Improving mutual fund market timing measures: a markov switching approach

Market timing performance of mutual funds is usually evaluated with linear models with dummy variables which allow for the beta coefficient of CAPM to vary across two regimes: bullish and bearish market excess returns. Managers, however, use their predictions of the state of nature to deÞne whether to carry low or high beta portfolios instead of the observed ones. Our approach here is to take this into account and model market timing as a switching regime in a way similar to Hamilton s Markov-switching GNP model. We then build a measure of market timing success and apply it to simulated and real world data.

Price discovery using a regime-sensitive cointegration approach

This work proposes a method to examine variations in the cointegration relation between preferred and common stocks in the Brazilian stock market via Markovian regime switches. It aims on contributing for future works in "pairs trading" and, more specifically, to price discovery, given that, conditional on the state, the system is assumed stationary. This implies there exists a (conditional) moving average representation from which measures of "information share" (IS) could be extracted. For identification purposes, the Markov error correction model is estimated within a Bayesian MCMC framework. Inference and capability of detecting regime changes are shown using a Montecarlo experiment. I also highlight the necessity of modeling financial effects of high frequency data for reliable inference.

Power Factor Correction Boost Converter Based on the Three-State Switching Cell

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Superfícies eletromagnéticas de microondas com controle do regime de trapped-mode

Neste trabalho foram investigadas (FSSs) com ressonância de alto fator de qualidade (fator Q) e independência da polarização para uma onda plana com incidência normal. Estas FSSs são baseadas em um arranjo planar de metalizações sobre um substrato. Um alto fator Q é obtido por meio da excitação do trapped-mode e a independência da polarização, por meio da alta simetria rotacional dos elementos que compõe o arranjo. Para o projeto de FSSs com controle do regime de trapped-mode, foram utilizados substratos feitos de materiais com possibilidade de controle de suas propriedades elétricas ou magnéticas (ferrite magnetizada ou silício ativado oticamente). O arranjo de dois anéis concêntricos em um substrato dielétrico analisado neste trabalho apresenta uma ressonância de trapped-mode com fator Q em torno de 12 e transmitância máxima de 70 %. Com a utilização de um substrato de ferrite magnetizada nesse arranjo, é mostrado que é possível deslocar a frequência de ressonância do trappedmode em torno de 20 %, sem degradação significativa da ressonância de transmisão. Com o emprego de um substrato de silício ativado opticamente, é demonstrado que é possível realizar um chaveamento praticamente completo da banda de transmissão desse arranjo. Para realização das simulações computacionais foram utilizados o método dos momentos no domínio espectral (SDMM) e os programas comerciais Ansoft Designer 5 Planar EM e CST 2009.

Length of the annular regime for condensing flows inside a horizontal channel - the experimental determination of its values and its trends

The experiments observe and measure the length of the annular regime in fully condensing quasi-steady (steady-in-the-mean) flows of pure FC-72 vapor in a horizontal condenser (rectangular cross-section of 2 mm height, 15 mm width, and 1 m length). The sides and top of the duct are made of clear plastic that allows flow visualization. The experimental system in which this condenser is used is able to control and achieve different quasi-steady mass flow rates, inlet pressures, and wall cooling conditions (by adjustment of the temperature and flow rate of the cooling water flowing underneath the condensing-plate). The reported correlations and measurements for the annular length are also vital information for determining the length of the annular regime and proposing extended correlation (covering many vapors and a larger parameter set than the experimentally reported version here) by ongoing independent modeling and computational simulation approach.

Three-dimensional structure of tropism-switching Bordetella bacteriophage.

