Outperformance in exchange-traded fund pricing deviations: Generalized control of data snooping bias

An investigation into exchange-traded fund (ETF) outperforrnance during the period 2008-2012 is undertaken utilizing a data set of 288 U.S. traded securities. ETFs are tested for net asset value (NAV) premium, underlying index and market benchmark outperformance, with Sharpe, Treynor, and Sortino ratios employed as risk-adjusted performance measures. A key contribution is the application of an innovative generalized stepdown procedure in controlling for data snooping bias. We find that a large proportion of optimized replication and debt asset class ETFs display risk-adjusted premiums with energy and precious metals focused funds outperforming the S&P 500 market benchmark. 

Low complexity greedy detection method with generalized multicarrier index keying OFDM

Multicarrier Index Keying (MCIK) is a recently developed technique that modulates subcarriers but also indices of the subcarriers. In this paper a novel low-complexity detection scheme of subcarrier indices is proposed for an MCIK system and addresses a substantial reduction in complexity over the optimalmaximum likelihood (ML) detection. For the performance evaluation, a closed-form expression for the pairwise error probability (PEP) of an active subcarrier index, and a tight approximation of the average PEP of multiple subcarrier indices are derived in closed-form. The theoretical outcomes are validated usingsimulations, at a difference of less than 0.1dB. Compared to the optimal ML, the proposed detection achieves a substantial reduction in complexity with small loss in error performance (<= 0.6dB).

Towards generalized Doherty power amplifier design for multiband operation

This paper presents a new variant of broadband Doherty power amplifier that employs a novel output combiner. A new parameter ∝ is introduced to permit a generalized analysis of the recently reported Parallel Doherty power amplifier (PDPA),and hence offer design flexibility. The circuit prototype of the new DPA fabricated using GaN devices exhibits maximum drain efficiency of 85% at 43-dBm peak power and 63% at 6-dB backoff power (BOP). Measured drain efficiency of >60% at peak power across 500-MHz frequency range and >50% at 6-dB BOP across 480-MHz frequency range were achieved, confirming the  theoretical wideband characteristics of the new DPA.

Generalized collisional radiative model for light elements: C: Data for the B isonuclear sequence

A first stage collision database is assembled which contains electron-impact excitation, ionization,\r and recombination rate coefficients for B, B + , B 2+ , B 3+ , and B 4+ . The first stage database\r is constructed using the R-matrix with pseudostates, time-dependent close-coupling, and perturbative\r distorted-wave methods. A second stage collision database is then assembled which contains\r generalized collisional-radiative ionization, recombination, and power loss rate coefficients as a\r function of both temperature and density. The second stage database is constructed by solution of\r the collisional-radiative equations in the quasi-static equilibrium approximation using the first\r stage database. Both collision database stages reside in electronic form at the IAEA Labeled Atomic\r Data Interface (ALADDIN) database and the Atomic Data Analysis Structure (ADAS) open database.

Generalized collisional radiative model for light elements. Part B: Data for the Be isonuclear sequence

A first-stage collision database is assembled which contains electron-impact excitation, ionization, and recombination rate coefficients for Be, Be+, Be2+, and Be3+. The first-stage database is constructed using the R-matrix with pseudo-states, time-dependent close-coupling, and perturbative, distorted-wave methods. A second-stage collision database is then assembled which contains generalized collisional-radiative and radiated power loss coefficients. The second-stage database is constructed by solution of collisional-radiative equations in the quasi-static equilibrium approximation using the first-stage database. Both collision database stages reside in electronic form at the ORNL Controlled Fusion Atomic Data Center and in the ADAS database, and are easily accessed over the worldwide internet. © 2007 Elsevier Inc. All rights reserved.

Nonequilibrium processes from generalized Langevin equations: Realistic nanoscale systems connected to two thermal baths

