Can profitable trading strategies be derived from investment best-sellers?

A glance along the finance shelves at any bookshop reveals a large number of books that seek to show readers how to ‘make a million’ or ‘beat the market’ with allegedly highly profitable equity trading strategies. This paper investigates whether useful trading strategies can be derived from popular books of investment strategy, with What Works on Wall Street by James P. O'Shaughnessy used as an example. Specifically, we test whether this strategy would have produced a similarly spectacular performance in the UK context as was demonstrated by the author for the US market. As part of our investigation, we highlight a general methodology for determining whether the observed superior performance of a trading rule could be attributed in part or in entirety to data mining. Overall, we find that the O'Shaughnessy rule performs reasonably well in the UK equity market, yielding higher returns than the FTSE All-Share Index, but lower returns than an equally weighted benchmark

When rules and principles are not enough: insiders’ views and narratives on the global financial crisis

Much has been written about Wall Street and the global financial crisis (GFC). From a fraudulent derivatives market to a contestable culture of banking bonuses, culpability has been examined within the frames of American praxis, namely that of American exceptionalism. This study begins with an exploratory analysis of non-US voices concerning the nature of the causes of the GFC. The analysis provides glimpses of the globalized extent of assumptions shared, but not debated within the globalization convergence of financial markets as the neo-liberal project. Practical and paradigmatic tensions are revealed in the capture of a London-based set of views articulated by senior financial executives of financial service organizations, the outcomes of which are not overly optimistic for any significant change in praxis within the immediate future.

How many facets are needed to represent the surface energy balance of an urban area?

We investigate the question of how many facets are needed to represent the energy balance of an urban area by developing simplified 3-, 2- and 1-facet versions of a 4-facet energy balance model of two-dimensional streets and buildings. The 3-facet model simplifies the 4-facet model by averaging over the canyon orientation, which results in similar net shortwave and longwave balances for both wall facets, but maintains the asymmetry in the heat fluxes within the street canyon. For the 2-facet model, on the assumption that the wall and road temperatures are equal, the road and wall facets can be combined mathematically into a single street-canyon facet with effective values of the heat transfer coefficient, albedo, emissivity and thermodynamic properties, without further approximation. The 1-facet model requires the additional assumption that the roof temperature is also equal to the road and wall temperatures. Idealised simulations show that the geometry and material properties of the walls and road lead to a large heat capacity of the combined street canyon, whereas the roof behaves like a flat surface with low heat capacity. This means that the magnitude of the diurnal temperature variation of the street-canyon facets are broadly similar and much smaller than the diurnal temperature variation of the roof facets. Consequently, the approximation that the street-canyon facets have similar temperatures is sound, and the road and walls can be combined into a single facet. The roof behaves very differently and a separate roof facet is required. Consequently, the 2-facet model performs similarly to the 4-facet model, while the 1-facet model does not. The models are compared with previously published observations collected in Mexico City. Although the 3- and 2-facet models perform better than the 1-facet model, the present models are unable to represent the phase of the sensible heat flux. This result is consistent with previous model comparisons, and we argue that this feature of the data cannot be produced by a single column model. We conclude that a 2-facet model is necessary, and for numerical weather prediction sufficient, to model an urban surface, and that this conclusion is robust and therefore applicable to more general geometries.

Referencing of street-level flows measured during the DAPPLE 2004 campaign

Street-level mean flow and turbulence govern the dispersion of gases away from their sources in urban areas. A suitable reference measurement in the driving flow above the urban canopy is needed to both understand and model complex street-level flow for pollutant dispersion or emergency response purposes. In vegetation canopies, a reference at mean canopy height is often used, but it is unclear whether this is suitable for urban canopies. This paper presents an evaluation of the quality of reference measurements at both roof-top (height = H) and at height z = 9H = 190 m, and their ability to explain mean and turbulent variations of street-level flow. Fast response wind data were measured at street canyon and reference sites during the six-week long DAPPLE project field campaign in spring 2004, in central London, UK, and an averaging time of 10 min was used to distinguish recirculation-type mean flow patterns from turbulence. Flow distortion at each reference site was assessed by considering turbulence intensity and streamline deflection. Then each reference was used as the dependent variable in the model of Dobre et al. (2005) which decomposes street-level flow into channelling and recirculating components. The high reference explained more of the variability of the mean flow. Coupling of turbulent kinetic energy was also stronger between street-level and the high reference flow rather than the roof-top. This coupling was weaker when overnight flow was stratified, and turbulence was suppressed at the high reference site. However, such events were rare (<1% of data) over the six-week long period. The potential usefulness of a centralised, high reference site in London was thus demonstrated with application to emergency response and air quality modelling.

Diversity and difference in the everyday lives of Ugandan street children: The significance of age and gender for understanding the use of space

Childhood is characterised by diversity and difference across and within societies. Street children have a unique relationship to the urban environment evident through their use of the city. The everyday geographies that street children produce are diversified through the spaces they frequent and the activities they engage in. Drawing on a range of children-centred qualitative methods, this article focuses on street children's use of urban space in Kampala, Uganda. The article demonstrates the importance of considering variables such as gender and age in the analysis of street children's socio-spatial experiences, which, to date, have rarely been considered in other accounts of street children's lives. In addition the article highlights the need for also including street children's individuality and agency into understanding their use of space. The article concludes by arguing for policies to be sensitive to the diversity that characterises street children's lives and calls for a more nuanced approach where policies are designed to accommodate street children's age and gender differences, and their individual needs, interests and abilities.

Diversity and difference in the everyday lives of Ugandan street children: The significance of age and gender for understanding the use of space

Childhood is characterised by diversity and difference across and within societies. Street children have a unique relationship to the urban environment evident through their use of the city. The everyday geographies that street children produce are diversified through the spaces they frequent and the activities they engage in. Drawing on a range of children-centred qualitative methods, this article focuses on street children's use of urban space in Kampala, Uganda. The article demonstrates the importance of considering variables such as gender and age in the analysis of street children's socio-spatial experiences, which, to date, have rarely been considered in other accounts of street children's lives. In addition the article highlights the need for also including street children's individuality and agency into understanding their use of space. The article concludes by arguing for policies to be sensitive to the diversity that characterises street children's lives and calls for a more nuanced approach where policies are designed to accommodate street children's age and gender differences, and their individual needs, interests and abilities.

In-street wind direction variability in the vicinity of a busy intersection in central London

We present results from fast-response wind measurements within and above a busy intersection between two street canyons (Marylebone Road and Gloucester Place) in Westminster, London taken as part of the DAPPLE (Dispersion of Air Pollution and Penetration into the Local Environment; www.dapple.org.uk) 2007 field campaign. The data reported here were collected using ultrasonic anemometers on the roof-top of a building adjacent to the intersection and at two heights on a pair of lamp-posts on opposite sides of the intersection. Site characteristics, data analysis and the variation of intersection flow with the above-roof wind direction (θref) are discussed. Evidence of both flow channelling and recirculation was identified within the canyon, only a few metres from the intersection for along-street and across-street roof-top winds respectively. Results also indicate that for oblique rooftop flows, the intersection flow is a complex combination of bifurcated channelled flows, recirculation and corner vortices. Asymmetries in local building geometry around the intersection and small changes in the background wind direction (changes in 15-min mean θref of 5–10 degrees) were also observed to have profound influences on the behaviour of intersection flow patterns. Consequently, short time-scale variability in the background flow direction can lead to highly scattered in-street mean flow angles masking the true multi-modal features of the flow and thus further complicating modelling challenges.