Conditioning information in mutual fund performance evaluation: Portuguese evidence

We estimate and compare the performance of Portuguese-based mutual funds that invest in the domestic market and in the European market using unconditional and conditional models of performance evaluation. Besides applying both partial and full conditional models, we use European information variables, instead of the most common local ones, and consider stochastically detrended conditional variables in order to avoid spurious regressions. The results suggest that mutual fund managers are not able to outperform the market, presenting negative or neutral performance. The incorporation of conditioning information in performance evaluation models is supported by our findings, as it improves the explanatory power of the models and there is evidence of both time-varying betas and alphas related to the public information variables. It is also shown that the number of lags to be used in the stochastic detrending procedure is a critical choice, as it will impact the significance of the conditioning information. In addition, we observe a distance effect, since managers who invest locally seem to outperform those who invest in the European market. However, after controlling for public information, this effect is slightly reduced. Furthermore, the results suggest that survivorship bias has a small impact on performance estimates.

Synchronization and Basins of Synchronized in Two-Dimensional Piecewise Maps Via Coupling Three Pieces of One-Dimensional Maps

This paper is devoted to the synchronization of a dynamical system defined by two different coupling versions of two identical piecewise linear bimodal maps. We consider both local and global studies, using different tools as natural transversal Lyapunov exponent, Lyapunov functions, eigenvalues and eigenvectors and numerical simulations. We obtain theoretical results for the existence of synchronization on coupling parameter range. We characterize the synchronization manifold as an attractor and measure the synchronization speed. In one coupling version, we give a necessary and sufficient condition for the synchronization. We study the basins of synchronization and show that, depending upon the type of coupling, they can have very different shapes and are not necessarily constituted by the whole phase space; in some cases, they can be riddled.

Analysis and visualization of seismic data using mutual information

Seismic data is difficult to analyze and classical mathematical tools reveal strong limitations in exposing hidden relationships between earthquakes. In this paper, we study earthquake phenomena in the perspective of complex systems. Global seismic data, covering the period from 1962 up to 2011 is analyzed. The events, characterized by their magnitude, geographic location and time of occurrence, are divided into groups, either according to the Flinn-Engdahl (F-E) seismic regions of Earth or using a rectangular grid based in latitude and longitude coordinates. Two methods of analysis are considered and compared in this study. In a first method, the distributions of magnitudes are approximated by Gutenberg-Richter (G-R) distributions and the parameters used to reveal the relationships among regions. In the second method, the mutual information is calculated and adopted as a measure of similarity between regions. In both cases, using clustering analysis, visualization maps are generated, providing an intuitive and useful representation of the complex relationships that are present among seismic data. Such relationships might not be perceived on classical geographic maps. Therefore, the generated charts are a valid alternative to other visualization tools, for understanding the global behavior of earthquakes.

Scheduling sporadic tasks on multiprocessors with mutual exclusion constraints

Consider the problem of scheduling sporadic tasks on a multiprocessor platform under mutual exclusion constraints. We present an approach which appears promising for allowing large amounts of parallel task executions and still ensures low amounts of blocking.

Wind resource modelling in complex terrain using different mesoscale–microscale coupling techniques

Wind resource evaluation in two sites located in Portugal was performed using the mesoscale modelling system Weather Research and Forecasting (WRF) and the wind resource analysis tool commonly used within the wind power industry, the Wind Atlas Analysis and Application Program (WAsP) microscale model. Wind measurement campaigns were conducted in the selected sites, allowing for a comparison between in situ measurements and simulated wind, in terms of flow characteristics and energy yields estimates. Three different methodologies were tested, aiming to provide an overview of the benefits and limitations of these methodologies for wind resource estimation. In the first methodology the mesoscale model acts like “virtual” wind measuring stations, where wind data was computed by WRF for both sites and inserted directly as input in WAsP. In the second approach, the same procedure was followed but here the terrain influences induced by the mesoscale model low resolution terrain data were removed from the simulated wind data. In the third methodology, the simulated wind data is extracted at the top of the planetary boundary layer height for both sites, aiming to assess if the use of geostrophic winds (which, by definition, are not influenced by the local terrain) can bring any improvement in the models performance. The obtained results for the abovementioned methodologies were compared with those resulting from in situ measurements, in terms of mean wind speed, Weibull probability density function parameters and production estimates, considering the installation of one wind turbine in each site. Results showed that the second tested approach is the one that produces values closest to the measured ones, and fairly acceptable deviations were found using this coupling technique in terms of estimated annual production. However, mesoscale output should not be used directly in wind farm sitting projects, mainly due to the mesoscale model terrain data poor resolution. Instead, the use of mesoscale output in microscale models should be seen as a valid alternative to in situ data mainly for preliminary wind resource assessments, although the application of mesoscale and microscale coupling in areas with complex topography should be done with extreme caution.

