Serial correlation in the returns of UK capitalization based portfolios

This article examines whether UK portfolio returns are time varying so that expected returns follow an AR(1) process as proposed by Conrad and Kaul for the USA. It explores this hypothesis for four portfolios that have been formed on the basis of market capitalization. The portfolio returns are modelled using a kalman filter signal extraction model in which the unobservable expected return is the state variable and is allowed to evolve as a stationary first order autoregressive process. It finds that this model is a good representation of returns and can account for most of the autocorrelation present in observed portfolio returns. This study concludes that UK portfolio returns are time varying and the nature of the time variation appears to introduce a substantial amount of autocorrelation to portfolio returns. Like Conrad and Kaul if finds a link between the extent to which portfolio returns are time varying and the size of firms within a portfolio but not the monotonic one found for the USA. © 2004 Taylor and Francis Ltd.

Polynomial Expansions for Solutions of Higher-Order Bessel Heat Equation in Quantum Calculus

Mathematics Subject Class.: 33C10,33D60,26D15,33D05,33D15,33D90

Linear binocular combination of responses to contrast modulation:contrast-weighted summation in first- and second-order vision

Binocular combination for first-order (luminancedefined) stimuli has been widely studied, but we know rather little about this binocular process for spatial modulations of contrast (second-order stimuli). We used phase-matching and amplitude-matching tasks to assess binocular combination of second-order phase and modulation depth simultaneously. With fixed modulation in one eye, we found that binocularly perceived phase was shifted, and perceived amplitude increased almost linearly as modulation depth in the other eye increased. At larger disparities, the phase shift was larger and the amplitude change was smaller. The degree of interocular correlation of the carriers had no influence. These results can be explained by an initial extraction of the contrast envelopes before binocular combination (consistent with the lack of dependence on carrier correlation) followed by a weighted linear summation of second-order modulations in which the weights (gains) for each eye are driven by the first-order carrier contrasts as previously found for first-order binocular combination. Perceived modulation depth fell markedly with increasing phase disparity unlike previous findings that perceived first-order contrast was almost independent of phase disparity. We present a simple revision to a widely used interocular gain-control theory that unifies first- and second-order binocular summation with a single principle-contrast-weighted summation-and we further elaborate the model for first-order combination. Conclusion: Second-order combination is controlled by first-order contrast.

Measurement and correlation of the solubility of telmisartan (form A) in nine different solvents from 277.85 to 338.35 K

The solubility of telmisartan (form A) in nine organic solvents (chloroform, dichloromethane, ethanol, toluene, benzene, 2-propanol, ethyl acetate, methanol and acetone) was determined by a laser monitoring technique at temperatures from 277.85 to 338.35 K. The solubility of telmisartan (form A) in all of the nine solvents increased with temperature as did the rates at which the solubility increased except in chloroform and dichloromethane. The mole fraction solubility in chloroform is higher than that in dichloromethane, which are both one order of magnitude higher than those in the other seven solvents at the experimental temperatures. The solubility data were correlated with the modified Apelblat equation and λh equations. The results show that the λh equation is in better agreement with the experimental data than the Apelblat equation. The relative root mean square deviations (σ) of the λh equation are in the range from 0.004 to 0.45 %. The dissolution enthalpies, entropies and Gibbs energies of telmisartan in these solvents were estimated by the Van’t Hoff equation and the Gibbs equation. The melting point and the fusion enthalpy of telmisartan were determined by differential scanning calorimetry.

Enjoying the third age! Discourse, identity and liminality in extra-care communities

