Genetic algorithms and investment strategies: A global perspective

The profitability of momentum portfolios in the equity markets is derived from the continuation of stock returns over medium time horizons. The empirical evidence of momentum, however, is significantly different across markets around the world. The purpose of this dissertation is to: (1) help global investors determine the optimal selection and holding periods for momentum portfolios, (2) evaluate the profitability of the optimized momentum portfolios in different time periods and market states, (3) assess the investment strategy profits after considering transaction costs, and (4) interpret momentum returns within the framework of prior studies on investors’ behavior. Improving on the traditional practice of selecting arbitrary selection and holding periods, a genetic algorithm (GA) is employed. The GA performs a thorough and structured search to capture the return continuations and reversals patterns of momentum portfolios. Three portfolio formation methods are used: price momentum, earnings momentum, and earnings and price momentum and a non-linear optimization procedure (GA). The focus is on common equity of the U.S. and a select number of countries, including Australia, France, Germany, Japan, the Netherlands, Sweden, Switzerland and the United Kingdom. The findings suggest that the evolutionary algorithm increases the annualized profits of the U.S. momentum portfolios. However, the difference in mean returns is statistically significant only in certain cases. In addition, after considering transaction costs, both price and earnings and price momentum portfolios do not appear to generate abnormal returns. Positive risk-adjusted returns net of trading costs are documented solely during “up” markets for a portfolio long in prior winners only. The results on the international momentum effects indicate that the GA improves the momentum returns by 2 to 5% on an annual basis. In addition, the relation between momentum returns and exchange rate appreciation/depreciation is examined. The currency appreciation does not appear to influence significantly momentum profits. Further, the influence of the market state on momentum returns is not uniform across the countries considered. The implications of the above findings are discussed with a focus on the practical aspects of momentum investing, both in the U.S. and globally.

Algorithms for scheduling parallel batch processing machines with non-identical job ready times

This research is motivated by a practical application observed at a printed circuit board (PCB) manufacturing facility. After assembly, the PCBs (or jobs) are tested in environmental stress screening (ESS) chambers (or batch processing machines) to detect early failures. Several PCBs can be simultaneously tested as long as the total size of all the PCBs in the batch does not violate the chamber capacity. PCBs from different production lines arrive dynamically to a queue in front of a set of identical ESS chambers, where they are grouped into batches for testing. Each line delivers PCBs that vary in size and require different testing (or processing) times. Once a batch is formed, its processing time is the longest processing time among the PCBs in the batch, and its ready time is given by the PCB arriving last to the batch. ESS chambers are expensive and a bottleneck. Consequently, its makespan has to be minimized. ^ A mixed-integer formulation is proposed for the problem under study and compared to a formulation recently published. The proposed formulation is better in terms of the number of decision variables, linear constraints and run time. A procedure to compute the lower bound is proposed. For sparse problems (i.e. when job ready times are dispersed widely), the lower bounds are close to optimum. ^ The problem under study is NP-hard. Consequently, five heuristics, two metaheuristics (i.e. simulated annealing (SA) and greedy randomized adaptive search procedure (GRASP)), and a decomposition approach (i.e. column generation) are proposed—especially to solve problem instances which require prohibitively long run times when a commercial solver is used. Extensive experimental study was conducted to evaluate the different solution approaches based on the solution quality and run time. ^ The decomposition approach improved the lower bounds (or linear relaxation solution) of the mixed-integer formulation. At least one of the proposed heuristic outperforms the Modified Delay heuristic from the literature. For sparse problems, almost all the heuristics report a solution close to optimum. GRASP outperforms SA at a higher computational cost. The proposed approaches are viable to implement as the run time is very short. ^

