1. Critics claim that traditional economic models explain a near zero proportion of exchange rate variation, and cannot outperform a random walk in post-sample forecasting. Perceived deficiencies include undue reliance on single equation methods and inadequate modelling of expectations. In addressing these issues, this workshop develops a simultaneous rational expectations model of the USD/DM market, using information from both spot and futures markets. Post-sample, this model significantly outperforms forecasts by rival predictors such as a random walk and lagged futures rate. This latter comparison suggests that the market is not semi-strong significant returns after allowance is made for the treasury bill rate and the variability of returns.
   Paper: Goss.pdf

2. This workshop is concerned with the All Ords Index (OAI) and its futures contract known as the Share Price Index (SPI). We use use a new form of smooth transition model to account for a variety of nonlinearities caused by transaction costs and other market/data imperfections, and given the recent interest in the effects of market automation on price discovery, we focus on how the nonlinear properties of the basis and returns have changed, now that floor trading in the futures contract has been replaced by electronic trading.
   Paper: Anderson.pdf

Please feel free to bring this to the attention of interested colleagues.