Three essays on the psychology of investment and financial markets

Préface My thesis consists of three essays where I consider equilibrium asset prices and investment strategies when the market is likely to experience crashes and possibly sharp windfalls. Although each part is written as an independent and self contained article, the papers share a common behavioral approach in representing investors preferences regarding to extremal returns. Investors utility is defined over their relative performance rather than over their final wealth position, a method first proposed by Markowitz (1952b) and by Kahneman and Tversky (1979), that I extend to incorporate preferences over extremal outcomes. With the failure of the traditional expected utility models in reproducing the observed stylized features of financial markets, the Prospect theory of Kahneman and Tversky (1979) offered the first significant alternative to the expected utility paradigm by considering that people focus on gains and losses rather than on final positions. Under this setting, Barberis, Huang, and Santos (2000) and McQueen and Vorkink (2004) were able to build a representative agent optimization model which solution reproduced some of the observed risk premium and excess volatility. The research in behavioral finance is relatively new and its potential still to explore. The three essays composing my thesis propose to use and extend this setting to study investors behavior and investment strategies in a market where crashes and sharp windfalls are likely to occur. In the first paper, the preferences of a representative agent, relative to time varying positive and negative extremal thresholds are modelled and estimated. A new utility function that conciliates between expected utility maximization and tail-related performance measures is proposed. The model estimation shows that the representative agent preferences reveals a significant level of crash aversion and lottery-pursuit. Assuming a single risky asset economy the proposed specification is able to reproduce some of the distributional features exhibited by financial return series. The second part proposes and illustrates a preference-based asset allocation model taking into account investors crash aversion. Using the skewed t distribution, optimal allocations are characterized as a resulting tradeoff between the distribution four moments. The specification highlights the preference for odd moments and the aversion for even moments. Qualitatively, optimal portfolios are analyzed in terms of firm characteristics and in a setting that reflects real-time asset allocation, a systematic over-performance is obtained compared to the aggregate stock market. Finally, in my third article, dynamic option-based investment strategies are derived and illustrated for investors presenting downside loss aversion. The problem is solved in closed form when the stock market exhibits stochastic volatility and jumps. The specification of downside loss averse utility functions allows corresponding terminal wealth profiles to be expressed as options on the stochastic discount factor contingent on the loss aversion level. Therefore dynamic strategies reduce to the replicating portfolio using exchange traded and well selected options, and the risky stock.

The encounter with the real and post-Soviet trauma : fantasy construction in Russian popular cinema /

This thesis examines the impact of the Soviet Union's collapse on the Russian Symbolic as represented through popular cinema of the post-Soviet period. The disintegration of the USSR in 1991 became one of the most traumatic experiences for many Russian people. The trauma of the collapse of the Soviet Union penetrated the everyday reality of the Russian Symbolic, leaving the traces-symptoms in different cultural fonns like literature, arts, television and cinema. Because popular culture usually reacts very quickly to any social, political and economical shifts in society, it is an excellent barometer for deeper changes in society. Focusing on postSoviet popular cinema, this thesis analyzes the symptoms of cultural and individual trauma occasioned by the momentous changes of the 1990's. This study is grounded in post-analytic theory of Jacques Lacan and its interpretation by Slavoj Zizek, which emphases the traumatic encounter with the Real as a "hard core" of our reality. According to this paradigm, a new chain of signifiers is structured around the traumatic breach in the Symbolic, initiating a process of fantasy construction to deal with consequences of trauma and, thus, to support our Symbolic order. This thesis examines three major fantasy constructions - drinking, traveling to a "happy land" and family reunion and money - in popular films by Alexander Rogozhkin, Yurij Mamin, Georgij Shengelia, Dmitrij Astrakhan, Valerij Todorovskij, Alexej Balabanov, Sergej Bodrov Jr. and Petr Buslov. According to Zizek, enjoyment underlies any fantasy constructions, and that is why after the intrusion of the Real every individual and culture should go through the process of fantasizing about some substitutes which can help to minimize the traumatic effect and which can lead to a partial enjoyment. By analyzing the fantasies about drinking, "happy land", reconstruction of the family bonds and money in Russian popular cinema since 1991, this thesis demonstrates how the traumatic engagement with the Real affected the everyday lives of Russian people, and how individuals tried to fill the gap, the lack, in the post-Soviet Symbolic and "return" the lost feeling of unity and plenitude.

