Market Index Biases and Minimum Risk Indices

Markets, in the real world, are not efficient zero-sum games where hypotheses of the CAPM are fulfilled. Then, it is easy to conclude the market portfolio is not located on Markowitz"s efficient frontier, and passive investments (and indexing) are not optimal but biased. In this paper, we define and analyze biases suffered by passive investors: the sample, construction, efficiency and active biases and tracking error are presented. We propose Minimum Risk Indices (MRI) as an alternative to deal with to market index biases, and to provide investors with portfolios closer to the efficient frontier, that is, more optimal investment possibilities. MRI (using a Parametric Value-at-Risk Minimization approach) are calculated for three stock markets achieving interesting results. Our indices are less risky and more profitable than current Market Indices in the Argentinean and Spanish markets, facing that way the Efficient Market Hypothesis. Two innovations must be outlined: an error dimension has been included in the backtesting and the Sharpe"s Ratio has been used to select the"best" MRI

In conspectu prope totius urbis: an application of different visual methods at the ager Tarraconensis landscape

We present in this paper the results of the application of several visual methods on a group of locations, dated between VI and I centuries BC, of the ager Tarraconensis (Tarragona, Spain) a Hinterland of the roman colony of Tarraco. The difficulty in interpreting the diverse results in a combined way has been resolved by means of the use of statistical methods, such as Principal Components Analysis (PCA) and K-means clustering analysis. These methods have allowed us to carry out site classifications in function of the landscape's visual structure that contains them and of the visual relationships that could be given among them.

Detection of Body Dump Sites and Clandestine Burials: a GIS-Based Landscape Approach

Forensic archaeology has been of inestimable help in the location and excavation of clandestine burials (Hunter 1996a:16-17, 1996b; Killam 2004; Levine et al. 1984). Landscape archaeology techniques have been adapted and widely applied for such purposes. In this article, an adaptation of one of the most common applications of archaeological GIS, that is predictive site location, is applied to the detection of body dump sites and clandestine burial sites, bringing together in the process the fields of landscape archaeology, forensic sciences, and GIS.

Modelling bird species richness with neural networks for forest landscape management in NE Spain

Para preservar la biodiversidad de los ecosistemas forestales de la Europa mediterránea en escenarios actuales y futuros de cambio global mediante una gestión forestal sostenible es necesario determinar cómo influye el medio ambiente y las propias características de los bosques sobre la biodiversidad que éstos albergan. Con este propósito, se analizó la influencia de diferentes factores ambientales y de estructura y composición del bosque sobre la riqueza de aves forestales a escala 1 × 1 km en Cataluña (NE de España). Se construyeron modelos univariantes y multivariantes de redes neuronales para respectivamente explorar la respuesta individual a las variables y obtener un modelo parsimonioso (ecológicamente interpretable) y preciso. La superficie de bosque (con una fracción de cabida cubierta superior a 5%), la fracción de cabida cubierta media, la temperatura anual y la precipitación estival medias fueron los mejores predictores de la riqueza de aves forestales. La red neuronal multivariante obtenida tuvo una buena capacidad de generalización salvo en las localidades con una mayor riqueza. Además, los bosques con diferentes grados de apertura del dosel arbóreo, más maduros y más diversos en cuanto a su composición de especies arbóreas se asociaron de forma positiva con una mayor riqueza de aves forestales. Finalmente, se proporcionan directrices de gestión para la planificación forestal que permitan promover la diversidad ornítica en esta región de la Europa mediterránea.

Incidence, prevalence and clinical significance of abnormal hematological indices in compensated cirrhosis.

Background & Aims: Patients with cirrhosis develop abnormal hematologic indices (HI) from multiple factors, including hypersplenism. We aimed to analyze the sequence of events and determine whether abnormal HI has prog-nostic significance. Methods: We analyzed a database of 213 subjects with compensated cirrhosis without esopha-geal varices. Subjects were followed for approximately 9 years until the development of varices or variceal bleeding or completion of the study; 84 subjects developed varices. Abnormal HI was defined as anemia at baseline (hemoglo-bin,<13.5 g/dL for men and 11.5 g/dL for women), leuko-penia (white blood cell counts,<4000/mm 3 ), or thrombo-cytopenia (platelet counts, < 150,000/mm 3 ). The primary end points were death or transplant surgery. Results: Most subjects had thrombocytopenia at baseline. Kaplan-Meier analysis showed that leukopenia occurred by 30 months (95% confidence interval, 18.5-53.6), and anemia occurred by 39.6 months (95% confidence interval, 24.1-49.9). Baseline thrombocytopenia (P .0191) and leukope-nia (P.0383) were predictors of death or transplant, after adjusting for baseline hepatic venous pressure gradient (HVPG), and Child-Pugh scores. After a median of 5 years,a significant difference in death or transplant, mortality,and clinical decompensation was observed in patients who had leukopenia combined with thrombocytopenia at base- line compared with patients with normal HI (P < .0001). HVPG correlated with hemoglobin and white blood cell count (hemoglobin, r 0.35, P < .0001; white blood cell count, r 0.31, P < .0001). Conclusions: Thrombocy-topenia is the most common and first abnormal HI to occurin patients with cirrhosis, followed by leukopenia and anemia. A combination of leukopenia and thrombocytopenia at baselin predicted increased morbidity and mortality.

