Observations of Industry Momentum Effect in European Equity Indices

This thesis examines the existence and nature of momentum effect in European equity indices. A set of predefined indicators is used to compose momentum portfolios and different holding periods are used to test the strategies over variable time periods as well as under different economical conditions. The data consists of daily closing prices of STOXX Europe 600 index and its 18 super sector indices. Over the study period we follow the performances of a long position in the Winner portfolio, a position in the market neutral zero-cost portfolio and also a position in the risk-controlled zero-cost portfolio. The investment ratio of the risk-controlled zero-cost portfolio is negatively correlated with the realized market volatility. The results show that momentum effect is present in European industries and is most prominent in the short-term. Indicators that are based on short-term performance tend predict the over- and underperformers for the 1-month holding period more reliably than any other indicator/holding period combination. The examination of the strategies under different economical conditions shows that the market neutral approach can create significant returns in times of recession but in times of economic boom the long position in Winner portfolio outperforms the market neutral portfolio by an extensive margin.

Morfologia do primeiro corpúsculo polar e taxas de fertilização, clivagem e qualidade embrionária

OBJETIVO: determinar a relação entre a morfologia do primeiro corpúsculo polar (CP) de oócitos humanos e as taxas de fertilização e clivagem e a qualidade embrionária em procedimentos de Injeção Intracitoplasmática de Espermatozóide (ICSI). MÉTODOS: estudo retrospectivo de 582 ciclos consecutivos de ICSI no período de julho de 2003 a julho de 2005. A morfologia do primeiro CP foi avaliada com revisão de 3.177 oócitos em metáfase II, imediatamente antes da realização da ICSI, sempre pelo mesmo observador. O CP foi classificado nas seguintes categorias: CP intacto e de tamanho normal, CP fragmentado ou CP de tamanho aumentado. Avaliamos as taxas de fertilização e de clivagem, o número e a proporção de embriões de boa qualidade em cada um dos três grupos avaliados 48 horas após a ICSI (D2). Foram considerados de boa qualidade os embriões com quatro células, sem fragmentação e com blastômeros simétricos em D2. RESULTADOS: as taxas de fertilização, clivagem e de formação de embriões de boa qualidade resultantes da inseminação de oócitos com o CP aumentado (20,7, 18,7 e 5%, respectivamente) foram significativamente menores que as de oócitos com o CP intacto e de tamanho normal (70,8, 62,5 e 19%, respectivamente) ou CP fragmentado (69,7, 60,5 e 17,1%, respectivamente). CONCLUSÕES: observamos que a presença do primeiro CP aumentado relaciona-se com piores taxas de fertilização, clivagem e de formação de embriões de má qualidade. Entretanto, a fragmentação no primeiro CP parece não interferir nos resultados da ICSI.

Queilite angular traumática em eqüinos associada à ingestão de Panicum maximum

Uma condição com aumento da fenda bucal de eqüinos por lesão na comissura labial foi estudada. Este aumento tinha extensão variável e era uni ou bilateral. Na mucosa da bochecha da comissura labial exposta havia pequenas erosões. Durante a mastigação havia perda de pequena quantidade de capim e saliva pela fenda bucal aumentada. Os animais apresentavam bom estado nutricional. O exame histopatológico de tecido retirado da comissura labial revelou epidermite superficial. Nas quatro propriedades onde se verificou o problema, constatou-se que os eqüinos eram mantidos em sistema extensivo de criação em pastagem de Panicum maximum (variedades Tanzânia, Mombaça, Tobiatã e Colonião), com folhas maduras, altas, lignificadas e de bordos cortantes. De acordo com os dados epidemiológicos, com os achados clínicos e histopatológicos, concluí-se que essas lesões foram causadas pela ação cortante das folhas de Panicum maximum, associada à forma de apreensão da pastagem alta e mastigação pelos eqüinos.

