Momentum Trading in New York Stock Exchange (NYSE) Energy Stocks

This paper investigates whether the momentum effect exists in the NYSE energy sector. Momentum is defined as the strategy that buys (sells) these stocks that are best (worst) performers, over a pre-specified past period of time (the 'look-back' period), by constructing equally weighted portfolios. Different momentum strategies are obtained by changing the number of stocks included in these portfolios, as well as the look-back period. Next, their performance is compared against two benchmarks: the equally weighted portfolio consisting of most stocks in the NYSE energy index and the market portfolio, and the S&P500 index. The results indicate that the momentum effect is strongly present in the energy sector, and leads to highly profitable portfolios, improving the risk-reward measures and easily outperforming both benchmarks.

Trading the changes of stock market index composition: Evidence from European markets

This paper studies the changes in European stock market indexes composition from 1995 to 2015. It was found that there are mixed price effects producing abnormal returns around the effective replacement of added and deleted stocks. The price pressure hypothesis seems to hold for added stocks in some indexes but not for deleted stocks as there is not a clear inversion of behaviour after the replacement. Finally, the building and back testing of a trading strategy aiming to capture some of those abnormal returns shows it yields a Sharpe Ratio of 1.4 and generates an annualised alpha of 11%.

A stochastic dynamic programming approach for pricing options on stock-index futures

The aim of this thesis is to price options on equity index futures with an application to standard options on S&P 500 futures traded on the Chicago Mercantile Exchange. Our methodology is based on stochastic dynamic programming, which can accommodate European as well as American options. The model accommodates dividends from the underlying asset. It also captures the optimal exercise strategy and the fair value of the option. This approach is an alternative to available numerical pricing methods such as binomial trees, finite differences, and ad-hoc numerical approximation techniques. Our numerical and empirical investigations demonstrate convergence, robustness, and efficiency. We use this methodology to value exchange-listed options. The European option premiums thus obtained are compared to Black's closed-form formula. They are accurate to four digits. The American option premiums also have a similar level of accuracy compared to premiums obtained using finite differences and binomial trees with a large number of time steps. The proposed model accounts for deterministic, seasonally varying dividend yield. In pricing futures options, we discover that what matters is the sum of the dividend yields over the life of the futures contract and not their distribution.

A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100

This paper examines the lead–lag relationship between the FTSE 100 index and index futures price employing a number of time series models. Using 10-min observations from June 1996–1997, it is found that lagged changes in the futures price can help to predict changes in the spot price. The best forecasting model is of the error correction type, allowing for the theoretical difference between spot and futures prices according to the cost of carry relationship. This predictive ability is in turn utilised to derive a trading strategy which is tested under real-world conditions to search for systematic profitable trading opportunities. It is revealed that although the model forecasts produce significantly higher returns than a passive benchmark, the model was unable to outperform the benchmark after allowing for transaction costs.

Predicting stock index volatility: can market volume help?

This paper explores a number of statistical models for predicting the daily stock return volatility of an aggregate of all stocks traded on the NYSE. An application of linear and non-linear Granger causality tests highlights evidence of bidirectional causality, although the relationship is stronger from volatility to volume than the other way around. The out-of-sample forecasting performance of various linear, GARCH, EGARCH, GJR and neural network models of volatility are evaluated and compared. The models are also augmented by the addition of a measure of lagged volume to form more general ex-ante forecasting models. The results indicate that augmenting models of volatility with measures of lagged volume leads only to very modest improvements, if any, in forecasting performance.

A perceived human development index

The objective of the paper is to build a Perceived Human Development Index (PHDI) framework by assembling the HDI components, namely indicators on income, health and education on their subjective version. We propose here to introduce a fourth dimension linked to perceptions on work conditions, given its role in the “happiness” literature and in social policy making. We study how perceptions on satisfaction about the individual’s satisfaction with income, education, work and health are related to their objective counterparts. We use a sample of LAC countries where we take advantage of a larger set of questions on the four groups of social variables mentioned included in the Gallup World Poll by the IADB. We emphasize the impacts of objective income and age on perceptions. Complementarily, in the appendix we use the full sample of 132 countries where a smaller set of variables can be included, which provides a greater degree of freedom to study the impact of objective HDI components observed at country level on the formation of individual’s perception on income, education, work, health and life satisfaction. These exercises provide useful insights about the workings of beneficiaries’ point of view to understand the transmission mechanism of key social policy ingredients into perceptions. In particular, the so-called PHDI may provide a complementary subjective reference to the HDI. We also study how one’s satisfaction with life is established, measuring the relative importance given to income vis-à-vis health and education. Estimating these “instantaneous happiness functions” will help to assess the relative weights attributed to income, health and education in the HDI, which is a benchmark in the multidimensional social indicators toolbox used in practice.

