Der Momentum-Effekt und Momentum-Handelsstrategien

Diese Arbeit weist Momentum-Renditen für europäische Aktien im Zeitraum von 1991 bis 2010 nach, die – je nach Top/Flop-Prozentsatz – vor Kosten zwischen 6 und 19% p.a. liegen. Gleichzeitig liegen mit hohen Standardabweichungen, negativen Schiefe-Werten und hohen Drawdowns drei wesentliche Risikofaktoren vor. Für die Kernuntersuchungen des Top/Flop-Wertes von 5% treten die höchsten Momentum-Renditen von mehr als 10% p.a. für Ranking-Perioden von 80 bis 100 und Holding-Perioden von 60 bis 90 Handelstagen auf. Grundsätzlich sind die extremsten Aktien der Ranking-Periode entscheidend für die Ausprägung des Momentum-Effekts. Gleichzeitig steigen mit zunehmender Eingrenzung des Top/Flop-Wertes die Risiken, was eine Erklärung hoher Momentum-Renditen aus Sicht der Risikoaversions-Theorie nahelegt. Auch die Berücksichtigung zusätzlicher Filterbedingungen (Gleitende Durchschnitte, Handelsvolumen, Low Volatility) ermöglicht leicht höhere Momentum-Renditen bei entsprechend höheren Risiken. Zwischen dem Momentum-Effekt und dem Auftreten von Kurslücken besteht dagegen kein klarer Zusammenhang. Für die praktische Anwendung sind Momentum-Strategien mit dynamischer Positionsverwaltung während der Haltedauer interessant. Untersucht wurden Strategien anhand der eigens programmierten Simulationsverfahren Stopout und Castout sowie eines kombinierten Verfahrens. Im Ergebnis sind – je nach Präferenz des Investors – das Castout- und das kombinierte Verfahren optimal. Für das Rebalancing der Portfolios empfiehlt es sich, zu den entsprechenden Terminen jeweils nur die Short-Seite auf den Startwert zurückzusetzen. Weiterhin zeigen die Untersuchungen, dass deutliche Long-Übergewichtungen bei Momentum-Strategien grundsätzlich von Vorteil sind. Potenzielle Verbesserungen der Ergebnisse können durch weitere Stopp-Abstände, eine Verringerung des Top/Flop-Wertes oder eine längere Ranking-Periode erzielt werden. Weiterhin sind für die Praxis Long-only-Strategien auf Basis von Doppelranking-Verfahren attraktiv, bei denen das Zweitranking nach Standardabweichung oder Rendite/Standardabweichungs-Ratio erfolgt.

E.C.T.S. [European Credit Transfer System] : lenguas modernas, filolog??as y traducci??n e interpretaci??n

A modo de anexo incluye el cartel de la Jornada para estudiantes de Filolog??a y Traducci??n e Interpretaci??n: ECTS y las lenguas modernas

Advanced Nuclear Energy Systems: Heat Transfer Issues and Trends

Almost 450 nuclear power plants are currently operating throughout the world and supplying about 17% of the world’s electricity. These plants perform safely, reliably, and have no free-release of byproducts to the environment. Given the current rate of growth in electricity demand and the ever growing concerns for the environment, the US consumer will favor energy sources that can satisfy the need for electricity and other energy-intensive products (1) on a sustainable basis with minimal environmental impact, (2) with enhanced reliability and safety and (3) competitive economics. Given that advances are made to fully apply the potential benefits of nuclear energy systems, the next generation of nuclear systems can provide a vital part of a long-term, diversified energy supply. The Department of Energy has begun research on such a new generation of nuclear energy systems that can be made available to the market by 2030 or earlier, and that can offer significant advances toward these challenging goals [1]. These future nuclear power systems will require advances in materials, reactor physics as well as heat transfer to realize their full potential. In this paper, a summary of these advanced nuclear power systems is presented along with a short synopsis of the important heat transfer issues. Given the nature of research and the dynamics of these conceptual designs, key aspects of the physics will be provided, with details left for the presentation.

