Behavioral aspects of investment fund's markets: are good managers lucky or skilled?

It is generally accepted that financial markets are efficient in the long run a lthough there may be some deviations in the short run. It is also accepted that a good portfolio manager is the one who beats the market persistently along time, this type of manager could not exist if markets were perfectly efficient According to this in a pure efficient market we should find that managers know that they can not beat the market so they would undertake only pure passive management strategies. Assuming a certain degree of inefficiency in the short run, a market may show some managers who tr y to beat the market by undertaking active strategies. From Fama’s efficient markets theory we can state that these active managers may beat the market occasionally although they will not be able to enhance significantly their performance in the long run. On the other hand, in an inefficient market it would be expected to find a higher level of activity related with the higher probability of beating the market. In this paper we follow two objectives: first, we set a basis to analyse the level of efficiency in an asset invest- ment funds market by measuring performance, strategies activity and it’s persistence for a certain group of funds during the period of study. Second, we analyse individual performance persistence in order to determine the existence of skilled managers. The CAPM model is taken as theoretical background and the use of the Sharpe’s ratio as a suitable performance measure in a limited information environment leads to a group performance measurement proposal. The empiri- cal study takes quarterly data from 1999-2007 period, for the whole population of the Spanish asset investment funds market, provided by the CNMV (Comisión Nacional del Mercado de Valores). This period of study has been chosen to ensure a wide enough range of efficient market observation so it would allow us to set a proper basis to compare with the following period. As a result we develop a model that allows us to measure efficiency in a given asset mutual funds market, based on the level of strategy’s activity undertaken by managers. We also observe persistence in individual performance for a certain group of funds

Algorithmic aspects of bio-inspired string operations

We present building blocks for algorithms for the efficient reduction of square factor, i.e. direct repetitions in strings. So the basic problem is this: given a string, compute all strings that can be obtained by reducing factors of the form zz to z. Two types of algorithms are treated: an offline algorithm is one that can compute a data structure on the given string in advance before the actual search for the square begins; in contrast, online algorithms receive all input only at the time when a request is made. For offline algorithms we treat the following problem: Let u and w be two strings such that w is obtained from u by reducing a square factor zz to only z. If we further are given the suffix table of u, how can we derive the suffix table for w without computing it from scratch? As the suffix table plays a key role in online algorithms for the detection of squares in a string, this derivation can make the iterated reduction of squares more efficient. On the other hand, we also show how a suffix array, used for the offline detection of squares, can be adapted to the new string resulting from the deletion of a square. Because the deletion is a very local change, this adaption is more eficient than the computation of the new suffix array from scratch.

Immunological aspects of Chronic Obstructive Pulmonary Disease

Chronic obstructive pulmonary disease (copd) is a major cause of illness and death throughout the world. It affects about 10% of the general population, but its prevalence among heavy smokers can reach 50%.COPD is the fourth leading cause of death in most industrialized countries, and it is projected to be the third leading cause of death worldwide by 2020. Tobacco smoking is the primary risk factor for the development of COPD, but other factors, such as burning biomass fuels for cooking and heating, are important causes of COPD in many developing countries....

Psychological aspects of the experiences of athletes at the Olympic Villages: issues and challenges

Article providing the athlete perspective on Olympic Villages. This article was published in the book entitled "Olympic Villages: a hundred years of urban planning and shared experiences" compiling the papers given at the 1997 International Symposium on International Chair in Olympism (IOC-UAB).

Aspects of Iwasawa theory over function fields

"Vegeu el resum a l'inici del document del fitxer adjunt."

Theoretical aspects of graph models for MANETs

We survey the main theoretical aspects of models for Mobile Ad Hoc Networks (MANETs). We present theoretical characterizations of mobile network structural properties, different dynamic graph models of MANETs, and finally we give detailed summaries of a few selected articles. In particular, we focus on articles dealing with connectivity of mobile networks, and on articles which show that mobility can be used to propagate information between nodes of the network while at the same time maintaining small transmission distances, and thus saving energy.

Credit lines: The other side of corporate liquidity

In this paper we offer the first large sample evidence on the availability and usage ofcredit lines in U.S. public corporations and use it to re-examine the existing findings oncorporate liquidity. We show that the availability of credit lines is widespread and thataverage undrawn credit is of the same order of magnitude as cash holdings. We test thetrade-off theory of liquidity according to which firms target an optimum level of liquidity,computed as the sum of cash and undrawn credit lines. We provide support for the existenceof a liquidity target, but also show that the reasons why firms hold cash and credit linesare very different. While the precautionary motive explains well cash holdings, the optimumlevel of credit lines appears to be driven by the restrictions imposed by the credit line itself,in terms of stated purpose and covenants. In support to these findings, credit line drawdownsare associated with capital expenditures, acquisitions, and working capital.