Where's Albania? : staking out the politics of the real and reality in documentary cinema

This thesis, entitled, "Where's Albania? Staking Out the Politics of the Real and Reality in Documentary Cinema," charts the documentary tradition's path from its first incarnations, as filmed travelogue or ethnographic study, for example, right through to its development as a form acting as an objective observer, reflexive commentator, and finally, as a postmodern hybrid. This thesis begins by locating the documentary tradition's origins in realism. Foregrounding documentary cinema as a realist style is important in that it is a contention that spans this entire study. After working through the numerous modes of documentary as outlined by Bill Nichols, I suggest the documentary is often best understood as a hybrid form drawing on numerous modes and conventions. This argument permits my study to make a shift into postmodern theory, wherein I examine postmodernism's relationship to the documentary both as being influenced by it, but also as subsequently forcing documentary cinema to look back at itself and reevaluate the claims it has made in the past, and how postmodernism has drawn these claims to the surface of debate. My thesis concludes with a study of the mockumentary. This analysis confirms the link between postmodernism and documentary, but perhaps more importantly, this analysis investigates postmodemism's critique of the image and representation in general, two elements historically linked to documentary cinema's success as "truth teller."

Examining sport commitment and intentions to participate in intramural sports : application of the Sport Commitment Model and the Theory of Planned Behaviour in a campus recreational sport setting

Fifty-six percent of Canadians, 20 years of age and older, are inactive (Canadian Community Health Survey, 200012001). Research has indicated that one of the most dramatic declines in population physical activity occurs between adolescence and young adulthood (Melina, 2001; Stephens, Jacobs, & White, 1985), a time when individuals this age are entering or attending college or university. Colleges and universities have generally been seen as environments where physical activity and sport can be promoted and accommodated as a result of the available resources and facilities (Archer, Probert, & Gagne, 1987; Suminski, Petosa, Utter, & Zhang, 2002). Intramural sports, one of the most common campus recreational sports options available for post-secondary students, enable students to participate in activities that are suited for different levels of ability and interest (Lewis, Jones, Lamke, & Dunn, 1998). While intramural sports can positively affect the physical activity levels and sport participation rates of post-secondary students, their true value lies in their ability to encourage sport participation after school ends and during the post-school lives of graduates (Forrester, Ross, Geary, & Hall, 2007). This study used the Sport Commitment Model (Scanlan et aI., 1993a) and the Theory of Planned Behaviour (Ajzen, 1991) with post secondary intramural volleyball participants in an effort to examine students' commitment to intramural sport and 1 intentions to participate in intramural sports. More specifically, the research objectives of this study were to: (1.) test the Sport Commitment Model with a sample of postsecondary intramural sport participants(2.) determine the utility of the sixth construct, social support, in explaining the sport commitment of post-secondary intramural sport participants; (3.) determine if there are any significant differences in the six constructs of IV the SCM and sport commitment between: gender, level of competition (competitive A vs. B), and number of different intramural sports played; (4.) determine if there are any significant differences between sport commitment levels and constructs from the Theory of Planned Behaviour (attitudes, subjective norms, perceived behavioural control, and intentions); (5.) determine the relationship between sport commitment and intention to continue participation in intramural volleyball, continue participating in intramurals and continuing participating in sport and physical activity after graduation; and (6.) determine if the level of sport commitment changes the relationship between the constructs from the Theory of Planned Behaviour. Of the 318 surveys distributed, there were 302 partiCipants who completed a usable survey from the sample of post-secondary intramural sport participants. There was a fairly even split of males and females; the average age of the students was twenty-one; 90% were undergraduate students; for approximately 25% of the students, volleyball was the only intramural sport they participated in at Brock and most were part of the volleyball competitive B division. Based on the post-secondary students responses, there are indications of intent to continue participation in sport and physical activity. The participation of the students is predominantly influenced by subjective norms, high sport commitment, and high sport enjoyment. This implies students expect, intend and want to 1 participate in intramurals in the future, they are very dedicated to playing on an intramural team and would be willing to do a lot to keep playing and students want to participate when they perceive their pursuits as enjoyable and fun, and it makes them happy. These are key areas that should be targeted and pursued by sport practitioners.