Extra-care housing has been an important and growing element of housing and care for older people in the United Kingdom since the 1990s. Previous studies have examined specific features and programmes within extra-care locations, but few have studied how residents negotiate social life and identity. Those that have, have noted that while extra care brings many health-related and social benefits, extra-care communities can also be difficult affective terrain. Given that many residents are now ‘ageing in place’ in extra care, it is timely to revisit these questions of identity and affect. Here we draw on the qualitative element of a three-year, mixed-method study of 14 extra-care villages and schemes run by the ExtraCare Charitable Trust. We follow Alemàn in regarding residents' ambivalent accounts of life in ExtraCare as important windows on the way in which liminal residents negotiate the dialectics of dependence and independence. However, we suggest that the dialectic of interest here is that of the third and fourth age, as described by Gilleard and Higgs. We set that dialectic within a post-structuralist/Lacanian framework in order to examine the different modes of enjoyment that liminal residents procure in ExtraCare's third age public spaces and ideals, and suggest that their complaints can be read in three ways: as statements about altered material conditions; as inter-subjective bolstering of group identity; and as fantasmatic support for liminal identities. Finally, we examine the implications that this latter psycho-social reading of residents' complaints has for enhancing and supporting residents' wellbeing.

The correlation of structure and electronic properties near the surface of transition metal oxides

The strong couplings between different degrees of freedom are believed to be responsible for novel and complex phenomena discovered in transition metal oxides (TMOs). The physical complexity is directly responsible for their tunability. Creating surfaces/interfaces add an additional ' man-made' twist, approaching the quantum phenomena of correlated materials. ^ The dissertation focused on the structural and electronic properties in proximity of surface of three prototype TMO compounds by using three complementary techniques: scanning tunneling microscopy, angle-resolved photoelectron spectroscopy and low energy electron diffraction, particularly emphasized the effects of broken symmetry and imperfections like defects on the coupling between charge and lattice degrees of freedom. ^ Ca1.5Sr0.5RuO4 is a layered ruthenate with square lattice and at the boundary of magnetic/orbital instability in Ca2-xSrxRuO4. That the substitution of Sr 2+ with Ca2+ causing RuO6 rotation narrows the dxy band width and changes the Fermi surface topology. Particularly, the γ(dxy) Fermi surface sheet exhibited hole-like in Ca1.5Sr0.5RuO4 in contrast to electron-like in Sr2RuO4, showing a strong charge-lattice coupling. ^ Na0.75CoO2 is a layered cobaltite with triangular lattice exhibiting extraordinary thermoelectric properties. The well-ordered CoO2-terminated surface with random Na distribution was observed. However, lattice constants of the surface are smaller than that in bulk. The surface density of states (DOS) showed strong temperature dependence. Especially, an unusual shift of the minimum DOS occurs below 230 K, clearly indicating a local charging effect on the surface. ^ Cd2Re2O7 is the first known pyrochlore oxide superconductor (Tc ∼ 1K). It exhibited an unusual second-order phase transition occurring at TS1 = 200 K and a controversial first-order transition at TS2 = 120 K. While bulk properties display large anomalies at TS1 but rather subtle and sample-dependent changes at TS2, the surface DOS near the EF show no change at T s1 but a substantial increase below TS2---a complete reversal as the signature for the transitions. We argued that crystal imperfections, mainly defects, which were considerably enhanced at the surface, resulted in the transition at TS2. ^

Airborne laser quantification of Florida shoreline and beach volume change caused by hurricanes

This dissertation combines three separate studies that measure coastal change using airborne laser data. The initial study develops a method for measuring subaerial and subaqueous volume change incrementally alongshore, and compares those measurements to shoreline change in order to quantify their relationship in Palm Beach County, Florida. A poor correlation (R2 = 0.39) was found between shoreline and volume change before the hurricane season in the northern section of Palm Beach County because of beach nourishment and inlet dynamics. However, a relatively high R2 value of 0.78 in the southern section of Palm Beach County was found due to little disturbance from tidal inlets and coastal engineering projects. The shoreline and volume change caused by the 2004 hurricane season was poorly correlated with R 2 values of 0.02 and 0.42 for the north and south sections, respectively. The second study uses airborne laser data to investigate if there is a significant relationship between shoreline migration before and after Hurricane Ivan near Panama City, Florida. In addition, the relationship between shoreline change and subaerial volume was quantified and a new method for quantifying subaqueous sediment change was developed. No significant spatial relationship was found between shoreline migration before and after the hurricane. Utilization of a single coefficient to represent all relationships between shoreline and subaerial volume change was found to be problematic due to the spatial variability in the linear relationship. Differences in bathymetric data show only a small portion of sediment was transported beyond the active zone and most sediment remained within the active zone despite the occurrence of a hurricane. The third study uses airborne laser bathymetry to measure the offshore limit of change, and compares that location with calculated depth of closures and subaqueous geomorphology. There appears to be strong geologic control of the depth of closure in Broward and Miami-Dade Counties. North of Hillsboro Inlet, hydrodynamics control the geomorphology which in turn indicates the location of the depth of closure.