Geometric and long run aspects of Granger causality

This paper extends multivariate Granger causality to take into account the subspacesalong which Granger causality occurs as well as long run Granger causality. The propertiesof these new notions of Granger causality, along with the requisite restrictions, are derivedand extensively studied for a wide variety of time series processes including linear invertibleprocess and VARMA. Using the proposed extensions, the paper demonstrates that: (i) meanreversion in L2 is an instance of long run Granger non-causality, (ii) cointegration is a specialcase of long run Granger non-causality along a subspace, (iii) controllability is a special caseof Granger causality, and finally (iv) linear rational expectations entail (possibly testable)Granger causality restriction along subspaces.

Time-scale and other invariants of integrative mechanical behavior in living cells.

In dealing with systems as complex as the cytoskeleton, we need organizing principles or, short of that, an empirical framework into which these systems fit. We report here unexpected invariants of cytoskeletal behavior that comprise such an empirical framework. We measured elastic and frictional moduli of a variety of cell types over a wide range of time scales and using a variety of biological interventions. In all instances elastic stresses dominated at frequencies below 300 Hz, increased only weakly with frequency, and followed a power law; no characteristic time scale was evident. Frictional stresses paralleled the elastic behavior at frequencies below 10 Hz but approached a Newtonian viscous behavior at higher frequencies. Surprisingly, all data could be collapsed onto master curves, the existence of which implies that elastic and frictional stresses share a common underlying mechanism. Taken together, these findings define an unanticipated integrative framework for studying protein interactions within the complex microenvironment of the cell body, and appear to set limits on what can be predicted about integrated mechanical behavior of the matrix based solely on cytoskeletal constituents considered in isolation. Moreover, these observations are consistent with the hypothesis that the cytoskeleton of the living cell behaves as a soft glassy material, wherein cytoskeletal proteins modulate cell mechanical properties mainly by changing an effective temperature of the cytoskeletal matrix. If so, then the effective temperature becomes an easily quantified determinant of the ability of the cytoskeleton to deform, flow, and reorganize.

X-ray diffraction, thermal analysis, and Raman scattering study of K2BeF4 and comparation to other member of the (beta)-K2SO4 family with ferroelectric -paraelectric transition

Thermal analysis, powder diffraction, and Raman scattering as a function of the temperature were carried out on K2BeF4. Moreover, the crystal structure was determined at 293 K from powder diffraction. The compound shows a transition from Pna21 to Pnam space group at 921 K with a transition enthalpy of 5 kJ/mol. The transition is assumed to be first order because the compound shows metastability. Structurally and spectroscopically the transition is similar to those observed in (NH4)2SO4, which suggests that the low-temperature phase is ferroelectric. In order to confirm it, the spontaneous polarization has been computed using an ionic model.

Some fundamental aspects of palentological methodology: its problems and incidence

Two trends which presently exist in relation to the concept of Paleontology are analyzed, pointing out some of the aspects which negative influence. Various reflections are made based on examples of some of the principal points of paleontological method, such as the influence of a punctual sampling, the meaning of size-frequency distribution and subjectivity in the identification of fossils. Topics which have a marked repercussion in diverse aspects of Paleontology are discussed.

Some aspects of N=2 superstring

The string model with N=2 world-sheet supersymmetry is approached via ghosts, Becchi-Rouet-Stora-Tyutin cohomology, and bosonization. Some amplitudes involving massless scalars and vectors are computed at the tree level. The constraints of locality on the spectrum are analyzed. An attempt is made to "decompactify" the model into a four-dimensional theory.

Three-dimensional aspects of fluid flows in channels. II. Effects of meniscus and thin film regimes on viscous fingers

We perform a three-dimensional study of steady state viscous fingers that develop in linear channels. By means of a three-dimensional lattice-Boltzmann scheme that mimics the full macroscopic equations of motion of the fluid momentum and order parameter, we study the effect of the thickness of the channel in two cases. First, for total displacement of the fluids in the channel thickness direction, we find that the steady state finger is effectively two-dimensional and that previous two-dimensional results can be recovered by taking into account the effect of a curved meniscus across the channel thickness as a contribution to surface stresses. Second, when a thin film develops in the channel thickness direction, the finger narrows with increasing channel aspect ratio in agreement with experimental results. The effect of the thin film renders the problem three-dimensional and results deviate from the two-dimensional prediction.

Three-dimensional aspects of fluid flows in channels. I. Meniscus and thin film regimes

We study the forced displacement of a fluid-fluid interface in a three-dimensional channel formed by two parallel solid plates. Using a lattice-Boltzmann method, we study situations in which a slip velocity arises from diffusion effects near the contact line. The difference between the slip and channel velocities determines whether the interface advances as a meniscus or a thin film of fluid is left adhered to the plates. We find that this effect is controlled by the capillary and Péclet numbers. We estimate the crossover from a meniscus to a thin film and find good agreement with numerical results. The penetration regime is examined in the steady state. We find that the occupation fraction of the advancing finger relative to the channel thickness is controlled by the capillary number and the viscosity contrast between the fluids. For high viscosity contrast, lattice-Boltzmann results agree with previous results. For zero viscosity contrast, we observe remarkably narrow fingers. The shape of the finger is found to be universal.