A Comparative Analysis of Community-Based Service Providers for "Extreme" Case ASD: Exploring Activity Program Options

The purpose of my research was to examine how community-based organizations in the Niagara region provide programs for children with Autism Spectrum Disorder (ASD), who are considered to represent “extreme” or “severe” cases. A qualitative, comparative case study was conducted that focused on three organizations who provide summer recreation and activity programs, in order to examine the issues these organizations face when determining program structure and staff training; and to understand what the threshold for physical activity is in this type of setting, and how the unique needs surrounding these “severe” cases are met while attending the program. Purposeful sampling was employed to select a supervisor and senior staff member from each organization to discuss the training process, program development and implementation, and the resources and strategies used within their organization’s community-based program. A confirming comparative analysis was comparative analysis of a parents survey with six mothers whose children are considered “severe” indicated that camp staffs’ expectations are unrealistic where as the parents and supervisors have more realistic expectations within the “real world” of camp. There is no definition of “severe” or “extreme” and therefore severity is dependent upon the context.

An Abstract Algebraic Theory of L-Fuzzy Relations for Relational Databases

Classical relational databases lack proper ways to manage certain real-world situations including imprecise or uncertain data. Fuzzy databases overcome this limitation by allowing each entry in the table to be a fuzzy set where each element of the corresponding domain is assigned a membership degree from the real interval [0…1]. But this fuzzy mechanism becomes inappropriate in modelling scenarios where data might be incomparable. Therefore, we become interested in further generalization of fuzzy database into L-fuzzy database. In such a database, the characteristic function for a fuzzy set maps to an arbitrary complete Brouwerian lattice L. From the query language perspectives, the language of fuzzy database, FSQL extends the regular Structured Query Language (SQL) by adding fuzzy specific constructions. In addition to that, L-fuzzy query language LFSQL introduces appropriate linguistic operations to define and manipulate inexact data in an L-fuzzy database. This research mainly focuses on defining the semantics of LFSQL. However, it requires an abstract algebraic theory which can be used to prove all the properties of, and operations on, L-fuzzy relations. In our study, we show that the theory of arrow categories forms a suitable framework for that. Therefore, we define the semantics of LFSQL in the abstract notion of an arrow category. In addition, we implement the operations of L-fuzzy relations in Haskell and develop a parser that translates algebraic expressions into our implementation.

The Effect of Public Spending on Consumption: Reconciling Theory and Evidence

Recent empirical evidence from vector autoregressions (VARs) suggests that public spending shocks increase (crowd in) private consumption. Standard general equilibrium models predict the opposite. We show that a standard real business cycle (RBC) model in which public spending is chosen optimally can rationalize the crowding-in effect documented in the VAR literature. When such a model is used as a data-generating process, a VAR estimated using the artificial data yields a positive consumption response to an increase in public spending, consistent with the empirical findings. This result holds regardless of whether private and public purchases are complements or substitutes.

Designing in the real world is complex anyway - so what?

