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.

Trading Democracy for Security? The Effects of the International Drug War on the Quality of Democracy in the Dominican Republic, 1996 -2008

The purpose of the research is to study the relationship between international drug interdiction policies and domestic politics in fragile democracies, and to demonstrate how international drug control policies and the use of force fit the rhetoric of war, are legitimized by the principles of a just war, but may also cause collateral damage and negative unintended consequences. The method used is a case study of the Dominican Republic. The research has found that international drug control regimes, primarily led by the U.S. and narrowly focused on interdiction, have influenced an increasingly militarized approach to domestic law enforcement in the Dominican Republic. The collateral damage caused by militarized enforcement comes in the form of negative perceptions of citizen security, loss of respect for the rule of law and due process, and low levels of civil society development. The drug war has exposed the need for significant reform of the institutions charged with carrying out enforcement, the police force and the judicial system in particular. The dissertation concludes that the extent of drug trafficking in the Dominican Republic is beyond the scope of domestic reform efforts alone, but that the programs implemented do show some potential for future success. The dissertation also concludes that the framework of warfare is not the most appropriate for the international problems of drug traffic and abuse. A broader, multipronged approach should be considered by world policy makers in order to address all conditions that allow drugs to flourish without infringing upon democratic and civil rights in the process.

Psychosocial morbidity in women with abnormal cervical cytology managed by cytological surveillance or initial colposcopy : longitudinal analysis from the TOMBOLA randomised trial

We are grateful for the co-operation and assistance that we received from NHS staff in the co-ordinating centres and clinical sites. We thank the women who participated in TOMBOLA. The TOMBOLA trial was supported by the Medical Research Council (G9700808) and the NHS in England and Scotland. The TOMBOLA Group comprises the following: Grant-holders: University of Aberdeen and NHS Grampian, Aberdeen, Scotland: Maggie Cruickshank, Graeme Murray, David Parkin, Louise Smart, Eric Walker, Norman Waugh (Principal Investigator 2004–2008) University of Nottingham and Nottingham NHS, Nottingham, England: Mark Avis, Claire Chilvers, Katherine Fielding, Rob Hammond, David Jenkins, Jane Johnson, Keith Neal, Ian Russell, Rashmi Seth, Dave Whynes University of Dundee and NHS Tayside, Dundee, Tayside: Ian Duncan, Alistair Robertson (deceased) University of Ottawa, Ottawa, Canada: Julian Little (Principal Investigator 1999–2004) National Cancer Registry, Cork, Ireland: Linda Sharp Bangor University, Bangor, Wales: Ian Russell University of Hull, Hull, England: Leslie G Walker Staff in clinical sites and co-ordinating centres Grampian Breda Anthony, Sarah Bell, Adrienne Bowie, Katrina Brown (deceased), Joe Brown, Kheng Chew, Claire Cochran, Seonaidh Cotton, Jeannie Dean, Kate Dunn, Jane Edwards, David Evans, Julie Fenty, Al Finlayson, Marie Gallagher, Nicola Gray, Maureen Heddle, Alison Innes, Debbie Jobson, Mandy Keillor, Jayne MacGregor, Sheona Mackenzie, Amanda Mackie, Gladys McPherson, Ike Okorocha, Morag Reilly, Joan Rodgers, Alison Thornton, Rachel Yeats Tayside Lindyanne Alexander, Lindsey Buchanan, Susan Henderson, Tine Iterbeke, Susanneke Lucas, Gillian Manderson, Sheila Nicol, Gael Reid, Carol Robinson, Trish Sandilands Nottingham Marg Adrian, Ahmed Al-Sahab, Elaine Bentley, Hazel Brook, Claire Bushby, Rita Cannon, Brenda Cooper, Ruth Dowell, Mark Dunderdale, Dr Gabrawi, Li Guo, Lisa Heideman, Steve Jones, Salli Lawson, Zoë Philips, Christopher Platt, Shakuntala Prabhakaran, John Rippin, Rose Thompson, Elizabeth Williams, Claire Woolley Statistical analysis Seonaidh Cotton, Kirsten Harrild, John Norrie, Linda Sharp External Trial Steering Committee Nicholas Day (chair, 1999–2004), Theresa Marteau (chair 2004-), Mahesh Parmar, Julietta Patnick and Ciaran Woodman.

