Optimal Time Series Momentum

We develop a continuous-time asset price model to capture the timeseries momentum documented recently. The underlying stochastic delay differentialsystem facilitates the analysis of effects of different time horizons used bymomentum trading. By studying an optimal asset allocation problem, we find thatthe performance of time series momentum strategy can be significantly improvedby combining with market fundamentals and timing opportunity with respect tomarket trend and volatility. Furthermore, the results also hold for different timehorizons, the out-of-sample tests and with short-sale constraints. The outperformanceof the optimal strategy is immune to market states, investor sentiment andmarket volatility.

A decentralized model of information pricing in networks

We propose a recursive method of pricing an information good in a network of holders and demanders of this good. The prices are determined via a unique equilibrium outcome in a sequence of bilateral bargaining games that are played by connected agents. If the information is an homogenous, non-depreciating good without network effects we derive explicit formulae which elucidate the role of the link pattern among the players. Particularly, we find out that the equilibrium price is intimately related to the existence of cycles in the network: It is zero if a cycle covers the trading pair and it is proportional to the direct and indirect utility that the good generates otherwise.

Putting a Price on Prisoner Release: The History of Bail and the Future of Parole

In this article, we argue that the history of bail foretells the future of parole. Under a plancalled the Conditional Post-Conviction Release Bond Act (recently passed into law inthree states), US prisoners can secure early release only after posting ‘post-convictionbail’. As with pre-trial bail, the fledgling model would require prisoners to pay a percent-age of the bail amount to secure their release under the contractual responsibility of acommercial bail agency. If release conditions are breached, bounty hunters are legallyempowered to seize and return the parolee to prison. Our inquiry outlines the origins of this post-conviction bond plan and the research upon which it is based. Drawing on the‘new penology’ framework, we identify several underlying factors that make for a ripeadvocacy environment and set the stage for widespread state-level adoption of this planin the near future. Post-conviction bail fits squarely within the growing policy trendstoward privatization, managerialism, and actuarial justice. Most importantly, though,advocates have the benefit of precedent on their side, as most US states have longrelied on a system of commercial bail bonding and private bounty hunting to manageconditional pretrial release.

Rice-arsenate interactions in hydroponics: a three-gene model for tolerance

In this study, the genetic mapping of the tolerance of root growth to 13.3 muM arsenate [As(V)] using the BalaxAzucena population is improved, and candidate genes for further study are identified. A remarkable three-gene model of tolerance is advanced, which appears to involve epistatic interaction between three major genes, two on chromosome 6 and one on chromosome 10. Any combination of two of these genes inherited from the tolerant parent leads to the plant having tolerance. Lists of potential positional candidate genes are presented. These are then refined using whole genome transcriptomics data and bioinformatics. Physiological evidence is also provided that genes related to phosphate transport are unlikely to be behind the genetic loci conferring tolerance. These results offer testable hypotheses for genes related to As(V) tolerance that might offer strategies for mitigating arsenic (As) accumulation in consumed rice.

MIXED-MODEL PRODUCTION SYSTEM DESIGN FOR AIRCRAFT ASSEMBLY

With the advancement of flexible fixture and flexible tooling, mixed production has become possible for aircraft assembly as the manufacturing processes of different aircraft/sub-assembly models are similar. However, it is a great challenge to model the problem and provide a practical solution due to the low volume and complex constraints of aircraft assemblies. To tackle this problem, this work proposes a methodology for designing the mixed production system, and a new scheduling approach is proposed by combined backward and forward scheduling methods. These methods are validated through a real-life industrial case study. Simulation results show that the number of workstations and the cycle time for making a fuselage can be reduced by 50% and 39% respectively with the newly designed mixed-model system.