Damage detection in a benchmark structure using AR-ARX models and statistical pattern recognition

Structural health monitoring (SHM) is related to the ability of monitoring the state and deciding the level of damage or deterioration within aerospace, civil and mechanical systems. In this sense, this paper deals with the application of a two-step auto-regressive and auto-regressive with exogenous inputs (AR-ARX) model for linear prediction of damage diagnosis in structural systems. This damage detection algorithm is based on the. monitoring of residual error as damage-sensitive indexes, obtained through vibration response measurements. In complex structures there are. many positions under observation and a large amount of data to be handed, making difficult the visualization of the signals. This paper also investigates data compression by using principal component analysis. In order to establish a threshold value, a fuzzy c-means clustering is taken to quantify the damage-sensitive index in an unsupervised learning mode. Tests are made in a benchmark problem, as proposed by IASC-ASCE with different damage patterns. The diagnosis that was obtained showed high correlation with the actual integrity state of the structure. Copyright © 2007 by ABCM.

Seasonal changes in the gonadossomatic index, allometric condition factor and sex ratio of an auchenipterid catfish from eastern Amazonia

O objetivo deste estudo foi avaliar alterações sazonais no índice gonadossomático (IGS%), fator de condição (K) e proporção sexual, a fim de determinar o período de atividade reprodutiva do bagre Auchenipterichthys longimanus (Siluriformes: Auchenipteridae), a partir da análise de exemplares coletados em igarapés da Floresta Nacional de Caxiuanã, estado do Pará, Brasil. Através de coletas bimestrais entre julho de 2008 e julho de 2009, foram capturados 589 exemplares de A. longimanus, sendo 251 machos e 338 fêmeas. Dentre os machos, 171 exemplares foram classificados como adultos e 80 foram jovens, e dentre as fêmeas, 249 eram adultas e 89 jovens. Por meio do estabelecimento de uma equação senoidal, a análise do IGS% evidenciou uma assincronia reprodutiva entre os sexos, pois os machos obtiveram maiores valores de IGS% em janeiro e as fêmeas apresentaram seu pico em março. Para os valores de IGS% de machos, a equação senoide mostrou-se significante somente para os valores brutos (P=0,001), sendo não identificada uma tendência com os valores médios do IGS% (P=0,136). Para as fêmeas, os valores de significância da equação senoide para o IGS% foram obtidos tanto para os dados brutos (P=0,012) quanto para os dados médios (P=0,026). Para o Fator de Condição, a equação senoide demonstrou variação nos valores brutos e médios de machos adultos (P=0,02 e P=0,00, respectivamente) e nos valores brutos de fêmeas (P=0,04), refletindo diferenças nos padrões de investimento energético entre os sexos. Em relação à proporção sexual, foi observada uma maior frequência de capturas de fêmeas reprodutivas em relação aos machos nos meses de Janeiro e Março de 2009, sugerindo um padrão de segregação sexual com fins reprodutivos. Esses parâmetros são fundamentais na avaliação, conservação e manejo dos estoques naturais de peixes, assim como para subsidiar estratégias e procedimentos para a preservação e conservação da ictiofauna.

On the Efficiency of the Benchmarks Used in the Asset Management

In this work we studied the efficiency of the benchmarks used in the asset management industry. In chapter 2 we analyzed the efficiency of the benchmark used for the government bond markets. We found that for the Emerging Market Bonds an equally weighted index for the country weights is probably the more suited because guarantees maximum diversification of country risk but for the Eurozone government bond market we found a GDP weighted index is better because the most important matter is to avoid a higher weight for highly indebted countries. In chapter 3 we analyzed the efficiency of a Derivatives Index to invest in the European corporate bond market instead of a Cash Index. We can state that the two indexes are similar in terms of returns, but that the Derivatives Index is less risky because it has a lower volatility, has values of skewness and kurtosis closer to those of a normal distribution and is a more liquid instrument, as the autocorrelation is not significant. In chapter 4 it is analyzed the impact of fallen angels on the corporate bond portfolios. Our analysis investigated the impact of the month-end rebalancing of the ML Emu Non Financial Corporate Index for the exit of downgraded bond (the event). We can conclude a flexible approach to the month-end rebalancing is better in order to avoid a loss of valued due to the benchmark construction rules. In chapter 5 we did a comparison between the equally weighted and capitalization weighted method for the European equity market. The benefit which results from reweighting the portfolio into equal weights can be attributed to the fact that EW portfolios implicitly follow a contrarian investment strategy, because they mechanically rebalance away from stocks that increase in price.