Evaluating New Policy Instruments of the Corporate Average Fuel Economy Standards : Footprints, Credit Transferring and Credit Trading

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Evaluating New Policy Instruments of the Corporate Average Fuel Economy Standards : Footprints, Credit Transferring and Credit Trading

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Renovação da certificação do referencial BRC, aplicação do código de ética laboral ETI – Ethical Trading Initiative e do referencial específico da Walmart na central fruteira O Melro.OP

A crescente preocupação com a segurança alimentar por parte das empresas do setor, assim como a segurança e o bem estar dos trabalhadores cresce com o alargamento do mercado de exportação e importação de produtos. As exigências de muitos retalhistas e grossistas europeus reforçam a necessidade de implementação de referenciais específicos. Este trabalho tem por base a atualização da norma British Retail Consortium (BRC) para a sétima versão, implementação do referencial Ethical Trading Initiative (ETI) e Walmart na central fruteira O Melro.OP. Todos os referenciais foram analisados, de forma a compreender as melhores metodologias para o cumprimento dos requisitos exigidos, tendo sido consultada a legislação aplicável relevante aos vários setores, recursos humanos, ética, segurança e higiene no trabalho e ambiente. Procedeu-se à elaboração das check lists para cada referencial e a uma auditoria prévia com o objetivo de avaliar a situação atual da empresa. Elaboraram-se relatórios e planos de ação indicando as alterações a ter em conta para a implementação e atualização dos referenciais e toda a documentação associada. Posteriormente foi feita uma auditoria interna de modo a confirmar que o plano de ação da auditoria prévia foi aplicado, tendo-se elaborado o relatório da auditoria e novos planos de ação para futura melhoria e obtenção das respetivas certificações. Com a implementação destas certificações para os referenciais BRC, ETI e Walmart a empresa pode obter uma maior visibilidade no mercado, aumentado assim o seu leque de clientes.

Efficient Prices at Any Cost: Does Algorithmic Trading Deter Information Acquisition?

I demonstrate a powerful tension between acquiring information and incorporating it into asset prices, the two core elements of price discovery. As a salient case, I focus on the transformative rise of algorithmic trading (AT) typically associated with improved price efficiency. Using a measure of the relative information content of prices and a comprehensive panel of 37,325 stock-quarters of SEC market data, I establish instead that algorithmic trading strongly decreases the net amount of information in prices. The increase in price distortions associated with the AT “information gap” is roughly $42.6 billion/year for U.S. common stocks around earnings announcement events alone. Information losses are concentrated among stocks with high shares of algorithmic liquidity takers relative to algorithmic liquidity makers, suggesting that aggressive AT powerfully deters fundamental information acquisition despite its importance for translating available information into prices.

Abnormal Pedestrian Trajectory analysis based on arbitrary-length clustering

This papers examines the use of trajectory distance measures and clustering techniques to define normal
and abnormal trajectories in the context of pedestrian tracking in public spaces. In order to detect abnormal
trajectories, what is meant by a normal trajectory in a given scene is firstly defined. Then every trajectory
that deviates from this normality is classified as abnormal. By combining Dynamic Time Warping and a
modified K-Means algorithms for arbitrary-length data series, we have developed an algorithm for trajectory
clustering and abnormality detection. The final system performs with an overall accuracy of 83% and 75%
when tested in two different standard datasets.

