Optimal Time Series Momentum

We develop a continuous-time asset price model to capture the timeseries momentum documented recently. The underlying stochastic delay differentialsystem facilitates the analysis of effects of different time horizons used bymomentum trading. By studying an optimal asset allocation problem, we find thatthe performance of time series momentum strategy can be significantly improvedby combining with market fundamentals and timing opportunity with respect tomarket trend and volatility. Furthermore, the results also hold for different timehorizons, the out-of-sample tests and with short-sale constraints. The outperformanceof the optimal strategy is immune to market states, investor sentiment andmarket volatility.

Influence of embedded length on strength of BFRP rods bonded parallel to the grain in low grade timber by pullout-bending tests

Bonded-in rod connections in timber possess many desirable attributes in terms of efficiency, manufacture, performance, aesthetics and cost. In recent years research has been conducted on such connections using fibre reinforced polymers (FRPs) as an alternative to steel. This research programme investigates the pull-out capacity of Basalt FRP rods bonded-in in low grade Irish Sitka Spruce. Embedded length is thought to be the most influential variable contributing to pull- out capacity of bonded-in rods after rod diameter. Previous work has established an optimum embedded length of 15 times the hole diameter. However, this work only considered the effects of axial stress on the bond using a pull-compression testing system which may have given an artificially high pull out capacity as bending effects were neglected. A hinge system was utilised that allows the effects of bending force to be taken in to consideration along with axial forces in a pull-out test. This paper describes an experimental programme where such pull-bending tests were carried out on samples constructed of 12mm diameter BFRP bars with a 2mm glueline thickness and embedded lengths between 80mm and 280mm bonded-in to low-grade timber with an epoxy resin. Nine repetitions of each were tested. A clear increase in pull-out strength was found with increasing embedded length.

Combined effect of high pressure processing and antimicrobial packaging to control the growth of Listeria monocytogenes on ready-to-eat chicken breast

In the European Union, food is considered safe with regard to Listeria monocytogenes if its numbers do not exceed 100 cfu/g throughout the shelf-life of the food. Therefore, it is important to determine if a food supports growth of L. monocytogenes. Challenge tests are laboratory-based studies that measure the growth of L. monocytogenes on artificially contaminated food stored under foreseeable conditions of transportation, distribution and storage. The aim of this study was to elaborate and optimize a user-friendly protocol to perform challenge tests on food and to apply it to determine whether growth of L. monocytogenes is supported during the production and distribution of a potentially risky food i.e. mushrooms. A three-strain mixture of L. monocytogenes was inoculated onto three independent batches of whole mushrooms, sliced mushrooms, mushroom casing and mushroom substrate at a concentration of about 100 -1000 cfu/g. The batches were incubated at potential abuse temperatures, as a worst case scenario, and at intervals during storage L. monocytogenes numbers, % moisture and pH were determined. The results showed that the sliced and whole mushrooms supported growth of L. monocytogenes while mushroom casing allowed survival but did not support growth. Mushroom substrate showed a rich background microflora able of growing in Listeria selective media which hindered enumeration of L. monocytogenes. Combase predictions were not always accurate, indicating that challenge tests are a necessary part of growth determination of L. monocytogenes.

Overview of the current ISO tests for photocatalytic materials

The current eight published ISO standards associated with semiconductor photocatalysis are considered. These standards cover: (1) air purification (specifically, the removal of NO, acetaldehyde and toluene), (2) water purification (the photobleaching of methylene blue and oxidation of DMSO) (3) self-cleaning surfaces (the removal of oleic acid and subsequent change in water droplet contact angle), (4) photosterilisation (specifically probing the antibacterial action of semiconductor photocatalyst films) and (5) UV light sources for semiconductor photocatalytic ISO work. For each standard, the background is first considered, followed by a brief discussion of the standard particulars and concluding in a discussion of the pros and cons of the standard, with often recommendations for their improvement. Other possible standards for the future which would either compliment or enhance the current ones are discussed briefly. 

The validity of critical thinking tests for predicting degree performance: A longitudinal study

This study explored the validity of using critical thinking tests to predict final psychology degree marks over and above that already predicted by traditional admission exams (A-levels). Participants were a longitudinal sample of 109 psychology students from a university in the United Kingdom. The outcome measures were: total degree marks; and end of year marks. The predictor measures were: university admission exam results (A-levels); critical thinking test scores (skills & dispositions); and non-verbal intelligence scores. Hierarchical regressions showed A-levels significantly predicted 10% of the final degree score and the 11-item measure of ‘Inference skills’ from the California Critical Thinking Skills Test significantly predicted an additional 6% of degree outcome variance. The findings from this study should inform decisions about the precise measurement constructs included in aptitude tests used in the higher education admission process.

Novel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed

In this paper, we propose new cointegration tests for single equations and panels. Inboth cases, the asymptotic distributions of the tests, which are derived with N fixed andT → ∞, are shown to be standard normals. The effects of serial correlation and crosssectionaldependence are mopped out via long-run variances. An effective bias correctionis derived which is shown to work well in finite samples; particularly when N is smallerthan T. Our panel tests are robust to possible cointegration across units.

Weathering tests of photocatalytic facade paints containing ZnO and TiO2.

The photocatalytic properties of self-cleaning acrylic paint containing TiO2 and ZnO were studied using Acid Orange 7 as a model compound. Paints were exposed to simulated weathering tests in a QUV panel. The initial photoactivity of the unweathered paints with ZnO was significantly higher. In the case of paints containing P25 the photocatalytic activity increases with weathering time, due to increasing destruction of the polymer resin and consequent exposure of the photocatalyst pigment to the Acid Orange 7 test solution. In contrast, in the case of paints containing ZnO, a decrease in photocatalytic activity is observed after weathering, due to the loss and/or photocorrosion of ZnO particles during the weathering process.

Asset Tracking in Critical Power Communications Infrastructures using Passive Techniques

Active network scanning injects traffic into a network and observes responses to draw conclusions about the network. Passive network analysis works by looking at network meta data or by analyzing traffic as it traverses a fixed point on the network. It may be infeasible or inappropriate to scan critical infrastructure networks. Techniques exist to uniquely map assets without resorting to active scanning. In many cases, it is possible to characterize and identify network nodes by passively analyzing traffic flows. These techniques are considered in particular with respect to their application to power industry critical infrastructure.