Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach

Walid, C; Chaker, A; Masood, Omar; Fry, John

doi:10.1016/j.ememar.2011.04.003

Ising critical exponents on random trees and graphs (2014)
Journal Article
Dommers, S., Giardinà, C., & van der Hofstad, R. (2014). Ising critical exponents on random trees and graphs. Communications in mathematical physics, 328(1), 355-395. https://doi.org/10.1007/s00220-014-1992-2

We study the critical behavior of the ferromagnetic Ising model on random trees as well as so-called locally tree-like random graphs. We pay special attention to trees and graphs with a power-law offspring or degree distribution whose tail behavior i... Read More about Ising critical exponents on random trees and graphs.

Capillary and viscous perturbations to Helmholtz flows (2014)
Journal Article
Moore, M., Ockendon, H., Ockendon, J., & Oliver, J. (2014). Capillary and viscous perturbations to Helmholtz flows. Journal of Fluid Mechanics, 742, Article R1. https://doi.org/10.1017/jfm.2014.39

Inspired by recent calculations by Thoraval et al. (Phys. Rev. Lett., vol. 108, 2012, p. 264506) relating to droplet impact, this paper presents an analysis of the perturbations to the free surface caused by small surface tension and viscosity in ste... Read More about Capillary and viscous perturbations to Helmholtz flows.

Taylor's modularity conjecture holds for linear idempotent varieties (2014)
Journal Article
Bentz, W., & Sequeira, L. (2014). Taylor's modularity conjecture holds for linear idempotent varieties. Algebra universalis, 71(2), 101-107. https://doi.org/10.1007/s00012-014-0273-4

The “Modularity Conjecture” is the assertion that the join of two nonmodular varieties in the lattice of interpretability types is nonmodular. We establish the veracity of this conjecture for the case of linear idempotent varieties. We also establish... Read More about Taylor's modularity conjecture holds for linear idempotent varieties.

Constraining isocurvature perturbations with the 21 cm emission from minihaloes (2014)
Journal Article
Takeuchi, Y., & Chongchitnan, S. (2014). Constraining isocurvature perturbations with the 21 cm emission from minihaloes. Monthly notices of the Royal Astronomical Society, 439(1), 1125-1135. https://doi.org/10.1093/mnras/stu059

We investigate the effects of isocurvature perturbations on the 21 cm radiation from minihaloes (MHs) at high redshifts and examine constraints on the isocurvature amplitude and power spectrum using the next generation of radio telescopes such as the... Read More about Constraining isocurvature perturbations with the 21 cm emission from minihaloes.

Bubbles, shocks and elementary technical trading strategies (2014)
Journal Article
Fry, J. (2014). Bubbles, shocks and elementary technical trading strategies. European Physical Journal B : Condensed Matter and Complex Systems, 87, Article 1. https://doi.org/10.1140/epjb/e2013-40587-y

In this paper we provide a unifying framework for a set of seemingly disparate models for bubbles, shocks and elementary technical trading strategies in financial markets. Markets operate by balancing intrinsic levels of risk and return. This seeming... Read More about Bubbles, shocks and elementary technical trading strategies.

Maxitive Integral of Real-Valued Functions (2014)
Journal Article
Cattaneo, M. E. G. V. (2014). Maxitive Integral of Real-Valued Functions. Communications in computer and information science, 442 CCIS(PART 1), 226-235. https://doi.org/10.1007/978-3-319-08795-5_24

The paper pursues the definition of a maxitive integral on all real-valued functions (i.e., the integral of the pointwise maximum of two functions must be the maximum of their integrals). This definition is not determined by maxitivity alone: additio... Read More about Maxitive Integral of Real-Valued Functions.

