Genetic algorithms and investment strategies: A global perspective

The profitability of momentum portfolios in the equity markets is derived from the continuation of stock returns over medium time horizons. The empirical evidence of momentum, however, is significantly different across markets around the world. The purpose of this dissertation is to: (1) help global investors determine the optimal selection and holding periods for momentum portfolios, (2) evaluate the profitability of the optimized momentum portfolios in different time periods and market states, (3) assess the investment strategy profits after considering transaction costs, and (4) interpret momentum returns within the framework of prior studies on investors’ behavior. Improving on the traditional practice of selecting arbitrary selection and holding periods, a genetic algorithm (GA) is employed. The GA performs a thorough and structured search to capture the return continuations and reversals patterns of momentum portfolios. Three portfolio formation methods are used: price momentum, earnings momentum, and earnings and price momentum and a non-linear optimization procedure (GA). The focus is on common equity of the U.S. and a select number of countries, including Australia, France, Germany, Japan, the Netherlands, Sweden, Switzerland and the United Kingdom. The findings suggest that the evolutionary algorithm increases the annualized profits of the U.S. momentum portfolios. However, the difference in mean returns is statistically significant only in certain cases. In addition, after considering transaction costs, both price and earnings and price momentum portfolios do not appear to generate abnormal returns. Positive risk-adjusted returns net of trading costs are documented solely during “up” markets for a portfolio long in prior winners only. The results on the international momentum effects indicate that the GA improves the momentum returns by 2 to 5% on an annual basis. In addition, the relation between momentum returns and exchange rate appreciation/depreciation is examined. The currency appreciation does not appear to influence significantly momentum profits. Further, the influence of the market state on momentum returns is not uniform across the countries considered. The implications of the above findings are discussed with a focus on the practical aspects of momentum investing, both in the U.S. and globally.

Ecological effects of low-level phosphorus additions on two plant communities in a neotropical freshwater wetland ecosystem

We conducted a low-level phosphorus (P) enrichment study in two oligotrophic freshwater wetland communities (wet prairies [WP] and sawgrass marsh [SAW]) of the neotropical Florida Everglades. The experiment included three P addition levels (0, 3.33, and 33.3 mg P m−2 month−1), added over 2 years, and used in situ mesocosms located in northeastern Everglades National Park, Fla., USA. The calcareous periphyton mat in both communities degraded quickly and was replaced by green algae. In the WP community, we observed significant increases in net aboveground primary production (NAPP) and belowground biomass. Aboveground live standing crop (ALSC) did not show a treatment effect, though, because stem turnover rates of Eleocharis spp., the dominant emergent macrophyte in this community, increased significantly. Eleocharis spp. leaf tissue P content decreased with P additions, causing higher C:P and N:P ratios in enriched versus unenriched plots. In the SAW community, NAPP, ALSC, and belowground biomass all increased significantly in response to P additions. Cladium jamaicense leaf turnover rates and tissue nutrient content did not show treatment effects. The two oligotrophic communities responded differentially to P enrichment. Periphyton which was more abundant in the WP community, appeared to act as a P buffer that delayed the response of other ecosystem components until after the periphyton mat had disappeared. Periphyton played a smaller role in controlling ecosystem dynamics and community structure in the SAW community. Our data suggested a reduced reliance on internal stores of P by emergent macrophytes in the WP that were exposed to P enrichment. Eleocharis spp. rapidly recycled P through more rapid aboveground turnover. In contrast, C. jamaicense stored added P by initially investing in belowground biomass, then shifting growth allocation to aboveground tissue without increasing leaf turnover rates. Our results suggest that calcareous wetland systems throughout the Caribbean, and oligotrophic ecosystems in general, respond rapidly to low-level additions of their limiting nutrient.

A study of the relationship between employee virtuality and technology deviance as mediated by leadership and employee perceptions

