather than with a focus on the nexus with these findings as evidence of an unaddressed problem the paper then focusses on the current forces for change in the minerals industry namely community drivers regarding social licence to operate new technologies and consumer and government drivers on responsible minerals as discussions of sustainable development become displaced by the emerging discourse of responsible minerals what is adopted and discarded whilst responsible minerals considers chain of custody it does not adopt a long term view and overlooks the mineral energy nexus using three illustrative cases at the nexus of i rare earths renewables ii coal steel and iii uranium nuclear we extend the theoretical discussion on responsible with a range of contemporary examples from the perspectives of producing australia and consuming countries japan switzerland and propose a research agenda for an expanded notion of responsible minerals which recognises the complexity of the mineral energy nexus and connects it to progressing sustainable futures

is technical analysis in the foreign exchange market profitable a genetic programming approach using genetic programming techniques to find technical trading rules we find strong evidence of economically significant out of sample excess returns to those rules for each of six exchange rates over the period 1981 1995 further when the dollar deutsche mark rules are allowed to determine trades in the other markets there is significant improvement in performance in all cases except for the deutsche mark yen betas calculated for the returns according to various benchmark portfolios provide no evidence that the returns to these rules are compensation for bearing systematic risk bootstrapping results on the dollar deutsche mark indicate that the trading rules detect patterns in the data that are not captured by standard statistical models

technical analysis and the spanish stock exchange testing the rsi macd momentum and stochastic rules using spanish market companies the aim of this research is to examine the result of the application of the indicators relative strength index rsi moving average convergence divergence macd momentum and stochastic in different companies of the spanish continuous market by using these indicators it is intended to give purchase and sale recommendations to small investors the generation of great capital gains depends on the type of the stock exchange company and the indicator which is being used in addition this research solves the problems in case of ambiguity in the indicators for the traders

stable classes of technical trading rules technical analysis includes a huge variety of trading rules this fact has always been a serious hindrance to the large number of market efficiency studies implemented either to demonstrate the profitability of market beating systems or to deny their operational feasibility for evident reasons it is practically impossible and theoretically weak to systematically analyse the entire body of all trading rules we therefore propose a novel method to form natural classes of trading rules which are found to be robust to changing market scenarios in particular groups are formed adopting a similarity measure based on the investing signals of the trading rules our clustering methodology adopts a markov chain bootstrapping technique to generate differentiated scenarios preserving volume and price joint distributional features an application is developed on a sample of 674 trading rules results show that six groups here identified as trading styles are sufficient to explain the large portion of the investing

the cost of technical trading rules in the forex market a utility based evaluation we compute the opportunity cost for rational risk averse agents of using technical trading rules in the foreign exchange rate market we decompose this opportunity cost into two parts i a cost related to the misallocation of wealth which increases with the investor s level of risk aversion allocational cost and ii a cost related to the investor s erroneous belief regarding the sign of the expected excess return expectational cost we find that even for low levels of risk aversion the opportunity cost of using chartist rules tends to be prohibitively high

naive trading rules in financial markets and wiener kolmogorov prediction theory a study of technical analysis this article attempts a formal study of technical analysis which is a class of informal prediction rules often preferred to wiener kolmogorov prediction theory by participants of financial markets yet wiener kolmogorov prediction theory provides optimal linear forecasts this article investigates two issues that may explain this contradiction first the article attempts to devise formal algorithms to represent various forms of technical analysis in order to see if these rules are well defined second the article discusses under which conditions if any technical analysis might capture those properties of stock prices left unexploited by linear models of wiener kolmogorov theory copyright 1991 by university of chicago press