Validity of Charlson Comorbidity Index in patients hospitalised with acute coronary syndrome. Insights from the nationwide AMIS Plus registry 2002-2012

OBJECTIVE This study aimed to assess the impact of individual comorbid conditions as well as the weight assignment, predictive properties and discriminating power of the Charlson Comorbidity Index (CCI) on outcome in patients with acute coronary syndrome (ACS). METHODS A prospective multicentre observational study (AMIS Plus Registry) from 69 Swiss hospitals with 29 620 ACS patients enrolled from 2002 to 2012. The main outcome measures were in-hospital and 1-year follow-up mortality. RESULTS Of the patients, 27% were female (age 72.1±12.6 years) and 73% were male (64.2±12.9 years). 46.8% had comorbidities and they were less likely to receive guideline-recommended drug therapy and reperfusion. Heart failure (adjusted OR 1.88; 95% CI 1.57 to 2.25), metastatic tumours (OR 2.25; 95% CI 1.60 to 3.19), renal diseases (OR 1.84; 95% CI 1.60 to 2.11) and diabetes (OR 1.35; 95% CI 1.19 to 1.54) were strong predictors of in-hospital mortality. In this population, CCI weighted the history of prior myocardial infarction higher (1 instead of -0.4, 95% CI -1.2 to 0.3 points) but heart failure (1 instead of 3.7, 95% CI 2.6 to 4.7) and renal disease (2 instead of 3.5, 95% CI 2.7 to 4.4) lower than the benchmark, where all comorbidities, age and gender were used as predictors. However, the model with CCI and age has an identical discrimination to this benchmark (areas under the receiver operating characteristic curves were both 0.76). CONCLUSIONS Comorbidities greatly influenced clinical presentation, therapies received and the outcome of patients admitted with ACS. Heart failure, diabetes, renal disease or metastatic tumours had a major impact on mortality. CCI seems to be an appropriate prognostic indicator for in-hospital and 1-year outcomes in ACS patients. CLINICALTRIALSGOV IDENTIFIER NCT01305785.

Health care index score and risk of death following tuberculosis diagnosis in HIV-positive patients

OBJECTIVES: To assess health care utilisation for patients co-infected with TB and HIV (TB-HIV), and to develop a weighted health care index (HCI) score based on commonly used interventions and compare it with patient outcome. METHODS: A total of 1061 HIV patients diagnosed with TB in four regions, Central/Northern, Southern and Eastern Europe and Argentina, between January 2004 and December 2006 were enrolled in the TB-HIV study. A weighted HCI score (range 0–5), based on independent prognostic factors identified in multivariable Cox models and the final score, included performance of TB drug susceptibility testing (DST), an initial TB regimen containing a rifamycin, isoniazid and pyrazinamide, and start of combination antiretroviral treatment (cART). RESULTS: The mean HCI score was highest in Central/Northern Europe (3.2, 95%CI 3.1–3.3) and lowest in Eastern Europe (1.6, 95%CI 1.5–1.7). The cumulative probability of death 1 year after TB diagnosis decreased from 39% (95%CI 31–48) among patients with an HCI score of 0, to 9% (95%CI 6–13) among those with a score of ≥4. In an adjusted Cox model, a 1-unit increase in the HCI score was associated with 27% reduced mortality (relative hazard 0.73, 95%CI 0.64–0.84). CONCLUSIONS: Our results suggest that DST, standard anti-tuberculosis treatment and early cART may improve outcome for TB-HIV patients. The proposed HCI score provides a tool for future research and monitoring of the management of TB-HIV patients. The highest HCI score may serve as a benchmark to assess TB-HIV management, encouraging continuous health care improvement.

Carbon stocks, tree diversity, and the role of organic certification in different cocoa production systems in Alto Beni, Bolivia