The effect of cosmic magnetic fields on the metagalactic ionization background inferred from the Lyman α forest (2013)
Journal Article
Chongchitnan, S., & Meiksin, A. (2014). The effect of cosmic magnetic fields on the metagalactic ionization background inferred from the Lyman α forest. Monthly notices of the Royal Astronomical Society, 437(4), 3639-3646. https://doi.org/10.1093/mnras/stt2169

The sources which reionized the intergalactic medium by redshift ̃6 are still unknown. A severe constraint on the ionization process is the low emissivity required to maintain the ionization in the Lya forest. Simulation-calibrated observations sugge... Read More about The effect of cosmic magnetic fields on the metagalactic ionization background inferred from the Lyman α forest.

Dualizability of automatic algebras (2013)
Journal Article
Bentz, W., Davey, B., Pitkethly, J., & Willard, R. (2014). Dualizability of automatic algebras. Journal of pure and applied algebra, 218(7), 1324-1345. https://doi.org/10.1016/j.jpaa.2013.11.020

We make a start on one of George McNulty's Dozen Easy Problems: “Which finite automatic algebras are dualizable?” We give some necessary and some sufficient conditions for dualizability. For example, we prove that a finite automatic algebra is dualiz... Read More about Dualizability of automatic algebras.

On the implementation of LIR: The case of simple linear regression with interval data (2013)
Journal Article
Cattaneo, M. E., & Wiencierz, A. (2014). On the implementation of LIR: The case of simple linear regression with interval data. Computational statistics, 29(3-4), 743-767. https://doi.org/10.1007/s00180-013-0459-9

This paper considers the problem of simple linear regression with interval-censored data. That is, n pairs of intervals are observed instead of the n pairs of precise values for the two variables (dependent and independent). Each of these inter... Read More about On the implementation of LIR: The case of simple linear regression with interval data.

Supernilpotence prevents dualizability (2013)
Journal Article
Bentz, W., & Mayr, P. (2014). Supernilpotence prevents dualizability. Journal of the Australian Mathematical Society, 96(01), 1-24. https://doi.org/10.1017/S1446788713000517

We address the question of the dualizability of nilpotent Mal’cev algebras, showing that nilpotent finite Mal’cev algebras with a nonabelian supernilpotent congruence are inherently nondualizable. In particular, finite nilpotent nonabelian Mal’cev al... Read More about Supernilpotence prevents dualizability.

Vibrations of a columnar vortex in a trapped Bose-Einstein condensate (2013)
Journal Article
Koens, L., Simula, T. P., & Martin, A. M. (2013). Vibrations of a columnar vortex in a trapped Bose-Einstein condensate. Physical review. A, 87(6), Article 063614. https://doi.org/10.1103/PhysRevA.87.063614

We derive a governing equation for a Kelvin wave supported on a vortex line in a Bose-Einstein condensate, in a rotating cylindrically symmetric parabolic trap, where it is assumed that the shape of the vortex line is dominated by the properties of t... Read More about Vibrations of a columnar vortex in a trapped Bose-Einstein condensate.

Air-cushioning in impact problems (2013)
Journal Article
Moore, M. R., Ockendon, J. R., & Oliver, J. M. (2013). Air-cushioning in impact problems. IMA Journal of Applied Mathematics, 78(4), 818-838. https://doi.org/10.1093/imamat/hxt026

This paper concerns the displacement potential formulation of the post-impact influence of an air-cushioning layer on the 2D impact of a liquid half-space by a rigid body. The liquid and air are both ideal and incompressible and attention is focussed... Read More about Air-cushioning in impact problems.

Conformal field theories in six-dimensional twistor space (2012)
Journal Article
Mason, L., Reid-Edwards, R., & Taghavi-Chabert, A. (2012). Conformal field theories in six-dimensional twistor space. Journal of Geometry and Physics, 62(12), 2353-2375. https://doi.org/10.1016/j.geomphys.2012.08.001

This article gives a study of the higher-dimensional Penrose transform between conformally invariant massless fields on space–time and cohomology classes on twistor space, where twistor space is defined to be the space of projective pure spinors of t... Read More about Conformal field theories in six-dimensional twistor space.

