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.

Macroeconomic Risk Factors and the Role of Mispriced Credit in the Returns from International Real Estate Securities

The benefits of diversification from international real estate securities are generally well established. However, the drivers of international real estate securities returns are insufficiently understood. We jointly examine the empirical implications of three major international asset pricing models that account for broad macroeconomic risk factors. In addition, we develop the hypothesis that an indicator of mispriced credit is significant in explaining the time series variation in international real estate securities returns. We employ the returns generated by a large sample of firms from 20 countries over the period 1999 to 2011 to test our hypothesis. We find support for the predictions of the major international asset pricing models. We also find evidence in favour of our hypothesised link between local credit conditions and the performance of international real estate securities.

Leverage, Volatile Future Earnings Growth and Expected Stock Returns

We provide theory and evidence to complement Choi's [RFS, 2013] important new insights on the returns to equity in `value' firms. We show that higher future earnings growth ameliorates the value-reducing effect of leverage and, because the market for earnings is incomplete, reduces the earnings-risk sensitivity of the default option. Ceteris paribus, a levered firm with low (high) earnings growth is more sensitive to the first (second) of these effects thus generating higher (lower) expected returns. We demonstrate this by modeling equity as an Asian-style call option on net earnings and find significant empirical support for our hypotheses.

Accounting Earnings Announcements, Institutional Investor Concentration, and Common Stock Returns

[Excerpt] This study examines the relation between the level of institutional investor ownership and the magnitude of security price variability at quarterly earnings announcement dates. Prior research consistently documents a negative association between firm size and announcement-date return variability. One explanation for this finding is that as more timely, alternative information becomes available on large firms prior to an announcement date, their security prices become informative, thereby reducing the information content of the earnings announcement. Large firms are closely followed by institutional investors. These investors dedicate substantial resources to information search. Therefore, the link between size and information production may be attributable to the influence of institutional investors on the information production process. Because institutional trades can also affect security prices, however, the precise impact of institutional following on the variability of prices at quarterly earnings dates is not evident.

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.

Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting

unpublished

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.

Three Essays in Empirical Asset Pricing

The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally assumed to be promptly removed via the actions of profit seeking arbitrageurs. These extreme events motivate the three essays in this work. The first essay seeks and fails to find evidence of investor behavior consistent with the broad 'Too Big To Fail' policies enacted during the crisis by government agents. Only in limited circumstances, where government guarantees such as deposit insurance or U.S. Treasury lending lines already existed, did investors impart a premium to the debt security prices of firms under stress. The second essay introduces the Inflation Indexed Swap Basis (IIS Basis) in examining the large differences between cash and derivative markets based upon future U.S. inflation as measured by the Consumer Price Index (CPI). It reports the consistent positive value of this measure as well as the very large positive values it reached in the fourth quarter of 2008 after Lehman Brothers went bankrupt. It concludes that the IIS Basis continues to exist due to limitations in market liquidity and hedging alternatives. The third essay explores the methodology of performing debt based event studies utilizing credit default swaps (CDS). It provides practical implementation advice to researchers to address limited source data and/or small target firm sample size.

'Abnormal vertical growth' : A disorder threatening the viability of the Australian macadamia industry

'Abnormal vertical growth' (AVG) was recognised in Australia as a dysfunction of macadamia (Macadamia spp.) in the mid-1990s. Affected trees displayed unusually erect branching, and poor flowering and yield. Since 2002, the commercial significance of AVG, its cause, and strategies to alleviate its affects, has been studied. The cause is still unknown, and AVG remains a serious threat to orchard viability. AVG affects both commercial and urban macadamia. It occurs predominantly in the warmer-drier production regions of Queensland and New South Wales. An estimated 100,000 orchard trees are affected, equating to an annual loss of $ 10.5 M. In orchards, AVG occurs as aggregations of affected trees, affected tree number can increase by 4.5% per year, and yield reduction can exceed 30%. The more upright cultivars 'HAES 344' and '741' are highly susceptible, while the more spreading cultivars 'A4', 'A16' and 'A268' show tolerance. Incidence is higher (p<0.05) in soils of high permeability and good drainage. No soil chemical anomaly has been found. Fine root dry weight of AVG trees (0-15 cm depth) was found lower (p<0.05) than non-AVG. Next generation sequencing has led to the discovery of a new Bacillus sp. and a bipartite Geminivirus, which may have a role in the disease. Trunk cinctures will increase (p<0.05) yield of moderately affected trees. Further research is needed to clarify whether a pathogen is the cause, the role of soil moisture in AVG, and develop a varietal solution.

A holistic attempt to predicating excess aftermarket returns of IPOs over a 90-day period post IPO

Double Degree

Economic growth and public and private investment returns

We study the macroeconomic effects of public and private investment in 17 OECD economies through a VAR analysis with annual data from 1960 to 2014. From impulse response functions we find that public investment had a positive growth effect in most countries, and a contractionary effect in Finland, UK, Sweden, Japan, and Canada. Public investment led to private investment crowding out in Belgium, Ireland, Finland, Canada, Sweden, the UK and crowding-in effects in the rest of the countries. Private investment has a positive growth effect in all countries; crowds-out (crowds-in) public investment in Belgium and Sweden (in the rest of the countries). The partial rates of return of public and private investment are mostly positive.