Recent studies found that organizations have been investing significant capital in developing teams and employees in geographic areas where labor and resources are considerably cheaper. Furthermore, organizations are moving core operational activities such as research and development and back-office processes to globally distributed teams. ^ However, several factors that are inherent to these virtual teams can have a negative impact on employee perceptions and engagement; specifically, the physical and temporal differences between employees and their supervisors, the lack of meaningful social interaction intrinsic to working relationships, and cultural biases that can be fostered when close, daily interactions is not there to help bridge the dissimilarity. ^ When strategies are not in place to mitigate these deficiencies, it can cause virtual employees to disengage emotionally and intellectually from the organization, or lead them to feel justified in working against the best interest of the company. ^ Past research indicates that although deviant behavior in the workplace is not new, transgressions committed by employees have been increasing significantly every year. Beyond the focus of why employees are motivated to act against the organization, to what extent do the recent changes to the organization’s structure influence this type of behavior through their actions at the macro (organizational) and micro level (leadership). ^ In addition, there is a related phenomenon that has aided the transformation of the workplace—namely, the ubiquity of technology. In the context of workplace deviance, established research has documented an increasing trend of employees utilizing company technology as a medium and amplifier when harming the organization. It is important to understand whether technology has facilitated or hindered workplace deviance by virtue of the technology itself (as a means), and as part of the new employee roles created by the evolving technology (i.e., virtual employees). Therefore, it is important to identify how individual attitudes and behaviors can be affected by an employee’s degree of virtuality. ^ This study will add to the understanding of how social interaction and physical proximity, leadership and other perception factors contribute to the changes organizations are experiencing as their structure evolves and adapts to compete in the new global environment. ^

Genetic Algorithms and Investment Strategies: A Global Perspective

The profitability of momentum portfolios in the equity markets is derived from the continuation of stock returns over medium time horizons. The empirical evidence of momentum, however, is significantly different across markets around the world. The purpose of this dissertation is to: 1) help global investors determine the optimal selection and holding periods for momentum portfolios, 2) evaluate the profitability of the optimized momentum portfolios in different time periods and market states, 3) assess the investment strategy profits after considering transaction costs, and 4) interpret momentum returns within the framework of prior studies on investors’ behavior. Improving on the traditional practice of selecting arbitrary selection and holding periods, a genetic algorithm (GA) is employed. The GA performs a thorough and structured search to capture the return continuations and reversals patterns of momentum portfolios. Three portfolio formation methods are used: price momentum, earnings momentum, and earnings and price momentum and a non-linear optimization procedure (GA). The focus is on common equity of the U.S. and a select number of countries, including Australia, France, Germany, Japan, the Netherlands, Sweden, Switzerland and the United Kingdom. The findings suggest that the evolutionary algorithm increases the annualized profits of the U.S. momentum portfolios. However, the difference in mean returns is statistically significant only in certain cases. In addition, after considering transaction costs, both price and earnings and price momentum portfolios do not appear to generate abnormal returns. Positive risk-adjusted returns net of trading costs are documented solely during “up” markets for a portfolio long in prior winners only. The results on the international momentum effects indicate that the GA improves the momentum returns by 2 to 5% on an annual basis. In addition, the relation between momentum returns and exchange rate appreciation/depreciation is examined. The currency appreciation does not appear to influence significantly momentum profits. Further, the influence of the market state on momentum returns is not uniform across the countries considered. The implications of the above findings are discussed with a focus on the practical aspects of momentum investing, both in the U.S. and globally.

A Study of the Relationship between Employee Virtuality and Technology Deviance as Mediated by Leadership and Employee Perceptions

Recent studies found that organizations have been investing significant capital in developing teams and employees in geographic areas where labor and resources are considerably cheaper. Furthermore, organizations are moving core operational activities such as research and development and back-office processes to globally distributed teams. However, several factors that are inherent to these virtual teams can have a negative impact on employee perceptions and engagement; specifically, the physical and temporal differences between employees and their supervisors, the lack of meaningful social interaction intrinsic to working relationships, and cultural biases that can be fostered when close, daily interactions is not there to help bridge the dissimilarity. When strategies are not in place to mitigate these deficiencies, it can cause virtual employees to disengage emotionally and intellectually from the organization, or lead them to feel justified in working against the best interest of the company. Past research indicates that although deviant behavior in the workplace is not new, transgressions committed by employees have been increasing significantly every year. Beyond the focus of why employees are motivated to act against the organization, to what extent do the recent changes to the organization’s structure influence this type of behavior through their actions at the macro (organizational) and micro level (leadership). In addition, there is a related phenomenon that has aided the transformation of the workplace – namely, the ubiquity of technology. In the context of workplace deviance, established research has documented an increasing trend of employees utilizing company technology as a medium and amplifier when harming the organization. It is important to understand whether technology has facilitated or hindered workplace deviance by virtue of the technology itself (as a means), and as part of the new employee roles created by the evolving technology (i.e, virtual employees). Therefore, it is important to identify how individual attitudes and behaviors can be affected by an employee’s degree of virtuality. This study will add to the understanding of how social interaction and physical proximity, leadership and other perception factors contribute to the changes organizations are experiencing as their structure evolves and adapts to compete in the new global environment.