Makespan minimization in a job shop with a batch processing machine

A job shop with one batch processing and several discrete machines is analyzed. Given a set of jobs, their process routes, processing requirements, and size, the objective is to schedule the jobs such that the makespan is minimized. The batch processing machine can process a batch of jobs as long as the machine capacity is not violated. The batch processing time is equal to the longest processing job in the batch. The problem under study can be represented as Jm:batch:Cmax. If no batches were formed, the scheduling problem under study reduces to the classical job shop scheduling problem (i.e. Jm:: Cmax), which is known to be NP-hard. This research extends the scheduling literature by combining Jm::Cmax with batch processing. The primary contributions are the mathematical formulation, a new network representation and several solution approaches. The problem under study is observed widely in metal working and other industries, but received limited or no attention due to its complexity. A novel network representation of the problem using disjunctive and conjunctive arcs, and a mathematical formulation are proposed to minimize the makespan. Besides that, several algorithms, like batch forming heuristics, dispatching rules, Modified Shifting Bottleneck, Tabu Search (TS) and Simulated Annealing (SA), were developed and implemented. An experimental study was conducted to evaluate the proposed heuristics, and the results were compared to those from a commercial solver (i.e., CPLEX). TS and SA, with the combination of MWKR-FF as the initial solution, gave the best solutions among all the heuristics proposed. Their results were close to CPLEX; and for some larger instances, with total operations greater than 225, they were competitive in terms of solution quality and runtime. For some larger problem instances, CPLEX was unable to report a feasible solution even after running for several hours. Between SA and the experimental study indicated that SA produced a better average Cmax for all instances. The solution approaches proposed will benefit practitioners to schedule a job shop (with both discrete and batch processing machines) more efficiently. The proposed solution approaches are easier to implement and requires short run times to solve large problem instances.

Minimizing makespan for hybrid flowshops with batch, discrete processing machines and arbitrary job sizes

This research aims at a study of the hybrid flow shop problem which has parallel batch-processing machines in one stage and discrete-processing machines in other stages to process jobs of arbitrary sizes. The objective is to minimize the makespan for a set of jobs. The problem is denoted as: FF: batch1,sj:Cmax. The problem is formulated as a mixed-integer linear program. The commercial solver, AMPL/CPLEX, is used to solve problem instances to their optimality. Experimental results show that AMPL/CPLEX requires considerable time to find the optimal solution for even a small size problem, i.e., a 6-job instance requires 2 hours in average. A bottleneck-first-decomposition heuristic (BFD) is proposed in this study to overcome the computational (time) problem encountered while using the commercial solver. The proposed BFD heuristic is inspired by the shifting bottleneck heuristic. It decomposes the entire problem into three sub-problems, and schedules the sub-problems one by one. The proposed BFD heuristic consists of four major steps: formulating sub-problems, prioritizing sub-problems, solving sub-problems and re-scheduling. For solving the sub-problems, two heuristic algorithms are proposed; one for scheduling a hybrid flow shop with discrete processing machines, and the other for scheduling parallel batching machines (single stage). Both consider job arrival and delivery times. An experiment design is conducted to evaluate the effectiveness of the proposed BFD, which is further evaluated against a set of common heuristics including a randomized greedy heuristic and five dispatching rules. The results show that the proposed BFD heuristic outperforms all these algorithms. To evaluate the quality of the heuristic solution, a procedure is developed to calculate a lower bound of makespan for the problem under study. The lower bound obtained is tighter than other bounds developed for related problems in literature. A meta-search approach based on the Genetic Algorithm concept is developed to evaluate the significance of further improving the solution obtained from the proposed BFD heuristic. The experiment indicates that it reduces the makespan by 1.93 % in average within a negligible time when problem size is less than 50 jobs.

Employee Job Satisfaction in Major Cruise Lines

A survey of 244 crew members with six major cruise Iines indicated the most satisfaction with organization and supervision, satisfaction with working environment and ship life, and least satisfaction with rewards. The study suggests that the analysis of job satisfaction level may be used to develop organizational strategies to improve shipboard employee job satisfaction.

Employee perceptions of workplace empowerment in relation to self -reported intent to stay on the job