Bacteriophage BPP-1, which infects Bordetella species, can switch its specificity by mutations to the ligand-binding surface of its major tropism-determinant protein, Mtd. This targeted mutagenesis results from the activity of a phage-encoded diversity-generating retroelement. Purified Mtd binds its receptor with low affinity, yet BPP-1 binding and infection of Bordettella cells are efficient because of high-avidity binding between phage-associated Mtd and its receptor. Here, using an integrative approach of three-dimensional (3D) structural analyses of the entire phage by cryo-electron tomography and single-prticle cryo-electron microscopy, we provide direct localization of Mtd in the phage and the structural basis of the high-avidity binding of the BPP-1 phage. Our structure shows that each BPP-1 particle has a T = 7 icosahedral head and an unusual tail apparatus consisting of a short central tail "hub," six short tail spikes, and six extended tail fibers. Subtomographic averaging of the tail fiber maps revealed a two-lobed globular structure at the distal end of each long tail fiber. Tomographic reconstructions of immuno-gold-labeled BPP-1 directly localized Mtd to these globular structures. Finally, our icosahedral reconstruction of the BPP-1 head at 7A resolution reveals an HK97-like major capsid protein stabilized by a smaller cementing protein. Our structure represents a unique bacteriophage reconstruction with its tail fibers and ligand-binding domains shown in relation to its tail apparatus. The localization of Mtd at the distal ends of the six tail fibers explains the high avidity binding of Mtd molecules to cell surfaces for initiation of infection.

Supersonic regime of the Hall-magnetohydrodynamics resistive tearing instability

An earlier analysis of the Hall-magnetohydrodynamics (MHD) tearing instability [E. Ahedo and J. J. Ramos, Plasma Phys. Controlled Fusion 51, 055018 (2009)] is extended to cover the regime where the growth rate becomes comparable or exceeds the sound frequency. Like in the previous subsonic work, a resistive, two-fluid Hall-MHD model with massless electrons and zero-Larmor-radius ions is adopted and a linear stability analysis about a force-free equilibrium in slab geometry is carried out. A salient feature of this supersonic regime is that the mode eigenfunctions become intrinsically complex, but the growth rate remains purely real. Even more interestingly, the dispersion relation remains of the same form as in the subsonic regime for any value of the instability Mach number, provided only that the ion skin depth is sufficiently small for the mode ion inertial layer width to be smaller than the macroscopic lengths, a generous bound that scales like a positive power of the Lundquist number

Formation of chimeric DNA primer extension products by template switching onto an annealed downstream oligonucleotide.

Oligodeoxynucleotide sequences are described that anneal to a template downstream of a priming site. During polymerase-catalyzed extension of the primer, the extending primer shifts from the original template to a segment of the annealed oligonucleotide that acts as an alternative template. The resulting chimeric extended primer has one segment that is complementary to the template and a second segment that is complementary to the oligonucleotide. The influence of the sequence elements of the oligonucleotide and the reaction conditions on template switching have been explored. The sequence requirements for template switching are compared to those for transposon excision.

Volatility changes caused by the trading system:a Markov switching application

An expanding literature exists to suggest that the trading mechanism can influence the volatility of security returns. This study adds to this literature by examining the impact that the introduction of SETS, on the London Stock Exchange, had on the volatility of security returns. Using a Markov switching regime change model security volatility is categorized as being in a regime of either high or low volatility. It is shown that prior to the introduction of SETS securities tended to be in a low volatility regime. At the time SETS was introduced securities moved to a high volatility regime. This suggests that volatility increased when SETS was introduced.

Bandpass switching in a nonlinear optical loop mirror

We demonstrate bandpass nonlinear switching, using a novel device configuration based on a nonlinear-optical loop mirror and an in-fiber Bragg grating. Self-switching is demonstrated in the soliton regime by use of an asymmetrically arranged in-fiber Bragg grating as a wavelength-selective element. In addition, we adapt the configuration to perform efficient two-wavelength switching.

Soliton switching using cascaded nonlinear-optical loop mirrors

We demonstrate multiple-peaked switching in a nonlinear-optical loop mirror and present an experimental investigation of device cascading in the soliton regime based on a sequence of two independent nonlinear-optical loop mirrors. Cascading leads to an enhanced switching response with sharper switching edges, flattened peaks, and increased interpeak extinction ratios. We observe that pulses emerging from the cascade retain the sech2 temporal profile of a soliton with minimal degradation in the spectral characteristics.