The Anchoring Bias of Investors and the 52-Week High Momentum Strategy in the OMX Helsinki Stock Exchange: Psychological Approach to Market Efficiency

The behavioural finance literature expects systematic and significant deviations from efficiency to persist in securities markets due to behavioural and cognitive biases of investors. These behavioural models attempt to explain the coexistence of intermediate-term momentum and long-term reversals in stock returns based on the systematic violations of rational behaviour of investors. The study investigates the anchoring bias of investors and the profitability of the 52-week momentum strategy (GH henceforward). The relatively highly volatile OMX Helsinki stock exchange is a suitable market for examining the momentum effect, since international investors tend to realise their positions first from the furthest security markets by the time of market turbulence. Empirical data is collected from Thomson Reuters Datastream and the OMX Nordic website. The objective of the study is to provide a throughout research by formulating a self-financing GH momentum portfolio. First, the seasonality of the strategy is examined by taking the January effect into account and researching abnormal returns in long-term. The results indicate that the GH strategy is subject to significantly negative revenues in January, but the strategy is not prone to reversals in long-term. Then the predictive proxies of momentum returns are investigated in terms of acquisition prices and 52-week high statistics as anchors. The results show that the acquisition prices do not have explanatory power over the GH strategy’s abnormal returns. Finally, the efficacy of the GH strategy is examined after taking transaction costs into account, finding that the robust abnormal returns remain statistically significant despite the transaction costs. As a conclusion, the relative distance between a stock’s current price and its 52-week high statistic explains the profits of momentum investing to a high degree. The results indicate that intermediateterm momentum and long-term reversals are separate phenomena. This presents a challenge to current behavioural theories, which model these aspects of stock returns as subsequent components of how securities markets respond to relevant information.

Contrast sensitivity to angular frequency stimuli is higher than that for sinewave gratings in the respective middle range

This study compares contrast thresholds for sinewave gratings, or spatial frequencies (1/CSF) with contrast thresholds for angular frequencies (1/aCSF) and for radial frequencies, or J0 targets (1/rCSF). Observers had to differentiate between one of these frequency stimuli and a stimulus at mean luminance within a forced-choice procedure. All measurements were made with the same equipment, methods and subjects. Our results show higher sensitivity to, or lower thresholds for, angular frequencies when compared to either sinewave gratings or J0 targets. Contrast values in arbitrary units, in the lower threshold range for angular frequencies, were about half those required to differentiate sinewave gratings from mean luminance in its most sensitive range

Dynamic Analysis Model of Spherical Roller Bearings with Defects

Rolling element bearings are essential components of rotating machinery. The spherical roller bearing (SRB) is one variant seeing increasing use, because it is self-aligning and can support high loads. It is becoming increasingly important to understand how the SRB responds dynamically under a variety of conditions. This doctoral dissertation introduces a computationally efficient, three-degree-of-freedom, SRB model that was developed to predict the transient dynamic behaviors of a rotor-SRB system. In the model, bearing forces and deflections were calculated as a function of contact deformation and bearing geometry parameters according to nonlinear Hertzian contact theory. The results reveal how some of the more important parameters; such as diametral clearance, the number of rollers, and osculation number; influence ultimate bearing performance. Distributed defects, such as the waviness of the inner and outer ring, and localized defects, such as inner and outer ring defects, are taken into consideration in the proposed model. Simulation results were verified with results obtained by applying the formula for the spherical roller bearing radial deflection and the commercial bearing analysis software. Following model verification, a numerical simulation was carried out successfully for a full rotor-bearing system to demonstrate the application of this newly developed SRB model in a typical real world analysis. Accuracy of the model was verified by comparing measured to predicted behaviors for equivalent systems.

Comparison of angular frequency contrast sensitivity in young and older adults

The aim of the present study was to measure contrast sensitivity curves for angular frequencies in the range between 2 and 96 cycles/360º in older human adult volunteers and to compare these measurements with the more usual contrast sensitivity functions for sine-wave gratings. All subjects were free of identifiable ocular disease and had normal acuity. We measured the contrast thresholds for young adults (N = 6; age range, 20-26 years) and older adults (N = 6; age range, 60-67 years) using the psychophysical forced-choice method. In this paradigm the volunteers had to choose the stimulus containing a test frequency at low contrast (e.g., either a sine-wave grating or an angular frequency stimulus), or another neutral stimulus at mean luminance (without any contrast). Older adults presented a loss in contrast sensitivity at high and medium angular frequencies compared to the young adults (i.e., from 8 to 96 cycles/360º). Contrary to expectation, contrast sensitivity at low angular frequencies, i.e., 2 and 4 cycles/360º, was better for the older group than for the younger group. On the other hand, contrast sensitivity for sine-wave gratings at 3 and 4 cpd was higher for young adults as expected. These results suggest age-related changes in the contrast sensitivity function for angular frequencies.

