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.

Game-­theoretic Resource Allocation with Real-­time Probabilistic Surveillance Information

Game-theoretic security resource allocation problems have generated significant interest in the area of designing and developing security systems. These approaches traditionally utilize the Stackelberg game model for security resource scheduling in order to improve the protection of critical assets. The basic assumption in Stackelberg games is that a defender will act first, then an attacker will choose their best response after observing the defender’s strategy commitment (e.g., protecting a specific asset). Thus, it requires an attacker’s full or partial observation of a defender’s strategy. This assumption is unrealistic in real-time threat recognition and prevention. In this paper, we propose a new solution concept (i.e., a method to predict how a game will be played) for deriving the defender’s optimal strategy based on the principle of acceptable costs of minimax regret. Moreover, we demonstrate the advantages of this solution concept by analyzing its properties.

The Teaching Space Allocation Problem with splitting

A standard problem within universities is that of teaching space allocation which can be thought of as the assignment of rooms and times to various teaching activities. The focus is usually on courses that are expected to fit into one room. However, it can also happen that the course will need to be broken up, or ‘split’, into multiple sections. A lecture might be too large to fit into any one room. Another common example is that of seminars or tutorials. Although hundreds of students may be enrolled on a course, it is often subdivided into particular types and sizes of events dependent on the pedagogic requirements of that particular course. Typically, decisions as to how to split courses need to be made within the context of limited space requirements. Institutions do not have an unlimited number of teaching rooms, and need to effectively use those that they do have. The efficiency of space usage is usually measured by the overall ‘utilisation’ which is basically the fraction of the available seat-hours that are actually used. A multi-objective optimisation problem naturally arises; with a trade-off between satisfying preferences on splitting, a desire to increase utilisation, and also to satisfy other constraints such as those based on event location and timetabling conflicts. In this paper, we explore such trade-offs. The explorations themselves are based on a local search method that attempts to optimise the space utilisation by means of a ‘dynamic splitting’ strategy. The local moves are designed to improve utilisation and satisfy the other constraints, but are also allowed to split, and un-split, courses so as to simultaneously meet the splitting objectives.

Benchmark Status in Fixed-Income Asset Markets

What is a benchmark bond? We provide a formal theoretical treatment of this concept that relates endogenously determined benchmark status to the location of price discovery and we derive its implications. We describe a rich but little used econometric technique for identifying the benchmark that is congruent with our theoretical framework. We apply this in the context of the US corporate bond market and to the natural experiment that occurred when benchmark status was contested in the European sovereign bond markets after the introduction of the Euro. We show that France provides the benchmark at most maturities in the Euro-denominated sovereign bond market and that IBM provides the benchmark in the 10 year maturity in the US corporate bond market.

Transmission Loss Allocation Through Complex Power Flow Tracing

This paper presents a new method for transmission loss allocation. The method is based on tracing the complex power flow through the network and determining the share of each load on the flow and losses through each line. Transmission losses are taken into consideration during power flow tracing. Unbundling line losses is carried out using an equation, which has a physical basis, and considers the coupling between active and reactive power flows as well as the cross effects of active and reactive power on active and reactive losses. A tracing algorithm which can be considered direct to a good extent, as there is no need for exhaustive search to determine the flow paths as these are determined in a systematic way during the course of tracing. Results of application of the proposed method are also presented.

Transmission loss allocation in a deregulated electrical energy market

This paper presents a new method for transmission loss allocation in a deregulated electrical power market. The proposed method is based on physical flow through transmission lines. The contributions of individual loads to the line flows are used as basis for allocating transmission losses to different loads. With minimum assumptions, that sound to be reasonable and cannot be rejected, a novel loss allocation formula is derived. The assumptions made are: a number of currents sharing a transmission line distribute themselves over the cross section in the same manner; that distribution causes the minimum possible power loss. Application of the proposed method is straightforward. It requires only a solved power flow and any simple algorithm for power flow tracing. Both active and reactive powers are considered in the loss allocation procedure. Results of application show the accuracy of the proposed method compared with the commonly used procedures.

Re-evaluation of Graneledone setebos (Cephalopoda : Octopodidae) and allocation to the genus Megaleledone

The holotype of the Antarctic octopodid Graneledone setebos was re-examined and found to lack the epidermal warts characteristic of the genus Graneledone. It is similar in its large size to another Southern Ocean species, Megaleledone senoi. A comparative study of G. setebos and specimens attributed to M. senoi led us to conclude that M. senoi is a junior synonym of G. setebos. Although M. senoi is not valid, the genus Megaleledone can be separated from other genera by the structure of the radula (which lacks marginal plates) and we therefore consider the genus to be valid. We propose the new combination of Megaleledone setebos and have refigured the beaks and radula of the holotype herein and expanded the description. A search of museum specimens and the literature shows that Megaleledone setebos is more common in Antarctic waters than previously supposed.