Introducing risk parity on momentum and carry portfolios

The momentum and carry anomalies have been extensively documented in the literature. However, there are still many issues relating to the risks associated to them that are left unexplained. One is the fact that an investor holds for too long the most volatile assets, both under momentum and carry strategies. Therefore, they present a level of risk and a probability of extreme events to happen inconsistent. This work project hypothesizes and proves the introduction of risk parity rules on the weights of the portfolios do increase risk rewarding of carry strategies. However, it fails under momentum strategies.

Search for New Phenomena in Dijet Angular Distributions in Proton-Proton Collisions at s√=8 TeV Measured with the ATLAS Detector

A search for new phenomena in LHC proton-proton collisions at a center-of-mass energy of s√=8 TeV was performed with the ATLAS detector using an integrated luminosity of 17.3 fb−1. The angular distributions are studied in events with at least two jets; the highest dijet mass observed is 5.5 TeV. All angular distributions are consistent with the predictions of the Standard Model. In a benchmark model of quark contact interactions, a compositeness scale below 8.1 TeV in a destructive interference scenario and 12.0 TeV in a constructive interference scenario is excluded at 95% CL; median expected limits are 8.9 TeV for the destructive interference scenario and 14.1 TeV for the constructive interference scenario.

Angular distributions in tt¯H(H→bb¯) reconstructed events at the LHC

The associated production of a Higgs boson and a top-quark pair, tt¯H, in proton-proton collisions is addressed in this paper for a center of mass energy of 13TeV at the LHC. Dileptonic final states of tt¯H events with two oppositely charged leptons and four jets from the decays t→bW+→bℓ+νℓ, t¯→b¯W−→b¯ℓ−ν¯ℓ and h→bb¯, are used. Signal events, generated with MadGraph5_aMC@NLO, are fully reconstructed by applying a kinematic fit. New angular distributions of the decay products as well as angular asymmetries are explored in order to improve discrimination of tt¯H signal events over the dominant irreducible background contribution, tt¯bb¯. Even after the full kinematic fit reconstruction of the events, the proposed angular distributions and asymmetries are still quite different in the tt¯H signal and the dominant background (tt¯bb¯).

Contribution to the marine propeller hydrodynamic design for small boats in the Amazon region

ABSTRACTIn the Amazon, river navigation is very important due to the length of navigable rivers and the lack of alternative road networks. Boats usually operate in unfavorable conditions, since there is no hydrodynamic relation among propellers, geometry, and the dimensions of the boat hull. Currently, there is no methodology for propeller hydrodynamic optimization with low computational cost and easy implementation in the region. The aim of this work was to develop a mathematical approach for marine propeller design applied to boats typically found on Amazon rivers. We developed an optimized formulation for the chord and pitch angle distributions, taking into account the classical model of Glauert. A theoretical analysis for the thrust and torque relationships on an annular control volume was performed. The mathematical model used was based on the Blade Element Momentum Theory (BEMT). We concluded that the new methodology proposed in this work demonstrates a good physical behavior when compared with the theory of Glauert and the experimental data of the Wageningen B3-50 propeller.

Singularities of the dynamical structure factors of the spin-1/2 XXX chain at finite magnetic field

We study the longitudinal and transverse spin dynamical structure factors of the spin-1/2 XXX chain at finite magnetic field h, focusing in particular on the singularities at excitation energies in the vicinity of the lower thresholds. While the static properties of the model can be studied within a Fermi-liquid like description in terms of pseudoparticles, our derivation of the dynamical properties relies on the introduction of a form of the ‘pseudofermion dynamical theory’ (PDT) of the 1D Hubbard model suitably modified for the spin-only XXX chain and other models with two pseudoparticle Fermi points. Specifically, we derive the exact momentum and spin-density dependences of the exponents ζτ(k) controlling the singularities for both the longitudinal  and transverse (τ = t) dynamical structure factors for the whole momentum range  , in the thermodynamic limit. This requires the numerical solution of the integral equations that define the phase shifts in these exponents expressions. We discuss the relation to neutron scattering and suggest new experiments on spin-chain compounds using a carefully oriented crystal to test our predictions.

The distributions of the native land mollusks of the Eastern United States / Leslie Hubricht.

n.s. no.24(1985)

Scenario-based assessment of future land use change on butterfly species distributions

Species distribution models (SDMs) are increasingly used to predict environmentally induced range shifts of habitats of plant and animal species. Consequently SDMs are valuable tools for scientifically based conservation decisions. The aims of this paper are (1) to identify important drivers of butterfly species persistence or extinction, and (2) to analyse the responses of endangered butterfly species of dry grasslands and wetlands to likely future landscape changes in Switzerland. Future land use was represented by four scenarios describing: (1) ongoing land use changes as observed at the end of the last century; (2) a liberalisation of the agricultural markets; (3) a slightly lowered agricultural production; and (4) a strongly lowered agricultural production. Two model approaches have been applied. The first (logistic regression with principal components) explains what environmental variables have significant impact on species presence (and absence). The second (predictive SDM) is used to project species distribution under current and likely future land uses. The results of the explanatory analyses reveal that four principal components related to urbanisation, abandonment of open land and intensive agricultural practices as well as two climate parameters are primary drivers of species occurrence (decline). The scenario analyses show that lowered agricultural production is likely to favour dry grassland species due to an increase of non-intensively used land, open canopy forests, and overgrown areas. In the liberalisation scenario dry grassland species show a decrease in abundance due to a strong increase of forested patches. Wetland butterfly species would decrease under all four scenarios as their habitats become overgrown