As the nursing profession faces a shortage of nurses, workplace initiatives focused on retaining employees are critical to the United States healthcare industry (Sochalski, 2002). The purpose of this research was to determine whether self-reported intent to stay on the job was related to perceptions of workplace empowerment using Kanter's (1977) theory of organizational empowerment as a framework. ^ The sample consisted of 206 Florida registered nurses. Four self-report scales and a demographic questionnaire were administered by mail. The Conditions for Work Effectiveness Questionnaire (CWEQ; Chandler, 1987), Job Activity Scale (JAS; Laschinger, Kutzscher, & Sabiston, 1993), Organizational Relationships Scale (ORS; Laschinger, Sabiston, & Kutzscher, 1993) and an intent to stay instrument (Kim, Price, Mueller & Watson, 1996) were used to measure perceived access to empowerment structures, perceived formal power, perceived informal power, and intent to stay, respectively. The data were analyzed using descriptive statistics, correlational analysis, and hierarchical regression. ^ Twenty-eight percent of the variance of intent to stay was explained by perceived access to empowerment structures, perceived formal power, and perceived informal power when holding age, gender, education, overall nursing experience, and number of years on current job constant. Perceived access to empowerment structures (CWEQ total score) was the best predictor of self-reported intent to stay for this sample. Of the four components of perceived access to work empowerment structures, perceived access to opportunity and resources were the best predictors of nurses' intent to stay on the job. ^ This study was the first step in establishing the relationship between Kanter's full model and intent to remain on the job, which is a stepping stone for the development of effective retention strategies based on a workplace empowerment model. This knowledge is particularly important in today's healthcare industry where healthcare administrators and human resource development practitioners are ideally positioned to implement organizational strategies to enhance access to work empowerment structures and potentially reduce turnover and mitigate the effects of nursing shortage. ^

Interoperable resource brokering with policy-based provisioning and job allocation

The increasing needs for computational power in areas such as weather simulation, genomics or Internet applications have led to sharing of geographically distributed and heterogeneous resources from commercial data centers and scientific institutions. Research in the areas of utility, grid and cloud computing, together with improvements in network and hardware virtualization has resulted in methods to locate and use resources to rapidly provision virtual environments in a flexible manner, while lowering costs for consumers and providers. ^ However, there is still a lack of methodologies to enable efficient and seamless sharing of resources among institutions. In this work, we concentrate in the problem of executing parallel scientific applications across distributed resources belonging to separate organizations. Our approach can be divided in three main points. First, we define and implement an interoperable grid protocol to distribute job workloads among partners with different middleware and execution resources. Second, we research and implement different policies for virtual resource provisioning and job-to-resource allocation, taking advantage of their cooperation to improve execution cost and performance. Third, we explore the consequences of on-demand provisioning and allocation in the problem of site-selection for the execution of parallel workloads, and propose new strategies to reduce job slowdown and overall cost.^

Genetic Algorithms and Investment Strategies: A Global Perspective

The profitability of momentum portfolios in the equity markets is derived from the continuation of stock returns over medium time horizons. The empirical evidence of momentum, however, is significantly different across markets around the world. The purpose of this dissertation is to: 1) help global investors determine the optimal selection and holding periods for momentum portfolios, 2) evaluate the profitability of the optimized momentum portfolios in different time periods and market states, 3) assess the investment strategy profits after considering transaction costs, and 4) interpret momentum returns within the framework of prior studies on investors’ behavior. Improving on the traditional practice of selecting arbitrary selection and holding periods, a genetic algorithm (GA) is employed. The GA performs a thorough and structured search to capture the return continuations and reversals patterns of momentum portfolios. Three portfolio formation methods are used: price momentum, earnings momentum, and earnings and price momentum and a non-linear optimization procedure (GA). The focus is on common equity of the U.S. and a select number of countries, including Australia, France, Germany, Japan, the Netherlands, Sweden, Switzerland and the United Kingdom. The findings suggest that the evolutionary algorithm increases the annualized profits of the U.S. momentum portfolios. However, the difference in mean returns is statistically significant only in certain cases. In addition, after considering transaction costs, both price and earnings and price momentum portfolios do not appear to generate abnormal returns. Positive risk-adjusted returns net of trading costs are documented solely during “up” markets for a portfolio long in prior winners only. The results on the international momentum effects indicate that the GA improves the momentum returns by 2 to 5% on an annual basis. In addition, the relation between momentum returns and exchange rate appreciation/depreciation is examined. The currency appreciation does not appear to influence significantly momentum profits. Further, the influence of the market state on momentum returns is not uniform across the countries considered. The implications of the above findings are discussed with a focus on the practical aspects of momentum investing, both in the U.S. and globally.

