Exchange-Trade Funds Evaluation using Performance Measures Distribution

In this study we propose the use of the performance measure distribution rather than its punctual value to rank hedge funds. Generalized Sharpe Ratio and other similar measures that take into account the higher-order moments of portfolio return distributions are commonly used to evaluate hedge funds performance. The literature in this field has reported non-significant difference in ranking between performance measures that take, and those that do not take, into account higher moments of distribution. Our approach provides a much more powerful manner to differentiate between hedge funds performance. We use a non-semiparametric density based on Gram-Charlier expansions to forecast the conditional distribution of hedge fund returns and its corresponding performance measure distribution. Through a forecasting exercise we show the advantages of our technique in relation to using the more traditional punctual performance measures.

Joint Analysis of Multiple Algorithms and Performance Measures

There has been an increasing interest in the development of new methods using Pareto optimality to deal with multi-objective criteria (for example, accuracy and time complexity). Once one has developed an approach to a problem of interest, the problem is then how to compare it with the state of art. In machine learning, algorithms are typically evaluated by comparing their performance on different data sets by means of statistical tests. Standard tests used for this purpose are able to consider jointly neither performance measures nor multiple competitors at once. The aim of this paper is to resolve these issues by developing statistical procedures that are able to account for multiple competing measures at the same time and to compare multiple algorithms altogether. In particular, we develop two tests: a frequentist procedure based on the generalized likelihood-ratio test and a Bayesian procedure based on a multinomial-Dirichlet conjugate model. We further extend them by discovering conditional independences among measures to reduce the number of parameters of such models, as usually the number of studied cases is very reduced in such comparisons. Data from a comparison among general purpose classifiers is used to show a practical application of our tests.

Queueuing system with failures and priorities

Queueing theory provides models, structural insights, problem solutions and algorithms to many application areas. Due to its practical applicability to production, manufacturing, home automation, communications technology, etc, more and more complex systems requires more elaborated models, tech- niques, algorithm, etc. need to be developed. Discrete-time models are very suitable in many situations and a feature that makes the analysis of discrete time systems technically more involved than its continuous time counterparts. In this paper we consider a discrete-time queueing system were failures in the server can occur as-well as priority messages. The possibility of failures of the server with general life time distribution is considered. We carry out an extensive study of the system by computing generating functions for the steady-state distribution of the number of messages in the queue and in the system. We also obtain generating functions for the stationary distribution of the busy period and sojourn times of a message in the server and in the system. Performance measures of the system are also provided.

A Cache coherence protocol for MIN-based multiprocessors

In this paper we present a cache coherence protocol for multistage interconnection network (MIN)-based multiprocessors with two distinct private caches: private-blocks caches (PCache) containing blocks private to a process and shared-blocks caches (SCache) containing data accessible by all processes. The architecture is extended by a coherence control bus connecting all shared-block cache controllers. Timing problems due to variable transit delays through the MIN are dealt with by introducing Transient states in the proposed cache coherence protocol. The impact of the coherence protocol on system performance is evaluated through a performance study of three phases. Assuming homogeneity of all nodes, a single-node queuing model (phase 3) is developed to analyze system performance. This model is solved for processor and coherence bus utilizations using the mean value analysis (MVA) technique with shared-blocks steady state probabilities (phase 1) and communication delays (phase 2) as input parameters. The performance of our system is compared to that of a system with an equivalent-sized unified cache and with a multiprocessor implementing a directory-based coherence protocol. System performance measures are verified through simulation.

Maintenance of a case-base for the retrieval of rotationally symmetric shapes for the design of metal castings

In this paper, we discuss the problem of maintenance of a CBR system for retrieval of rotationally symmetric shapes. The special feature of this system is that similarity is derived primarily from graph matching algorithms. The special problem of such a system is that it does not operate on search indices that may be derived from single cases and then used for visualisation and principle component analyses. Rather, the system is built on a similarity metric defined directly over pairs of cases. The problems of efficiency, consistency, redundancy, completeness and correctness are discussed for such a system. Performance measures for the CBR system are given, and the results for trials of the system are presented. The competence of the current case-base is discussed, with reference to a representation of cases as points in an n-dimensional feature space, and a Gramian visualisation. A refinement of the case base is performed as a result of the competence analysis and the performance of the case-base before and after refinement is compared.

Queueing Models with Vacations and Working Vacations

The thesis entitled “Queueing Models with Vacations and Working Vacations" consists of seven chapters including the introductory chapter. In chapters 2 to 7 we analyze different queueing models highlighting the role played by vacations and working vacations. The duration of vacation is exponentially distributed in all these models and multiple vacation policy is followed.In chapter 2 we discuss an M/M/2 queueing system with heterogeneous servers, one of which is always available while the other goes on vacation in the absence of customers waiting for service. Conditional stochastic decomposition of queue length is derived. An illustrative example is provided to study the effect of the input parameters on the system performance measures. Chapter 3 considers a similar setup as chapter 2. The model is analyzed in essentially the same way as in chapter 2 and a numerical example is provided to bring out the qualitative nature of the model. The MAP is a tractable class of point process which is in general nonrenewal. In spite of its versatility it is highly tractable as well. Phase type distributions are ideally suited for applying matrix analytic methods. In all the remaining chapters we assume the arrival process to be MAP and service process to be phase type. In chapter 4 we consider a MAP/PH/1 queue with working vacations. At a departure epoch, the server finding the system empty, takes a vacation. A customer arriving during a vacation will be served but at a lower rate.Chapter 5 discusses a MAP/PH/1 retrial queueing system with working vacations.In chapter 6 the setup of the model is similar to that of chapter 5. The signicant dierence in this model is that there is a nite buer for arrivals.Chapter 7 considers an MMAP(2)/PH/1 queueing model with a nite retrial group

Field test plan for evaluating the cooperative breath analyzer. Technical report.