This study compares aboveground and belowground carbon stocks and tree diversity in different cocoa cultivation systems in Bolivia: monoculture, simple agroforestry, and successional agroforestry, as well as fallow as a control. Since diversified, agroforestry-based cultivation systems are often considered important for sustainable development, we also evaluated the links between carbon stocks and tree diversity, as well as the role of organic certification in transitioning from monoculture to agroforestry. Biomass, tree diversity, and soil physiochemical parameters were sampled in 15 plots measuring 48 × 48 m. Semi-structured interviews with 52 cocoa farmers were used to evaluate the role of organic certification and farmers’ organizations (e.g., cocoa cooperatives) in promoting tree diversity. Total carbon stocks in simple agroforestry systems (128.4 ± 20 Mg ha−1) were similar to those on fallow plots (125.2 ± 10 Mg ha−1). Successional agroforestry systems had the highest carbon stocks (143.7 ± 5.3 Mg ha−1). Monocultures stored significantly less carbon than all other systems (86.3 ± 4.0 Mg ha−1, posterior probability P(Diff > 0) of 0.000–0.006). Among shade tree species, Schizolobium amazonicum, Centrolobium ochroxylum, and Anadenanthera sp. accumulated the most biomass. High-value timber species (S. amazonicum, C. ochroxylum, Amburana cearensis, and Swietenia macrophylla) accounted for 22.0 % of shade tree biomass. The Shannon index and tree species richness were highest in successional agroforestry systems. Cocoa plots on certified organic farms displayed significantly higher tree species richness than plots on non-certified farms. Thus, expanding the coverage of organic farmers’ organizations may be an effective strategy for fostering transitions from monoculture to agroforestry systems.

Migratory Urge and Gill Na(+),K(+)-ATPase Activity of Hatchery-Reared Atlantic Salmon Smolts from the Dennys and Penobscot River Stocks, Maine

Hatchery-reared Atlantic salmon Salmo salar smolts produced from captive-reared Dennys River and sea-run Penobscot River broodstock are released into their source rivers in Maine. The adult return rate of Dennys smolts is comparatively low, and disparity in smolt quality between stocks resulting from genetic or broodstock rearing effects is plausible. Smolt behavior and physiology were assessed during sequential 14-d trials conducted in seminatural annular tanks with circular flow. "Migratory urge'' (downstream movement) was monitored remotely using passive integrated transponder tags, and gill Na(+),K(+)-ATPase activity was measured at the beginning and end of the trials to provide an index of smolt development. The migratory urge of both stocks was low in early April, increased 20-fold through late May, and declined by the end of June. The frequency and seasonal distribution of downstream movement were independent of stock. In March and April, initial gill Na(+),K(+)-ATPase activities of Penobscot River smolts were lower than those of Dennys River smolts. For these trials, however, Penobscot River smolts increased enzyme activity after exposure to the tank, whereas Dennys River smolts did not, resulting in similar activities between stocks at the end of all trials. There was no clear relationship between migratory urge and gill Na(+),K(+)-ATPase activity. Gill Na(+),K(+)-ATPase activity of both stocks increased in advance of migratory urge and then declined while migratory urge was increasing. Maximum movement was observed from 2 h after sunset through 1 h after sunrise but varied seasonally. Dennys River smolts were slightly more nocturnal than Penobscot River smolts. These data suggest that Dennys and Penobscot River stocks are not markedly different in either physiological or behavioral expression of smolting.

Simulating Carbon Stocks and Fluxes of an African Tropical Montane Forest with an Individual-Based Forest Model

Tropical forests are carbon-dense and highly productive ecosystems. Consequently, they play an important role in the global carbon cycle. In the present study we used an individual-based forest model (FORMIND) to analyze the carbon balances of a tropical forest. The main processes of this model are tree growth, mortality, regeneration, and competition. Model parameters were calibrated using forest inventory data from a tropical forest at Mt. Kilimanjaro. The simulation results showed that the model successfully reproduces important characteristics of tropical forests (aboveground biomass, stem size distribution and leaf area index). The estimated aboveground biomass (385 t/ha) is comparable to biomass values in the Amazon and other tropical forests in Africa. The simulated forest reveals a gross primary production of 24 tcha-1yr-1. Modeling above- and belowground carbon stocks, we analyzed the carbon balance of the investigated tropical forest. The simulated carbon balance of this old-growth forest is zero on average. This study provides an example of how forest models can be used in combination with forest inventory data to investigate forest structure and local carbon balances.

Index Tracking Using Data-Mining Techniques and Mixed-Binary Linear Programming

Index tracking has become one of the most common strategies in asset management. The index-tracking problem consists of constructing a portfolio that replicates the future performance of an index by including only a subset of the index constituents in the portfolio. Finding the most representative subset is challenging when the number of stocks in the index is large. We introduce a new three-stage approach that at first identifies promising subsets by employing data-mining techniques, then determines the stock weights in the subsets using mixed-binary linear programming, and finally evaluates the subsets based on cross validation. The best subset is returned as the tracking portfolio. Our approach outperforms state-of-the-art methods in terms of out-of-sample performance and running times.