COPING STRATEGIES AND PSYCHOLOGICAL WELL-BEING AMONG BHUTANESE REFUGEES RESETTLED IN OTTAWA, CANADA

Since 2008, more than 6000 Bhutanese refugees have been resettled in over 21 communities across Canada, with nearly 300 individuals residing in Ottawa. This resettling process is associated with physical and psychological stress, as individuals acclimatize to a new country. A lack of understanding of the impact of this transition exists. This study assessed the relationship between coping strategies and psychological well-being of Bhutanese refugees resettled in Ottawa. A cross sectional survey of a representative sample of Bhutanese adults (n = 110) was conducted between November and December 2015. Coping strategies and psychological well-being were measured using the Brief COPE and General Well-being (GWB) scales. The total GWB mean score of 69.04 ± 12.09 suggests that respondents were in moderate distress. GWB did not significantly differ by sex, marital status, religion, employment, part time or full time job, or length of stay in Canada. Using multiple linear regression, significant independent variables from univariate analysis with GWB (age, education, positive reframing, self-blame and venting) were modeled to determine the best predictors of general well-being (GWB, F (11, 96) = 3.61, p < .001, R² = 21.2%). Higher levels of education and positive reframing were associated with greater GWB scores while self-blame and ages 41-50 were inversely associated with general well-being. It was found that above 66% of the unemployed participants were from age groups 41 and above. This finding suggests that career guidance services and vocational training to address unemployment may benefit this community. Nurses can provide support and counselling to assist refugees to minimize the use of negative coping strategies like self-blame and venting and promote positive coping strategies. Further, collaboration between nurses, other interdisciplinary professionals and community organizations is necessary to address social determinants of health and enhance refugee psychological well-being.

Late-career international migration and reproductive work. A comparison between Peruvian and Ukrainian women in the Southern Europe

Research on the relationship between reproductive work and women´s life trajectories including the experience of labour migration has mainly focused on the case of relatively young mothers who leave behind, or later re-join, their children. While it is true that most women migrate at a younger age, there are a significant number of cases of men and women who move abroad for labour purposes at a more advanced stage, undertaking a late-career migration. This is still an under-estimated and under-researched sub-field that uncovers a varied range of issues, including the global organization of reproductive work and the employment of migrant women as domestic workers late in their lives. By pooling the findings of two qualitative studies, this article focuses on Peruvian and Ukrainian women who seek employment in Spain and Italy when they are well into their forties, or older. A commonality the two groups of women share is that, independently of their level of education and professional experience, more often than not they end up as domestic and care workers. The article initially discusses the reasons for late-career female migration, taking into consideration the structural and personal determinants that have affected Peruvian and Ukrainian women’s careers in their countries of origin and settlement. After this, the focus is set on the characteristics of domestic employment at later life, on the impact on their current lives, including the transnational family organization, and on future labour and retirement prospects. Apart from an evaluation of objective working and living conditions, we discuss women’s personal impressions of being domestic workers in the context of their occupational experiences and family commitments. In this regard, women report varying levels of personal and professional satisfaction, as well as different patterns of continuity-discontinuity in their work and family lives, and of optimism towards the future. Divergences could be, to some extent, explained by the effect of migrants´ transnational social practices and policies of states.

Understandings of transnational families in debates on Migration and development

International migration sets in motion a range of significant transnational processes that connect countries and people. How migration interacts with development and how policies might promote and enhance such interactions have, since the turn of the millennium, gained attention on the international agenda. The recognition that transnational practices connect migrants and their families across sending and receiving societies forms part of this debate. The ways in which policy debate employs and understands transnational family ties nevertheless remain underexplored. This article sets out to discern the understandings of the family in two (often intermingled) debates concerned with transnational interactions: The largely state and policydriven discourse on the potential benefits of migration on economic development, and the largely academic transnational family literature focusing on issues of care and the micro-politics of gender and generation. Emphasizing the relation between diverse migration-development dynamics and specific family positions, we ask whether an analytical point of departure in respective transnational motherhood, fatherhood or childhood is linked to emphasizing certain outcomes. We conclude by sketching important strands of inclusions and exclusions of family matters in policy discourse and suggest ways to better integrate a transnational family perspective in global migration-development policy.

