Measuring fund performance using multi-factor models: evidence for the Portuguese market

This paper examines the performance of Portuguese equity funds investing in the domestic and in the European Union market, using several unconditional and conditional multi-factor models. In terms of overall performance, we find that National funds are neutral performers, while European Union funds under-perform the market significantly. These results do not seem to be a consequence of management fees. Overall, our findings are supportive of the robustness of conditional multi-factor models. In fact, Portuguese equity funds seem to be relatively more exposed to smallcaps and more value-oriented. Also, they present strong evidence of time-varying betas and, in the case of the European Union funds, of time-varying alphas too. Finally, in terms of market timing, our tests suggest that mutual fund managers in our sample do not exhibit any market timing abilities. Nevertheless, we find some evidence of timevarying conditional market timing abilities but only at the individual fund level.

Models for the Reverse Engineering of Java/Swing Applications

Abstract. Interest in design and development of graphical user interface (GUIs) is growing in the last few years. However, correctness of GUI's code is essential to the correct execution of the overall software. Models can help in the evaluation of interactive applications by allowing designers to concentrate on its more important aspects. This paper describes our approach to reverse engineering abstract GUI models directly from the Java/Swing code.

Color Models and Illumination Changes

Color model representation allows characterizing in a quantitative manner, any defined color spectrum of visible light, i.e. with a wavelength between 400nm and 700nm. To accomplish that, each model, or color space, is associated with a function that allows mapping the spectral power distribution of the visible electromagnetic radiation, in a space defined by a set of discrete values that quantify the color components composing the model. Some color spaces are sensitive to changes in lighting conditions. Others assure the preservation of certain chromatic features, remaining immune to these changes. Therefore, it becomes necessary to identify the strengths and weaknesses of each model in order to justify the adoption of color spaces in image processing and analysis techniques. This chapter will address the topic of digital imaging, main standards and formats. Next we will set the mathematical model of the image acquisition sensor response, which enables assessment of the various color spaces, with the aim of determining their invariance to illumination changes.

Extracting and verifying coordination models from source code

Current software development relies increasingly on non-trivial coordination logic for com- bining autonomous services often running on di erent platforms. As a rule, however, in typical non-trivial software systems, such a coordination layer is strongly weaved within the application at source code level. Therefore, its precise identi cation becomes a major methodological (and technical) problem which cannot be overestimated along any program understanding or refactoring process. Open access to source code, as granted in OSS certi cation, provides an opportunity for the devel- opment of methods and technologies to extract, from source code, the relevant coordination information. This paper is a step in this direction, combining a number of program analysis techniques to automatically recover coordination information from legacy code. Such information is then expressed as a model in Orc, a general purpose orchestration language

Comparative analysis between statistical and artificial intelligence models in business failure prediction

A growing number of predicting corporate failure models has emerged since 60s. Economic and social consequences of business failure can be dramatic, thus it is not surprise that the issue has been of growing interest in academic research as well as in business context. The main purpose of this study is to compare the predictive ability of five developed models based on three statistical techniques (Discriminant Analysis, Logit and Probit) and two models based on Artificial Intelligence (Neural Networks and Rough Sets). The five models were employed to a dataset of 420 non-bankrupt firms and 125 bankrupt firms belonging to the textile and clothing industry, over the period 2003–09. Results show that all the models performed well, with an overall correct classification level higher than 90%, and a type II error always less than 2%. The type I error increases as we move away from the year prior to failure. Our models contribute to the discussion of corporate financial distress causes. Moreover it can be used to assist decisions of creditors, investors and auditors. Additionally, this research can be of great contribution to devisers of national economic policies that aim to reduce industrial unemployment.

Comparative Analysis between Statistical and Artificial Intelligence Models in Business Failure Prediction

A growing number of predicting corporate failure models has emerged since 60s. Economic and social consequences of business failure can be dramatic, thus it is not surprise that the issue has been of growing interest in academic research as well as in business context. The main purpose of this study is to compare the predictive ability of five developed models based on three statistical techniques (Discriminant Analysis, Logit and Probit) and two models based on Artificial Intelligence (Neural Networks and Rough Sets). The five models were employed to a dataset of 420 non-bankrupt firms and 125 bankrupt firms belonging to the textile and clothing industry, over the period 2003–09. Results show that all the models performed well, with an overall correct classification level higher than 90%, and a type II error always less than 2%. The type I error increases as we move away from the year prior to failure. Our models contribute to the discussion of corporate financial distress causes. Moreover it can be used to assist decisions of creditors, investors and auditors. Additionally, this research can be of great contribution to devisers of national economic policies that aim to reduce industrial unemployment.

Robust temporal alignment of multimodal cardiac sequences

Given the dynamic nature of cardiac function, correct temporal alignment of pre-operative models and intraoperative images is crucial for augmented reality in cardiac image-guided interventions. As such, the current study focuses on the development of an image-based strategy for temporal alignment of multimodal cardiac imaging sequences, such as cine Magnetic Resonance Imaging (MRI) or 3D Ultrasound (US). First, we derive a robust, modality-independent signal from the image sequences, estimated by computing the normalized crosscorrelation between each frame in the temporal sequence and the end-diastolic frame. This signal is a resembler for the left-ventricle (LV) volume curve over time, whose variation indicates di erent temporal landmarks of the cardiac cycle. We then perform the temporal alignment of these surrogate signals derived from MRI and US sequences of the same patient through Dynamic Time Warping (DTW), allowing to synchronize both sequences. The proposed framework was evaluated in 98 patients, which have undergone both 3D+t MRI and US scans. The end-systolic frame could be accurately estimated as the minimum of the image-derived surrogate signal, presenting a relative error of 1:6 1:9% and 4:0 4:2% for the MRI and US sequences, respectively, thus supporting its association with key temporal instants of the cardiac cycle. The use of DTW reduces the desynchronization of the cardiac events in MRI and US sequences, allowing to temporally align multimodal cardiac imaging sequences. Overall, a generic, fast and accurate method for temporal synchronization of MRI and US sequences of the same patient was introduced. This approach could be straightforwardly used for the correct temporal alignment of pre-operative MRI information and intra-operative US images.