National Highway Traffic Safety Administration, Washington, D.C.

Composite rib development. Final report.

Mode of access: Internet.

Evaluation of a K. J. Law Model 8300 Ultrasonic Roughness Testing Device. Final report.

Federal Highway Administration, Washington, D.C.

The role of organisational concern for workplace fairness in the choice of a performance mesaurement system

Prior studies linking performance management systems (PMS) and organisational justice have examined how PMS influence procedural fairness. Our investigation differs from these studies. First, it examines fairness as an antecedent (instead of as a consequence) of the choice of PMS. Second, instead of conceptualising organisational fairness as procedural fairness, it relies on the impression management interpretation of organisational fairness. Hence, the study investigates how the need of senior managers to cultivate an impression of being fair is related to the choice of PMS systems and employee outcomes. Based on a sample of 276 employees, the results indicate that the need of senior management to cultivate an impression of being fair is associated with employee performance. They also indicate that a substantial component of these effects is indirect through the choice of comprehensive performance measures (CPM) and employee job satisfaction. These findings highlight the importance of organisational concern for workplace fairness as an antecedent of choice of CPM. From a theoretical perspective, the adoption of the impression management interpretation of organisational fairness contributes by providing new insights into the relationship between fairness and choice of PMS from a perspective that is different from those used in prior management accounting research.

Planning for transit system reliability using productive performance and risk assessment

Urban transit system performance may be quantified and assessed using transit capacity and productive capacity for planning, design and operational management. Bunker (4) defines important productive performance measures of an individual transit service and transit line. Transit work (p-km) captures transit task performed over distance. Transit productiveness (p-km/h) captures transit work performed over time. This paper applies productive performance with risk assessment to quantify transit system reliability. Theory is developed to monetize transit segment reliability risk on the basis of demonstration Annual Reliability Event rates by transit facility type, segment productiveness, and unit-event severity. A comparative example of peak hour performance of a transit sub-system containing bus-on-street, busway, and rail components in Brisbane, Australia demonstrates through practical application the importance of valuing reliability. Comparison reveals the highest risk segments to be long, highly productive on street bus segments followed by busway (BRT) segments and then rail segments. A transit reliability risk reduction treatment example demonstrates that benefits can be significant and should be incorporated into project evaluation in addition to those of regular travel time savings, reduced emissions and safety improvements. Reliability can be used to identify high risk components of the transit system and draw comparisons between modes both in planning and operations settings, and value improvement scenarios in a project evaluation setting. The methodology can also be applied to inform daily transit system operational management.

Planning for transit system reliability using productive performance and risk assessment

Urban transit system performance may be quantified and assessed using transit capacity and productive capacity for planning, design and operational management. Bunker (4) defines important productive performance measures of an individual transit service and transit line. Transit work (p-km) captures transit task performed over distance. Transit productiveness (p-km/h) captures transit work performed over time. This paper applies productive performance with risk assessment to quantify transit system reliability. Theory is developed to monetize transit segment reliability risk on the basis of demonstration Annual Reliability Event rates by transit facility type, segment productiveness, and unit-event severity. A comparative example of peak hour performance of a transit sub-system containing bus-on-street, busway, and rail components in Brisbane, Australia demonstrates through practical application the importance of valuing reliability. Comparison reveals the highest risk segments to be long, highly productive on street bus segments followed by busway (BRT) segments and then rail segments. A transit reliability risk reduction treatment example demonstrates that benefits can be significant and should be incorporated into project evaluation in addition to those of regular travel time savings, reduced emissions and safety improvements. Reliability can be used to identify high risk components of the transit system and draw comparisons between modes both in planning and operations settings, and value improvement scenarios in a project evaluation setting. The methodology can also be applied to inform daily transit system operational management.