Metrópole digital: o jovem aprendiz na educação tecnológica

This thesis was elaborated in the scenario of Digital Metropolis Institute (IMD) – a supplementary unit at the Federal University of Rio Grande do Norte in the training of personnel with technical and higher level courses whose technical level training is associated with a process of digital inclusion, with the purpose of attracting young people to this area, with emphasis on Software and Hardware Development. It aims to investigate the cognitive change of young apprentice on technological education and his/her entrance into the labor market, through the formation and the social inclusion proposed by the Instituto Metrópole Digital; understanding the juvenile subjectivity production through the Instituto Metrópole Digital’s education by performance in the labor market; recognizing the Brazilian professional qualification public policies for youth and identifying the role of Tutoring in the learning process during the course of formation of the young apprentice of the technological education proposed by the Instituto Metrópole Digital.The clipping of the object of investigation was the process of cognitive change and constitution of subjectivity of the young apprentice in information technology (IT) in the IMD. It was searched support in theory Freireana as proposal that problematizes the policies and the process of formation and professional qualification, in the perspective of a citizen and liberating consciousness. By qualitative and ethnographic nature, descriptive-explanatory, it counts with the participation of young people, high school students from public and private schools, aged between 15 and 18 years. There are strong aspects: a cognitive change on the young apprentice of technological education onto overdrive high school as the student of the Instituto Metrópole Digital; it happened the social integration for those who remain in the course, both in the neighborhood where they reside and at school where he attended high school, the young man is recognized and becomes reference to other young, favoring him a life projection which when the activities of mentoring is learning motivator, it exerts a positive influence to the young on the continuity of studies, it provides intellectual and institutional affiliation and continuity in the investments to the academic life for a better insertion in the labor market, which refers to the modification of the life project-invest in academic training, in exchange for a technical job in the labor market. There are weak aspects: the absence of professor in the course, in his most important role, which involves awareness of his/her condition in action, in explicit position that the professional practice constitutes as this constitution requires reciprocity of its students and the context in which it operates; fragile formation of mentoring, absence of dialogues in the classroom that favors the formation of subject learning, mainly in guiding action, mediator of the young; There is a lack of methodological proposal to develop real projects on the labor market with problem solving and collaborative learning. It considers that without converting information into knowledge cannot discern clearly enough that there is no direct causal relationship between Professional and technological Education and the level of employability of the young worker certificate. It suggests to the evasion: a greater knowledge of the reality of the student of the Institute Metropolis Digital; better knowledge of youth and their expectations of life project; the Tutoring will be Teacher-tutor; investing in employability conditions effective the young into the labor market.

Investimentos internacionais e a valorização imobiliária dos municípios de Maxaranguape e Rio do Fogo

Since the middle of 1970´s the world has been undergoing significant transformations, comes in a new era of global capital accumulation, and starts the called productive restructuring. This restructuring is materialized spatially through the reconfiguration of territory, redefining its uses and providing a new spatial structure. With regard to native of Rio Grande do Norte territory, there is, from the 1980s, the emergence of new economic activities, among which stand out tourism, which become stimulated from government policies. In this context, has stood the east coast of the state, because its beaches have recognized scenic appeal and environmental quality. Therewith business opportunity, international investors ended up investing in this portion of Rio Grande do Norte´s territory, especially over the last decade. The expansion of this process, to the north coast, resulted in the emergence of intense property dynamics in the municipalities of Maxaranguape and Rio do Fogo. The low value of the property and buildings, compared to the European market and the availability of real property, were the main factors that explain the attraction of such investors, who are now seen as new business opportunities with high rates of profitability, in tropical areas, hitherto remote geographical location of the economic system. Therefore, the objective of the research is to analyze to what extent the International Investment promoted the appreciation of property in the municipalities of Maxaranguape and Rio do Fogo. The time frame covers the period among 2000- 2013. The methodology consisted of the following proceedings: surveys and analysis of data collected in the property registry office of the Maxaranguape and Rio do Fogo municipalities; interviews with public and private officials that were important for the analysis of spatial transformations and the recovery of the property that occurred in the municipalities studied; collection of secondary data from official bodies, such as IBGE, MTUR, SETUR, BNB etc. Analyzing the information and data that have been cataloged, it was concluded that this investments are reinforcing old leisure and tourism practices existing in the past in those territories and, shifted (creating new territorial arrangements) a significant part of the eastern coast zone areas of the state. Another consequence connected to this recent phenomenon refers to property’s increase in value that has occurred in this part of the state, episode which is directly connected to that event. Therefore, it is realize that the expansion and the incorporation of the capital territories reveal, in part, the strategies of the capitalist mode of production, which are evident in the search for better conditions of accumulation, expanding the alternative of use of the properties which occurs in selective way and uneven in the geographic space form. It is observed that the mechanisms that capital makes use to impose their practices can happen through the property’s increase in value market, meaning, thereby, that the reproduction of imbalances happens, often, through the marked property speculation with the fast increase in value of properties.

