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

Real-time 3D interactive segmentation of echocardiographic data through user-based deformation of B-spline explicit active surfaces

Image segmentation is an ubiquitous task in medical image analysis, which is required to estimate morphological or functional properties of given anatomical targets. While automatic processing is highly desirable, image segmentation remains to date a supervised process in daily clinical practice. Indeed, challenging data often requires user interaction to capture the required level of anatomical detail. To optimize the analysis of 3D images, the user should be able to efficiently interact with the result of any segmentation algorithm to correct any possible disagreement. Building on a previously developed real-time 3D segmentation algorithm, we propose in the present work an extension towards an interactive application where user information can be used online to steer the segmentation result. This enables a synergistic collaboration between the operator and the underlying segmentation algorithm, thus contributing to higher segmentation accuracy, while keeping total analysis time competitive. To this end, we formalize the user interaction paradigm using a geometrical approach, where the user input is mapped to a non-cartesian space while this information is used to drive the boundary towards the position provided by the user. Additionally, we propose a shape regularization term which improves the interaction with the segmented surface, thereby making the interactive segmentation process less cumbersome. The resulting algorithm offers competitive performance both in terms of segmentation accuracy, as well as in terms of total analysis time. This contributes to a more efficient use of the existing segmentation tools in daily clinical practice. Furthermore, it compares favorably to state-of-the-art interactive segmentation software based on a 3D livewire-based algorithm.

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.

Improving The Robustness Of Interventional 4D Ultrasound Segmentation Through The Use Of Personalized Shape Priors

While fluoroscopy is still the most widely used imaging modality to guide cardiac interventions, the fusion of pre-operative Magnetic Resonance Imaging (MRI) with real-time intra-operative ultrasound (US) is rapidly gaining clinical acceptance as a viable, radiation-free alternative. In order to improve the detection of the left ventricular (LV) surface in 4D ultrasound, we propose to take advantage of the pre-operative MRI scans to extract a realistic geometrical model representing the patients cardiac anatomy. This could serve as prior information in the interventional setting, allowing to increase the accuracy of the anatomy extraction step in US data. We have made use of a real-time 3D segmentation framework used in the recent past to solve the LV segmentation problem in MR and US data independently and we take advantage of this common link to introduce the prior information as a soft penalty term in the ultrasound segmentation algorithm. We tested the proposed algorithm in a clinical dataset of 38 patients undergoing both MR and US scans. The introduction of the personalized shape prior improves the accuracy and robustness of the LV segmentation, as supported by the error reduction when compared to core lab manual segmentation of the same US sequences.