Three essays on entrepreneurial entry, serial entrepreneurship, and labor turnover

This study explores two important aspects of entrepreneurship — liquidity constraints and serial entrepreneurs, with an additional analysis of occupational choice among wage workers. In the first essay, I revisit the question of whether entrepreneurs face liquidity constraints in business formation. The principle challenge is that wealth is correlated with unobserved ability, and adequate instruments are often difficult to identify. This paper uses the son's birth order as an instrument for household wealth. I exploit the data available in the Korean Labor and Income Panel Study, and find evidence of liquidity constraints associated with self-employment in South Korea. The second essay develops and tests a model that explains entry into serial entrepreneurship and the performance of serial entrepreneurs as the result of selection on innate ability. The model supposes that agents establish businesses with imperfect information about their entrepreneurial ability and the profitability of business ideas. Agents continually observe signals with which they update their beliefs, and this process eventually determines their next business choice. Selection on ability induces a positive correlation between entrepreneurial experience (measured by previous business earnings and founding experience) and serial business formation, as well as its subsequent performance. The predictions in the model are tested using panel data from the NLSY79. The analysis permits a distinction to be made between selection on innate ability and learning by doing. Motivated by previous empirical findings that white-collar workers had higher turnover rates than blue-collar workers during firm expansion, the third essay further examines job turnover among workers with or without specific skills. I present a search-matching model, which predicts that when firm growth is driven by technological advance, workers whose skills are specific to the obsolete technology show a higher tendency to separate from their jobs. This hypothesis is tested with data from the PSID. I find supportive evidence that in the context of technological change, having an occupation requiring specific skills, such as computer specialists or engineers, increases the odds of job separation by nearly eight percent. ^

Effects of sex, third grade reading achievement and motivation as predictors of fourth grade reading achievement of Hispanic students: A path analysis

This study explored the topic of motivation for intermediate students combining both an objective criterion measure (i.e., standardized test scores) and the self-report of students on self-concept and value of reading. The purpose of this study was to examine how third grade reading achievement correlated with the motivation of fourth grade boys and girls, and, in turn, how motivation related to fourth grade reading achievement. The participants were fourth grade students (n=207) attending two public, elementary schools in Miami-Dade County who were of primarily Hispanic origin or descent. Data were collected using the Reading Survey portion of the Motivation to Read Profile (1996) which measures self-concept and value of reading in order to measure motivation and the Third and Fourth Grade Reading Florida Comprehensive Assessment Tests 2.0 (FCAT 2.0) to assess achievement. First, a one way Analysis of Variance (ANOVA) was conducted to determine whether motivation differed significantly between fourth grade boys and girls. Second, a path analysis was used to determine whether motivation mediated or moderated the association between FCAT 2.0 third and fourth grade scores. Results of the ANOVA indicated that motivation, as measured by the Motivation to Read Profile did not differ significantly by sex. Results from the path analysis indicated that the model was significant and that third grade FCAT 2.0 scores accounted for a significant amount of the variance in fourth grade FCAT 2.0 scores once motivation was entered. Results of the study demonstrated that motivation partially mediates, but does not moderate the relationship between FCAT 2.0 third and fourth grade scores. In conclusion, it can be determined that past student achievement for fourth grade students plays a role in current student achievement when motivation is also considered. It is therefore important in order to improve the quality of fourth grade student's current performance to take into account a student's motivation and past achievement. An effort must be made to address students' motivational needs whether through school wide programs or at the classroom level in addition or in conjunction with cognition. Future research on the effect of self-concept in reading achievement is recommended.