Development of a meso-microscale coupling procedure for site assessment in complex terrain

A procedure for coupling mesoscale and CFD codes is presented, enabling the inclusion of realistic stratification flow regimes and boundary conditions in CFD simulations of relevance to site and resource assessment studies in complex terrain. Two distinct techniques are derived: (i) in the first one, boundary conditions are extracted from mesoscale results to produce time-varying CFD solutions; (ii) in the second case, a statistical treatment of mesoscale data leads to steady-state flow boundary conditions believed to be more representative than the idealised profiles which are current industry practice. Results are compared with measured data and traditional CFD approaches.

Minimal anomaly-free chiral fermion sets and gauce coupling unification

We look for minimal chiral sets of fermions beyond the standard model that are anomaly free and, simultaneously, vectorlike particles with respect to color SU(3) and electromagnetic U(1). We then study whether the addition of such particles to the standard model particle content allows for the unification of gauge couplings at a high energy scale, above 5.0 x 10(15) GeV so as to be safely consistent with proton decay bounds. The possibility to have unification at the string scale is also considered. Inspired in grand unified theories, we also search for minimal chiral fermion sets that belong to SU(5) multiplets, restricted to representations up to dimension 50. It is shown that, in various cases, it is possible to achieve gauge unification provided that some of the extra fermions decouple at relatively high intermediate scales.

Reappraisal of the wrong-sign HBB¯ coupling and the study of h→Zγ

It has been pointed out recently that current experiments still allow for a two Higgs doublet model where the hbb¯ coupling (kDmb/v) is negative; a sign opposite to that of the Standard Model. Due to the importance of delayed decoupling in the hH+H− coupling, h→γγ improved measurements will have a strong impact on this issue. For the same reason, measurements or even bounds on h→Zγ are potentially interesting. In this article, we revisit this problem, highlighting the crucial importance of h→VV, which can be understood with simple arguments. We show that the impacts on kD<0 models of both h→bb¯ and h→τ+τ− are very sensitive to input values for the gluon fusion production mechanism; in contrast, h→γγ and h→Zγ are not. We also inquire if the search for h→Zγ and its interplay with h→γγ will impact the sign of the hbb¯ coupling. Finally, we study these issues in the context of the flipped two Higgs doublet model.

Feature Discretization with Relevance and Mutual Information Criteria

Feature discretization (FD) techniques often yield adequate and compact representations of the data, suitable for machine learning and pattern recognition problems. These representations usually decrease the training time, yielding higher classification accuracy while allowing for humans to better understand and visualize the data, as compared to the use of the original features. This paper proposes two new FD techniques. The first one is based on the well-known Linde-Buzo-Gray quantization algorithm, coupled with a relevance criterion, being able perform unsupervised, supervised, or semi-supervised discretization. The second technique works in supervised mode, being based on the maximization of the mutual information between each discrete feature and the class label. Our experimental results on standard benchmark datasets show that these techniques scale up to high-dimensional data, attaining in many cases better accuracy than existing unsupervised and supervised FD approaches, while using fewer discretization intervals.

Hydrogeomechanics for rock engineering: coupling subsurface hydrogeomechanical assessement and hydrogeotechnical mapping on fracturated rock masses

The present work aims to achieve and further develop a hydrogeomechanical approach in Caldas da Cavaca hydromineral system rock mass (Aguiar da Beira, NW Portugal), and contribute to a better understanding of the hydrogeological conceptual site model. A collection of several data, namely geology, hydrogeology, rock and soil geotechnics, borehole hydraulics and hydrogeomechanics, was retrieved from three rock slopes (Lagoa, Amores and Cancela). To accomplish a comprehensive analysis and rock engineering conceptualisation of the site, a multi‐technical approach were used, such as, field and laboratory techniques, hydrogeotechnical mapping, hydrogeomechanical zoning and hydrogeomechanical scheme classifications and indexes. In addition, a hydrogeomechanical data analysis and assessment, such as Hydro‐Potential (HP)‐Value technique, JW Joint Water Reduction index, Hydraulic Classification (HC) System were applied on rock slopes. The hydrogeomechanical zone HGMZ 1 of Lagoa slope achieved higher hydraulic conductivities with poorer rock mass quality results, followed by the hydrogeomechanical zone HGMZ 2 of Lagoa slope, with poor to fair rock mass quality and lower hydraulic parameters. In addition, Amores slope had a fair to good rock mass quality and the lowest hydraulic conductivity. The hydrogeomechanical zone HGMZ 3 of Lagoa slope, and the hydrogeomechanical zones HGMZ 1 and HGMZ 2 of Cancela slope had a fair to poor rock mass quality but were completely dry. Geographical Information Systems (GIS) mapping technologies was used in overall hydrogeological and hydrogeomechanical data integration in order to improve the hydrogeological conceptual site model.