COMUNICAÇÃO ESTRATÉGICA DE IES ATRAVÉS DO HANDEBOL DE ALTO RENDIMENTO

A tese aborda como a Universidade Metodista de São Paulo (UMESP) e a Universidade de Taubaté (UNITAU) utilizam o esporte de alto rendimento como meio de divulgação estratégica. O estudo mostra qual é a relação existente entre a comunicação institucional e mercadológica das referidas IES e o handebol de alto rendimento. A tese objetiva também, apresentar as ferramentas de comunicação utilizadas por UMESP e UNITAU para divulgar suas ações de patrocínio e, por fim, avaliar o grau do fluxo de comunicação dos profissionais de comunicação e marketing das IES com gestores esportivos do handebol. A comparação entre as IES analisadas deu-se pelo uso do método de pesquisa de ‘estudos de casos múltiplos’, já a pesquisa documental e a bibliográfica foram utilizadas para a construção teórica do trabalho. Os dados dos objetos de estudo foram coletados através do uso da técnica de entrevista, estas que, adotaram a característica ‘semiestruturada’ com perguntas abertas e uso de roteiro. Concluiu-se que as universidades UMESP e UNITAU pouco exploram a imagem vitoriosa do handebol de alto rendimento que investem como meio estratégico de divulgação.

Coupled symplectic maps as models for subdiffusive processes in disordered Hamiltonian lattices

Acknowledgements One of us (T. B.) acknowledges many interesting discussions on coupled maps with Professor C. Tsallis. We are also grateful to the anonymous referees for their constructive feedback that helped us improve the manuscript and to the HPCS Laboratory of the TEI of Western Greece for providing the computer facilities where all our simulations were performed. C. G. A. was partially supported by the “EPSRC EP/I032606/1” grant of the University of Aberdeen. This research has been co-financed by the European Union (European Social Fund - ESF) and Greek national funds through the Operational Program “Education and Lifelong Learning” of the National Strategic Reference Framework (NSRF) - Research Funding Program: THALES - Investing in knowledge society through the European Social Fund.

Coupled symplectic maps as models for subdiffusive processes in disordered Hamiltonian lattices

Acknowledgements One of us (T. B.) acknowledges many interesting discussions on coupled maps with Professor C. Tsallis. We are also grateful to the anonymous referees for their constructive feedback that helped us improve the manuscript and to the HPCS Laboratory of the TEI of Western Greece for providing the computer facilities where all our simulations were performed. C. G. A. was partially supported by the “EPSRC EP/I032606/1” grant of the University of Aberdeen. This research has been co-financed by the European Union (European Social Fund - ESF) and Greek national funds through the Operational Program “Education and Lifelong Learning” of the National Strategic Reference Framework (NSRF) - Research Funding Program: THALES - Investing in knowledge society through the European Social Fund.

The Life Cycle of Corporate Venture Capital

This paper establishes the life-cycle dynamics of Corporate Venture Capital (CVC) to explore the information acquisition role of CVC investment in the process of corporate innovation. I exploit an identification strategy that allows me to isolate exogenous shocks to a firm's ability to innovate. Using this strategy, I first find that the CVC life cycle typically begins following a period of deteriorated corporate innovation and increasingly valuable external information, lending support to the hypothesis that firms conduct CVC investment to acquire information and innovation knowledge from startups. Building on this analysis, I show that CVCs acquire information by investing in companies with similar technological focus but have a different knowledge base. Following CVC investment, parent firms internalize the newly acquired knowledge into internal R&D and external acquisition decisions. Human capital renewal, such as hiring inventors who can integrate new innovation knowledge, is integral in this step. The CVC life cycle lasts about four years, terminating as innovation in the parent firm rebounds. These findings shed new light on discussions about firm boundaries, managing innovation, and corporate information choices.