Analysis of fractured terrain using remote sensing and geographic information systems : establishing a correlation between fracture network properties and vegetation

This research analyzed the spatial relationship between a mega-scale fracture network and the occurrence of vegetation in an arid region. High-resolution aerial photographs of Arches National Park, Utah were used for digital image processing. Four sets of large-scale joints were digitized from the rectified color photograph in order to characterize the geospatial properties of the fracture network with the aid of a Geographic Information System. An unsupervised landcover classification was carried out to identify the spatial distribution of vegetation on the fractured outcrop. Results of this study confirm that the WNW-ESE alignment of vegetation is dominantly controlled by the spatial distribution of the systematic joint set, which in turn parallels the regional fold axis. This research provides insight into the spatial heterogeneity inherent to fracture networks, as well as the effects of jointing on the distribution of surface vegetation in desert environments.

Airborne Laser Quantification of Florida Shoreline and Beach Volume Change Caused by Hurricanes

This dissertation combines three separate studies that measure coastal change using airborne laser data. The initial study develops a method for measuring subaerial and subaqueous volume change incrementally alongshore, and compares those measurements to shoreline change in order to quantify their relationship in Palm Beach County, Florida. A poor correlation (R2 = 0.39) was found between shoreline and volume change before the hurricane season in the northern section of Palm Beach County because of beach nourishment and inlet dynamics. However, a relatively high R2 value of 0.78 in the southern section of Palm Beach County was found due to little disturbance from tidal inlets and coastal engineering projects. The shoreline and volume change caused by the 2004 hurricane season was poorly correlated with R2 values of 0.02 and 0.42 for the north and south sections, respectively. The second study uses airborne laser data to investigate if there is a significant relationship between shoreline migration before and after Hurricane Ivan near Panama City, Florida. In addition, the relationship between shoreline change and subaerial volume was quantified and a new method for quantifying subaqueous sediment change was developed. No significant spatial relationship was found between shoreline migration before and after the hurricane. Utilization of a single coefficient to represent all relationships between shoreline and subaerial volume change was found to be problematic due to the spatial variability in the linear relationship. Differences in bathymetric data show only a small portion of sediment was transported beyond the active zone and most sediment remained within the active zone despite the occurrence of a hurricane. The third study uses airborne laser bathymetry to measure the offshore limit of change, and compares that location with calculated depth of closures and subaqueous geomorphology. There appears to be strong geologic control of the depth of closure in Broward and Miami-Dade Counties. North of Hillsboro Inlet, hydrodynamics control the geomorphology which in turn indicates the location of the depth of closure.

Dynamic Programming Approaches for Estimating and Applying Large-scale Discrete Choice Models

People go through their life making all kinds of decisions, and some of these decisions affect their demand for transportation, for example, their choices of where to live and where to work, how and when to travel and which route to take. Transport related choices are typically time dependent and characterized by large number of alternatives that can be spatially correlated. This thesis deals with models that can be used to analyze and predict discrete choices in large-scale networks. The proposed models and methods are highly relevant for, but not limited to, transport applications. We model decisions as sequences of choices within the dynamic discrete choice framework, also known as parametric Markov decision processes. Such models are known to be difficult to estimate and to apply to make predictions because dynamic programming problems need to be solved in order to compute choice probabilities. In this thesis we show that it is possible to explore the network structure and the flexibility of dynamic programming so that the dynamic discrete choice modeling approach is not only useful to model time dependent choices, but also makes it easier to model large-scale static choices. The thesis consists of seven articles containing a number of models and methods for estimating, applying and testing large-scale discrete choice models. In the following we group the contributions under three themes: route choice modeling, large-scale multivariate extreme value (MEV) model estimation and nonlinear optimization algorithms. Five articles are related to route choice modeling. We propose different dynamic discrete choice models that allow paths to be correlated based on the MEV and mixed logit models. The resulting route choice models become expensive to estimate and we deal with this challenge by proposing innovative methods that allow to reduce the estimation cost. For example, we propose a decomposition method that not only opens up for possibility of mixing, but also speeds up the estimation for simple logit models, which has implications also for traffic simulation. Moreover, we compare the utility maximization and regret minimization decision rules, and we propose a misspecification test for logit-based route choice models. The second theme is related to the estimation of static discrete choice models with large choice sets. We establish that a class of MEV models can be reformulated as dynamic discrete choice models on the networks of correlation structures. These dynamic models can then be estimated quickly using dynamic programming techniques and an efficient nonlinear optimization algorithm. Finally, the third theme focuses on structured quasi-Newton techniques for estimating discrete choice models by maximum likelihood. We examine and adapt switching methods that can be easily integrated into usual optimization algorithms (line search and trust region) to accelerate the estimation process. The proposed dynamic discrete choice models and estimation methods can be used in various discrete choice applications. In the area of big data analytics, models that can deal with large choice sets and sequential choices are important. Our research can therefore be of interest in various demand analysis applications (predictive analytics) or can be integrated with optimization models (prescriptive analytics). Furthermore, our studies indicate the potential of dynamic programming techniques in this context, even for static models, which opens up a variety of future research directions.

