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.

Maltreatment, psychiatric symptoms and human immunodeficiency virus/sexual transmitted infection risk behavior among youth with alcohol and other drug use problems: A person-centered analysis

Multi-problem youth undergoing treatment for substance use problems are at high behavioral risk for exposure to sexually transmitted infections (STIs), including human immunodeficiency virus (HIV). Specific risk factors include childhood adversities such as maltreatment experiences and subsequent forms of psychopathology. The current study used a person-centered analytical approach to examine how childhood maltreatment experiences were related to patterns of psychiatric symptoms and HIV/STI risk behaviors in a sample of adolescents (N = 408) receiving treatment services. Data were collected in face-to-face interviews at two community-based facilities. Descriptive statistics and Latent Profile Analysis (LPA) were used to (a) classify adolescents into groups based on past year psychiatric symptoms, and (b) examine relations between class membership and forms of childhood maltreatment experiences, as well as past year sexual risk behavior (SRB). ^ LPA results indicated significant heterogeneity in psychiatric symptoms among the participants. The three classes generated via the optimal LPA solution included: (a) a low psychiatric symptoms class, (b) a high alcohol symptoms class and (c) a high internalizing symptoms class. Class membership was associated significantly with adolescents’ self-reported scores for childhood sexual abuse and emotional neglect. ANOVAs documented significant differences in mean scores for multiple indices of SRB indices by class membership, demonstrating differential risk for HIV/STI exposure across classes. The two classes characterized by elevated psychiatric symptom profiles and more severe maltreatment histories were at increased behavioral risk for HIV/STI exposure, compared to the low psychiatric symptoms class. The high internalizing symptoms class reported the highest scores for most of the indices of SRB assessed. The heterogeneity of psychiatric symptom patterns documented in the current study has important implications for HIV/STI prevention programs implemented with multi-problem youth. The results highlight complex relations between childhood maltreatment experiences, psychopathology and multiple forms of health risk behavior among adolescents. The results underscore the importance of further integration between substance abuse treatment and HIV/STI risk reduction efforts to improve morbidity and mortality among vulnerable youth. ^

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.

Maltreatment, Psychiatric Symptoms and Human Immunodeficiency Virus/Sexual Transmitted Infection Risk Behavior Among Youth with Alcohol and Other Drug Use Problems: A Person-Centered Analysis

Multi-problem youth undergoing treatment for substance use problems are at high behavioral risk for exposure to sexually transmitted infections (STIs), including human immunodeficiency virus (HIV). Specific risk factors include childhood adversities such as maltreatment experiences and subsequent forms of psychopathology. The current study used a person-centered analytical approach to examine how childhood maltreatment experiences were related to patterns of psychiatric symptoms and HIV/STI risk behaviors in a sample of adolescents (N = 408) receiving treatment services. Data were collected in face-to-face interviews at two community-based facilities. Descriptive statistics and Latent Profile Analysis (LPA) were used to (a) classify adolescents into groups based on past year psychiatric symptoms, and (b) examine relations between class membership and forms of childhood maltreatment experiences, as well as past year sexual risk behavior (SRB). LPA results indicated significant heterogeneity in psychiatric symptoms among the participants. The three classes generated via the optimal LPA solution included: (a) a low psychiatric symptoms class, (b) a high alcohol symptoms class and (c) a high internalizing symptoms class. Class membership was associated significantly with adolescents’ self-reported scores for childhood sexual abuse and emotional neglect. ANOVAs documented significant differences in mean scores for multiple indices of SRB indices by class membership, demonstrating differential risk for HIV/STI exposure across classes. The two classes characterized by elevated psychiatric symptom profiles and more severe maltreatment histories were at increased behavioral risk for HIV/STI exposure, compared to the low psychiatric symptoms class. The high internalizing symptoms class reported the highest scores for most of the indices of SRB assessed. The heterogeneity of psychiatric symptom patterns documented in the current study has important implications for HIV/STI prevention programs implemented with multi-problem youth. The results highlight complex relations between childhood maltreatment experiences, psychopathology and multiple forms of health risk behavior among adolescents. The results underscore the importance of further integration between substance abuse treatment and HIV/STI risk reduction efforts to improve morbidity and mortality among vulnerable youth.

