On the Efficiency of the Benchmarks Used in the Asset Management

In this work we studied the efficiency of the benchmarks used in the asset management industry. In chapter 2 we analyzed the efficiency of the benchmark used for the government bond markets. We found that for the Emerging Market Bonds an equally weighted index for the country weights is probably the more suited because guarantees maximum diversification of country risk but for the Eurozone government bond market we found a GDP weighted index is better because the most important matter is to avoid a higher weight for highly indebted countries. In chapter 3 we analyzed the efficiency of a Derivatives Index to invest in the European corporate bond market instead of a Cash Index. We can state that the two indexes are similar in terms of returns, but that the Derivatives Index is less risky because it has a lower volatility, has values of skewness and kurtosis closer to those of a normal distribution and is a more liquid instrument, as the autocorrelation is not significant. In chapter 4 it is analyzed the impact of fallen angels on the corporate bond portfolios. Our analysis investigated the impact of the month-end rebalancing of the ML Emu Non Financial Corporate Index for the exit of downgraded bond (the event). We can conclude a flexible approach to the month-end rebalancing is better in order to avoid a loss of valued due to the benchmark construction rules. In chapter 5 we did a comparison between the equally weighted and capitalization weighted method for the European equity market. The benefit which results from reweighting the portfolio into equal weights can be attributed to the fact that EW portfolios implicitly follow a contrarian investment strategy, because they mechanically rebalance away from stocks that increase in price.

Gold and the Stock Market: 3 Essays on Gold Investments

This thesis gives an overview of the history of gold per se, of gold as an investment good and offers some institutional details about gold and other precious metal markets. The goal of this study is to investigate the role of gold as a store of value and hedge against negative market movements in turbulent times. I investigate gold’s ability to act as a safe haven during periods of financial stress by employing instrumental variable techniques that allow for time varying conditional covariance. I find broad evidence supporting the view that gold acts as an anchor of stability during market downturns. During periods of high uncertainty and low stock market returns, gold tends to have higher than average excess returns. The effectiveness of gold as a safe haven is enhanced during periods of extreme crises: the largest peaks are observed during the global financial crises of 2007-2009 and, in particular, during the Lehman default (October 2008). A further goal of this thesis is to investigate whether gold provides protection from tail risk. I address the issue of asymmetric precious metal behavior conditioned to stock market performance and provide empirical evidence about the contribution of gold to a portfolio’s systematic skewness and kurtosis. I find that gold has positive coskewness with the market portfolio when the market is skewed to the left. Moreover, gold shows low cokurtosis with the market returns during volatile periods. I therefore show that gold is a desirable investment good to risk averse investors, since it tends to decrease the probability of experiencing extreme bad outcomes, and the magnitude of losses in case such events occur. Gold thus bears very important and under-researched characteristics as an asset class per se, which this thesis contributed to address and unveil.

Indagine sperimentale sulla risposta vibratoria di provini sottoposti ad eccitazione non-gaussiana

Nuova frontiera per la procedura di test tailoring è la sintesi di profili vibratori il più reali possibili, nei quali venga tenuto conto della possibile presenza di eventi transitori e della non scontata ripetibilità delle vibrazioni nel tempo. Negli ultimi anni si è rivolto un crescente interesse nel "controllo del Kurtosis", finalizzato alla realizzazione di profili vibratori aventi distribuzione di probabilità non-Gaussiana. Durante l’indagine sperimentale oggetto di questa trattazione si sono portati a rottura per fatica alcuni componenti sottoposti, in generale, a tre differenti tipi di sollecitazione: stazionaria Gaussiana, stazionaria non-Gaussiana e non stazionaria non-Gaussiana. Il componente testato è costituito da un provino cilindrico montato a sbalzo e dotato di una massa concentrata all’estremità libera e di una gola vicina all’incastro, nella quale avviene la rottura per fatica. Durante l’indagine sperimentale si è monitorata la risposta in termini di accelerazione all’estremità libera del provino e di spostamento relativo a monte e a valle della gola, essendo quest’ultimo ritenuto proporzionale alle tensioni che portano a rottura il componente. Per ogni prova sono stati confrontati il Kurtosis e altri parametri statistici dell’eccitazione e della risposta. I risultati ottenuti mostrano che solo le sollecitazioni non stazionarie non-Gaussiane forniscono una risposta con distribuzione di probabilità non-Gaussiana. Per gli altri profili vale invece il Teorema del Limite Centrale. Tale per cui i picchi presenti nell'eccitazione non vengono trasmessi alla risposta. Sono stati inoltre monitorati i tempi di rottura di ogni componente. L’indagine sperimentale è stata effettuata con l'obiettivo di indagare sulle caratteristiche che deve possedere l’eccitazione affinchè sia significativa per le strategie alla base del "controllo del Kurtosis".