Coupling electrokinetics and iron nanoparticles for the remediation of contaminated soils

Fundação para a Ciência e a Tecnologia - PTDC/AGR-­AAM/101643/2008 NanoDC ; SFRH/BD/76070/2011 ; FP7-­PEOPLE-­IRSES-­2010-­269289-­ ELECTROACROSS

Search-for-yield in Portuguese fixed-income mutual funds and monetary policy

This paper studies the effects of monetary policy on mutual fund risk taking using a sample of Portuguese fixed-income mutual funds in the 2000-2012 period. Firstly I estimate time-varying measures of risk exposure (betas) for the individual funds, for the benchmark portfolio, as well as for a representative equally-weighted portfolio, through 24-month rolling regressions of a two-factor model with two systematic risk factors: interest rate risk (TERM) and default risk (DEF). Next, in the second phase, using the estimated betas, I try to understand what portion of the risk exposure is in excess of the benchmark (active risk) and how it relates to monetary policy proxies (one-month rate, Taylor residual, real rate and first principal component of a cross-section of government yields and rates). Using this methodology, I provide empirical evidence that Portuguese fixed-income mutual funds respond to accommodative monetary policy by significantly increasing exposure, in excess of their benchmarks, to default risk rate and slightly to interest risk rate as well. I also find that the increase in funds’ risk exposure to gain a boost in return (search-for-yield) is more pronounced following the 2007-2009 global financial crisis, indicating that the current historic low interest rates may incentivize excessive risk taking. My results suggest that monetary policy affects the risk appetite of non-bank financial intermediaries.

The determinants of mutual fund performance: A cross-country study

We use a new data set to study the determinants of the performance of open–end actively managed equity mutual funds in 27 countries. We find that mutual funds underperform the market overall. The results show important differences in the determinants of fund performance in the USA and elsewhere in the world. The US evidence of diminishing returns to scale is not a universal truth as the performance of funds located outside the USA and funds that invest overseas is not negatively affected by scale. Our findings suggest that the adverse scale effects in the USA are related to liquidity constraints faced by funds that, by virtue of their style, have to invest in small and domestic stocks. Country characteristics also explain fund performance. Funds located in countries with liquid stock markets and strong legal institutions display better performance.

Coupling organic substrate removal to methane production in a fully biological microbial electrolysis cell

Microbial electrolysis cells (MECs) are an innovative and emerging technique based on the use of solid-state electrodes to stimulate microbial metabolism for wastewater treatment and simultaneous production of value-added compounds (such as methane). This research studied the performance of a two-chamber MEC in terms of organic matter oxidation (at the anode) and methane production (at the cathode). MEC‟s anode had been previously inoculated with an activated sludge, whereas the cathode chamber inoculum was an anaerobic sludge (containing methanogenic microorganisms). During the experimentation, the bioanode was continuously fed with synthetic solutions in anaerobic basal medium, at an organic load rate (OLR) of around 1 g L-1 d-1, referred to the chemical oxygen demand (COD). At the beginning (Run I), the feeding solution contained acetate and subsequently (Run II) it was replaced with a more complex solution containing soluble organic compounds other than acetate. For both conditions, the anode potential was controlled at -0.1 V vs. standard hydrogen electrode, by means of a potentiostat. During Run I, over 80% of the influent acetate was anaerobically oxidized at the anode, and the resulting electric current was recovered as methane at the cathode (with a cathode capture efficiency, CCE, accounting around 115 %). The average energy efficiency of the system (i.e., the energy captured into methane relative to the electrical energy input) under these conditions was over 170%. However, reactor‟s performance decreased over time during this run. Throughout Run II, a substrate oxidation over 60% (on COD basis) was observed. The electric current produced (57% of coulombic efficiency) was also recovered as methane, with a CCE of 90%. For this run the MEC‟s average energy efficiency accounted for almost 170 %. During all the experimentation, a very low biomass growth was observed at the anode whereas ammonium was transferred through the cationic membrane and concentrated at the cathode. Tracer experiments and scanning electron microscopy analyses were also carried out to gain a deeper insight into the reactor performance and also to investigate the possible reasons for partial loss of performance. In conclusion, this research suggests the great potential of MEC to successfully treat low-strength wastewaters, with high energy efficiency and very low sludge production.

Search for H→γγ produced in association with top quarks and constraints on the Yukawa coupling between the top quark and the Higgs boson using data taken at 7 TeV and 8 TeV with the ATLAS detector

A search is performed for Higgs bosons produced in association with top quarks using the diphoton decay mode of the Higgs boson. Selection requirements are optimized separately for leptonic and fully hadronic final states from the top quark decays. The dataset used corresponds to an integrated luminosity of 4.5 fb−1 of proton--proton collisions at a center-of-mass energy of 7 TeV and 20.3 fb−1 at 8 TeV recorded by the ATLAS detector at the CERN Large Hadron Collider. No significant excess over the background prediction is observed and upper limits are set on the tt¯H production cross section. The observed exclusion upper limit at 95% confidence level is 6.7 times the predicted Standard Model cross section value. In addition, limits are set on the strength of the Yukawa coupling between the top quark and the Higgs boson, taking into account the dependence of the tt¯H and tH cross sections as well as the H→γγ branching fraction on the Yukawa coupling. Lower and upper limits at 95% confidence level are set at −1.3 and +8.0 times the Yukawa coupling strength in the Standard Model.