Nonlinearly regenerated long haul data transmission

This thesis experimentally examines the use of different techniques for optical fibre transmission over ultra long haul distances. Its format firstly examines the use of dispersion management as a means of achieving long haul communications. Secondly, examining the use concatenated NOLMs for DM autosoliton ultra long haul propagation, by comparing their performance with a generic system without NOLMs. Thirdly, timing jitter in concatenated NOLM system is examined and compared to the generic system and lastly issues of OTDM amplitude non-uniformity from channel to channel in a saturable absorber, specifically a NOLM, are raised. Transmission at a rate of 40Gbit/s is studied in an all-Raman amplified standard fibre link with amplifier spacing of the order of 80km. We demonstrate in this thesis that the detrimental effects associated with high power Raman amplification can be minimized by dispersion map optimization. As a result, a transmission distance of 1600 km (2000km including dispersion compensating fibre) has been achieved in standard single mode fibre. The use of concatenated NOLMs to provide a stable propagation regime has been proposed theoretically. In this thesis, the observation experimentally of autosoliton propagation is shown for the first time in a dispersion managed optical transmission system. The system is based on a strong dispersion map with large amplifier spacing. Operation at transmission rates of 10, 40 and 80Gbit/s is demonstrated. With an insertion of a stabilizing element to the NOLM, the transmission of a 10 and 20Gbit/s data stream was extended and demonstrated experimentally. Error-free propagation over 100 and 20 thousand kilometres has been achieved at 10 and 20Gbit/s respectively, with terrestrial amplifier spacing. The monitor of timing jitter is of importance to all optical systems. Evolution of timing jitter in a DM autosoliton system has been studied in this thesis and analyzed at bit ranges from 10Gbit/s to 80Gbit/s. Non-linear guiding by in-line regenerators considerably changes the dynamics of jitter accumulation. As transmission systems require higher data rates, the use of OTDM will become more prolific. The dynamics of switching and transmission of an optical signal comprising individual OTDM channels of unequal amplitudes in a dispersion-managed link with in-line non-linear fibre loop mirrors is investigated.

Bandpass switching based on a nonlinear optical loop mirror and an in-fibre grating reflector

Nonlinear optical loop mirror (NOLM) requires breaking the loop symmetry to enable the counter propagating pulses to acquire a differential π phase shift. This is achieved with either an asymmetric fused fibre coupler at the input or by the inclusion of an asymmetrically located gain or loss element within the loop. By introducing a frequency selective loss element, nonlinear switching may be confined to a narrow band of wavelengths or multiple wavelengths. This configuration may have applications in time-wavelength demultiplexing. We demonstrate this technique of bandpass switching in the soliton regime using a fibre-Bragg grating reflector as the wavelength dependent loss.

Bandpass switching in a nonlinear optical loop mirror

A novel device configuration is used to demonstrate wavelength-confined, a bandpass, switching in a nonlinear-optical loop mirror (WOLM). Demonstrated is a self-switching in the soliton regime using a partially reflecting Bragg grating as a wavelength-dependent loss element. Two wavelength operation in which a signal is switched through the use of cross phase modulation, are demonstrated. Observed is the operation of the device confined to wavelengths defined by the grating reflection band.

Soliton switching using cascaded nonlinear-optical loop mirrors

We demonstrate multiple-peaked switching in a nonlinear-optical loop mirror and present an experimental investigation of device cascading in the soliton regime based on a sequence of two independent nonlinear-optical loop mirrors. Cascading leads to an enhanced switching response with sharper switching edges, flattened peaks, and increased interpeak extinction ratios. We observe that pulses emerging from the cascade retain the sech2 temporal profile of a soliton with minimal degradation in the spectral characteristics.