Indagine sperimentale sulla risposta dinamica di provini piatti in lega d'alluminio sottoposti a diverse tipologie di eccitazione vibratoria non-gaussiana

Negli ultimi anni va sempre più affermandosi l’idea che nei test a fatica utilizzati in ambito industriale per testare la resistenza di numerosi prodotti, riprodurre profili vibratori con distribuzioni gaussiane non sia sufficientemente realistico. Nell’indagine sperimentale riportata in questo trattato vengono confrontati gli effetti generati da sollecitazioni leptocurtiche ottenute da misurazioni reali, con profili vibratori gaussiani a parità di RMS e forma della PSD (Power Spectral Density) verificando la validità della “Papoulis rule”. A partire da questi profili vibratori si è effettuata una progettazione ad hoc dalla quale sono stati ricavati dei provini piatti in lega di alluminio a cui è collegata una massa ausiliaria. Quest’ultimi montati a sbalzo su uno shaker elettrodinamico, sono caratterizzati da una variazione di sezione che localizza la sezione critica in prossimità dell’incastro. I provini sono stati inoltre caratterizzati attraverso prove a trazione e test accelerati a fatica, ricavandone la caratteristica a trazione del materiale ed il diagramma di Wohler. In seguito alla descrizione di tali prove viene riportata un’analisi dei provini sollecitati da due profili vibratori, uno gaussiano e uno ad elevato valore di kurtosis, monitorando tramite l’impiego di accelerometri i valori dell’eccitazione e la risposta. Vengono inoltre verificati i valori delle deformazioni dovute alle sollecitazioni imposte collocando due estensimetri in corrispondenza della sezione critica di due provini (uno per ogni tipologia di input).

Content characterization of 3D Videos

Il principale scopo di questa tesi è focalizzato alla ricerca di una caratterizzazione dei contenuti in video 3D. In una prima analisi, le complessità spaziale e temporale di contenuti 3D sono state studiate seguendo le convenzionali tecniche applicate a video 2D. In particolare, Spatial Information (SI) e Temporal Information (TI) sono i due indicatori utilizzati nella caratterizzazione 3D di contenuti spaziali e temporali. Per presentare una descrizione completa di video 3D, deve essere considerata anche la caratterizzazione in termini di profondità. A questo riguardo, nuovi indicatori di profondità sono stati proposti sulla base di valutazioni statistiche degli istogrammi di mappe di profondità. Il primo depth indicator è basato infatti sullo studio della media e deviazione standard della distribuzione dei dati nella depth map. Un'altra metrica proposta in questo lavoro stima la profondità basandosi sul calcolo dell’entropia della depth map. Infine, il quarto algoritmo implementato applica congiuntamente una tecnica di sogliatura (thresholding technique) e analizza i valori residui dell’istogramma calcolando l’indice di Kurtosis. Gli algoritmi proposti sono stati testati con un confronto tra le metriche proposte in questo lavoro e quelle precedenti, ma anche con risultati di test soggettivi. I risultati sperimentali mostrano l’efficacia delle soluzioni proposte nel valutare la profondità in video 3D. Infine, uno dei nuovi indicatori è stato applicato ad un database di video 3D per completare la caratterizzazione di contenuti 3D.

3G network traffic sources measurement and analysis

In this paper, we show statistical analyses of several types of traffic sources in a 3G network, namely voice, video and data sources. For each traffic source type, measurements were collected in order to, on the one hand, gain better understanding of the statistical characteristics of the sources and, on the other hand, enable forecasting traffic behaviour in the network. The latter can be used to estimate service times and quality of service parameters. The probability density function, mean, variance, mean square deviation, skewness and kurtosis of the interarrival times are estimated by Wolfram Mathematica and Crystal Ball statistical tools. Based on evaluation of packet interarrival times, we show how the gamma distribution can be used in network simulations and in evaluation of available capacity in opportunistic systems. As a result, from our analyses, shape and scale parameters of gamma distribution are generated. Data can be applied also in dynamic network configuration in order to avoid potential network congestions or overflows. Copyright © 2013 John Wiley & Sons, Ltd.

