Momentum Trading in New York Stock Exchange (NYSE) Energy Stocks

This paper investigates whether the momentum effect exists in the NYSE energy sector. Momentum is defined as the strategy that buys (sells) these stocks that are best (worst) performers, over a pre-specified past period of time (the 'look-back' period), by constructing equally weighted portfolios. Different momentum strategies are obtained by changing the number of stocks included in these portfolios, as well as the look-back period. Next, their performance is compared against two benchmarks: the equally weighted portfolio consisting of most stocks in the NYSE energy index and the market portfolio, and the S&P500 index. The results indicate that the momentum effect is strongly present in the energy sector, and leads to highly profitable portfolios, improving the risk-reward measures and easily outperforming both benchmarks.

Synthesis of the C(7)-C(22)-Sector of (+)-Acutiphycin Via O-Directed Double Free Radical Alkyne Hydrostannation with Ph3SnH/Et3B, Double I-Sn Exchange and Double Stille Coupling

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Herein a new double O-directed free radical hydrostannation reaction is reported on the structurally complex dialkyldiyne 11. Through our use of a conformation-restraining acetal to help prevent stereocenter-compromising 1,5-H-atom abstraction reactions by vinyl radical intermediates, the two vinylstannanes of 10 were concurrently constructed with high stereocontrol using Ph3SnH/Et3B/O2. Distannane 10 was thereafter elaborated into the bis-vinyl iodide 9 via O-silylation and double I–Sn exchange; double Stille coupling of 9, O-desilylation, and oxidation thereafter furnished 8.

Secure Key Generation from OFDM Subcarriers’ Channel Response

The ability to exchange keys between users is vital in any wireless based security system. A key generation technique exploits the randomness of the wireless channel is a promising alternative to existing key distribution techniques, e.g., public key cryptography. In this paper a secure key generation scheme based on the subcarriers’ channel responses in orthogonal frequencydivision multiplexing (OFDM) systems is proposed. We first implement a time-variant multipath channel with its channel impulse response modelled as a wide sense stationary (WSS) uncorrelated scattering random process and demonstrate that each subcarrier’s channel response is also a WSS random process. We then define the X% coherence time as the time required to produce an X% correlation coefficient in the autocorrelation function (ACF) of each channel tap, and find that when all the channel taps have the same Doppler power spectrum, all subcarriers’ channel responses has the same ACF as the channel taps. The subcarrier’s channel response is then sampled every X% coherence time and quantized into key bits. All the key sequences’ randomness is tested using National Institute of Standards and Technology (NIST) statistical test suite and the results indicate that the commonly used sampling interval as 50% coherence time cannot guarantee the randomness of the key sequence.

Kuznetsov independence for interval-valued expectations and sets of probability distributions: Properties and algorithms

Kuznetsov independence of variables X and Y means that, for any pair of bounded functions f(X) and g(Y), E[f(X)g(Y)]=E[f(X)] *times* E[g(Y)], where E[.] denotes interval-valued expectation and *times* denotes interval multiplication. We present properties of Kuznetsov independence for several variables, and connect it with other concepts of independence in the literature; in particular we show that strong extensions are always included in sets of probability distributions whose lower and upper expectations satisfy Kuznetsov independence. We introduce an algorithm that computes lower expectations subject to judgments of Kuznetsov independence by mixing column generation techniques with nonlinear programming. Finally, we define a concept of conditional Kuznetsov independence, and study its graphoid properties.

Outperformance in exchange-traded fund pricing deviations: Generalized control of data snooping bias

An investigation into exchange-traded fund (ETF) outperforrnance during the period 2008-2012 is undertaken utilizing a data set of 288 U.S. traded securities. ETFs are tested for net asset value (NAV) premium, underlying index and market benchmark outperformance, with Sharpe, Treynor, and Sortino ratios employed as risk-adjusted performance measures. A key contribution is the application of an innovative generalized stepdown procedure in controlling for data snooping bias. We find that a large proportion of optimized replication and debt asset class ETFs display risk-adjusted premiums with energy and precious metals focused funds outperforming the S&P 500 market benchmark. 

Exchange between sub-surface and surface oxygen vacancies on CeO2(111):a new surface diffusion mechanism

Using first principles calculations for O vacancy diffusion on CeO2(111), we locate a surface diffusion mechanism, the two-step O vacancy exchange one, which is more favored than the most common hopping mechanism. By analyzing the results, we identify quantitatively the physical origin of why the two-step exchange mechanism is preferred.

Knowledge Exchange, Spatial Analysis & Healthy Urban Environments (KESUE): Project Report

The Knowledge Exchange, Spatial Analysis and Healthy Urban Environments (KESUE) project has extended work previously undertaken by a QUB team of inter-disciplinary researchers engaged with the Physical Activity in the Regeneration of Connswater (PARC) project (Tully et al, 2013). The PARC project focussed on parts of East Belfast to assess the health impact of the Connswater Community Greenway. The KESUE project has aimed to extend some of the tools used initially in East Belfast so that they have data coverage of all of Belfast and Derry-Londonderry. The purpose of this has been to enable the development of evidence and policy tools that link features of the built environment with physical activity in these two cities. The project has used this data to help shape policy decisions in areas such as physical activity, park management, public transport and planning.

Working with a range of local partners who part-funded the project (City Councils in Belfast and Derry-Londonderry, Public Health Agency, Belfast Healthy Cities and Department of Regional Development), this project has mapped all the footpaths in the two cities (covering 37% of the NI population) and employed this to develop evidence used in strategies related to healthy urban planning. Using Geographic Information Systems (GIS), the footpath network has been used as a basis for a wide range of policy-relevant analyses including pedestrian accessibility to public facilities, site options for new infrastructure and assessing how vulnerable groups can access services such as pharmacies. Key outputs have been Accessibility Atlases and maps showing how walkability of the built environment varies across the two cities.

In addition to generating this useful data, the project included intense engagement with potential users of the research, which has led to its continued uptake in a number of policies and strategies, creating a virtuous circle of research, implementation and feedback. The project has proved so valuable to Belfast City Council that they have now taken on one of the researchers to continue the work in-house.