Computing Markowitz efficient frontiers using a spreadsheet optimiser

Markowitz showed that assets can be combined to produce an 'Efficient' portfolio that will give the highest level of portfolio return for any level of portfolio risk, as measured by the variance or standard deviation. These portfolios can then be connected to generate what is termed an 'Efficient Frontier' (EF). In this paper we discuss the calculation of the Efficient Frontier for combinations of assets, again using the spreadsheet Optimiser. To illustrate the derivation of the Efficient Frontier, we use the data from the Investment Property Databank Long Term Index of Investment Returns for the period 1971 to 1993. Many investors might require a certain specific level of holding or a restriction on holdings in at least some of the assets. Such additional constraints may be readily incorporated into the model to generate a constrained EF with upper and/or lower bounds. This can then be compared with the unconstrained EF to see whether the reduction in return is acceptable. To see the effect that these additional constraints may have, we adopt a fairly typical pension fund profile, with no more than 20% of the total held in Property. The paper shows that it is now relatively easy to use the Optimiser available in at least one spreadsheet (EXCEL) to calculate efficient portfolios for various levels of risk and return, both constrained and unconstrained, so as to be able to generate any number of Efficient Frontiers.

Contribution of N Species and P Fractions to Stream Water Quality in Agricultural Catchments

The contribution from agricultural catchments to stream nitrogen and phosphorus concentrations was assessed by evaluation of the chemical composition of these nutrients in agricultural runoff for both surface and subsurface flow pathways. A range of land uses (grazed and ungrazed grassland, cereals, roots) in intensive agricultural systems was studied at scales from hillslope plots (0.5m2) to large catchment (>300km2). By fractionating the total nutrient load it was possible to establish that most of the phosphorus was transported in the unreactive (particulate and organic) fraction via surface runoff. This was true regardless of the scale of measurement. The form of the nitrogen load varied with land use and grazing intensity. High loads of dissolved inorganic nitrogen (with >90% transported as NH4-N) were recorded in surface runoff from heavily grazed land. In subsurface flow from small (2km2) subcatchments and in larger (>300 km2) catchments, organic nitrogen was found to be an important secondary constituent of the total nitrogen load, comprising 40% of the total annual load.

Stream water quality and nutrient export in the Slapton Catchments

A weekly programme of water quality monitoring has been conducted by Slapton Ley Field Centre since 1970. Samples have been collected for the four main streams draining into Slapton Ley, from the Ley itself and from other sites within the catchment. On occasions, more frequent sampling has been undertaken during short-term research projects, usually in relation to nutrient export from the catchment. These water quality data, unparalleled in length for a series of small drainage basins in the British Isles, provide a unique resource for analysis of spatial and temporal variations in stream water quality within an agricultural area. Not surprisingly, given the eutrophic status of the Ley, most attention has focused on the nutrients nitrate and phosphate. A number of approaches to modelling nutrient loss have been attempted, including time series analysis and the application of nutrient export and physically-based models.

Toward a new generation of world climate research and computing facilities

The impending threat of global climate change and its regional manifestations is among the most important and urgent problems facing humanity. Society needs accurate and reliable estimates of changes in the probability of regional weather variations to develop science-based adaptation and mitigation strategies. Recent advances in weather prediction and in our understanding and ability to model the climate system suggest that it is both necessary and possible to revolutionize climate prediction to meet these societal needs. However, the scientific workforce and the computational capability required to bring about such a revolution is not available in any single nation. Motivated by the success of internationally funded infrastructure in other areas of science, this paper argues that, because of the complexity of the climate system, and because the regional manifestations of climate change are mainly through changes in the statistics of regional weather variations, the scientific and computational requirements to predict its behavior reliably are so enormous that the nations of the world should create a small number of multinational high-performance computing facilities dedicated to the grand challenges of developing the capabilities to predict climate variability and change on both global and regional scales over the coming decades. Such facilities will play a key role in the development of next-generation climate models, build global capacity in climate research, nurture a highly trained workforce, and engage the global user community, policy-makers, and stakeholders. We recommend the creation of a small number of multinational facilities with computer capability at each facility of about 20 peta-flops in the near term, about 200 petaflops within five years, and 1 exaflop by the end of the next decade. Each facility should have sufficient scientific workforce to develop and maintain the software and data analysis infrastructure. Such facilities will enable questions of what resolution, both horizontal and vertical, in atmospheric and ocean models, is necessary for more confident predictions at the regional and local level. Current limitations in computing power have placed severe limitations on such an investigation, which is now badly needed. These facilities will also provide the world's scientists with the computational laboratories for fundamental research on weather–climate interactions using 1-km resolution models and on atmospheric, terrestrial, cryospheric, and oceanic processes at even finer scales. Each facility should have enabling infrastructure including hardware, software, and data analysis support, and scientific capacity to interact with the national centers and other visitors. This will accelerate our understanding of how the climate system works and how to model it. It will ultimately enable the climate community to provide society with climate predictions, which are based on our best knowledge of science and the most advanced technology.