Comparing population distributions from bin-aggregated sample data: an application to historical height data from France

This paper develops a methodology to estimate the entire population distributions from bin-aggregated sample data. We do this through the estimation of the parameters of mixtures of distributions that allow for maximal parametric flexibility. The statistical approach we develop enables comparisons of the full distributions of height data from potential army conscripts across France's 88 departments for most of the nineteenth century. These comparisons are made by testing for differences-of-means stochastic dominance. Corrections for possible measurement errors are also devised by taking advantage of the richness of the data sets. Our methodology is of interest to researchers working on historical as well as contemporary bin-aggregated or histogram-type data, something that is still widely done since much of the information that is publicly available is in that form, often due to restrictions due to political sensitivity and/or confidentiality concerns.

On the existence of hysteresis in the Kuramoto model with bimodal frequency distributions

We investigate the transition to synchronization in the Kuramoto model with bimodal distributions of the natural frequencies. Previous studies have concluded that the model exhibits a hysteretic phase transition if the bimodal distribution is close to a unimodal one, due to the shallowness the central dip. Here we show that proximity to the unimodal-bimodal border does not necessarily imply hysteresis when the width, but not the depth, of the central dip tends to zero. We draw this conclusion from a detailed study of the Kuramoto model with a suitable family of bimodal distributions.

An Introduction to parametric and non-parametric models for bivariate positive insurance claim severity distributions

We present a real data set of claims amounts where costs related to damage are recorded separately from those related to medical expenses. Only claims with positive costs are considered here. Two approaches to density estimation are presented: a classical parametric and a semi-parametric method, based on transformation kernel density estimation. We explore the data set with standard univariate methods. We also propose ways to select the bandwidth and transformation parameters in the univariate case based on Bayesian methods. We indicate how to compare the results of alternative methods both looking at the shape of the overall density domain and exploring the density estimates in the right tail.

On left-truncating and mixing Poisson distributions

"Vegeu el resum a l'inici del document del fitxer adjunt"

Estimation of parametric and nonparametric models for univariate claim severity distributions - an approach using R

This paper presents an analysis of motor vehicle insurance claims relating to vehicle damage and to associated medical expenses. We use univariate severity distributions estimated with parametric and non-parametric methods. The methods are implemented using the statistical package R. Parametric analysis is limited to estimation of normal and lognormal distributions for each of the two claim types. The nonparametric analysis presented involves kernel density estimation. We illustrate the benefits of applying transformations to data prior to employing kernel based methods. We use a log-transformation and an optimal transformation amongst a class of transformations that produces symmetry in the data. The central aim of this paper is to provide educators with material that can be used in the classroom to teach statistical estimation methods, goodness of fit analysis and importantly statistical computing in the context of insurance and risk management. To this end, we have included in the Appendix of this paper all the R code that has been used in the analysis so that readers, both students and educators, can fully explore the techniques described

Universality of rain event size distributions

We compare rain event size distributions derived from measurements in climatically different regions, which we find to be well approximated by power laws of similar exponents over broad ranges. Differences can be seen in the large-scale cutoffs of the distributions. Event duration distributions suggest that the scale-free aspects are related to the absence of characteristic scales in the meteorological mesoscale.

Break zones in the distributions of alleles and species in alpine plants

Aim  We test for the congruence between allele-based range boundaries (break zones) in silicicolous alpine plants and species-based break zones in the silicicolous flora of the European Alps. We also ask whether such break zones coincide with areas of large elevational variation.Location  The European Alps.Methods  On a regular grid laid across the entire Alps, we determined areas of allele- and species-based break zones using respective clustering algorithms, identifying discontinuities in cluster distributions (breaks), and quantifying integrated break densities (break zones). Discontinuities were identified based on the intra-specific genetic variation of 12 species and on the floristic distribution data from 239 species, respectively. Coincidence between the two types of break zones was tested using Spearman's correlation. Break zone densities were also regressed on topographical complexity to test for the effect of elevational variation.Results  We found that two main break zones in the distribution of alleles and species were significantly correlated. Furthermore, we show that these break zones are in topographically complex regions, characterized by massive elevational ranges owing to high mountains and deep glacial valleys. We detected a third break zone in the distribution of species in the eastern Alps, which is not correlated with topographic complexity, and which is also not evident from allelic distribution patterns. Species with the potential for long-distance dispersal tended to show larger distribution ranges than short-distance dispersers.Main conclusions  We suggest that the history of Pleistocene glaciations is the main driver of the congruence between allele-based and species-based distribution patterns, because occurrences of both species and alleles were subject to the same processes (such as extinction, migration and drift) that shaped the distributions of species and genetic lineages. Large elevational ranges have had a profound effect as a dispersal barrier for alleles during post-glacial immigration. Because plant species, unlike alleles, cannot spread via pollen but only via seed, and thus disperse less effectively, we conclude that species break zones are maintained over longer time spans and reflect more ancient patterns than allele break zones.Conny Thiel-Egenter and Nadir Alvarez contributed equally to this paper and are considered joint first authors.