Estimativas, variabilidade e análise de tendência da evapotranspiração de referência em perímetros irrigados, no semiárido do nordeste brasileiro

The variability / climate change has generated great concern worldwide, is one of the major issues as global warming, which can is affecting the availability of water resources in irrigated perimeters. In the semiarid region of Northeastern Brazil it is known that there is a predominance of drought, but it is not enough known about trends in climate series of joint water loss by evaporation and transpiration (evapotranspiration). Therefore, this study aimed to analyze whether there is increase and / or decrease evidence in the regime of reference evapotranspiration (ETo), for the monthly, annual and interdecadal scales in irrigated polo towns of Juazeiro, BA (9 ° 24'S, 40 ° 26'W and 375,5m) and Petrolina, PE (09 ° 09'S, 40 ° 22'W and 376m), which is the main analysis objective. The daily meteorological data were provided by EMBRAPA Semiárido for the period from 01.01.1976 to 31.12.2014, estimated the daily ETo using the standard method of Penman-Monteith (EToPM) parameterized by Smith (1991). Other methods of more simplified estimatives were calculated and compared to EToPM, as the ones following: Solar Radiation (EToRS), Linacre (EToL), Hargreaves and Samani (EToHS) and the method of Class A pan (EToTCA). The main statistical analysis were non-parametric tests of homogeneity (Run), trend (Mann-kendall), magnitude of the trend (Sen) and early trend detection (Mann-Whitney). The statistical significance adopted was 5 and / or 1%. The Analysis of Variance - ANOVA was used to detect if there is a significant difference in mean interdecadal mean. For comparison between the methods of ETo, it were used the correlation test (r), the Student t test and Tukey levels of 5% significance. Finally, statistics Willmott et al. (1985) statistics was used to evaluate the concordance index and performance of simplified methods compared to the standard method. It obtained as main results that there was a decrease in the time series of EToPM in irrigated areas of Juazeiro, BA and Petrolina, PE, significant respectively at 1 and 5%, with an annual magnitude of -14.5 mm (Juazeiro) and -7.7 mm (Petrolina) and early trend in 1996. The methods which had better for better agreement with EToPM were EToRS with very good performance, in both locations, followed by the method of EToL with good performance (Juazeiro) and median (Petrolina). EToHS had the worst performance (bad) for both locations. It is suggested that this decrease of EToPM can be associated with the increase in irrigated agricultural areas and the construction of Sobradinho lake upstream of the perimeters.

Effects of seasonally varying temperature and salinity on the dynamics of sea lice (Lepeophtheirus salmonis)

Sea lice (Lepeophtheirus salmonis) are an economically significant parasite in salmonid aquaculture. They exhibit temperature-dependent development rates and salinity-dependent mortality, which can greatly impact sea lice population dynamics, but no deterministic models have incorporated these seasonal variables. To understand how seasonality affects sea lice population dynamics, I derive a delay differential equation model with temperature and salinity dependence. I find that peak reproductive output in Newfoundland and British Columbia differs by four months. A sensitivity analysis shows sea lice abundance is most sensitive to variation in mean annual water temperature and salinity, whereas it is lease sensitive to infection rate. Additionally, I investigate the effects of production cycle timing on sea lice management and find that optimal production cycle start times are between the 281st and 337th days of the year in Newfoundland. I also demonstrate that adjusting follow-up treatment timing in response to temperature can improve treatment regimes. My results suggest that effective sea lice management requires consideration of local temperature and salinity patterns.

Isotope and Mg/Ca measurements from Cores ME0005A-43JC and 202-1242 of tropical Pacific

Multiproxy geologic records of d18O and Mg/Ca in fossil foraminifera from sediments under the Eastern Pacific Warm Pool (EPWP) region west of Central America document variations in upper ocean temperature, pycnocline strength, and salinity (i.e., net precipitation) over the past 30 kyr. Although evident in the paleotemperature record, there is no glacial-interglacial difference in paleosalinity, suggesting that tropical hydrologic changes do not respond passively to high-latitude ice sheets and oceans. Millennial variations in paleosalinity with amplitudes as high as 4 practical salinity units occur with a dominant period of 3-5 ky during the glacial/deglacial interval and 1.0-1.5 ky during the Holocene. The amplitude of the EPWP paleosalinity changes greatly exceeds that of published Caribbean and western tropical Pacific paleosalinity records. EPWP paleosalinity changes correspond to millennial-scale climate changes in the surface and deep Atlantic and the high northern latitudes, with generally higher (lower) paleosalinity during cold (warm) events. In addition to Intertropical Convergence Zone (ITCZ) dynamics, which play an important role in tropical hydrologic variability, changes in Atlantic-Pacific moisture transport, which is closely linked to ITCZ dynamics, may also contribute to hydrologic variations in the EPWP. Calculations of interbasin salinity average and interbasin salinity contrast between the EPWP and the Caribbean help differentiate long-term changes in mean ITCZ position and Atlantic-Pacific moisture transport, respectively.