Anomalias da hipótese de eficiência de mercado: estudo do efeito dia da semana na Bolsa de Valores de Cabo Verde

A eficiência dos mercados tem sido uma questão que tem despertado muito interesse no campo dos investimentos e da investigação financeira durante as últimas décadas, mas nos últimos anos com a intensificação dos estudos e surgimento de evidências da existência de comportamentos anómalos nas rentabilidades dos ativos financeiro, esta teoria passou a ser questionada no meio académico. A discussão do tema é ainda muito polémico, pois existem de um lado os defensores da hipótese de eficiência que defendem que as anomalias identificadas não podem ser generalizadas e não são consistentes ao longo do tempo, e de outro lado os defensores da corrente das finanças comportamentais, segundo os quais as anomalias são provocadas por padrões documentados de comportamento irracional dos investidores, sendo que estes comportamentos são inconsistentes com a teoria de eficiência dos mercados. Entre as anomalias detetadas, destacam-se as anomalias de Calendário, tais como o efeito Janeiro, efeito dia da semana, efeito feriado, entre outros; anomalias na valorização de ativos, tais como o efeito tamanho e outras anomalias de sobre reação. O efeito dia da semana é dos mais persistentes detetados em vários mercados internacionais e tendo em conta este cenário, o objetivo desta dissertação é a verificação da existência das anomalias de calendário, mais precisamente o efeito dia da semana onde se irá analisar o efeito segunda-feira, efeito sexta-feira, o efeito fim-de­ semana. Para esta verificação foram utilizadas as cotações diárias médias do Índice da Bolsa de Valores de Cabo Verde, no período de finais de 2005 a finais de 2008. A análise estatística dos resultados diários indicou que não existem evidências da existência do efeito dia da semana. ABSTRACT: The markets efficiency has been an issue of particular interest in the field of financial investigation in recent decades. However, due to the intensification of the studies and the arise of evidences about the existence of abnormal behaviours on financial assets returns, over the last years, this theory begun to be discussed in academic circles. The debate of this theme is still very controversial, because on one hand there are the defenders of the efficiency hypothesis, who defend that identified anomalies cannot be generalized and are not consistent in the long-term; on the other hand, there are the defenders of behavioral finance tendency, to whom the anomalies are caused by documented patterns about the irrational behaviour of investors. These behaviours are inconsistent with the markets efficient theory. Among the detected anomalies, we highlight the calendar anomalies, such as: the January effect, the day of week effect and holiday effect among others; anomalies over the valuation of assets, such as: the size effect and other anomalies on the reaction. The day of week effect is one of the most persistent effect detected in several international markets, and due to this scenario, the objective of this essay is the finding of calendar abnormalities, namely the day of week effect, where the Monday, the Friday and the weekend effects will be analyzed. For this checking, we used the average daily exchange rates from the prices of the Cape Verde Stock Exchange, for the period from late 2005 to late 2008. The statistical analysis of daily results indicated that there is no evidence of the existence of the day of the week effect.

Size anomalies in EU bank stock returns

Mestrado em Finanças

Short Term Outcome of Neonates Born With Abnormal Umbilical Cord Arterial Blood Gases

Background: Umbilical arterial blood gas (UABG) analysis is more objective than other methods for predicting neonatal outcome. Acidemic neonates may be at risk for unfavorable outcome after birth, but all neonates with abnormal arterial blood gas (ABG) analysis do not always have poor outcome. Objectives: This study was carried out to determine the short term outcome of the neonates born with an abnormal ABG. Patients and Methods: In a cohort prospective study 120 high risk mother-neonate pairs were enrolled and UABG was taken immediately after birth. All neonates with an umbilical cord pH less than 7.2 were considered as case group and more than 7.2 as controls. Outcomes like need to resuscitation, admission to newborn services and/or NICU), seizure occurrence, hypoxic ischemic encephalopathy (HIE), delayed initiation of oral feeding and length of hospital stay were recorded and compared between the two groups. P value less than 0.05 was considered as being significant. Results: Comparison of short term outcomes between normal and abnormal ABG groups were as the fallowing: need for advanced resuscitation 4 vs. 0 (P = 0.001), NICU admission 16 vs. 4 (P = 0.001), convulsion 2 vs. 0 (P = 0.496), HIE 17 vs. 4 (P = 0.002), delay to start oral feeding 16 vs. 4 (P = 0.001), mean hospital stay 4 vs. 3 days (P = 0.001). None of the neonates died in study groups. Conclusions: An umbilical cord PH less than 7.2 immediately after birth can be used as a prognostic factor for unfavorable short term outcome in newborns.