Der Momentum-Effekt und Momentum-Handelsstrategien

Diese Arbeit weist Momentum-Renditen für europäische Aktien im Zeitraum von 1991 bis 2010 nach, die – je nach Top/Flop-Prozentsatz – vor Kosten zwischen 6 und 19% p.a. liegen. Gleichzeitig liegen mit hohen Standardabweichungen, negativen Schiefe-Werten und hohen Drawdowns drei wesentliche Risikofaktoren vor. Für die Kernuntersuchungen des Top/Flop-Wertes von 5% treten die höchsten Momentum-Renditen von mehr als 10% p.a. für Ranking-Perioden von 80 bis 100 und Holding-Perioden von 60 bis 90 Handelstagen auf. Grundsätzlich sind die extremsten Aktien der Ranking-Periode entscheidend für die Ausprägung des Momentum-Effekts. Gleichzeitig steigen mit zunehmender Eingrenzung des Top/Flop-Wertes die Risiken, was eine Erklärung hoher Momentum-Renditen aus Sicht der Risikoaversions-Theorie nahelegt. Auch die Berücksichtigung zusätzlicher Filterbedingungen (Gleitende Durchschnitte, Handelsvolumen, Low Volatility) ermöglicht leicht höhere Momentum-Renditen bei entsprechend höheren Risiken. Zwischen dem Momentum-Effekt und dem Auftreten von Kurslücken besteht dagegen kein klarer Zusammenhang. Für die praktische Anwendung sind Momentum-Strategien mit dynamischer Positionsverwaltung während der Haltedauer interessant. Untersucht wurden Strategien anhand der eigens programmierten Simulationsverfahren Stopout und Castout sowie eines kombinierten Verfahrens. Im Ergebnis sind – je nach Präferenz des Investors – das Castout- und das kombinierte Verfahren optimal. Für das Rebalancing der Portfolios empfiehlt es sich, zu den entsprechenden Terminen jeweils nur die Short-Seite auf den Startwert zurückzusetzen. Weiterhin zeigen die Untersuchungen, dass deutliche Long-Übergewichtungen bei Momentum-Strategien grundsätzlich von Vorteil sind. Potenzielle Verbesserungen der Ergebnisse können durch weitere Stopp-Abstände, eine Verringerung des Top/Flop-Wertes oder eine längere Ranking-Periode erzielt werden. Weiterhin sind für die Praxis Long-only-Strategien auf Basis von Doppelranking-Verfahren attraktiv, bei denen das Zweitranking nach Standardabweichung oder Rendite/Standardabweichungs-Ratio erfolgt.

The problem of two fixed centers: bifurcation diagram for positive energies

We give a comprehensive analysis of the Euler-Jacobi problem of motion in the field of two fixed centers with arbitrary relative strength and for positive values of the energy. These systems represent nontrivial examples of integrable dynamics and are analysed from the point of view of the energy-momentum mapping from the phase space to the space of the integration constants. In this setting, we describe the structure of the scattering trajectories in phase space and derive an explicit description of the bifurcation diagram, i.e., the set of critical value of the energy-momentum map.

Photodissociation dynamics of tert-butylnitrite following excitation to the S(1) and S(2) states. A study by velocity-map ion-imaging and 3D-REMPI spectroscopy

Excitation of tert-butylnitrite into the first and second UV absorption bands leads to efficient dissociation into the fragment radicals NO and tert-butoxy in their electronic ground states (2)Π and (2)E, respectively. Velocity distributions and angular anisotropies for the NO fragment in several hundred rotational and vibrational quantum states were obtained by velocity-map imaging and the recently developed 3D-REMPI method. Excitation into the well resolved vibronic progression bands (k = 0, 1, 2) of the NO stretch mode in the S(1) ← S(0) transition produces NO fragments mostly in the vibrational state with v = k, with smaller fractions in v = k - 1 and v = k - 2. It is concluded that dissociation occurs on the purely repulsive PES of S(1) without barrier. All velocity distributions from photolysis via the S(1)(nπ*) state are monomodal and show high negative anisotropy (β ≈ -1). The rotational distributions peak near j = 30.5 irrespective of the vibronic state S(1)(k) excited and the vibrational state v of the NO fragment. On average 46% of the excess energy is converted to kinetic energy, 23% and 31% remain as internal energy in the NO fragment and the t-BuO radical, respectively. Photolysis via excitation into the S(2) ← S(0) transition at 227 nm yields NO fragments with about equal populations in v = 0 and v = 1. The rotational distributions have a single maximum near j = 59.5. The velocity distributions are monomodal with positive anisotropy β ≈ 0.8. The average fractions of the excess energy distributed into translation, internal energy of NO, and internal energy of t-BuO are 39%, 23%, and 38%, respectively. In all cases ∼8500 cm(-1) of energy remain in the internal degrees of freedom of the t-BuO fragment. This is mostly assigned to rotational energy. An ab initio calculation of the dynamic reaction path shows that not only the NO fragment but also the t-BuO fragment gain large angular momentum during dissociation on the purely repulsive potential energy surface of S(2).