Characterization of microcirculation in multiple sclerosis lesions by dynamic texture parameter analysis (DTPA)

OBJECTIVE Texture analysis is an alternative method to quantitatively assess MR-images. In this study, we introduce dynamic texture parameter analysis (DTPA), a novel technique to investigate the temporal evolution of texture parameters using dynamic susceptibility contrast enhanced (DSCE) imaging. Here, we aim to introduce the method and its application on enhancing lesions (EL), non-enhancing lesions (NEL) and normal appearing white matter (NAWM) in multiple sclerosis (MS). METHODS We investigated 18 patients with MS and clinical isolated syndrome (CIS), according to the 2010 McDonald's criteria using DSCE imaging at different field strengths (1.5 and 3 Tesla). Tissues of interest (TOIs) were defined within 27 EL, 29 NEL and 37 NAWM areas after normalization and eight histogram-based texture parameter maps (TPMs) were computed. TPMs quantify the heterogeneity of the TOI. For every TOI, the average, variance, skewness, kurtosis and variance-of-the-variance statistical parameters were calculated. These TOI parameters were further analyzed using one-way ANOVA followed by multiple Wilcoxon sum rank testing corrected for multiple comparisons. RESULTS Tissue- and time-dependent differences were observed in the dynamics of computed texture parameters. Sixteen parameters discriminated between EL, NEL and NAWM (pAVG = 0.0005). Significant differences in the DTPA texture maps were found during inflow (52 parameters), outflow (40 parameters) and reperfusion (62 parameters). The strongest discriminators among the TPMs were observed in the variance-related parameters, while skewness and kurtosis TPMs were in general less sensitive to detect differences between the tissues. CONCLUSION DTPA of DSCE image time series revealed characteristic time responses for ELs, NELs and NAWM. This may be further used for a refined quantitative grading of MS lesions during their evolution from acute to chronic state. DTPA discriminates lesions beyond features of enhancement or T2-hypersignal, on a numeric scale allowing for a more subtle grading of MS-lesions.

Statistical characterization and development of summary measures of non-normal distributions of nuclear morphometry data from prostate cancer cells for use as prognostic indicators

Nuclear morphometry (NM) uses image analysis to measure features of the cell nucleus which are classified as: bulk properties, shape or form, and DNA distribution. Studies have used these measurements as diagnostic and prognostic indicators of disease with inconclusive results. The distributional properties of these variables have not been systematically investigated although much of the medical data exhibit nonnormal distributions. Measurements are done on several hundred cells per patient so summary measurements reflecting the underlying distribution are needed.^ Distributional characteristics of 34 NM variables from prostate cancer cells were investigated using graphical and analytical techniques. Cells per sample ranged from 52 to 458. A small sample of patients with benign prostatic hyperplasia (BPH), representing non-cancer cells, was used for general comparison with the cancer cells.^ Data transformations such as log, square root and 1/x did not yield normality as measured by the Shapiro-Wilks test for normality. A modulus transformation, used for distributions having abnormal kurtosis values, also did not produce normality.^ Kernel density histograms of the 34 variables exhibited non-normality and 18 variables also exhibited bimodality. A bimodality coefficient was calculated and 3 variables: DNA concentration, shape and elongation, showed the strongest evidence of bimodality and were studied further.^ Two analytical approaches were used to obtain a summary measure for each variable for each patient: cluster analysis to determine significant clusters and a mixture model analysis using a two component model having a Gaussian distribution with equal variances. The mixture component parameters were used to bootstrap the log likelihood ratio to determine the significant number of components, 1 or 2. These summary measures were used as predictors of disease severity in several proportional odds logistic regression models. The disease severity scale had 5 levels and was constructed of 3 components: extracapsulary penetration (ECP), lymph node involvement (LN+) and seminal vesicle involvement (SV+) which represent surrogate measures of prognosis. The summary measures were not strong predictors of disease severity. There was some indication from the mixture model results that there were changes in mean levels and proportions of the components in the lower severity levels. ^

Real-Time In Vivo Characterization of Primary Liver Tumors With Diffuse Optical Spectroscopy During Percutaneous Needle Interventions: Feasibility Study in Woodchucks