Realisable climate change narratives in public discourse: an East/West comparative analysis of environmental, social, and corporate governance (ESG) as a response to global climate change

This thesis looks at how non-experts develop an opinion on climate change, and how those opinions could be changed by public discourse. I use Hubert Dreyfus’ account of skill acquisition to distinguish between experts and non-experts. I then use a combination of Walter Fisher’s narrative paradigm and the hermeneutics of Paul Ricœur to explore how non-experts form opinions, and how public narratives can provide a point of critique. In order to develop robust narratives, they must be financially realistic. I therefore consider the burgeoning field of environmental, social, and corporate governance (ESG) analysis as a way of informing realistic public narratives. I identify a potential problem with this approach: the Western assumptions of ESG analysis might make for public narratives that are not convincing to a non-Western audience. I then demonstrate how elements of the Chinese tradition, the Confucian, Neo-Confucian, and Daoist schools, as presented by David Hall and Roger Ames, can provide alternative assumptions to ESG analysis so that the public narratives will be more culturally adaptable. This research contributes to the discipline by bringing disparate traditions together in a unique way, into a practical project with a view towards applications. I conclude by considering avenues for further research.

Essays on Economics of Entrepreneurship

This dissertation examines three important issues. The first issue is about the human capital investment and entrepreneurship as a career choice. The standard human capital theory shows that firms (employees) never invest in general (firm-specific) human capital of the employee as they do not extract any return from it. However, when entrepreneurship is introduced as a career option for an innovative employee, both firm’s and employee’s human capital investments change. Employee starts investing in his firm-specific human capital to increase the probability to innovate (and to become an entrepreneur). However, the firm uses general human capital investment to reduce the risk of employee’s departure. The second issue is regarding the factors motivating entry regulations reforms and the possible nonlinear effects of entry regulation reforms. The current literature and the policy recommendations assume that these reforms have linear effects on entrepreneurship. Nevertheless, the anecdotal evidence shows that the outcomes of such reforms vary greatly from country to country. To investigate this issue, I collect a sample data on entry regulations and firm creation from World Bank. The empirical analysis indicates that the effect of entry regulation reforms depends on the pre-reform level of bureaucracy in the country. More specifically, while low-bureaucracy countries benefit from entry regulation reforms, high-bureaucracy countries do not benefit. Moreover, the probability of making a reform increases if the country has reformist neighbors, cumbersome entry regulations, high unemployment rate, or low corruption level. The last issue is related to the individual and joint effects of bureaucracy and corruption on different types of entrepreneurs. The current literature investigates these effects only on unified measures of entrepreneurship. However, entrepreneurs are very different in many senses. To address this issue, I collect the necessity-based and opportunity-based entrepreneurship data from Global Entrepreneurship Monitor. The empirical analysis yield two important results: First, bureaucracy has a direct negative (positive) effect on necessity-based (opportunity-based) entrepreneurs. Second, corruption mitigates the effect of bureaucracy for both groups of entrepreneurs. All three chapters offer useful insights and important implications to academics and policymakers.

Digging Deeper than Platinum: South Africa's Participation in an Emergent Fuel Cell Industry

South’s Africa’s position as global platinum supplier provides a unique opportunity for an emergent fuel cell industry. The innovative technology’s reliance on platinum has sparked interest in the mining sector, promoting the clean energy-producing devices in their own operations. This research focuses upon contemporary structures of racial oppression within the industry, to analyse how these dynamics influence the development and implementation of innovative technology. It also challenges the sustainability discourse associated with fuel cell technology in South Africa. The study follows a qualitative research approach, incorporating a political ecology focus to highlight the politicized nature of these interactions. The methodology incorporates a literature review, key informant interviews, fieldwork observations and document analysis. Findings indicate that the implementation of fuel cell technology in South Africa’s platinum mines will disproportionately burden historically disadvantaged South Africans, with the lack in technical knowledge-base considered a major challenge. Additionally, it was found that sustainability claims surrounding fuel cell technology are largely based on environmental characteristics. This has resulted in an oversimplification and a depoliticised account of the impacts of the technology. This study looked critically at the convergence of history and innovation, placing emphasis on context, power relations and knowledge to provide a more holistic account of the research problem. Opportunities exist for making a meaningful and viable contribution towards development and sustainability by means of investing in a South African fuel cell industry. The challenge will be in deliberately seeking pathways which address the more complex components of sustainability, benefitting all stakeholders and paying particular attention to the historical, political and social contexts from which the technology emerges. It is this particular context which allows for a questioning and perhaps even a re-evaluation of the sustainability narratives broadly applied to fuel cell technology.