Is Trading Behavior Stable Across Contexts? Evidence from Style and Multi-Style Investors

In this paper we study priming of identity within the context of inherent vs. contextual financial decision making. We use a sample of individual trading accounts in equity-style funds taken from one fund family to test the hypothesis that trading styles are inherent vs. contextual. Our sample contains investors who invest either in a growth fund, a value fund, or both. We document behavioral differences between growth fund investors and value fund investors. We find that their trades depend on past returns in different ways: growth fund investors tend towards momentum trading and value fund investors tend towards contrarian trading. These differences may be due to inherent clientele characteristics, including beliefs about market prices, specific personality traits and cognitive strategies that cause them to self-select into one or the other style. We use a sample of investors that trade in both types of funds to test this proposition. Consistent with the contextual hypothesis, we find that investors who hold both types of funds trade growth fund shares differently than value fund shares.

Retail trading areas in Des Moines, Henry, and Lee counties : a study / by the Committee on Business and Industry, Iowa State Planning Board, 1936

This study provides information on retail trade and market surveys in Des Moines, Henry and Lee Counties in Iowa. Maps and tables are included. Transportation facilities, sources of income, trading areas, banking changes, shopping centers and other factors that impact retail trade are discussed.

Short-term Trading in Long-term Funds: Implications for Financial Managers

Most hospitality firms do not consider managing stock portfolios to be a main part of their operations. They are in the service business, using their real assets and the services provided by employees to create valuable experiences for guests. However, the need to focus on stock investments arises through those employees. Employees consistently rank benefits, including retirement benefits, among the top five contributors to job satisfaction and as a key consideration in accepting a job.1 It is not surprising, then, that more than 90 percent of companies with 500 or more employees offer retirement plans. The five largest hotel companies in the U.S. have over $10 billion in assets under management in their retirement plans, making these plans a key component in retirement investment decisions.

Techno-Economic Assessment of LNG and Diesel Production and Global Trading Based on Hybrid PV-Wind Power Plants and PtG, GtL and PtL Technologies

With growing demand for liquefied natural gas (LNG) and liquid transportation fuels, and concerns about climate change and causes of greenhouse gas emissions, this master’s thesis introduces a new value chain design for LNG and transportation fuels and respective fundamental business cases based on hybrid PV-Wind power plants. The value chains are composed of renewable electricity (RE) converted by power-to-gas (PtG), gas-to-liquids (GtL) or power-to-liquids (PtL) facilities into SNG (which is finally liquefied into LNG) or synthetic liquid fuels, mainly diesel, respectively. The RE-LNG or RE-diesel are drop-in fuels to the current energy system and can be traded everywhere in the world. The calculations for the hybrid PV-Wind power plants, electrolysis, methanation (H2tSNG), hydrogen-to-liquids (H2tL), GtL and LNG value chain are performed based on both annual full load hours (FLh) and hourly analysis. Results show that the proposed RE-LNG produced in Patagonia, as the study case, is competitive with conventional LNG in Japan for crude oil prices within a minimum price range of about 87 - 145 USD/barrel (20 – 26 USD/MBtu of LNG production cost) and the proposed RE-diesel is competitive with conventional diesel in the European Union (EU) for crude oil prices within a minimum price range of about 79 - 135 USD/barrel (0.44 – 0.75 €/l of diesel production cost), depending on the chosen specific value chain and assumptions for cost of capital, available oxygen sales and CO2 emission costs. RE-LNG or RE-diesel could become competitive with conventional fuels from an economic perspective, while removing environmental concerns. The RE-PtX value chain needs to be located at the best complementing solar and wind sites in the world combined with a de-risking strategy. This could be an opportunity for many countries to satisfy their fuel demand locally. It is also a specific business case for countries with excellent solar and wind resources to export carbon-neutral hydrocarbons, when the decrease in production cost is considerably more than the shipping cost. This is a unique opportunity to export carbon-neutral hydrocarbons around the world where the environmental limitations on conventional hydrocarbons are getting tighter.