OBJECTIVE This study presents the first in vivo real-time optical tissue characterization during image-guided percutaneous intervention using near-infrared diffuse optical spectroscopy sensing at the tip of a needle. The goal of this study was to indicate transition boundaries from healthy tissue to tumors, namely, hepatic carcinoma, based on the real-time feedback derived from the optical measurements. MATERIALS AND METHODS Five woodchucks with hepatic carcinoma were used for this study. The woodchucks were imaged with contrast-enhanced cone beam computed tomography with a flat panel detector C-arm system to visualize the carcinoma in the liver. In each animal, 3 insertions were performed, starting from the skin surface toward the hepatic carcinoma under image guidance. In 2 woodchucks, each end point of the insertion was confirmed with pathologic examination of a biopsy sample. While advancing the needle in the animals under image guidance such as fluoroscopy overlaid with cone beam computed tomography slice and ultrasound, optical spectra were acquired at the distal end of the needles. Optical tissue characterization was determined by translating the acquired optical spectra into clinical parameters such as blood, water, lipid, and bile fractions; tissue oxygenation levels; and scattering amplitude related to tissue density. The Kruskal-Wallis test was used to study the difference in the derived clinical parameters from the measurements performed within the healthy tissue and the hepatic carcinoma. Kurtoses were calculated to assess the dispersion of these parameters within the healthy and carcinoma tissues. RESULTS Blood and lipid volume fractions as well as tissue oxygenation and reduced scattering amplitude showed to be significantly different between the healthy part of the liver and the hepatic carcinoma (P < 0.05) being higher in normal liver tissue. A decrease in blood and lipid volume fractions and tissue oxygenation as well as an increase in scattering amplitude were observed when the tip of the needle crossed the margin from the healthy liver tissue to the carcinoma. The kurtosis for each derived clinical parameter was high in the hepatic tumor as compared with that in the healthy liver indicating intracarcinoma variability. CONCLUSIONS Tissue blood content, oxygenation level, lipid content, and tissue density all showed significant differences when the needle tip was guided from the healthy tissue to the carcinoma and can therefore be used to identify tissue boundaries during percutaneous image-guided interventions.

Automatic quality control in clinical (1) H MRSI of brain cancer.

MRSI grids frequently show spectra with poor quality, mainly because of the high sensitivity of MRS to field inhomogeneities. These poor quality spectra are prone to quantification and/or interpretation errors that can have a significant impact on the clinical use of spectroscopic data. Therefore, quality control of the spectra should always precede their clinical use. When performed manually, quality assessment of MRSI spectra is not only a tedious and time-consuming task, but is also affected by human subjectivity. Consequently, automatic, fast and reliable methods for spectral quality assessment are of utmost interest. In this article, we present a new random forest-based method for automatic quality assessment of (1) H MRSI brain spectra, which uses a new set of MRS signal features. The random forest classifier was trained on spectra from 40 MRSI grids that were classified as acceptable or non-acceptable by two expert spectroscopists. To account for the effects of intra-rater reliability, each spectrum was rated for quality three times by each rater. The automatic method classified these spectra with an area under the curve (AUC) of 0.976. Furthermore, in the subset of spectra containing only the cases that were classified every time in the same way by the spectroscopists, an AUC of 0.998 was obtained. Feature importance for the classification was also evaluated. Frequency domain skewness and kurtosis, as well as time domain signal-to-noise ratios (SNRs) in the ranges 50-75 ms and 75-100 ms, were the most important features. Given that the method is able to assess a whole MRSI grid faster than a spectroscopist (approximately 3 s versus approximately 3 min), and without loss of accuracy (agreement between classifier trained with just one session and any of the other labelling sessions, 89.88%; agreement between any two labelling sessions, 89.03%), the authors suggest its implementation in the clinical routine. The method presented in this article was implemented in jMRUI's SpectrIm plugin. Copyright © 2016 John Wiley & Sons, Ltd.

Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited

Previous studies (e.g., Hamori, 2000; Ho and Tsui, 2003; Fountas et al., 2004) find high volatility persistence of economic growth rates using generalized autoregressive conditional heteroskedasticity (GARCH) specifications. This paper reexamines the Japanese case, using the same approach and showing that this finding of high volatility persistence reflects the Great Moderation, which features a sharp decline in the variance as well as two falls in the mean of the growth rates identified by Bai and Perronâs (1998, 2003) multiple structural change test. Our empirical results provide new evidence. First, excess kurtosis drops substantially or disappears in the GARCH or exponential GARCH model that corrects for an additive outlier. Second, using the outlier-corrected data, the integrated GARCH effect or high volatility persistence remains in the specification once we introduce intercept-shift dummies into the mean equation. Third, the time-varying variance falls sharply, only when we incorporate the break in the variance equation. Fourth, the ARCH in mean model finds no effects of our more correct measure of output volatility on output growth or of output growth on its volatility.

