Evidence of the heterogeneous market hypothesis using wavelet multi -resolution analysis

In finance literature many economic theories and models have been proposed to explain and estimate the relationship between risk and return. Assuming risk averseness and rational behavior on part of the investor, the models are developed which are supposed to help in forming efficient portfolios that either maximize (minimize) the expected rate of return (risk) for a given level of risk (rates of return). One of the most used models to form these efficient portfolios is the Sharpe's Capital Asset Pricing Model (CAPM). In the development of this model it is assumed that the investors have homogeneous expectations about the future probability distribution of the rates of return. That is, every investor assumes the same values of the parameters of the probability distribution. Likewise financial volatility homogeneity is commonly assumed, where volatility is taken as investment risk which is usually measured by the variance of the rates of return. Typically the square root of the variance is used to define financial volatility, furthermore it is also often assumed that the data generating process is made of independent and identically distributed random variables. This again implies that financial volatility is measured from homogeneous time series with stationary parameters. In this dissertation, we investigate the assumptions of homogeneity of market agents and provide evidence for the case of heterogeneity in market participants' information, objectives, and expectations about the parameters of the probability distribution of prices as given by the differences in the empirical distributions corresponding to different time scales, which in this study are associated with different classes of investors, as well as demonstrate that statistical properties of the underlying data generating processes including the volatility in the rates of return are quite heterogeneous. In other words, we provide empirical evidence against the traditional views about homogeneity using non-parametric wavelet analysis on trading data, The results show heterogeneity of financial volatility at different time scales, and time-scale is one of the most important aspects in which trading behavior differs. In fact we conclude that heterogeneity as posited by the Heterogeneous Markets Hypothesis is the norm and not the exception.

Citizen, customer, partner:engaging the public in public management

Book review: CITIZEN, CUSTOMER, PARTNER: ENGAGING THE PUBLIC IN PUBLIC MANAGEMENT John Clayton Thomas M.E. Sharpe, 2012, 242 pp., £24.99 (hb), ISBN: 978–0765627209.

Exchange-Trade Funds Evaluation using Performance Measures Distribution

In this study we propose the use of the performance measure distribution rather than its punctual value to rank hedge funds. Generalized Sharpe Ratio and other similar measures that take into account the higher-order moments of portfolio return distributions are commonly used to evaluate hedge funds performance. The literature in this field has reported non-significant difference in ranking between performance measures that take, and those that do not take, into account higher moments of distribution. Our approach provides a much more powerful manner to differentiate between hedge funds performance. We use a non-semiparametric density based on Gram-Charlier expansions to forecast the conditional distribution of hedge fund returns and its corresponding performance measure distribution. Through a forecasting exercise we show the advantages of our technique in relation to using the more traditional punctual performance measures.

The Pico de Navas slump (Burgos, Spain): a large rocky landslide caused by underlying clayey sand fluidification

The Pico de Navas landslide was a large-magnitude rotational movement, affecting 50x106m3 of hard to soft rocks. The objectives of this study were: (1) to characterize the landslide in terms of geology, geomorphological features and geotechnical parameters; and (2) to obtain an adequate geomechanical model to comprehensively explain its rupture, considering topographic, hydro-geological and geomechanical conditions. The rupture surface crossed, from top to bottom: (a) more than 200 m of limestone and clay units of the Upper Cretaceous, affected by faults; and (b) the Albian unit of Utrillas facies composed of silty sand with clay (Kaolinite) of the Lower Cretaceous. This sand played an important role in the basal failure of the slide due to the influence of fine particles (silt and clay), which comprised on average more than 70% of the sand, and the high content presence of kaolinite (>40%) in some beds. Its geotechnical parameters are: unit weight (δ) = 19-23 KN/m3; friction angle (φ) = 13º-38º and cohesion (c) = 10-48 KN/m2. Its microstructure consists of accumulations of kaolinite crystals stuck to terrigenous grains, making clayey peds. We hypothesize that the presence of these aggregates was the internal cause of fluidification of this layer once wet. Besides the faulted structure of the massif, other conditioning factors of the movement were: the large load of the upper limestone layers; high water table levels; high water pore pressure; and the loss of strength due to wet conditions. The 3D simulation of the stability conditions concurs with our hypothesis. The landslide occurred in the Recent or Middle Holocene, certainly before at least 500 BC and possibly during a wet climate period. Today, it appears to be inactive. This study helps to understand the frequent slope instabilities all along the Iberian Range when facies Utrillas is present.