Grid computing solutions for distributed repositories of protein folding and unfolding simulations

The P-found protein folding and unfolding simulation repository is designed to allow scientists to perform analyses across large, distributed simulation data sets. There are two storage components in P-found: a primary repository of simulation data and a data warehouse. Here we demonstrate how grid technologies can support multiple, distributed P-found installations. In particular we look at two aspects, first how grid data management technologies can be used to access the distributed data warehouses; and secondly, how the grid can be used to transfer analysis programs to the primary repositories --- this is an important and challenging aspect of P-found because the data volumes involved are too large to be centralised. The grid technologies we are developing with the P-found system will allow new large data sets of protein folding simulations to be accessed and analysed in novel ways, with significant potential for enabling new scientific discoveries.

Distributed hoeffding trees for pocket data mining

Collaborative mining of distributed data streams in a mobile computing environment is referred to as Pocket Data Mining PDM. Hoeffding trees techniques have been experimentally and analytically validated for data stream classification. In this paper, we have proposed, developed and evaluated the adoption of distributed Hoeffding trees for classifying streaming data in PDM applications. We have identified a realistic scenario in which different users equipped with smart mobile devices run a local Hoeffding tree classifier on a subset of the attributes. Thus, we have investigated the mining of vertically partitioned datasets with possible overlap of attributes, which is the more likely case. Our experimental results have validated the efficiency of our proposed model achieving promising accuracy for real deployment.

Distributed classification for pocket data mining

Distributed and collaborative data stream mining in a mobile computing environment is referred to as Pocket Data Mining PDM. Large amounts of available data streams to which smart phones can subscribe to or sense, coupled with the increasing computational power of handheld devices motivates the development of PDM as a decision making system. This emerging area of study has shown to be feasible in an earlier study using technological enablers of mobile software agents and stream mining techniques [1]. A typical PDM process would start by having mobile agents roam the network to discover relevant data streams and resources. Then other (mobile) agents encapsulating stream mining techniques visit the relevant nodes in the network in order to build evolving data mining models. Finally, a third type of mobile agents roam the network consulting the mining agents for a final collaborative decision, when required by one or more users. In this paper, we propose the use of distributed Hoeffding trees and Naive Bayes classifers in the PDM framework over vertically partitioned data streams. Mobile policing, health monitoring and stock market analysis are among the possible applications of PDM. An extensive experimental study is reported showing the effectiveness of the collaborative data mining with the two classifers.

A design of evaluation method for SaaS in cloud computing

Purpose: This paper aims to design an evaluation method that enables an organization to assess its current IT landscape and provide readiness assessment prior to Software as a Service (SaaS) adoption. Design/methodology/approach: The research employs a mixed of quantitative and qualitative approaches for conducting an IT application assessment. Quantitative data such as end user’s feedback on the IT applications contribute to the technical impact on efficiency and productivity. Qualitative data such as business domain, business services and IT application cost drivers are used to determine the business value of the IT applications in an organization. Findings: The assessment of IT applications leads to decisions on suitability of each IT application that can be migrated to cloud environment. Research limitations/implications: The evaluation of how a particular IT application impacts on a business service is done based on the logical interpretation. Data mining method is suggested in order to derive the patterns of the IT application capabilities. Practical implications: This method has been applied in a local council in UK. This helps the council to decide the future status of the IT applications for cost saving purpose.

Are the winters 2010 and 2012 archetypes exhibiting extreme opposite behavior of the North Atlantic jet stream?