We extend the generalized Langevin equation (GLE) method [L. Stella, C. D. Lorenz, and L. Kantorovich, Phys. Rev. B 89, 134303 (2014)] to model a central classical region connected to two realistic thermal baths at two different temperatures. In such nonequilibrium conditions a heat flow is established, via the central system, in between the two baths. The GLE-2B (GLE two baths) scheme permits us to have a realistic description of both the dissipative central system and its surrounding baths. Following the original GLE approach, the extended Langevin dynamics scheme is modified to take into account two sets of auxiliary degrees of freedom corresponding to the mapping of the vibrational properties of each bath. These auxiliary variables are then used to solve the non-Markovian dissipative dynamics of the central region. The resulting algorithm is used to study a model of a short Al nanowire connected to two baths. The results of the simulations using the GLE-2B approach are compared to the results of other simulations that were carried out using standard thermostatting approaches (based on Markovian Langevin and Nosé-Hoover thermostats). We concentrate on the steady-state regime and study the establishment of a local temperature profile within the system. The conditions for obtaining a flat profile or a temperature gradient are examined in detail, in agreement with earlier studies. The results show that the GLE-2B approach is able to treat, within a single scheme, two widely different thermal transport regimes, i.e., ballistic systems, with no temperature gradient, and diffusive systems with a temperature gradient.

Numerical and combinatorial applications of generalized Appell polynomials

This thesis studies properties and applications of different generalized Appell polynomials in the framework of Clifford analysis. As an example of 3D-quasi-conformal mappings realized by generalized Appell polynomials, an analogue of the complex Joukowski transformation of order two is introduced. The consideration of a Pascal n-simplex with hypercomplex entries allows stressing the combinatorial relevance of hypercomplex Appell polynomials. The concept of totally regular variables and its relation to generalized Appell polynomials leads to the construction of new bases for the space of homogeneous holomorphic polynomials whose elements are all isomorphic to the integer powers of the complex variable. For this reason, such polynomials are called pseudo-complex powers (PCP). Different variants of them are subject of a detailed investigation. Special attention is paid to the numerical aspects of PCP. An efficient algorithm based on complex arithmetic is proposed for their implementation. In this context a brief survey on numerical methods for inverting Vandermonde matrices is presented and a modified algorithm is proposed which illustrates advantages of a special type of PCP. Finally, combinatorial applications of generalized Appell polynomials are emphasized. The explicit expression of the coefficients of a particular type of Appell polynomials and their relation to a Pascal simplex with hypercomplex entries are derived. The comparison of two types of 3D Appell polynomials leads to the detection of new trigonometric summation formulas and combinatorial identities of Riordan-Sofo type characterized by their expression in terms of central binomial coefficients.

Adaptive generalized predictive control algorithm implemented over an heterogeneous parallel architecture

In this paper a parallel implementation of an Adaprtive Generalized Predictive Control (AGPC) algorithm is presented. Since the AGPC algorithm needs to be fed with knowledge of the plant transfer function, the parallelization of a standard Recursive Least Squares (RLS) estimator and a GPC predictor is discussed here.

Adaptive generalized predictive control algorithm implemented over a DSP network

In this paper a parallel implementation of an Adaprtive Generalized Predictive Control (AGPC) algorithm is presented. Since the AGPC algorithm needs to be fed with knowledge of the plant transfer function, the parallelization of a standard Recursive Least Squares (RLS) estimator and a GPC predictor is discussed here.

Implementation of an daptive generalized predictive control algorithm over an heterogeneous parallel architecture

In this paper a parallel implementation of an Adaprtive Generalized Predictive Control (AGPC) algorithm is presented. Since the AGPC algorithm needs to be fed with knowledge of the plant transfer function, the parallelization of a standard Recursive Least Squares (RLS) estimator and a GPC predictor is discussed here.

Parallel implementation of an adaptive generalized predictive control algorithm

The Adaptive Generalized Predictive Control (AGPC) algorithm can be speeded up using parallel processing. Since the AGPC algorithm needs to be fed with the knowledge of the plant transfer function, the parallelization of a standard Recursive Least Squares (RLS) estimator and a GPC predictor is discussed here.

Parallel implementation of an adaptive generalized predictive control algorithm

The Adaptive Generalized Predictive Control (GPC) algorithm can be speeded up using parallel processing. Since the GPC algorithm needs to be fed with knowledge of the plant transfer function, the parallelization of a standard Recursive Least Squares (RLS) estimator and a GPC predictor is discussed here.

Generalized Systematic Risk

We generalize the concept of .systematic risk to a broad class of risk measures potentially accounting for high distribution moments, downside risk, rare disasters, as well as other risk attributes. We offer two different approaches. First is an equilibrium framework generalizing the Capital Asset Pricing Model, two-fund separation, and the security market line. Second is an axiomatic approach resulting in a systematic risk measure as the unique solution to a risk allocation problem. Both approaches lead to similar results extending the traditional beta to capture multiple dimensions of risk. The results lend themselves naturally to empirical investigation.