Beam Angle Optimization for Automated Coplanar IMRT Lung Plans

Purpose: To investigate the effect of incorporating a beam spreading parameter in a beam angle optimization algorithm and to evaluate its efficacy for creating coplanar IMRT lung plans in conjunction with machine learning generated dose objectives.

Methods: Fifteen anonymized patient cases were each re-planned with ten values over the range of the beam spreading parameter, k, and analyzed with a Wilcoxon signed-rank test to determine whether any particular value resulted in significant improvement over the initially treated plan created by a trained dosimetrist. Dose constraints were generated by a machine learning algorithm and kept constant for each case across all k values. Parameters investigated for potential improvement included mean lung dose, V20 lung, V40 heart, 80% conformity index, and 90% conformity index.

Results: With a confidence level of 5%, treatment plans created with this method resulted in significantly better conformity indices. Dose coverage to the PTV was improved by an average of 12% over the initial plans. At the same time, these treatment plans showed no significant difference in mean lung dose, V20 lung, or V40 heart when compared to the initial plans; however, it should be noted that these results could be influenced by the small sample size of patient cases.

Conclusions: The beam angle optimization algorithm, with the inclusion of the beam spreading parameter k, increases the dose conformity of the automatically generated treatment plans over that of the initial plans without adversely affecting the dose to organs at risk. This parameter can be varied according to physician preference in order to control the tradeoff between dose conformity and OAR sparing without compromising the integrity of the plan.

Table 1. Tree growth index and reconstructed precipitation series from 515 BC to AD 1993 based on the archaeological and living tree ring datasets from Dulan and Shenge, China

Annual precipitation for the last 2,500 years was reconstructed for northeastern Qinghai from living and archaeological juniper trees. A dominant feature of the precipitation of this area is a high degree of variability in mean rainfall at annual, decadal, and centennial scales, with many wet and dry periods that are corroborated by other paleoclimatic indicators. Reconstructed values of annual precipitation vary mostly from 100 to 300 mm and thus are no different from the modern instrumental record in Dulan. However, relatively dry years with below-average precipitation occurred more frequently in the past than in the present. Periods of relatively dry years occurred during 74-25 BC, AD 51-375, 426-500, 526-575, 626-700, 1100-1225, 1251-1325, 1451-1525, 1651-1750 and 1801-1825. Periods with a relatively wet climate occurred during AD 376-425, 576-625, 951-1050, 1351-1375, 1551-1600 and the present. This variability is probably related to latitudinal positions of winter frontal storms. Another key feature of precipitation in this area is an apparently direct relationship between interannual variability in rainfall with temperature, whereby increased warming in the future might lead to increased flooding and droughts. Such increased climatic variability might then impact human societies of the area, much as the climate has done for the past 2,500 years.

Age model and chemistry of sediment core STK7 from Steisslinger See

Stable isotope records for carbon and oxygen in bulk carbonates, carbon in bulk organic matter, and for total and chromium-reducible sulfur in a lacustrine sediment core from Lake Steisslingen (Southwest Germany) show several distinct and abrupt shifts during the last 15,000 years. Variations in the isotopic composition of authigenic carbonates indicate two major phases in the lake history. In the pre-Holocene, the hydrological budget of the lake was apparently stable. Variations of delta18O values of authigenic carbonates were, therefore, dominantly controlled by temperature changes. A decrease in the delta18Ocarb values of about 2 per mil at the Allerød/Younger Dryas transition is interpreted as a drop in mean annual air temperatures of approximately 5°C. An abrupt temperature increase of a similar magnitude is inferred at the Younger Dryas/Preboreal boundary. Throughout most of the Holocene, the isotopic composition of authigenic carbonates was influenced by marked changes in the hydrological budget of the lake. A major positive excursion in the delta13Ccarb and delta18Ocarb values at the beginning of the Atlantic and a smaller one in the Preboreal were related to evaporation effects, which indicate that dry climatic conditions must have prevailed at that time. A simultaneous increase in delta13C values of bulk organic matter at the beginning of the Atlantic suggests a high level of productivity in the lake. As a consequence, aqueous sulfate became limited as indicated by variations in the delta34S values of total and chromium-reducible sedimentary sulfur. Therefore, we conclude that the beginning of the Atlantic was characterized not only by dry but also by warm climatic conditions, which triggered a higher productivity in the lake. In the Subatlantic sediments, large variations in carbon, oxygen, and sulfur isotope ratios were observed as a result of human activities, causing considerable perturbations in the biogeochemical element cycling of Lake Steisslingen. Results obtained by the study of the continuous 15 ka record of Lake Steisslingen document clearly that isotopic proxy data from lacustrine sediments can provide useful information on environmental and climatic changes of local, regional, and in the case of the Younger Dryas event, of even hemispherical significance.

