Investigation of a ship's propeller jet using momentum decay and energy decay

Previous researchers use the velocity decay as an input to investigate the ship’s propeller jet induced scour. A researcher indicated that most of the equations used to predict the stability of various protection systems are often missing a physical background. The momentum decay and energy decay are currently proposed as an initial input for seabed scouring investigation, which are more sensible in physics. Computational fluid dynamics (CFD) and laser Doppler anemometry (LDA) experiments are used to obtain the velocity data and then transforming into momentum and energy decays. The findings proposed several exponential equations of velocity, momentum and energy decays to estimate the region exposed to the seabed scouring.

Momentum Trading in New York Stock Exchange (NYSE) Energy Stocks

This paper investigates whether the momentum effect exists in the NYSE energy sector. Momentum is defined as the strategy that buys (sells) these stocks that are best (worst) performers, over a pre-specified past period of time (the 'look-back' period), by constructing equally weighted portfolios. Different momentum strategies are obtained by changing the number of stocks included in these portfolios, as well as the look-back period. Next, their performance is compared against two benchmarks: the equally weighted portfolio consisting of most stocks in the NYSE energy index and the market portfolio, and the S&P500 index. The results indicate that the momentum effect is strongly present in the energy sector, and leads to highly profitable portfolios, improving the risk-reward measures and easily outperforming both benchmarks.

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.

Time-Varying Liquidity and Momentum Profits

A basic intuition is that arbitrage is easier when markets are most liquid. Surprisingly, we find that momentum profits are markedly larger in liquid market states. This finding is not explained by variation in liquidity risk, time-varying exposure to risk factors, or changes in macroeconomic condition, cross-sectional return dispersion, and investor sentiment. The predictive performance of aggregate market illiquidity for momentum profits uniformly exceed that of market return and market volatility states. While momentum strategies are unconditionally unprofitable in US, Japan, and Eurozone countries in the last decade, they are substantial following liquid market states.

Cumulus momentum fluxes in cloud-resolving model simulations of toga-coare

O objectivo deste trabalho científico é o estudo do transporte vertical de momento linear horizontal (CMT) realizado por sistemas de nuvens de convecção profunda sobre o oceano tropical. Para realizar este estudo, foram utilizadas simulações tridimensionais produzidas por um modelo explícito de nuvens (CRM) para os quatro meses de duração da campanha observacional TOGA COARE que ocorreu sobre as águas quentes do Pacífico ocidental. O estudo foca essencialmente as características estatísticas e à escala da nuvem do CMT durante um episódio de fortes ventos de oeste e durante um período de tempo maior que incluí este evento de convecção profunda. As distribuições verticais e altitude-temporais de campos atmosféricos relacionados com o CMT são avaliadas relativamente aos campos observacionais disponíveis, mostrando um bom acordo com os resultados de estudos anteriores, confirmando assim a boa qualidade das primeiras e fornecendo a confiança necessária para continuar a investigação. A sensibilidade do CMT em relação do domínio espacial do model é analisada, utilizando dois tipos de simulações tridimensionais produzidas por domínios horizontais de diferente dimensão, sugerindo que o CMT não depende da dimensão do domínio espacial horizontal escolhido para simular esta variável. A capacidade da parameterização do comprimento de mistura simular o CMT é testada, destacando as regiões troposféricas onde os fluxos de momento linear horizontal são no sentido do gradiente ou contra o gradiente. Os fluxos no sentido do gradiente apresentam-se relacionados a uma fraca correlação entre os campos atmosféricos que caracterizam esta parameterização, sugerindo que as formulações dos fluxos de massa dentro da nuvem e o fenómeno de arrastamento do ar para dentro da nuvem devem ser revistos. A importância do ar saturado e não saturado para o CMT é estudada com o objectivo de alcançar um melhor entendimento acerca dos mecanismos físicos responsáveis pelo CMT. O ar não saturado e saturado na forma de correntes descendentes contribuem de forma determinante para o CMT e deverão ser considerados em futuras parameterizações do CMT e da convecção em nuvens cumulus. Métodos de agrupamento foram aplicados às contribuições do ar saturado e não saturado, analisando os campos da força de flutuação e da velocidade vertical da partícula de ar, concluindo-se a presença de ondas gravíticas internas como mecanismo responsável pelo ar não saturado. A força do gradiente de pressão dentro da nuvem é também avaliada, utilizando para este efeito a fórmula teórica proposta por Gregory et al. (1997). Uma boa correlação entre esta força e o produto entre efeito de cisalhamento do vento e a perturbação da velocidade vertical é registada, principalmente para as correntes ascendentes dentro da nuvem durante o episódio de convecção profunda. No entanto, o valor ideal para o coeficiente empírico c*, que caracteriza a influência da força do gradiente de pressão dentro da nuvem sobre a variação vertical da velocidade horizontal dentro da nuvem, não é satisfatoriamente alcançado. Bons resultados são alcançados através do teste feito à aproximação do fluxo de massa proposta por Kershaw e Gregory (1997) para o cálculo do CMT total, revelando mais uma vez a importância do ar não saturado para o CMT.

Estudo das possibilidades de resultados anormais através de estratégias momentum no mercado Euronext

Dissertação de mestrado, Finanças Empresariais, Faculdade de Economia, Universidade do Algarve, 2014

Momentum risk: An approach following the correlations between active stocks

The momentum anomaly has been widely documented in the literature. However, there are still many issues where there is no consensus and puzzles left unexplained. One is that strategies based on momentum present a level of risk that is inconsistent with the diversification that it offers. Moreover, recent studies indicate that this risk is variable over time and mostly strategy-specific. This work project hypothesises and proves that this evidence is explained by the portfolio constitution of the momentum strategy over time, namely the covariance and correlation between companies in the top and down deciles and across them.

Alpha generation with Twitter’s daily momentum

This thesis does not set out to focus on the dynamics relationship between Twitter and stock prices, but instead tries to understand if using relevant information extracted from tweets has the power to increase investors’ stock picking ability, and generate alpha in portfolio’s choice relative to a benchmark. Despite the short period analyzed, it gives promising results that the sentiment analysis performed by Social Market Analytics Inc. applied to an equity portfolio, is able to generate positive abnormal returns, statistically significant in and out of sample.

Introducing risk parity on momentum and carry portfolios

The momentum and carry anomalies have been extensively documented in the literature. However, there are still many issues relating to the risks associated to them that are left unexplained. One is the fact that an investor holds for too long the most volatile assets, both under momentum and carry strategies. Therefore, they present a level of risk and a probability of extreme events to happen inconsistent. This work project hypothesizes and proves the introduction of risk parity rules on the weights of the portfolios do increase risk rewarding of carry strategies. However, it fails under momentum strategies.

Momentum distribution in nuclear matter and finite nuclei

A simple method is presented to evaluate the effects of short-range correlations on the momentum distribution of nucleons in nuclear matter within the framework of the Greens function approach. The method provides a very efficient representation of the single-particle Greens function for a correlated system. The reliability of this method is established by comparing its results to those obtained in more elaborate calculations. The sensitivity of the momentum distribution on the nucleon-nucleon interaction and the nuclear density is studied. The momentum distributions of nucleons in finite nuclei are derived from those in nuclear matter using a local-density approximation. These results are compared to those obtained directly for light nuclei like 16O.