Challenges in molecular testing in non-small-cell lung cancer patients with advanced disease

Lung cancer diagnostics have progressed greatly in the previous decade. Development of molecular testing to identify an increasing number of potentially clinically actionable genetic variants, using smaller samples obtained via minimally invasive techniques, is a huge challenge. Tumour heterogeneity and cancer evolution in response to therapy means that repeat biopsies or circulating biomarkers are likely to be increasingly useful to adapt treatment as resistance develops. We highlight some of the current challenges faced in clinical practice for molecular testing of EGFR, ALK, and new biomarkers such as PDL1. Implementation of next generation sequencing platforms for molecular diagnostics in non-small-cell lung cancer is increasingly common, allowing testing of multiple genetic variants from a single sample. The use of next generation sequencing to recruit for molecularly stratified clinical trials is discussed in the context of the UK Stratified Medicine Programme and The UK National Lung Matrix Trial.

Three horizons: a pathways practice for transformation

Global environmental change requires responses that involve marked or qualitative changes in individuals, institutions, societies, and cultures. Yet, while there has been considerable effort to develop theory about such processes, there has been limited research on practices for facilitating transformative change. We present a novel pathways approach called Three Horizons that helps participants work with complex and intractable problems and uncertain futures. The approach is important for helping groups work with uncertainty while also generating agency in ways not always addressed by existing futures approaches. We explain how the approach uses a simple framework for structured and guided dialogue around different patterns of change by using examples. We then discuss some of the key characteristics of the practice that facilitators and participants have found to be useful. This includes (1) providing a simple structure for working with complexity, (2) helping develop future consciousness (an awareness of the future potential in the present moment), (3) helping distinguish between incremental and transformative change, (4) making explicit the processes of power and patterns of renewal, (5) enabling the exploration of how to manage transitions, and (6) providing a framework for dialogue among actors with different mindsets. The complementarity of Three Horizons to other approaches (e.g., scenario planning, dilemma thinking) is then discussed. Overall, we highlight that there is a need for much greater attention to researching practices of transformation in ways that bridge different kinds of knowledge, including episteme and phronesis. Achieving this will itself require changes to contemporary systems of knowledge production. The practice of Three Horizons could be a useful way to explore how such transformations in knowledge production and use could be achieved.

Aspects of Chiral Symmetry Breaking in Lattice QCD

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

Étude du modèle multifacteurs de Farrell dans le contexte canadien

L'hypothèse sous-jacente au modèle de marché de SHARPE(1964) est que les actifs ont une tendance à évoluer ensemble seulement à cause du lien commun qu'ils ont avec le marché. Depuis lors, quelques recherches ont permis de découvrir qu'il y a d'autres facteurs qui influencent le mouvement des prix des actifs financiers. Notamment, KING(1963), MEYERS(1973), FARRELL(1970,74,77), LIVINGSTON(1977) et ARNOTT(1980) ont cerné quelques-uns de ces autres facteurs. ROLL et ROSS(1976) ont spécifié un modèle général qui tient compte de facteurs importants dans les marchés financiers. Cependant, les tests empiriques sur l'A.P.T. (arbitrage pricing theory) effectués par CHEN, ROLL et ROSS(1986) n'ont pas donné de résultats probants. L'objectif de cette étude sera d'étudier le comportement des sous-indices de la Bourse de Toronto pour créer un modèle multifacteurs selon la méthodologie de James L. FARRELL. En bref, on étudie les comportements des actifs financiers par l'utilisation de procédures de regroupements statistiques pour former quelques indices supplémentaires au modèle de marché de SHARPE(1964).