The atmospheric circulation over the North Atlantic-European sector experienced exceptional but highly contrasting conditions in the recent 2010 and 2012 winters (November-March; with the year dated by the relevant January). Evidence is given for the remarkably different locations of the eddy-driven westerly jet over the North Atlantic. In the 2010 winter the maximum of the jet stream was systematically between 30ºN and 40ºN (in the ‘south jet regime’), while in the 2012 winter it was predominantly located around 55ºN (north jet regime). These jet features underline the occurrence of either weak flow (2010) or strong and persistent ridges throughout the troposphere (2012). This is confirmed by the very different occurrence of blocking systems over the North Atlantic, associated with episodes of strong cyclonic (anticyclonic) Rossby wave breaking in 2010 (2012) winters. These dynamical features underlie strong precipitation and temperature anomalies over parts of Europe, with detrimental impacts on many socioeconomic sectors. Despite the highly contrasting atmospheric states, mid and high-latitude boundary conditions do not reveal strong differences in these two winters. The two winters were associated with opposite ENSO phases, but there is no causal evidence of a remote forcing from the Pacific sea surface temperatures. Finally, the exceptionality of the two winters is demonstrated in relation to the last 140 years. It is suggested that these winters may be seen as archetypes of North Atlantic jet variability under current climate conditions.

Dynamical evolution of North Atlantic ridges and poleward Jet Stream displacements

The development of a particular wintertime atmospheric circulation regime over the North Atlantic, comprising a northward shift of the North Atlantic eddy-driven jet stream and an associated strong and persistent ridge in the subtropics, is investigated. Several different methods of analysis are combined to describe the temporal evolution of the events and relate it to shifts in the phase of the North Atlantic Oscillation and East Atlantic pattern. First, the authors identify a close relationship between northward shifts of the eddy-driven jet, the establishment and maintenance of strong and persistent ridges in the subtropics, and the occurrence of upper-tropospheric anticyclonic Rossby wave breaking over Iberia. Clear tropospheric precursors are evident prior to the development of the regime, suggesting a preconditioning of the Atlantic jet stream and an upstream influence via a large-scale Rossby wave train from the North Pacific. Transient (2–6 days) eddy forcing plays a dual role, contributing to both the initiation and then the maintenance of the circulation anomalies. During the regime there is enhanced occurrence of anticyclonic Rossby wave breaking, which may be described as low-latitude blocking-like events over the southeastern North Atlantic. A strong ridge is already established at the time of wave-breaking onset, suggesting that the role of wave-breaking events is to amplify the circulation anomalies rather than to initiate them. Wave breaking also seems to enhance the persistence, since it is unlikely that a persistent ridge event occurs without being also accompanied by wave breaking.

FAMOUS, faster: using parallel computing techniques to accelerate the FAMOUS/HadCM3 climate model with a focus on the radiative transfer algorithm

We have optimised the atmospheric radiation algorithm of the FAMOUS climate model on several hardware platforms. The optimisation involved translating the Fortran code to C and restructuring the algorithm around the computation of a single air column. Instead of the existing MPI-based domain decomposition, we used a task queue and a thread pool to schedule the computation of individual columns on the available processors. Finally, four air columns are packed together in a single data structure and computed simultaneously using Single Instruction Multiple Data operations. The modified algorithm runs more than 50 times faster on the CELL’s Synergistic Processing Elements than on its main PowerPC processing element. On Intel-compatible processors, the new radiation code runs 4 times faster. On the tested graphics processor, using OpenCL, we find a speed-up of more than 2.5 times as compared to the original code on the main CPU. Because the radiation code takes more than 60% of the total CPU time, FAMOUS executes more than twice as fast. Our version of the algorithm returns bit-wise identical results, which demonstrates the robustness of our approach. We estimate that this project required around two and a half man-years of work.

Interpretation of ageostrophic winds and implications for jet stream maintenance

The use of ageostrophic flow to infer the presence of vertical circulations in the entrances and exits of the climatological jet streams is questioned. Problems of interpretation arise because of the use of different definitions of geostrophy in theoretical studies and in analyses of atmospheric data. The nature and role of the ageostrophic flow based on constant and variable Coriolis parameter definitions of geostrophy vary. In the latter the geostrophic divergence cannot be neglected, so the vertical motion is not associated solely with the ageostrophic flow. Evidence is presented suggesting that ageostrophic flow in the climatological jet streams is primarily determined by the kinematic requirements of wave retrogression rather than by a forcing process. These requirements are largely met by the rotational flow, with the divergent circulations present being geostrophically forced, and so playing a secondary, restoring role.