Land use changes, landscape ecology and their socioeconomic driving forces in the Spanish Mediterranean coast (the Maresme County, 1850-2005)

[cat] Utilitzem un conjunt de mètriques del paisatge per estudiar l'evolució a llarg termini seguida en una típica zona costanera del Mediterrani des de 1850 fins a 2005, que mostren una greu deterioració del medi ambient entre 1950 i 2005. Les principals forces motores d'aquesta degradació del paisatge han estat el creixement urbà experimentat a les antigues zones agrícoles situades a les planes litorals, juntament amb l'abandonament i la reforestació dels vessants dels pujols interceptats per àrees residencials de baixa densitat, carreteres i altres infraestructures lineals. Duem a terme una anàlisi estadística de redundància (RDA) amb la finalitat d'identificar els que considerem com alguns agents rectors socioeconòmics i polítics d'última instància d'aquests impactes ambientals. Els resultats confirmen les nostres hipòtesis interpretatives, que són que: 1) els canvis en les cobertes i usos del sòl determinen canvis en les propietats dels paisatge, tant estructurals com funcionals; 2) aquests canvis no es produeixen per atzar, sinó que estan relacionats amb factors geogràfics i forces socioeconòmiques i polítiques.

Land use changes, landscape ecology and their socioeconomic driving forces in the Spanish Mediterranean coast (the Maresme County, 1850-2005)

[cat] Utilitzem un conjunt de mètriques del paisatge per estudiar l'evolució a llarg termini seguida en una típica zona costanera del Mediterrani des de 1850 fins a 2005, que mostren una greu deterioració del medi ambient entre 1950 i 2005. Les principals forces motores d'aquesta degradació del paisatge han estat el creixement urbà experimentat a les antigues zones agrícoles situades a les planes litorals, juntament amb l'abandonament i la reforestació dels vessants dels pujols interceptats per àrees residencials de baixa densitat, carreteres i altres infraestructures lineals. Duem a terme una anàlisi estadística de redundància (RDA) amb la finalitat d'identificar els que considerem com alguns agents rectors socioeconòmics i polítics d'última instància d'aquests impactes ambientals. Els resultats confirmen les nostres hipòtesis interpretatives, que són que: 1) els canvis en les cobertes i usos del sòl determinen canvis en les propietats dels paisatge, tant estructurals com funcionals; 2) aquests canvis no es produeixen per atzar, sinó que estan relacionats amb factors geogràfics i forces socioeconòmiques i polítiques.

Market Index Biases and Minimum Risk Indices

Markets, in the real world, are not efficient zero-sum games where hypotheses of the CAPM are fulfilled. Then, it is easy to conclude the market portfolio is not located on Markowitz"s efficient frontier, and passive investments (and indexing) are not optimal but biased. In this paper, we define and analyze biases suffered by passive investors: the sample, construction, efficiency and active biases and tracking error are presented. We propose Minimum Risk Indices (MRI) as an alternative to deal with to market index biases, and to provide investors with portfolios closer to the efficient frontier, that is, more optimal investment possibilities. MRI (using a Parametric Value-at-Risk Minimization approach) are calculated for three stock markets achieving interesting results. Our indices are less risky and more profitable than current Market Indices in the Argentinean and Spanish markets, facing that way the Efficient Market Hypothesis. Two innovations must be outlined: an error dimension has been included in the backtesting and the Sharpe"s Ratio has been used to select the"best" MRI

Comparing N = 1 effect size indices in presence of autocorrelation

Generalization from single-case designs can be achieved by means of replicating individual studies across different experimental units and settings. When replications are available, their findings can be summarized using effect size measurements and integrated through meta-analyses. Several procedures are available for quantifying the magnitude of treatment"s effect in N = 1 designs and some of them are studied in the current paper. Monte Carlo simulations were employed to generate different data patterns (trend, level change, slope change). The experimental conditions simulated were defined by the degrees of serial dependence and phases" length. Out of all the effect size indices studied, the Percent of nonoverlapping data and standardized mean difference proved to be less affected by autocorrelation and perform better for shorter data series. The regression-based procedures proposed specifically for single-case designs did not differentiate between data patterns as well as simpler indices.