Estrategias defensivas en el mercado de renta variable en Colombia a la baja

El Mercado de Renta Variable en Colombia sigue estando en desarrollo, así como la confianza de los inversionistas a la hora de tomar decisiones de elección de portafolios óptimos de inversión, los cuales le brinden la maximización de los retornos esperados a un mínimo riesgo. Por lo anterior esta investigación explora y conoce más a fondo los sectores que conforman el mercado accionario y determina cual es más rentable que otro, a través del modelo propuesto por Harry Markowitz y teniendo en cuenta los avances a la teoría hecha por Sharpe a través del índice de Sharpe y Betas. Entre los sectores que conforman El Mercado de Renta Variable en Colombia está el Financiero, Materiales, Energía, Consumo Básico Servicios e Industrial; los cuales siguen la misma tendencia bajista que el Índice del Colcap, el cual en los últimos años está rentando negativamente. Por lo tanto con esta investigación el lector e inversionista cuenta con herramientas que aplican el modelo de Markowitz para vislumbrar de acuerdo a datos históricos, los sectores en los cuales se recomienda invertir y en los que por el contrario de acuerdo a la tendencia de debe desistir. Sin embargo, se aclara que esta investigación se basa en datos históricos, tendencias y cálculos matemáticos que pueden diferenciarse de la realidad actual, dado que por aspectos coyunturales económicos, políticos o sociales puede verse afectadas las rentabilidades de las acciones y sectores en los que decida invertir las personas.

Suomalaisten julkisesti listattujen senttiosakkeiden suoriutuminen verrattuna OMX Helsinki Small Cap -indeksin muihin osakkeisiin

Senttiosakkeista tehtyjä tutkimuksia on olemassa hyvin rajoitetusti, ja ne ovat keskittyneet lähinnä senttiosakelistautumisiin. Tässä tutkielmassa tarkastellaan suomalaisia julkisesti noteerattuja senttiosakkeita ja niiden suoriutumista kymmenen vuoden ajanjaksolla vuosina 2006–2015. Tavoitteena oli selvittää, onko suomalaisiin julkisesti noteerattuihin senttiosakkeisiin sijoittaminen kannattavaa toimintaa ja minkälaisia tuottoja on odotettavissa senttiosakkeisiin sijoittamalla. Tutkimusaineisto koostui tutkielmassa tehdyn määritelmän mukaisista senttiosakkeista ja muista Small Cap -indeksin osakkeista, joita kutsuttiin puolestaan ei-senttiosakkeiksi. Tuotot laskettiin osakkeiden päivittäisistä tuottoindekseistä. Tuottoja verrattiin lyhyellä, keskipitkällä ja pitkällä aikavälillä. Tuottojen tarkastelun tueksi senttiosakkeille ja ei-senttiosakkeille laskettiin seuraavat menestysmittarit: Sharpen luku, Treynorin indeksi ja Jensenin alfa. Lopuksi verrattiin vielä seuraavia tunnuslukuja: ROE (%), E/P-luku, P/B-luku, osinkotuotto-% ja velan suhde omaan pääomaan (%). Saatujen tulosten perusteella suomalaiset julkisesti noteeratut senttiosakkeet ovat lyhyellä aikavälillä kannattavia sijoituskohteita, mutta mitä pidemmäksi tarkasteluperiodi kasvoi, sitä huonommin ne suoriutuivat. Lisäksi senttiosakkeet hävisivät kaikilla tarkasteluperiodeilla ei-senttiosakkeille. Suurimmat positiiviset tuotot olivat kuitenkin yksittäisillä senttiosakkeilla. Senttiosakkeisiin havaittiin liittyvän paljon riskejä, kuten suuri volatiliteetti, suuret negatiiviset tuotot ja konkurssin mahdollisuus. Myös kaikki menestysmittarit ja tunnusluvut indikoivat senttiosakkeiden olevan ei-senttiosakkeita huonompia sijoituskohteita. Sijoittajien on oltava erityisen tarkkoja senttiosakkeiden kanssa, sillä niihin sijoittaminen on pitkälti verrattavissa uhkapelaamiseen.

