The benefits of tree-based models for stock selection

The identification of the primary drivers of stock returns has been of great interest to both financial practitioners and academics alike for many decades. Influenced by classical financial theories such as the CAPM (Sharp, 1964; Lintner, 1965) and APT (Ross, 1976), a linear relationship is conventionally assumed between company characteristics as derived from their financial accounts and forward returns. Whilst this assumption may be a fair approximation to the underlying structural relationship, it is often adopted for the purpose of convenience. It is actually quite rare that the assumptions of distributional normality and a linear relationship are explicitly assessed in advance even though this information would help to inform the appropriate choice of modelling technique. Non-linear models have nevertheless been applied successfully to the task of stock selection in the past (Sorensen et al, 2000). However, their take-up by the investment community has been limited despite the fact that researchers in other fields have found them to be a useful way to express knowledge and aid decision-making...

A hybrid approach to combining CART and logistic regression for stock ranking

The benefits of applying tree-based methods to the purpose of modelling financial assets as opposed to linear factor analysis are increasingly being understood by market practitioners. Tree-based models such as CART (classification and regression trees) are particularly well suited to analysing stock market data which is noisy and often contains non-linear relationships and high-order interactions. CART was originally developed in the 1980s by medical researchers disheartened by the stringent assumptions applied by traditional regression analysis (Brieman et al. [1984]). In the intervening years, CART has been successfully applied to many areas of finance such as the classification of financial distress of firms (see Frydman, Altman and Kao [1985]), asset allocation (see Sorensen, Mezrich and Miller [1996]), equity style timing (see Kao and Shumaker [1999]) and stock selection (see Sorensen, Miller and Ooi [2000])...

Maintenance optimisation of a multi-state series-parallel system considering economic dependence and state-dependent inspection intervals

This paper presents a maintenance optimisation method for a multi-state series-parallel system considering economic dependence and state-dependent inspection intervals. The objective function considered in the paper is the average revenue per unit time calculated based on the semi-regenerative theory and the universal generating function (UGF). A new algorithm using the stochastic ordering is also developed in this paper to reduce the search space of maintenance strategies and to enhance the efficiency of optimisation algorithms. A numerical simulation is presented in the study to evaluate the efficiency of the proposed maintenance strategy and optimisation algorithms. The simulation result reveals that maintenance strategies with opportunistic maintenance and state-dependent inspection intervals are more cost-effective when the influence of economic dependence and inspection cost is significant. The study further demonstrates that the optimisation algorithm proposed in this paper has higher computational efficiency than the commonly employed heuristic algorithms.

Vertical infrastructure inspection using a quadcopter and shared autonomy control

This paper presents a shared autonomy control scheme for a quadcopter that is suited for inspection of vertical infrastructure — tall man-made structures such as streetlights, electricity poles or the exterior surfaces of buildings. Current approaches to inspection of such structures is slow, expensive, and potentially hazardous. Low-cost aerial platforms with an ability to hover now have sufficient payload and endurance for this kind of task, but require significant human skill to fly. We develop a control architecture that enables synergy between the ground-based operator and the aerial inspection robot. An unskilled operator is assisted by onboard sensing and partial autonomy to safely fly the robot in close proximity to the structure. The operator uses their domain knowledge and problem solving skills to guide the robot in difficult to reach locations to inspect and assess the condition of the infrastructure. The operator commands the robot in a local task coordinate frame with limited degrees of freedom (DOF). For instance: up/down, left/right, toward/away with respect to the infrastructure. We therefore avoid problems of global mapping and navigation while providing an intuitive interface to the operator. We describe algorithms for pole detection, robot velocity estimation with respect to the pole, and position estimation in 3D space as well as the control algorithms and overall system architecture. We present initial results of shared autonomy of a quadrotor with respect to a vertical pole and robot performance is evaluated by comparing with motion capture data.

International stock market linkages : are overnight returns on the U.S. Market informative?