Cross-Country Evidence on Output Growth Volatility: Nonstationary Variance and GARCH Models

This paper revisits the issue of conditional volatility in real GDP growth rates for Canada, Japan, the United Kingdom, and the United States. Previous studies find high persistence in the volatility. This paper shows that this finding largely reflects a nonstationary variance. Output growth in the four countries became noticeably less volatile over the past few decades. In this paper, we employ the modified ICSS algorithm to detect structural change in the unconditional variance of output growth. One structural break exists in each of the four countries. We then use generalized autoregressive conditional heteroskedasticity (GARCH) specifications modeling output growth and its volatility with and without the break in volatility. The evidence shows that the time-varying variance falls sharply in Canada, Japan, and the U.K. and disappears in the U.S., excess kurtosis vanishes in Canada, Japan, and the U.S. and drops substantially in the U.K., once we incorporate the break in the variance equation of output for the four countries. That is, the integrated GARCH (IGARCH) effect proves spurious and the GARCH model demonstrates misspecification, if researchers neglect a nonstationary unconditional variance.

(Table 1) Deuterium excess record during different time periods in Lomonosovfonna ice core

In this paper we present a deuterium excess (d) record from an ice core drilled on a small ice cap in Svalbard in 1997. The core site is located at Lomonosovfonna at 1255 m asl, and the analyzed time series spans the period 1400-1990 A.D. The record shows pronounced multidecadal to centennial-scale variations coherent with sea surface temperature changes registered in the subtropical to southern middle-latitude North Atlantic during the instrumental period. We interpret the negative trend in the deuterium excess during the 1400s and 1500s as an indication of cooling in the North Atlantic associated with the onset of the Little Ice Age. Consistently positive anomalies of d after 1900, peaking at about 1950, correspond with well-documented contemporary warming. Yet the maximum values of deuterium excess during 1900-1990 are not as high as in the early part of the record (pre-1550). This suggests that the sea surface temperatures during this earlier period of time in the North Atlantic to the south of approximately 45°N were at least comparable with those registered in the 20th century before the end of the 1980s. We examine the potential for a cold bias to exist in the deuterium excess record due to increased evaporation from the local colder sources of moisture having isotopically cold signature. It is argued that despite a recent oceanic warming, the contribution from this local moisture to the Lomonosovfonna precipitation budget is still insufficient to interfere with the isotopic signal from the primary moisture region in the midlatitude North Atlantic.

Micro-granulometry of sedimentary dykes, Kathmandu basin, Nepal

Soft-sediment deformation structures have been analyzed at six sites of the Kathmandu valley. Microgranulometric study (this Supplement and Fig. 3B of Mugnier et al., Tectonophysics, 2011) reveals that silty levels (60 to 80% silt) favor the development of soft-sediment deformation structures, while sandy levels (60 to 80% sand) are passively deformed. Nonetheless well sorted sand levels (more than 80% sand) generate over-fluid pressure during compaction if located beneath a silty cap, leading to fluidization and dike development. 3-D geometry of seismites indicates a very strong horizontal shearing during their development. Using a physical approach based on soil liquefaction during horizontal acceleration, we show that the fluidization zone progressively grows down-section during the shaking, but does not exactly begin at the surface. The comparison of bed-thickness and strength/depth evolution indicates three cases: i) no soft-sediment deformation occurs for thin (few centimeters) silty beds; ii) the thickness of soft-sediment deformation above sandy beds is controlled by the lithological contrast; iii) the thickness of soft-sediment deformation depends on the shaking intensity for very thick silty beds. These 3 cases are evidenced in the Kathmandu basin. We use the 30 cm-thick soft-sediment deformation level formed during the 1833 earthquake as a reference: the 1833 earthquake rupture zone extended very close to Kathmandu, inducing there MMI IX-X damages. A 90 cm-thick sediment deformation has therefore to be induced by an event greater than MMI X. From a compilation of paleo and historic seismology studies, it is found that the great (M ~ 8.1) historical earthquakes are not characteristic of the greatest earthquakes of Himalaya; hence earthquakes greater than M ~ 8.6 occurred. Kathmandu is located above one of the asperities that laterally limits the extent of mega-earthquake ruptures and two successive catastrophic events already affected Kathmandu, in 1255 located to the west of this asperity and in ~ 1100 to the east.