Pure higher-order effects in the portfolio choice model

This paper examines the effects of higher-order risk attitudes and statistical moments on the optimal allocation of risky assets within the standard portfolio choice model. We derive the expressions for the optimal proportion of wealth invested in the risky asset to show they are functions of portfolio returns third- and fourth-order moments as well as on the investor’s risk preferences of prudence and temperance. We illustrate the relative importance that the introduction of those higher-order effects have in the decision of expected utility maximizers using data for the US.

Evaluation of Cross Correlation Technique to Measure Flow in Pipes of the Oil Industry

The present work is concerned with the use of the cross correlation technique to measure delay time between two simulated signals displaced with respect to time, in order to develop a cross correlator system that will be used to measure the water and oil pipes flowrate in which the detection system is composed by two external low intensity radiation sources located along the tube and two NaI(Tl) gamma-ray detectors. The final purpose of the correlator system is to use the natural disturbances, as the turbulence in the own flow rather than to inject radioactive tracers to the fluid flow as usually is carried out. In the design of this correlator is evaluated the point-by-point calculation method for the cross correlation function in order to produce a system accurate and fast. This method is divided at the same time in three modes of operation: direct, relay and polarity.

Capital 2.0 capital formation and legal risk in a new global economic order from fiat to exit: including case studies of the proposed transatlantic trade and investment partnership between the United States and the European Union and the financing relation between the United States and the People’s Republic of China

