Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.

Pair trading is an old and well-known technique among traders. In this paper, we discuss an important element not commonly debated in Brazil: the cointegration between pairs, which would guarantee the spread stability. We run the Dickey-Fuller test to check cointegration, and then compare the results with non-cointegrated pairs. We found that the Sharpe ratio of cointegrated pairs is greater than the non-cointegrated. We also use the Ornstein-Uhlenbeck equation in order to calculate the half-life of the pairs. Again, this improves their performance. Last, we use the leverage suggested by Kelly Formula, once again improving the results.

Engaging Students in the Implementation of Criterion Referenced Assessment in First Year Law

The Queensland University of Technology (QUT) University Academic Board approved a new QUT Assessment Policy in September 2003, which requires a criterion-referenced approach as opposed to a norm-referenced approach to assessment across the university(QUT,MOPP,2003). In 2004, the QUT Law School embarked upon a process of awareness raising about criterion-referenced assessment amongst staff and from 2004 – 2005 staggered the implementation of criterion-referenced assessment in all first year core undergraduate law units. This paper will briefly discuss the benefits and potential pitfalls of criterion referenced assessment and the context for implementing it in the first year law program, report on student’s feedback on the introduction of criterion referenced assessment and the strategies adopted in 2005 to engage students more fully in criterion referenced assessment processes to enhance their learning outcomes.

Is implementing criterion-referenced assessment worth the effort with gen Y?

Well implemented criterion-referenced assessment (CRA) requires dedicated time and effort, especially in describing realistic expectations of evidence of achievement to students in the form of criteria sheets (or grading rubrics). It is also takes time out of delivering content to teach students how to judge their own work using criteria sheets. In 2007, to engage third year Microbiology students in using criteria sheets for the first time in their degree, we devised an innovative assessment tutorial supported by online resources. We were sceptical of much of the literature that reported ‘agreed’ characteristics of our predominantly gen Y cohort, because of the older ages of the majority of authors. These authors claim gen Y has a propensity for digital media, overconfidence in their own abilities and a collaborative orientation. We rejected this stereotype when developing the tutorial. Evaluations by students were positive and there was no dramatic change to grades for the unit. These results are similar to those in the literature for non gen Y cohorts. This lends support to our claim that giving students control over their own learning, irrespective of their generational label, is worth the time and effort.

Assessing reflection skills in law using criterion-referenced assessment

This paper focuses on the assessment of reflective practice, an issue that has not been fully explored within legal education literature. While the issue of how reflective practice should be taught is one that requires careful consideration, it is beyond the scope of this paper to consider both the teaching and the assessment of reflective practice. Part II of this paper conceptualises reflective practice, and Part III explores the benefits of reflective practice in legal education and the use of reflective writing to assess experiential learning in a legal context. Part IV considers the diverse issues that arise in assessing reflective practice and whether there is an objective method for assessing reflection. Part V of the paper examines the assessment of reflective practice in the context of an exemplar undergraduate law subject that uses a reflective report to assess students’ experiential learning during a court visit.14 Finally, Part VI offers a rubric to facilitate criterion-referenced assessment of reflective practice and thereby provides a framework for assessing reflection skills. It is suggested that the rubric is transferable not only to other law subjects but also to subjects in other disciplines.

Does the summative assessment of real world learning using criterion-referenced assessment need to be discipline specific?

This paper synthesises the existing literature on the contemporary conception of ‘real world’ and compares it with similar notions such as ‘authentic’ and ‘work integrated learning’. While the term ‘real world’ may be partly dependent on the discipline, it does not necessarily follow that the criterion-referenced assessment of ‘real world’ assessment must involve criteria and performance descriptors that are discipline specific. Two examples of summative assessment (court report and trial process exercise) from a final year core subject at the Queensland University of Technology, LWB432 Evidence, emphasise real world learning, are authentic, innovative and better prepare students for the transition into the workplace than more generic forms of assessment such as tutorial participation or oral presentations. The court report requires students to attend a criminal trial in a Queensland Court and complete a two page report on what they saw in practice compared with what they learned in the classroom. The trial process exercise is a 50 minute written closed book activity conducted in tutorials, where students plan questions that they would ask their witness in examination-in-chief, plan questions that they would ask their opponent’s witness in cross-examination, plan questions that they would ask in reexamination given what their opponent asked in cross-examination, and prepare written objections to their opponent’s questions. The trial process exercise simulates the real world, whereas the court report involves observing the real world, and both assessment items are important to the role of counsel. The design of the criterion-referenced assessment rubrics for the court report and trial process exercise is justified by the literature. Notably, the criteria and performance descriptors are not necessarily law specific and this paper highlights the parts that may be easily transferred to other disciplines.