Effects of ocean acidification on the calcification of otoliths of larval Atlantic cod Gadus morhua

The growth and development of the aragonitic CaCO3 otoliths of teleost fish could be vulnerable to processes resulting from ocean acidification. The potential effects of an increase in atmospheric CO2 on the calcification of the otoliths were investigated by rearing Atlantic cod Gadus morhua L. larvae in 3 pCO2 concentrations-control (370 µatm), medium (1800 µatm) and high (4200 µatm)-from March to May 2010. Increased otolith growth was observed in 7 to 46 d post hatch (dph) cod larvae at elevated pCO2 concentrations. The sagittae and lapilli were usually largest in the high pCO2 treatment followed by the medium and control treatments. The greatest difference in mean otolith surface area (normalized to fish length) was for sagittae at 11 dph, with medium and high treatments being 46 and 43% larger than the control group, respectively. There was no significant pCO2 effect on the shape of the otoliths nor were there any trends in the fluctuating asymmetry, defined as the difference between the right and left sides, in relation to the increase in otolith growth from elevated pCO2.

Maintaining legacy data: saving Belfast Harbour (UK) tide-gauge data (1902-2010)

Tide gauge data are identified as legacy data given the radical transition between observation method and required output format associated with tide gauges over the 20th-century. Observed water level variation through tide-gauge records is regarded as the only significant basis for determining recent historical variation (decade to century) in mean sea-level and storm surge. There are limited tide gauge records that cover the 20th century, such that the Belfast (UK) Harbour tide gauge would be a strategic long-term (110 years) record, if the full paper-based records (marigrams) were digitally restructured to allow for consistent data analysis. This paper presents the methodology of extracting a consistent time series of observed water levels from the 5 different Belfast Harbour tide gauges’ positions/machine types, starting late 1901. Tide-gauge data was digitally retrieved from the original analogue (daily) records by scanning the marigrams and then extracting the sequential tidal elevations with graph-line seeking software (Ungraph™). This automation of signal extraction allowed the full Belfast series to be retrieved quickly, relative to any manual x–y digitisation of the signal. Restructuring variably lengthed tidal data sets to a consistent daily, monthly and annual file format was undertaken by project-developed software: Merge&Convert and MergeHYD allow consistent water level sampling both at 60 min (past standard) and 10 min intervals, the latter enhancing surge measurement. Belfast tide-gauge data have been rectified, validated and quality controlled (IOC 2006 standards). The result is a consistent annual-based legacy data series for Belfast Harbour that includes over 2 million tidal-level data observations.

Biodistribution of the Radiopharmaceutical Sodium Pertechnetate after Biliopancreatic Bypass with a Duodenal Switch

Study with the purpose to examine the effects of duodenal switch (DS), regularly performed in morbidly obese patients, on biodistribution of sodium pertechnetate in several organs of rats. There was no early or late mortality in either rats groups. The values of percent radioactivity per gram of tissue (%ATI/g), showed no significant difference in liver, stomach, small bowel, duodenum, kidney, heart, bladder, bone and brain, when compared the DS rats with sham and controls rats. A postoperative significant increase (p<0.05) in mean %ATI/g levels was observed in spleen, pancreas and muscle in group DS rats, as compared to group S and C rats. In the lung there was an increase and in thyroid a decrease in mean %ATI/g of DS rats, when compared to sham rats (p<0.05). In conclusion, the biliopancreatic diversion with duodenal switch in rats modified the biodistribution of sodium pertechnetate in thyroid, lung, pancreas, spleen and muscle

Modifications neurométaboliques et microstructurales à la suite d'une commotion cérébrale chez les athlètes féminines.