Based on the theory of international stock market co-movements, this study shows that a profitable trading strategy can be developed. The U.S. market return is considered as overnight information by ordinary investors in the Asian and the European stock markets, and opening prices in local markets reflect the U.S. overnight return. However, smart traders would either judge the impact of overnight information more correctly, or predict unreleased information. Thus, the difference between expected opening prices based on the U.S. return and actual opening prices is counted as smart traders’ prediction power, which is either a buy or a sell signal. Using index futures price data from 12 countries from 2000 to 2011, cumulative returns on the trading strategy are calculated with taking into account transaction costs. The empirical results show that the proposed trading strategy generates higher riskadjusted returns than that of the benchmarks in 12 sample countries. The trading performances for the Asian markets surpass those for the European markets because the U.S. return is the only overnight information for the Asian markets whereas the Asian markets returns are additional information to the European investors.

Does board gender diversity have a financial impact? Evidence using stock portfolio performance.

There is growing regulatory pressure on firms worldwide to address the under-representation of women in senior positions. Regulators have taken a variety of approaches to the issue. We investigate a jurisdiction that has issued recommendations and disclosure requirements, rather than implementing quotas. Much of the rhetoric surrounding gender diversity centres on whether diversity has a financial impact. In this paper we take an aggregate (market-level) approach and compare the performance of portfolios of firms with gender diverse boards to those without. We also investigate whether having multiple women on the board is linked to performance, and if there is a within-industry effect. Overall, we do not find evidence of an association between diversity and performance. We find some weak evidence of a negative correlation between having multiple women on the board and performance, but that in some industries diversity is positively correlated with performance.

Quantitative genetic parameter estimates for body and carcass traits in a cultured stock of giant freshwater prawn (Macrobrachium rosenbergii) selected for harvest weight in Vietnam

We estimated the heritability and correlations between body and carcass weight traits in a cultured stock of giant freshwater prawn (GFP) (Macrobrachium rosenbergii) selected for harvest body weight in Vietnam. The data set consisted of 18,387 body and 1,730 carcass records, as well as full pedigree information collected over four generations. Variance and covariance components were estimated by restricted maximum likelihood fitting a multi-trait animal model. Across generations, estimates of heritability for body and carcass weight traits were moderate and ranged from 0.14 to 0.19 and 0.17 to 0.21, respectively. Body trait heritabilities estimated for females were significantly higher than for males whereas carcass weight trait heritabilities estimated for females and males were not significantly different (P>. 0.05). Maternal effects for body traits accounted for 4 to 5% of the total variance and were greater in females than in males. Genetic correlations among body traits were generally high in the mixed sexes. Genetic correlations between body and carcass weight traits were also high. Although some issues remain regarding the best statistical model to be fitted to GFP data, our results suggest that selection for high harvest body weight based on breeding values estimated by fitting an animal model to the data can significantly improve mean body and carcass weight in GFP.

Visual guidance for fixed-wing unmanned aerial vehicles using feature tracking : application to power line inspection

This thesis presents novel vision based control solutions that enable fixed-wing Unmanned Aerial Vehicles to perform tasks of inspection over infrastructure including power lines, pipe lines and roads. This is achieved through the development of techniques that combine visual servoing with alternate manoeuvres that assist the UAV in both following and observing the feature from a downward facing camera. Control designs are developed through techniques of Image Based Visual Servoing to utilise sideslip through Skid-to-Turn and Forward-Slip manoeuvres. This allows the UAV to simultaneously track and collect data over the length of infrastructure, including straight segments and the transition where these meet.

Open for Inspection? Julstar Pty Ltd v Lynch Morgan Lawyers [2012] QDC 272

In Julstar Pty Ltd v Lynch Morgan Lawyers [2012] QDC 272 Dorney QC DCJ considered whether an applicant for an assessment of all or part of their costs under s 335 of the Legal Profession Act 2007 (Qld) (LPA) must provide grounds on which they dispute the amount of the costs charged or their liability to pay them. His Honour also made an order for inspection of the solicitor’s file, despite a claimed lien for unpaid fees.