A strain criterion for pull-through failures in crest-fixed steel claddings

Crest-fixed steel claddings made of thin, high strength steel often suffer from local pull-through failures at their screw connections during high wind events such as storms and hurricanes. Adequate design provisions are not available for these cladding systems except for the expensive testing provisions. Since the local pull-through failures in the less ductile steel claddings are initiated by transverse splitting at the fastener holes, numerical studies have not been able to determine the pull-through failure loads. Numerical studies could be used if a reliable splitting criterion is available. Therefore a series of two-span cladding and small scale tests was conducted on a range of crest-fixed steel cladding systems under simulated wind uplift loads. The strains in the sheeting around the critical central support screw fastener holes were measured until the pull-through failure occurred. This paper presents the details of the experimental investigation and the results including a strain criterion for the local pull-through failures in crest-fixed steel claddings.

Extended GNSS ambiguity resolution models with regularization criterion and constraints

This paper firstly presents an extended ambiguity resolution model that deals with an ill-posed problem and constraints among the estimated parameters. In the extended model, the regularization criterion is used instead of the traditional least squares in order to estimate the float ambiguities better. The existing models can be derived from the general model. Secondly, the paper examines the existing ambiguity searching methods from four aspects: exclusion of nuisance integer candidates based on the available integer constraints; integer rounding; integer bootstrapping and integer least squares estimations. Finally, this paper systematically addresses the similarities and differences between the generalized TCAR and decorrelation methods from both theoretical and practical aspects.

Determination of burn criterion for promoted combustion testing

Promoted ignition testing [1–3] is used to determine the relative flammability of metal rods in oxygen-enriched atmospheres. In these tests, a promoter is used to ignite each metal rod to start the sample burning. Experiments were performed to better understand the promoted ignition test by obtaining insight into the effect a burning promoter has on the preheating of a test sample. Test samples of several metallic materials were prepared and coupled to fast-responding thermocouples along their length. Various ignition promoters were used to ignite the test samples. The thermocouple measurements and test video were synchronized to determine temperature increase with respect to time and length along each test sample. A recommended length of test sample that must be consumed to be considered a flammable material was determined based on the preheated zone measured from these tests. This length was determined to be 30 mm (1.18 in.). Validation of this length and its rationale are presented.

Metaheuristic approaches to the hybrid flow shop scheduling problem with a cost-related criterion

In the paper, the flow-shop scheduling problem with parallel machines at each stage (machine center) is studied. For each job its release and due date as well as a processing time for its each operation are given. The scheduling criterion consists of three parts: the total weighted earliness, the total weighted tardiness and the total weighted waiting time. The criterion takes into account the costs of storing semi-manufactured products in the course of production and ready-made products as well as penalties for not meeting the deadlines stated in the conditions of the contract with customer. To solve the problem, three constructive algorithms and three metaheuristics (based one Tabu Search and Simulated Annealing techniques) are developed and experimentally analyzed. All the proposed algorithms operate on the notion of so-called operation processing order, i.e. the order of operations on each machine. We show that the problem of schedule construction on the base of a given operation processing order can be reduced to the linear programming task. We also propose some approximation algorithm for schedule construction and show the conditions of its optimality.

Assessing the safety of a velocity sourced series elastic actuator using the head injury criterion

The Velocity Sourced Series Elastic Actuator has been proposed as a method for providing safe force or torque based actuation for robots without compromising the actuator performance. In this paper we assess the safety of Velocity Sourced Series Elastic Actuators by measuring the Head Injury Criterion scores for collisions with a model head. The study makes a comparative analysis against stiff, high impedance actuation using the same motor without the series elastic component, showing that the series elastic component brings about a massive reduction in the chance of head injury. The benefits of a collision detection and safe reaction system are shown to be limited to collisions at low speeds, providing greater interaction comfort but not necessarily contributing to safety from injury.