Designing is a heterogeneous, fuzzily defined, floating field of various activities and chunks of ideas and knowledge. Available theories about the foundations of designing as presented in "the basic PARADOX" (Jonas and Meyer-Veden 2004) have evoked the impression of Babylonian confusion. We located the reasons for this "mess" in the "non-fit", which is the problematic relation of theories and subject field. There seems to be a comparable interface problem in theory-building as in designing itself. "Complexity" sounds promising, but turns out to be a problematic and not really helpful concept. I will argue for a more precise application of systemic and evolutionary concepts instead, which - in my view - are able to model the underlying generative structures and processes that produce the visible phenomenon of complexity. It does not make sense to introduce a new fashionable meta-concept and to hope for a panacea before having clarified the more basic and still equally problematic older meta-concepts. This paper will take one step away from "theories of what" towards practice and doing and try to have a closer look at existing process models or "theories of how" to design instead. Doing this from a systemic perspective leads to an evolutionary view of the process, which finally allows to specify more clearly the "knowledge gaps" inherent in the design process. This aspect has to be taken into account as constitutive of any attempt at theory-building in design, which can be characterized as a "practice of not-knowing". I conclude, that comprehensive "unified" theories, or methods, or process models run aground on the identified knowledge gaps, which allow neither reliable models of the present, nor reliable projections into the future. Consolation may be found in performing a shift from the effort of adaptation towards strategies of exaptation, which means the development of stocks of alternatives for coping with unpredictable situations in the future.

Adaptive Real-time Anomaly-based Intrusion Detection using Data Mining and Machine Learning Techniques

Die zunehmende Vernetzung der Informations- und Kommunikationssysteme führt zu einer weiteren Erhöhung der Komplexität und damit auch zu einer weiteren Zunahme von Sicherheitslücken. Klassische Schutzmechanismen wie Firewall-Systeme und Anti-Malware-Lösungen bieten schon lange keinen Schutz mehr vor Eindringversuchen in IT-Infrastrukturen. Als ein sehr wirkungsvolles Instrument zum Schutz gegenüber Cyber-Attacken haben sich hierbei die Intrusion Detection Systeme (IDS) etabliert. Solche Systeme sammeln und analysieren Informationen von Netzwerkkomponenten und Rechnern, um ungewöhnliches Verhalten und Sicherheitsverletzungen automatisiert festzustellen. Während signatur-basierte Ansätze nur bereits bekannte Angriffsmuster detektieren können, sind anomalie-basierte IDS auch in der Lage, neue bisher unbekannte Angriffe (Zero-Day-Attacks) frühzeitig zu erkennen. Das Kernproblem von Intrusion Detection Systeme besteht jedoch in der optimalen Verarbeitung der gewaltigen Netzdaten und der Entwicklung eines in Echtzeit arbeitenden adaptiven Erkennungsmodells. Um diese Herausforderungen lösen zu können, stellt diese Dissertation ein Framework bereit, das aus zwei Hauptteilen besteht. Der erste Teil, OptiFilter genannt, verwendet ein dynamisches "Queuing Concept", um die zahlreich anfallenden Netzdaten weiter zu verarbeiten, baut fortlaufend Netzverbindungen auf, und exportiert strukturierte Input-Daten für das IDS. Den zweiten Teil stellt ein adaptiver Klassifikator dar, der ein Klassifikator-Modell basierend auf "Enhanced Growing Hierarchical Self Organizing Map" (EGHSOM), ein Modell für Netzwerk Normalzustand (NNB) und ein "Update Model" umfasst. In dem OptiFilter werden Tcpdump und SNMP traps benutzt, um die Netzwerkpakete und Hostereignisse fortlaufend zu aggregieren. Diese aggregierten Netzwerkpackete und Hostereignisse werden weiter analysiert und in Verbindungsvektoren umgewandelt. Zur Verbesserung der Erkennungsrate des adaptiven Klassifikators wird das künstliche neuronale Netz GHSOM intensiv untersucht und wesentlich weiterentwickelt. In dieser Dissertation werden unterschiedliche Ansätze vorgeschlagen und diskutiert. So wird eine classification-confidence margin threshold definiert, um die unbekannten bösartigen Verbindungen aufzudecken, die Stabilität der Wachstumstopologie durch neuartige Ansätze für die Initialisierung der Gewichtvektoren und durch die Stärkung der Winner Neuronen erhöht, und ein selbst-adaptives Verfahren eingeführt, um das Modell ständig aktualisieren zu können. Darüber hinaus besteht die Hauptaufgabe des NNB-Modells in der weiteren Untersuchung der erkannten unbekannten Verbindungen von der EGHSOM und der Überprüfung, ob sie normal sind. Jedoch, ändern sich die Netzverkehrsdaten wegen des Concept drif Phänomens ständig, was in Echtzeit zur Erzeugung nicht stationärer Netzdaten führt. Dieses Phänomen wird von dem Update-Modell besser kontrolliert. Das EGHSOM-Modell kann die neuen Anomalien effektiv erkennen und das NNB-Model passt die Änderungen in Netzdaten optimal an. Bei den experimentellen Untersuchungen hat das Framework erfolgversprechende Ergebnisse gezeigt. Im ersten Experiment wurde das Framework in Offline-Betriebsmodus evaluiert. Der OptiFilter wurde mit offline-, synthetischen- und realistischen Daten ausgewertet. Der adaptive Klassifikator wurde mit dem 10-Fold Cross Validation Verfahren evaluiert, um dessen Genauigkeit abzuschätzen. Im zweiten Experiment wurde das Framework auf einer 1 bis 10 GB Netzwerkstrecke installiert und im Online-Betriebsmodus in Echtzeit ausgewertet. Der OptiFilter hat erfolgreich die gewaltige Menge von Netzdaten in die strukturierten Verbindungsvektoren umgewandelt und der adaptive Klassifikator hat sie präzise klassifiziert. Die Vergleichsstudie zwischen dem entwickelten Framework und anderen bekannten IDS-Ansätzen zeigt, dass der vorgeschlagene IDSFramework alle anderen Ansätze übertrifft. Dies lässt sich auf folgende Kernpunkte zurückführen: Bearbeitung der gesammelten Netzdaten, Erreichung der besten Performanz (wie die Gesamtgenauigkeit), Detektieren unbekannter Verbindungen und Entwicklung des in Echtzeit arbeitenden Erkennungsmodells von Eindringversuchen.