Comparison of the Polar S810i monitor and the ECG for the analysis of heart rate variability in the time and frequency domains

The aim of the present study was to compare heart rate variability (HRV) at rest and during exercise using a temporal series obtained with the Polar S810i monitor and a signal from a LYNX® signal conditioner (BIO EMG 1000 model) with a channel configured for the acquisition of ECG signals. Fifteen healthy subjects aged 20.9 ± 1.4 years were analyzed. The subjects remained at rest for 20 min and performed exercise for another 20 min with the workload selected to achieve 60% of submaximal heart rate. RR series were obtained for each individual with a Polar S810i instrument and with an ECG analyzed with a biological signal conditioner. The HRV indices (rMSSD, pNN50, LFnu, HFnu, and LF/HF) were calculated after signal processing and analysis. The unpaired Student t-test and intraclass correlation coefficient were used for data analysis. No statistically significant differences were observed when comparing the values analyzed by means of the two devices for HRV at rest and during exercise. The intraclass correlation coefficient demonstrated satisfactory correlation between the values obtained by the devices at rest (pNN50 = 0.994; rMSSD = 0.995; LFnu = 0.978; HFnu = 0.978; LF/HF = 0.982) and during exercise (pNN50 = 0.869; rMSSD = 0.929; LFnu = 0.973; HFnu = 0.973; LF/HF = 0.942). The calculation of HRV values by means of temporal series obtained from the Polar S810i instrument appears to be as reliable as those obtained by processing the ECG signal captured with a signal conditioner.

A novel polar-based human face recognition computational model

Motivated by a recently proposed biologically inspired face recognition approach, we investigated the relation between human behavior and a computational model based on Fourier-Bessel (FB) spatial patterns. We measured human recognition performance of FB filtered face images using an 8-alternative forced-choice method. Test stimuli were generated by converting the images from the spatial to the FB domain, filtering the resulting coefficients with a band-pass filter, and finally taking the inverse FB transformation of the filtered coefficients. The performance of the computational models was tested using a simulation of the psychophysical experiment. In the FB model, face images were first filtered by simulated V1- type neurons and later analyzed globally for their content of FB components. In general, there was a higher human contrast sensitivity to radially than to angularly filtered images, but both functions peaked at the 11.3-16 frequency interval. The FB-based model presented similar behavior with regard to peak position and relative sensitivity, but had a wider frequency band width and a narrower response range. The response pattern of two alternative models, based on local FB analysis and on raw luminance, strongly diverged from the human behavior patterns. These results suggest that human performance can be constrained by the type of information conveyed by polar patterns, and consequently that humans might use FB-like spatial patterns in face processing.

Performance of value and momentum strategies in the Swedish stock market

This thesis investigates the performance of value and momentum strategies in the Swedish stock market during the 2000-2015 sample period. In addition the performance of some value and value-momentum combination is examined. The data consists of all the publicly traded companies in the Swedish stock market between 2000-2015. P/E, P/B, P/S, EV/EBITDA, EV/S ratios and 3, 6 and 12 months value criteria are used in the portfolio formation. In addition to single selection criteria, combination of P/E and P/B (aka. Graham number), the average ranking of the five value criteria and EV/EBIT – 3 month momentum combination is used as a portfolio-formation criterion. The stocks are divided into quintile portfolios based on each selection criterion. The portfolios are reformed once a year using the April’s price information and previous year’s financial information. The performance of the portfolios is examined based on average annual return, the Sharpe ratio and the Jensen alpha. The results show that the value-momentum combination is the best-performing portfolio both during the whole sample period and during the sub-period that started after the 2007-financial crisis.