Landscape Systems and Human Land-Use Interactions in Mediterranean Highlands and Littoral Plains during the Late Holocene: Integrated Analysis from the InterAmbAr Project (North-Eastern Catalonia).

The main goal of the InterAmbAr reseach project is to analyze the relationships between landscape systems and human land-use strategies on mountains and littoral plains from a long-term perspective. The study adopts a high resolution analysis of small-scale study areas located in the Mediterranean region of north-eastern Catalonia. The study areas are distributed along an altitudinal transect from the high mountain (above 2000m a.s.l.) to the littoral plain of Empordà (Fig. 1). High resolution interdisciplinary research has been carried out from 2010, based on the integration of palaeoenvironmental and archaeological data. The micro-scale approach is used to understand human-environmental relationships. It allows better understanding of the local-regional nature of environmental changes and the synergies between catchment-based systems, hydro-sedimentary regimes, human mobility, land-uses, human environments, demography, etc.

Ager Tarraconensis 5. Paisatge, poblament, cultura material i història = Landscape, Settlement, Material Culture and History Proceedings of the International Symposium

Aquesta obra recull 28 comunicacions presentades al Simposi internacional «L’ager Tarraconensis. Paisatge, poblament, cultura material i història», celebrat a Tarragona el 27 i 28 d’octubre del 2010, organitzat per l’Institut Català d’Arqueologia Clàssica a la seu de l’Institut i a la Diputació de Tarragona. Les aportacions al simposi se centren en l'evolució del paisatge al Camp de Tarragona i en altres regions del món romà, en la varietat de les primeres estratègies de control romà del territori, en les tipologies i evolució dels establiments, en aspectes econòmics i en la dinàmica del poblament, sense faltar-hi alguna aportació de l'epigrafia. Tot plegat fa referència molt especialment al territori de Tarraco, tot i que el simposi també va comptar amb comunicacions sobre altres territoris de l'àrea catalana i saguntina i d'altres províncies romanes, com la Lusitània, les Gàl·lies i la Transpadana; les comparacions entre diferents regions han donat una riquesa notable al debat. Entre els resultats més suggerents comptem amb la constatació de la similitud en els models de romanització del territori en les diferents àrees d'àmbit català i valencià, que contrasten significativament amb els models de territoris d'Andalusia, França i Portugal.

Architecture as a landscape

Postprint (published version)

A state-space approach for measuring regional manufacturing production indices

In this paper we propose a latent variable model, in the spirit of Israilevich and Kuttner (1993), to measure regional manufacturing production. To test the validity of the proposed methodology, we have applied it for those Spanish regions that have a direct quantitative index. The results demonstrate the accuracy of the methodology proposed and show that it can overcome some of the difficulties of the indirect method applied by the INE, the Spanish National Institute of Statistics.

Transformation of a Rural Landscape in the Eastern Pyrenees Between 1953 and 2000

In the mid-20th century, the southern parts of the Madres and Mont Coronat massif (Eastern Pyrenees, France) were characterized by a Mediterranean landscape shaped by human activity. Long-term use of these mountains for crops, livestock, and forestry led to an increase in grassland areas at the expense of forest. However, socioeconomic transformation (abandonment of agriculture and a decrease in the rural population) in recent decades has caused profound changes in this massif. Interpretation of aerial photographs (1953, 1969, 1988, and 2000) made it possible to detect and analyze the changes produced in the study area (6787 ha) during this period. In 1953 most of the massif landscape consisted of grasslands (38%) and open forests (18%), with some areas of dense forest (15%). By 2000, dense forest cover had doubled in size (31%), and grassland had decreased considerably (by 73% of the initial area). Since 1953, the study area has become more homogeneous, with a few local exceptions. The results of this study suggest that socioeconomic factors might be the main cause of landscape transformations in this period of approximately 50 years.

New approximation to the third-order density : application to the calculation of correlated multicenter indices

In this work we present the formulas for the calculation of exact three-center electron sharing indices (3c-ESI) and introduce two new approximate expressions for correlated wave functions. The 3c-ESI uses the third-order density, the diagonal of the third-order reduced density matrix, but the approximations suggested in this work only involve natural orbitals and occupancies. In addition, the first calculations of 3c-ESI using Valdemoro's, Nakatsuji's and Mazziotti's approximation for the third-order reduced density matrix are also presented for comparison. Our results on a test set of molecules, including 32 3c-ESI values, prove that the new approximation based on the cubic root of natural occupancies performs the best, yielding absolute errors below 0.07 and an average absolute error of 0.015. Furthemore, this approximation seems to be rather insensitive to the amount of electron correlation present in the system. This newly developed methodology provides a computational inexpensive method to calculate 3c-ESI from correlated wave functions and opens new avenues to approximate high-order reduced density matrices in other contexts, such as the contracted Schrödinger equation and the anti-Hermitian contracted Schrödinger equation