The institutional environment and its influence on political options to Protect Winnipeg’s Female garments Workers against the impact of globalization

The principal objective of this paper is to identify the relationship between the re­sults of the Canadian policies implemented to protect female workers against the impact of globalization on the garment industry and the institutional setting in which this labour market is immersed in Winnipeg. This research paper begins with a brief summary of the institutional theory appro­ach that sheds light on the analysis of the effects of institutions on the policy options to protect female workers of the Winnipeg garment industry. Next, this paper identi­fies the set of beliefs, formal procedures, routines, norms and conventions that cha­racterize the institutional environment of the female workers of Winnipeg’s garment industry. Subsequently, this paper descri­bes the impact of free trade policies on the garment industry of Winnipeg. Afterward, this paper presents an analysis of the ba­rriers that the institutional features of the garment sector in Winnipeg can set to the successful achievement of policy options addressed to protect the female workforce of this sector. Three policy options are considered: ethical purchasing; training/retraining programs and social engage­ment support for garment workers; and protection of migrated workers through promoting and facilitating bonds between Canada’s trade unions and trade unions of the labour sending countries. Finally, this paper concludes that the formation of isolated cultural groups inside of factories; the belief that there is gender and race discrimination on the part of the garment industry management against workers; the powerless social conditions of immi­grant women; the economic rationality of garment factories’ managers; and the lack of political will on the part of Canada and the labour sending countries to set effective bilateral agreements to protect migrate wor­kers, are the principal barriers that divide the actors involved in the garment industry in Winnipeg. This division among the prin­cipal actors of Winnipeg’s garment industry impedes the change toward more efficient institutions and, hence, the successful achievement of policy options addressed to protect women workers. 

Quantified real constraint solving using modal intervals with applications to control

Les restriccions reals quantificades (QRC) formen un formalisme matemàtic utilitzat per modelar un gran nombre de problemes físics dins els quals intervenen sistemes d'equacions no-lineals sobre variables reals, algunes de les quals podent ésser quantificades. Els QRCs apareixen en nombrosos contextos, com l'Enginyeria de Control o la Biologia. La resolució de QRCs és un domini de recerca molt actiu dins el qual es proposen dos enfocaments diferents: l'eliminació simbòlica de quantificadors i els mètodes aproximatius. Tot i això, la resolució de problemes de grans dimensions i del cas general, resten encara problemes oberts. Aquesta tesi proposa una nova metodologia aproximativa basada en l'Anàlisi Intervalar Modal, una teoria matemàtica que permet resoldre problemes en els quals intervenen quantificadors lògics sobre variables reals. Finalment, dues aplicacions a l'Enginyeria de Control són presentades. La primera fa referència al problema de detecció de fallades i la segona consisteix en un controlador per a un vaixell a vela.