Flexible strategies for association analysis with genomic phenotypes

Thesis (Ph.D.)--University of Washington, 2016-08

A satisfação dos clientes internos e o comprometimento organizacional: um estudo à luz do modelo ASH nas indústrias alimentícias do RN

Currently the organizations are passing for continuous cycles of changes due to necessity of survival in the work market. The administration of the future points a way to the organizations of today and tomorrow, the search of the competitiveness from loyalty and motivation of its staff. Of this form, the model of the Auditoria do Sistema Humano (ASH), developed for Spanish researchers and that now it is being applied in Brazil, contemplates a series of dimensions about Human Resources management quality in the companies and the organizational effectiveness, such as the environment where the company is inserted, the strategies, the organizational drawing, the psychological and psychosocial processes, e the reached results. In this direction, the present research analyzed the factors of job satisfaction and organizational commitment, making, also, a relation of causality between the same ones. The quantitative-descriptive research had as population the employees of twenty three nourishing industries of the State of Rio Grande do Norte (Brazil), registered in the Federacy of the Industries of the state. The collection of the data occurred for the months of October of 2005 and March of 2006, by means of the application of questionnaire of model ASH. The sample was composed for 197 employees, however it was observed presence of five outliers, that they had been excluded from the analysis of the data. To extract the dimensions of the satisfaction and the commitment and identification the factorial analysis was used, with extraction method of principal components, rotation Varimax and normalization Kaiser. The gotten dimensions had been evaluated with the calculation of the coefficient Alpha of Cronbach. The factorial analysis of the pointers of the organizational commitment and identification had extracted ten factors. Of these, four had gotten significance of the analyses inside: affective commitment, values commitment, continuance commitment and necessity commitment. The result of the analysis of the pointers of job satisfaction indicated four factors: extrinsic, motivations, relation with the friends and auto-accomplishment. To deal with the data the relation between job satisfaction and organizational commitment it was used technique of multiple regression. The correlation between commitment and satisfaction was satisfactory, detaching the affective commitment with bigger index of correlation, followed of the affective one

Consumer perceived risk, risk reduction strategies and transaction intentions in online marketplaces

Even though online commerce has garnered vast academic interest during the recent years, theoretical grounds for consumer behavior online still remains ambiguous. Despite the globally rapid growth of online commerce, only a fraction of Internet browsers end up purchasing goods online. This is argued to be caused by the intangible and distant nature of the Internet, causing overwhelming perceived risks for consumers and negatively affecting transaction intentions. To combat perceived risks, consumers may actively or passively seek to relieve those risks to tolerable level. These risk reduction strategies refer to both institutional mechanisms as well as consumer risk reduction strategies. The objective of this thesis is to provide further understanding upon the relationships between consumer perceived risk, risk reduction strategies and transaction intentions in online marketplaces. To serve the objectives of the present thesis, a quantitative approach was chosen as the method for conducting empirical research. The data was collected with an online survey through discussion board, using a random sample approach. The proposed research model was examined with a set of hierarchical regression analyses. Results revealed several direct relationships as well as moderating interaction effects. The key finding of this thesis is that institutional risk reduction mechanisms significantly contribute to consumer perceived risks. These mechanisms have the potential to reduce perceived risks, and therefore may stimulate transaction intentions. Additionally, it was observed that risk reduction strategies moderate the relationship between intermediary provided risk relievers, consumer perceived risks and transaction intentions. Retailer related risk reduction strategies were also shown to enforce the effectiveness of payment methods; however feedback and monitoring mechanism was shown to have a diminishing effect of perceived risk only when consumers did not rely on product related risk reduction strategies. The present thesis also illustrates the importance of effective information search, as those consumers are more willing to transact as the perceived risks become less significant. For managerial purposes, the importance of well-functioning institutional mechanisms cannot be emphasized enough.

Partnering Strategies for Fitness Evaluation in a Pyramidal Evolutionary Algorithm

This paper combines the idea of a hierarchical distributed genetic algorithm with different inter-agent partnering strategies. Cascading clusters of sub-populations are built from bottom up, with higher-level sub-populations optimising larger parts of the problem. Hence higher-level sub-populations search a larger search space with a lower resolution whilst lower-level sub-populations search a smaller search space with a higher resolution. The effects of different partner selection schemes for (sub-)fitness evaluation purposes are examined for two multiple-choice optimisation problems. It is shown that random partnering strategies perform best by providing better sampling and more diversity.