Exogenous and endogenous crashes as phase transitions in complex financial systems (2012)
Journal Article
Fry, J. (2012). Exogenous and endogenous crashes as phase transitions in complex financial systems. European Physical Journal B : Condensed Matter and Complex Systems, 85, Article 405. https://doi.org/10.1140/epjb/e2012-30234-8

In this paper we provide a unifying framework for a set of seemingly disparate models for exogenous and endogenous shocks in complex financial systems. Markets operate by balancing intrinsic levels of risk and return. This remains true even in the mi... Read More about Exogenous and endogenous crashes as phase transitions in complex financial systems.

A note on oblique water entry (2012)
Journal Article
Moore, M., Howison, S., Ockendon, J., & Oliver, J. (2013). A note on oblique water entry. Journal of engineering mathematics, 81(1), 67-74. https://doi.org/10.1007/s10665-012-9570-0

A minor error in Howison et al. (J. Eng. Math. 48:321–337, 2004) obscured the fact that the points at which the free surface turns over in the solution of the Wagner model for the oblique impact of a two-dimensional body are directly related to the t... Read More about A note on oblique water entry.

Three-dimensional oblique water-entry problems at small deadrise angles (2012)
Journal Article
Moore, M., Howison, S., Ockendon, J., & Oliver, J. (2012). Three-dimensional oblique water-entry problems at small deadrise angles. Journal of Fluid Mechanics, 711, 259-280. https://doi.org/10.1017/jfm.2012.391

This paper extends Wagner theory for the ideal, incompressible normal impact of rigid bodies that are nearly parallel to the surface of a liquid half-space. The impactors considered are three-dimensional and have an oblique impact velocity. A formula... Read More about Three-dimensional oblique water-entry problems at small deadrise angles.

Risk management and Basel-Accord-implementation in Pakistan (2012)
Journal Article
Masood, O., & Fry, J. (2012). Risk management and Basel-Accord-implementation in Pakistan. Journal of financial regulation and compliance, 20(3), 293-306. https://doi.org/10.1108/13581981211237981

Purpose Recent events demonstrate that problems in the banking system pose a significant threat to the health of the global economy. Despite several shortcomings the Basel Accord thus emerges as an attempt to protect banking systems. The purpose of... Read More about Risk management and Basel-Accord-implementation in Pakistan.

Perturbative behavior of a vortex in a trapped Bose-Einstein condensate (2012)
Journal Article
Martin, A. M., Koens, L., & Martin, A. M. (2012). Perturbative behavior of a vortex in a trapped Bose-Einstein condensate. Physical review. A, 86(1), Article 013605. https://doi.org/10.1103/PhysRevA.86.013605

We derive a set of equations that describes the shape and behavior of a single perturbed vortex line in a Bose-Einstein condensate. Through the use of a matched asymptotic expansion and a unique coordinate transform, a relation for a vortex's velocit... Read More about Perturbative behavior of a vortex in a trapped Bose-Einstein condensate.

Gaussian and non-Gaussian models for financial bubbles via econophysics (2011)
Journal Article
Fry, J. (2011). Gaussian and non-Gaussian models for financial bubbles via econophysics. Hyperion International Journal of Econophysics and New Economy, 4(1), 7-22

We develop a rational expectations model of financial bubbles and study how the risk-return interplay is incorporated into prices. We retain the interpretation of the leading Johansen-Ledoit-Sornette model: namely, that the price must raise prior to... Read More about Gaussian and non-Gaussian models for financial bubbles via econophysics.

Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach (2011)
Journal Article
Walid, C., Chaker, A., Masood, O., & Fry, J. (2011). Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach. Emerging markets review, 12(3), 272-292. https://doi.org/10.1016/j.ememar.2011.04.003

In this paper we employ a Markov-Switching EGARCH model to investigate the dynamic linkage between stock price volatility and exchange rate changes for four emerging countries over the period 1994–2009. Results distinguish between two different regim... Read More about Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach.

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