How contractors price risk in bids: theory and practice

Formal and analytical models that contractors can use to assess and price project risk at the tender stage have proliferated in recent years. However, they are rarely used in practice. Introducing more models would, therefore, not necessarily help. A better understanding is needed of how contractors arrive at a bid price in practice, and how, and in what circumstances, risk apportionment actually influences pricing levels. More than 60 proposed risk models for contractors that are published in journals were examined and classified. Then exploratory interviews with five UK contractors and documentary analyses on how contractors price work generally and risk specifically were carried out to help in comparing the propositions from the literature to what contractors actually do. No comprehensive literature on the real bidding processes used in practice was found, and there is no evidence that pricing is systematic. Hence, systematic risk and pricing models for contractors may have no justifiable basis. Contractors process their bids through certain tendering gateways. They acknowledge the risk that they should price. However, the final settlement depends on a set of complex, micro-economic factors. Hence, risk accountability may be smaller than its true cost to the contractor. Risk apportionment occurs at three stages of the whole bid-pricing process. However, analytical approaches tend not to incorporate this, although they could.

On a class of nonselfadjoint periodic boundary value problems with discrete real spectrum

In a previous paper (J. of Differential Equations, Vol. 249 (2010), 3081-3098) we examined a family of periodic Sturm-Liouville problems with boundary and interior singularities which are highly non-self-adjoint but have only real eigenvalues. We now establish Schatten class properties of the associated resolvent operator.

Another Proof of the Preceding Theory

Another Proof of the Preceding Theory was produced as part of a residency run by Artists in Archeology in conjunction with the Stonehenge Riverside project. The film explores the relationship between science, work and ritual, imagining archaeology as a future cult. As two robed disciples stray off from the dig, they are drawn to the drone of the stones and proceed to play the henge like a gigantic Theremin. Just as a Theremin is played with the hand interfering in an electric circuit and producing sound without contact, so the stones respond to the choreographed bodily proximity. Finally, one of the two continues alone to the avenue at Avebury, where the magnetic pull of the stones reaches its climax. Shot on VHS, the film features a score by Zuzushi Monkey, with percussion and theremin sounds mirroring the action. The performers are mostly artists and archeologists from the art and archaeology teams. The archeologists were encouraged to perform their normal work in the robes, in an attempt to explore the meeting points of science and ritual and interrogate our relationship to an ultimately unknowable prehistoric past where activities we do not understand are relegated to the realm of religion. Stonehenge has unique acoustic properties, it’s large sarsen stones are finely worked on the inside, left rough on the outside, intensifying sound waves within the inner horseshoe, but since their real use, having been built over centuries, remains ambiguous, the film proposes that our attempts to decode them may themselves become encoded in their cumulative meaning for future researchers.

Self-consistent field theory for diblock copolymers grafted to a sphere

An efficient numerical self-consistent field theory (SCFT) algorithm is developed for treating structured polymers on spherical surfaces. The method solves the diffusion equations of SCFT with a pseudospectral approach that combines a spherical-harmonics expansion for the angular coordinates with a modified real-space Crank–Nicolson method for the radial direction. The self-consistent field equations are solved with Anderson-mixing iterations using dynamical parameters and an alignment procedure to prevent angular drift of the solution. A demonstration of the algorithm is provided for thin films of diblock copolymer grafted to the surface of a spherical core, in which the sequence of equilibrium morphologies is predicted as a function of diblock composition. The study reveals an array of interesting behaviors as the block copolymer pattern is forced to adapt to the finite surface area of the sphere.