Omega-3 Fatty Acids are Related to Abnormal Emotion Processing in Adolescent Boys with Attention Deficit Hyperactivity Disorder

Background In addition to the core symptoms, attention deficit hyperactivity disorder (ADHD) is associated with poor emotion regulation. There is some evidence that children and young adults with ADHD have lower omega-3 levels and that supplementation with omega-3 can improve both ADHD and affective symptoms. We therefore investigated differences between ADHD and non-ADHD children in omega-3/6 fatty acid plasma levels and the relationship between those indices and emotion-elicited event-related potentials (ERPs). Methods Children/adolescents with (n=31) and without ADHD (n=32) were compared in their plasma omega-3/6 indices and corresponding ERPs during an emotion processing task. Results Children with ADHD had lower mean omega-3/6 and ERP abnormalities in emotion processing, independent of emotional valence relative to control children. ERP abnormalities were significantly associated with lower omega-3 levels in the ADHD group. Conclusions The findings reveal for the first time that lower omega-3 fatty acids are associated with impaired emotion processing in ADHD children.

Tender offers in South America: Are abnormal returns really high?

Diferentes estudios realizados en mercados de capital desarrollados han revelado tasas de retorno positivas inusuales de por lo menos 15% durante la fecha de anuncio de la oferta pública de adquisición de acciones. Aunque casi no se han llevado a cabo estudios sobre los mercados bursátiles en Sudamérica, algunos estudios han reportado tasas de retorno positivas inusuales en un rango del 25% al 50%, las cuales están relacionadas con el anuncio de la primera oferta de adquisición. En el presente estudio, se argumenta que las tasas de retorno positivas inusuales estimadas en los mercados emergentes son altas porque los estudios se han basado en un mercado de capitales totalmente segmentado aplicando el modelo de mercado y utilizando un índice del mercado bursátil local. Al considerar la integración parcial entre los cinco mercados emergentes en Sudamérica, se demuestra que efectivamente existen tasas de retorno positivas inusuales antes, durante y después de la fecha de anuncio de la primera oferta de adquisición. Sin embargo, el retorno positivo inusual asociado a la fecha del anuncio se encuentra en el orden del 8%. Utilizando un modelo de mercado que considere la integración parcial y el riesgo a la baja, se obtiene una tasa de retorno inusual ligeramente mayor. Estos resultados señalan una menor tasa de retorno positiva inusual en la muestra de las empresas sudamericanas incluidas en el estudio.

Imaging of activated complement using ultrasmall superparamagnetic iron oxide particles (USPIO) - conjugated vectors: an in vivo in utero non-invasive method to predict placental insufficiency and abnormal fetal brain development.

In the current study, we have developed a magnetic resonance imaging-based method for non-invasive detection of complement activation in placenta and foetal brain in vivo in utero. Using this method, we found that anti-complement C3-targeted ultrasmall superparamagnetic iron oxide (USPIO) nanoparticles bind within the inflamed placenta and foetal brain cortical tissue, causing a shortening of the T2* relaxation time. We used two mouse models of pregnancy complications: a mouse model of obstetrics antiphospholipid syndrome (APS) and a mouse model of preterm birth (PTB). We found that detection of C3 deposition in the placenta in the APS model was associated with placental insufficiency characterised by increased oxidative stress, decreased vascular endothelial growth factor and placental growth factor levels and intrauterine growth restriction. We also found that foetal brain C3 deposition was associated with cortical axonal cytoarchitecture disruption and increased neurodegeneration in the mouse model of APS and in the PTB model. In the APS model, foetuses that showed increased C3 in their brains additionally expressed anxiety-related behaviour after birth. Importantly, USPIO did not affect pregnancy outcomes and liver function in the mother and the offspring, suggesting that this method may be useful for detecting complement activation in vivo in utero and predicting placental insufficiency and abnormal foetal neurodevelopment that leads to neuropsychiatric disorders.