Following the intrinsically linked balance sheets in his Capital Formation Life Cycle, Lukas M. Stahl explains with his Triple A Model of Accounting, Allocation and Accountability the stages of the Capital Formation process from FIAT to EXIT. Based on the theoretical foundations of legal risk laid by the International Bar Association with the help of Roger McCormick and legal scholars such as Joanna Benjamin, Matthew Whalley and Tobias Mahler, and founded on the basis of Wesley Hohfeld’s category theory of jural relations, Stahl develops his mutually exclusive Four Determinants of Legal Risk of Law, Lack of Right, Liability and Limitation. Those Four Determinants of Legal Risk allow us to apply, assess, and precisely describe the respective legal risk at all stages of the Capital Formation Life Cycle as demonstrated in case studies of nine industry verticals of the proposed and currently negotiated Transatlantic Trade and Investment Partnership between the United States of America and the European Union, TTIP, as well as in the case of the often cited financing relation between the United States and the People’s Republic of China. Having established the Four Determinants of Legal Risk and its application to the Capital Formation Life Cycle, Stahl then explores the theoretical foundations of capital formation, their historical basis in classical and neo-classical economics and its forefathers such as The Austrians around Eugen von Boehm-Bawerk, Ludwig von Mises and Friedrich von Hayek and most notably and controversial, Karl Marx, and their impact on today’s exponential expansion of capital formation. Starting off with the first pillar of his Triple A Model, Accounting, Stahl then moves on to explain the Three Factors of Capital Formation, Man, Machines and Money and shows how “value-added” is created with respect to the non-monetary capital factors of human resources and industrial production. Followed by a detailed analysis discussing the roles of the Three Actors of Monetary Capital Formation, Central Banks, Commercial Banks and Citizens Stahl readily dismisses a number of myths regarding the creation of money providing in-depth insight into the workings of monetary policy makers, their institutions and ultimate beneficiaries, the corporate and consumer citizens. In his second pillar, Allocation, Stahl continues his analysis of the balance sheets of the Capital Formation Life Cycle by discussing the role of The Five Key Accounts of Monetary Capital Formation, the Sovereign, Financial, Corporate, Private and International account of Monetary Capital Formation and the associated legal risks in the allocation of capital pursuant to his Four Determinants of Legal Risk. In his third pillar, Accountability, Stahl discusses the ever recurring Crisis-Reaction-Acceleration-Sequence-History, in short: CRASH, since the beginning of the millennium starting with the dot-com crash at the turn of the millennium, followed seven years later by the financial crisis of 2008 and the dislocations in the global economy we are facing another seven years later today in 2015 with several sordid debt restructurings under way and hundred thousands of refugees on the way caused by war and increasing inequality. Together with the regulatory reactions they have caused in the form of so-called landmark legislation such as the Sarbanes-Oxley Act of 2002, the Dodd-Frank Act of 2010, the JOBS Act of 2012 or the introduction of the Basel Accords, Basel II in 2004 and III in 2010, the European Financial Stability Facility of 2010, the European Stability Mechanism of 2012 and the European Banking Union of 2013, Stahl analyses the acceleration in size and scope of crises that appears to find often seemingly helpless bureaucratic responses, the inherent legal risks and the complete lack of accountability on part of those responsible. Stahl argues that the order of the day requires to address the root cause of the problems in the form of two fundamental design defects of our Global Economic Order, namely our monetary and judicial order. Inspired by a 1933 plan of nine University of Chicago economists abolishing the fractional reserve system, he proposes the introduction of Sovereign Money as a prerequisite to void misallocations by way of judicial order in the course of domestic and transnational insolvency proceedings including the restructuring of sovereign debt throughout the entire monetary system back to its origin without causing domino effects of banking collapses and failed financial institutions. In recognizing Austrian-American economist Schumpeter’s Concept of Creative Destruction, as a process of industrial mutation that incessantly revolutionizes the economic structure from within, incessantly destroying the old one, incessantly creating a new one, Stahl responds to Schumpeter’s economic chemotherapy with his Concept of Equitable Default mimicking an immunotherapy that strengthens the corpus economicus own immune system by providing for the judicial authority to terminate precisely those misallocations that have proven malignant causing default perusing the century old common law concept of equity that allows for the equitable reformation, rescission or restitution of contract by way of judicial order. Following a review of the proposed mechanisms of transnational dispute resolution and current court systems with transnational jurisdiction, Stahl advocates as a first step in order to complete the Capital Formation Life Cycle from FIAT, the creation of money by way of credit, to EXIT, the termination of money by way of judicial order, the institution of a Transatlantic Trade and Investment Court constituted by a panel of judges from the U.S. Court of International Trade and the European Court of Justice by following the model of the EFTA Court of the European Free Trade Association. Since the first time his proposal has been made public in June of 2014 after being discussed in academic circles since 2011, his or similar proposals have found numerous public supporters. Most notably, the former Vice President of the European Parliament, David Martin, has tabled an amendment in June 2015 in the course of the negotiations on TTIP calling for an independent judicial body and the Member of the European Commission, Cecilia Malmström, has presented her proposal of an International Investment Court on September 16, 2015. Stahl concludes, that for the first time in the history of our generation it appears that there is a real opportunity for reform of our Global Economic Order by curing the two fundamental design defects of our monetary order and judicial order with the abolition of the fractional reserve system and the introduction of Sovereign Money and the institution of a democratically elected Transatlantic Trade and Investment Court that commensurate with its jurisdiction extending to cases concerning the Transatlantic Trade and Investment Partnership may complete the Capital Formation Life Cycle resolving cases of default with the transnational judicial authority for terminal resolution of misallocations in a New Global Economic Order without the ensuing dangers of systemic collapse from FIAT to EXIT.