Design, implementation and multisite evaluation of a system suitability protocol for the quantitative assessment of instrument performance in liquid chromatography-multiple reaction monitoring-MS (LC-MRM-MS)

Multiple reaction monitoring (MRM) mass spectrometry coupled with stable isotope dilution (SID) and liquid chromatography (LC) is increasingly used in biological and clinical studies for precise and reproducible quantification of peptides and proteins in complex sample matrices. Robust LC-SID-MRM-MS-based assays that can be replicated across laboratories and ultimately in clinical laboratory settings require standardized protocols to demonstrate that the analysis platforms are performing adequately. We developed a system suitability protocol (SSP), which employs a predigested mixture of six proteins, to facilitate performance evaluation of LC-SID-MRM-MS instrument platforms, configured with nanoflow-LC systems interfaced to triple quadrupole mass spectrometers. The SSP was designed for use with low multiplex analyses as well as high multiplex approaches when software-driven scheduling of data acquisition is required. Performance was assessed by monitoring of a range of chromatographic and mass spectrometric metrics including peak width, chromatographic resolution, peak capacity, and the variability in peak area and analyte retention time (RT) stability. The SSP, which was evaluated in 11 laboratories on a total of 15 different instruments, enabled early diagnoses of LC and MS anomalies that indicated suboptimal LC-MRM-MS performance. The observed range in variation of each of the metrics scrutinized serves to define the criteria for optimized LC-SID-MRM-MS platforms for routine use, with pass/fail criteria for system suitability performance measures defined as peak area coefficient of variation <0.15, peak width coefficient of variation <0.15, standard deviation of RT <0.15 min (9 s), and the RT drift <0.5min (30 s). The deleterious effect of a marginally performing LC-SID-MRM-MS system on the limit of quantification (LOQ) in targeted quantitative assays illustrates the use and need for a SSP to establish robust and reliable system performance. Use of a SSP helps to ensure that analyte quantification measurements can be replicated with good precision within and across multiple laboratories and should facilitate more widespread use of MRM-MS technology by the basic biomedical and clinical laboratory research communities.

Test of a smock system on CPR primary emergency measures and medical errors during simulated emergencies

Rates of survival of victims of sudden cardiac arrest (SCA) using cardio pulmonary resuscitation (CPR) have shown little improvement over the past three decades. Since registered nurses (RNs) comprise the largest group of healthcare providers in U.S. hospitals, it is essential that they are competent in performing the four primary measures (compression, ventilation, medication administration, and defibrillation) of CPR in order to improve survival rates of SCA patients. The purpose of this experimental study was to test a color-coded SMOCK system on: 1) time to implement emergency patient care measures 2) technical skills performance 3) number of medical errors, and 4) team performance during simulated CPR exercises. The study sample was 260 RNs (M 40 years, SD=11.6) with work experience as an RN (M 7.25 years, SD=9.42).Nurses were allocated to a control or intervention arm consisting of 20 groups of 5-8 RNs per arm for a total of 130 RNs in each arm. Nurses in each study arm were given clinical scenarios requiring emergency CPR. Nurses in the intervention group wore different color labeled aprons (smocks) indicating their role assignment (medications, ventilation, compression, defibrillation, etc) on the code team during CPR. Findings indicated that the intervention using color-labeled smocks for pre-assigned roles had a significant effect on the time nurses started compressions (t=3.03, p=0.005), ventilations (t=2.86, p=0.004) and defibrillations (t=2.00, p=.05) when compared to the controls using the standard of care. In performing technical skills, nurses in the intervention groups performed compressions and ventilations significantly better than those in the control groups. The control groups made significantly (t=-2.61, p=0.013) more total errors (7.55 SD 1.54) than the intervention group (5.60, SD 1.90). There were no significant differences in team performance measures between the groups. Study findings indicate use of colored labeled smocks during CPR emergencies resulted in: shorter times to start emergency CPR; reduced errors; more technical skills completed successfully; and no differences in team performance.

Test of a Smock System on CPR Primary Emergency Measures and Medical Errors During Simulated Emergencies

Rates of survival of victims of sudden cardiac arrest (SCA) using cardio pulmonary resuscitation (CPR) have shown little improvement over the past three decades. Since registered nurses (RNs) comprise the largest group of healthcare providers in U.S. hospitals, it is essential that they are competent in performing the four primary measures (compression, ventilation, medication administration, and defibrillation) of CPR in order to improve survival rates of SCA patients. The purpose of this experimental study was to test a color-coded SMOCK system on:1) time to implement emergency patient care measures 2) technical skills performance 3) number of medical errors, and 4) team performance during simulated CPR exercises. The study sample was 260 RNs (M 40 years, SD=11.6) with work experience as an RN (M 7.25 years, SD=9.42).Nurses were allocated to a control or intervention arm consisting of 20 groups of 5-8 RNs per arm for a total of 130 RNs in each arm. Nurses in each study arm were given clinical scenarios requiring emergency CPR. Nurses in the intervention group wore different color labeled aprons (smocks) indicating their role assignment (medications, ventilation, compression, defibrillation, etc) on the code team during CPR. Findings indicated that the intervention using color-labeled smocks for pre-assigned roles had a significant effect on the time nurses started compressions (t=3.03, p=0.005), ventilations (t=2.86, p=0.004) and defibrillations (t=2.00, p=.05) when compared to the controls using the standard of care. In performing technical skills, nurses in the intervention groups performed compressions and ventilations significantly better than those in the control groups. The control groups made significantly (t=-2.61, p=0.013) more total errors (7.55 SD 1.54) than the intervention group (5.60, SD 1.90). There were no significant differences in team performance measures between the groups. Study findings indicate use of colored labeled smocks during CPR emergencies resulted in: shorter times to start emergency CPR; reduced errors; more technical skills completed successfully; and no differences in team performance.