Automated aerial inspection guidance with improved turn planning

Aerial inspection of pipelines, powerlines, and other large linear infrastructure networks has emerged in a number of civilian remote sensing applications. Challenges relate to automating inspection flight for under-actuated aircraft with LiDAR/camera sensor constraints whilst subjected to wind disturbances. This paper presents new improved turn planning strategies with guidance suitable for automation of linear infrastructure inspection able to reduce inspection flight distance by including wind information. Simulation and experimental flight tests confirmed the flight distance saving, and the proposed guidance strategies exhibited good tracking performance in a range of wind conditions.

Control of infrastructure inspection aircraft vertical dynamics in the presence of thermal disturbances

The low-altitude aircraft inspection of powerlines, or other linear infrastructure networks, is emerging as an important application requiring specialised control technologies. Despite some recent advances in automated control related to this application, control of the underactuated aircraft vertical dynamics has not been completely achieved, especially in the presence of thermal disturbances. Rejection of thermal disturbances represents a key challenge to the control of inspection aircraft due to the underactuated nature of the dynamics and specified speed, altitude, and pitch constraints. This paper proposes a new vertical controller consisting of a backstepping elevator controller with feedforward-feedback throttle controller. The performance of our proposed approach is evaluated against two existing candidate controllers.

Outdoor flight testing of a pole inspection UAV incorporating high-speed vision

We present a pole inspection system for outdoor environments comprising a high-speed camera on a vertical take-off and landing (VTOL) aerial platform. The pole inspection task requires a vehicle to fly close to a structure while maintaining a fixed stand-off distance from it. Typical GPS errors make GPS-based navigation unsuitable for this task however. When flying outdoors a vehicle is also affected by aerodynamics disturbances such as wind gusts, so the onboard controller must be robust to these disturbances in order to maintain the stand-off distance. Two problems must therefor be addressed: fast and accurate state estimation without GPS, and the design of a robust controller. We resolve these problems by a) performing visual + inertial relative state estimation and b) using a robust line tracker and a nested controller design. Our state estimation exploits high-speed camera images (100Hz) and 70Hz IMU data fused in an Extended Kalman Filter (EKF). We demonstrate results from outdoor experiments for pole-relative hovering, and pole circumnavigation where the operator provides only yaw commands. Lastly, we show results for image-based 3D reconstruction and texture mapping of a pole to demonstrate the usefulness for inspection tasks.

Quantitative genetic parameters for body traits at different ages in a cultured stock of giant freshwater prawn (Macrobrachium rosenbergii) selected for fast growth

The aim of the current study was to estimate heritabilities and correlations for body traits at different ages (Weeks 10 and 18 after stocking) in a giant freshwater prawn (Macrobrachium rosenbergii) population selected for fast growth rate in Vietnam. The dataset consisted of 4650 body records (2432 and 2218 records collected at Weeks 10 and 18, respectively) in the full pedigree comprising a total of 18 387 records. Variance and covariance components were estimated using restricted maximum likelihood fitting a multi-trait animal model. Estimates of heritability for body traits (bodyweight, body length, cephalothorax length, abdominal length, cephalothorax width and abdominal width) were moderate and ranged from 0.06 to 0.11 and from 0.11 to 0.22 at Weeks 10 and 18, respectively. Body-trait heritabilities estimated at Week 10 were not significantly lower than at Week 18. Genetic correlations between body traits within age and genetic correlations for body traits between ages were generally high. Our results suggested that selection for high growth rate in GFP can be undertaken successfully before full market size has been reached.

Disclosure of documents : production for inspection

In Altmann v Ioff of Victoria Friendly Society [2004] QDC 005 McGill DCJ considered the practical question in relation to disclosure of documents as to whether a party disclosing bundles of documents under UCPR r 217 was obliged to number or otherwise individually identify the documents