Low-Volatility Anomaly in Helsinki Stock Exchange

International research shows that low-volatility stocks have beaten high-volatility stocks in terms of returns for decades on multiple markets. This abbreviation from traditional risk-return framework is known as low-volatility anomaly. This study focuses on explaining the anomaly and finding how strongly it appears in NASDAQ OMX Helsinki stock exchange. Data consists of all listed companies starting from 2001 and ending close to 2015. Methodology follows closely Baker and Haugen (2012) by sorting companies into deciles according to 3-month volatility and then calculating monthly returns for these different volatility groups. Annualized return for the lowest volatility decile is 8.85 %, while highest volatility decile destroys wealth at rate of -19.96 % per annum. Results are parallel also in quintiles that represent larger amount of companies and thus dilute outliers. Observation period captures financial crisis of 2007-2008 and European debt crisis, which embodies as low main index annual return of 1 %, but at the same time proves the success of low-volatility strategy. Low-volatility anomaly is driven by multiple reasons such as leverage constrained trading and managerial incentives which both prompt to invest in risky assets, but behavioral matters also have major weight in maintaining the anomaly.

Valor de riesgo (VaR) versus la Desviación estándar como concepto de riesgo en la elección de portafolios de inversión

En la actualidad hay una especial preocupación de los inversionistas por realizar sus inversiones de manera más segura, obteniendo una buena rentabilidad y sin poner en riesgo su capital -- En este sentido, la posibilidad de generar nuevas herramientas que permitan tomar mejores decisiones de inversión es cada vez más relevante en el mundo financiero -- Así, uno de los aportes más importantes de los que se dispone para ese propósito es el de Markowitz, que propone la generación de carteras óptimamente diversificadas -- Sin embargo, el problema es cómo escoger entre algunas de estas carteras -- Por ese motivo, este proyecto tuvo como objetivo comparar el modelo de la desviación estándar (Ratio de Sharpe) con el de Value at Risk (VaR) como concepto de riesgo, para la elección de una cartera óptima dentro del entorno de un mercado desarrollado, en este caso, el mercado estadounidense, por medio de un backtesting se analizó también si el ciclo de mercado bajista, estable o alcista tiene incidencia de igual forma en esta elección -- Después de realizar el modelo y aplicarlo se concluyó que bajo situaciones normales, en un mercado desarrollado, elegir una cartera sobre otra tuvo mayores beneficios si se realiza teniendo en cuenta como concepto de riesgo el VaR bajo un modelo de Simulación de Montecarlo, en lugar de la desviación estándar -- Al aplicar este modelo a un entono menos desarrollado y más fluctuante como el colombiano, se determinó que no hay una ventaja significativa entre los dos modelos (desviación estándar y VaR)

Efficacy of Sakacin on Selected Food Pathogenic Microorganisms Isolated from Fermented Milk Products

The efficacy of sakacin on selected food pathogenic microorganisms isolated from fermented milk products was investigated. The L. sake was isolated using the pour plate technique and was characterized based on it colony, cell morphology and some biochemical tests. This isolate was identified using standard scheme. The L. sake FCF 33 was propagated in De Man Rogosa Sharpe (MRS) broth for bacteriocin (sakacin) production. The sakacin had inhibitory effects on all test microorganisms (ranging from +5mm to +6mm) except Shigella dysenteriae N11, Salmonella typhimurium N8, Klebsiella ozaenae W24 and Proteus mirabilis N16a). Bacteriocins are antimicrobial substances of lactic acid bacteria (LAB) have gained tremendous attention as potential bio preservatives in the food and dairy industries. The LAB can serve as probiotics, which are products aimed at delivering living, potentially beneficial bacterial cells to the gut ecosystem of humans and other animals.

Searching for return: How Google search engine query data can beat the market

Throughout the last years technologic improvements have enabled internet users to analyze and retrieve data regarding Internet searches. In several fields of study this data has been used. Some authors have been using search engine query data to forecast economic variables, to detect influenza areas or to demonstrate that it is possible to capture some patterns in stock markets indexes. In this paper one investment strategy is presented using Google Trends’ weekly query data from major global stock market indexes’ constituents. The results suggest that it is indeed possible to achieve higher Info Sharpe ratios, especially for the major European stock market indexes in comparison to those provided by a buy-and-hold strategy for the period considered.