L’utilisation de méthodes d’investigation cérébrale avancées a permis de mettre en évidence la présence d’altérations à court et à long terme à la suite d’une commotion cérébrale. Plus spécifiquement, des altérations affectant l’intégrité de la matière blanche et le métabolisme cellulaire ont récemment été révélées par l’utilisation de l’imagerie du tenseur de diffusion (DTI) et la spectroscopie par résonance magnétique (SRM), respectivement. Ces atteintes cérébrales ont été observées chez des athlètes masculins quelques jours après la blessure à la tête et demeuraient détectables lorsque les athlètes étaient à nouveau évalués six mois post-commotion. En revanche, aucune étude n’a évalué les effets neurométaboliques et microstructuraux dans la phase aigüe et chronique d’une commotion cérébrale chez les athlètes féminines, malgré le fait qu’elles présentent une susceptibilité accrue de subir ce type de blessure, ainsi qu’un nombre plus élevé de symptômes post-commotionnels et un temps de réhabilitation plus long. Ainsi, les études composant le présent ouvrage visent globalement à établir le profil d’atteintes microstructurales et neurométaboliques chez des athlètes féminines par l’utilisation du DTI et de la SRM. La première étude visait à évaluer les changements neurométaboliques au sein du corps calleux chez des joueurs et joueuses de hockey au cours d’une saison universitaire. Les athlètes ayant subi une commotion cérébrale pendant la saison ont été évalués 72 heures, 2 semaines et 2 mois après la blessure à la tête en plus des évaluations pré et post-saison. Les résultats démontrent une absence de différences entre les athlètes ayant subi une commotion cérébrale et les athlètes qui n’en ont pas subie. De plus, aucune différence entre les données pré et post-saison a été observée chez les athlètes masculins alors qu’une diminution du taux de N-acetyl aspartate (NAA) n’a été mise en évidence chez les athlètes féminines, suggérant ainsi un impact des coups d’intensité sous-clinique à la tête. La deuxième étude, qui utilisait le DTI et la SRM, a révélé des atteintes chez des athlètes féminines commotionnées asymptomatiques en moyenne 18 mois post-commotion. Plus spécifiquement, la SRM a révélé une diminution du taux de myo-inositol (mI) au sein de l’hippocampe et du cortex moteur primaire (M1) alors que le DTI a mis en évidence une augmentation de la diffusivité moyenne (DM) dans plusieurs faisceaux de matière blanche. De iii plus, une approche par région d’intérêt a mis en évidence une diminution de la fraction d’anisotropie (FA) dans la partie du corps calleux projetant vers l’aire motrice primaire. Le troisième article évaluait des athlètes ayant subi une commotion cérébrale dans les jours suivant la blessure à la tête (7-10 jours) ainsi que six mois post-commotion avec la SRM. Dans la phase aigüe, des altérations neuropsychologiques combinées à un nombre significativement plus élevé de symptômes post-commotionnels et dépressifs ont été trouvés chez les athlètes féminines commotionnées, qui se résorbaient en phase chronique. En revanche, aucune différence sur le plan neurométabolique n’a été mise en évidence entre les deux groupes dans la phase aigüe. Dans la phase chronique, les athlètes commotionnées démontraient des altérations neurométaboliques au sein du cortex préfrontal dorsolatéral (CPDL) et M1, marquées par une augmentation du taux de glutamate/glutamine (Glx). De plus, une diminution du taux de NAA entre les deux temps de mesure était présente chez les athlètes contrôles. Finalement, le quatrième article documentait les atteintes microstructurales au sein de la voie corticospinale et du corps calleux six mois suivant une commotion cérébrale. Les analyses n’ont démontré aucune différence au sein de la voie corticospinale alors que des différences ont été relevées par segmentation du corps calleux selon les projections des fibres calleuses. En effet, les athlètes commotionnées présentaient une diminution de la DM et de la diffusivité radiale (DR) au sein de la région projetant vers le cortex préfrontal, un volume moindre des fibres de matière blanche dans la région projetant vers l’aire prémotrice et l’aire motrice supplémentaire, ainsi qu’une diminution de la diffusivité axiale (DA) dans la région projetant vers l’aire pariétale et temporale. En somme, les études incluses dans le présent ouvrage ont permis d’approfondir les connaissances sur les effets métaboliques et microstructuraux des commotions cérébrales et démontrent des effets délétères persistants chez des athlètes féminines. Ces données vont de pair avec la littérature scientifique qui suggère que les commotions cérébrales n’entraînent pas seulement des symptômes temporaires.