Nanoscale heat transfer and information technology

The summary from Goodson’s group on their recent work on heat transfer issues in the microelectronics and data storage industries illustrate the critical role of heat transfer for some areas of information technology. In this article, we build on their work and discuss some directions worthy of further research.

Strained Silicon on Silicon by Wafer Bonding and Layer Transfer from Relaxed SiGe Buffer

We report the creation of strained silicon on silicon (SSOS) substrate technology. The method uses a relaxed SiGe buffer as a template for inducing tensile strain in a Si layer, which is then bonded to another Si handle wafer. The original Si wafer and the relaxed SiGe buffer are subsequently removed, thereby transferring a strained-Si layer directly to Si substrate without intermediate SiGe or oxide layers. Complete removal of Ge from the structure was confirmed by cross-sectional transmission electron microscopy as well as secondary ion mass spectrometry. A plan-view transmission electron microscopy study of the strained-Si/Si interface reveals that the lattice-mismatch between the layers is accommodated by an orthogonal array of edge dislocations. This misfit dislocation array, which forms upon bonding, is geometrically necessary and has an average spacing of approximately 40nm, in excellent agreement with established dislocation theory. To our knowledge, this is the first study of a chemically homogeneous, yet lattice-mismatched, interface.

Transport of Sub-micron Aerosols in Bifurcations

The convective-diffusive transport of sub-micron aerosols in an oscillatory laminar flow within a 2-D single bifurcation is studied, using order-of-magnitude analysis and numerical simulation using a commercial software (FEMLAB®). Based on the similarity between momentum and mass transfer equations, various transient mass transport regimes are classified and scaled according to Strouhal and beta numbers. Results show that the mass transfer rate is highest at the carinal ridge and there is a phase-shift in diffusive transport time if the beta number is greater than one. It is also shown that diffusive mass transfer becomes independent of the oscillating outer flow if the Strouhal number is greater than one.

Compositional evolution with mass transfer in closed systems

Evolution of compositions in time, space, temperature or other covariates is frequent in practice. For instance, the radioactive decomposition of a sample changes its composition with time. Some of the involved isotopes decompose into other isotopes of the sample, thus producing a transfer of mass from some components to other ones, but preserving the total mass present in the system. This evolution is traditionally modelled as a system of ordinary di erential equations of the mass of each component. However, this kind of evolution can be decomposed into a compositional change, expressed in terms of simplicial derivatives, and a mass evolution (constant in this example). A rst result is that the simplicial system of di erential equations is non-linear, despite of some subcompositions behaving linearly. The goal is to study the characteristics of such simplicial systems of di erential equa- tions such as linearity and stability. This is performed extracting the compositional dif ferential equations from the mass equations. Then, simplicial derivatives are expressed in coordinates of the simplex, thus reducing the problem to the standard theory of systems of di erential equations, including stability. The characterisation of stability of these non-linear systems relays on the linearisation of the system of di erential equations at the stationary point, if any. The eigenvelues of the linearised matrix and the associated behaviour of the orbits are the main tools. For a three component system, these orbits can be plotted both in coordinates of the simplex or in a ternary diagram. A characterisation of processes with transfer of mass in closed systems in terms of stability is thus concluded. Two examples are presented for illustration, one of them is a radioactive decay

Medida de transfer en el entorno educativo : resultados de la aplicaci??n de la prueba PEPT

Resumen tomado de la publicaci??n

La piedra angular para la incorporación de los medios audiovisuales, informáticos y nuevas tecnologías en los contextos educativos : la formación y el perfeccionamiento del profesorado.

Resumen tomado del autor

L??avaluaci?? de la formaci?? del professorat al centre : la facilitaci?? per a la transfer??ncia. 'La evaluaci??n de la formaci??n del profesorado en el centro : la facilitaci??n para la transferencia'

Resumen tomado del autor. Incluye cuadro que sintetiza el proceso de evaluaci??n de los asesoramientos

how to transfer stitches

domestic knitting machine tutorial