Design and modeling of optical fibers for spatial division multiplexing using the orbital angular momentum of light

Les besoins toujours croissants en terme de transfert de données numériques poussent au développement de nouvelles technologies pour accroître la capacité des réseaux, notamment en ce qui concerne les réseaux de fibre optique. Parmi ces nouvelles technologies, le multiplexage spatial permet de multiplier la capacité des liens optiques actuels. Nous nous intéressons particulièrement à une forme de multiplexage spatial utilisant le moment cinétique orbital de la lumière comme base orthogonale pour séparer un certain nombre de canaux. Nous présentons d’abord les notions d’électromagnétisme et de physique nécessaires à la compréhension des développements ultérieurs. Les équations de Maxwell sont dérivées afin d’expliquer les modes scalaires et vectoriels de la fibre optique. Nous présentons également d’autres propriétés modales, soit la coupure des modes, et les indices de groupe et de dispersion. La notion de moment cinétique orbital est ensuite introduite, avec plus particulièrement ses applications dans le domaine des télécommunications. Dans une seconde partie, nous proposons la carte modale comme un outil pour aider au design des fibres optiques à quelques modes. Nous développons la solution vectorielle des équations de coupure des modes pour les fibres en anneau, puis nous généralisons ces équations pour tous les profils de fibres à trois couches. Enfin, nous donnons quelques exemples d’application de la carte modale. Dans la troisième partie, nous présentons des designs de fibres pour la transmission des modes avec un moment cinétique orbital. Les outils développés dans la seconde partie sont utilisés pour effectuer ces designs. Un premier design de fibre, caractérisé par un centre creux, est étudié et démontré. Puis un second design, une famille de fibres avec un profil en anneau, est étudié. Des mesures d’indice effectif et d’indice de groupe sont effectuées sur ces fibres. Les outils et les fibres développés auront permis une meilleure compréhension de la transmission dans la fibre optique des modes ayant un moment cinétique orbital. Nous espérons que ces avancements aideront à développer prochainement des systèmes de communications performants utilisant le multiplexage spatial.

Combining ganglion cell topology and data of patients with glaucoma to determine a structure-function map

PURPOSE: To introduce techniques for deriving a map that relates visual field locations to optic nerve head (ONH) sectors and to use the techniques to derive a map relating Medmont perimetric data to data from the Heidelberg Retinal Tomograph. METHODS: Spearman correlation coefficients were calculated relating each visual field location (Medmont M700) to rim area and volume measures for 10 degrees ONH sectors (HRT III software) for 57 participants: 34 with glaucoma, 18 with suspected glaucoma, and 5 with ocular hypertension. Correlations were constrained to be anatomically plausible with a computational model of the axon growth of retinal ganglion cells (Algorithm GROW). GROW generated a map relating field locations to sectors of the ONH. The sector with the maximum statistically significant (P < 0.05) correlation coefficient within 40 degrees of the angle predicted by GROW for each location was computed. Before correlation, both functional and structural data were normalized by either normative data or the fellow eye in each participant. RESULTS: The model of axon growth produced a 24-2 map that is qualitatively similar to existing maps derived from empiric data. When GROW was used in conjunction with normative data, 31% of field locations exhibited a statistically significant relationship. This significance increased to 67% (z-test, z = 4.84; P < 0.001) when both field and rim area data were normalized with the fellow eye. CONCLUSIONS: A computational model of axon growth and normalizing data by the fellow eye can assist in constructing an anatomically plausible map connecting visual field data and sectoral ONH data.

Correlating eye gaze direction, depth and vehicle information on an interactive map for driver training

The over represented number of novice drivers involved in crashes is alarming. Driver training is one of the interventions aimed at mitigating the number of crashes that involve young drivers. Experienced drivers have better hazard perception ability compared to inexperienced drivers. Eye gaze patterns have been found to be an indicator of the driver's competency level. The aim of this paper is to develop an in-vehicle system which correlates information about the driver's gaze and vehicle dynamics, which is then used to assist driver trainers in assessing driving competency. This system allows visualization of the complete driving manoeuvre data on interactive maps. It uses an eye tracker and perspective projection algorithms to compute the depth of gaze and plots it on Google maps. This interactive map also features the trajectory of the vehicle and turn indicator usage. This system allows efficient and user friendly analysis of the driving task. It can be used by driver trainers and trainees to understand objectively the risks encountered during driving manoeuvres. This paper presents a prototype that plots the driver's eye gaze depth and direction on an interactive map along with the vehicle dynamics information. This prototype will be used in future to study the difference in gaze patterns in novice and experienced drivers prior to a certain manoeuvre.

The Brisbane media map : participatory design and authentic learning to link students and industry

The Brisbane Media Map is both an online resource and a tertiary-level authentic learning project. The Brisbane Media Map is an online database which provides a detailed overview of about 600 media industry organisations in Brisbane, Australia. In addition to providing contact details and synopses for each organisation’s profile, the Brisbane Media Map also includes supplementary information on current issues, trends, and individuals in the media and communication industry sectors. This resource is produced and updated annually by final-year undergraduate Media and Communication students. This article introduces the Brisbane Media Map, its functionality and systems design approach, as well as its alignment with key learning infrastructures. It examines authentic learning as the pedagogical framework underpinning the ongoing development work of the resource and highlights some synergies of this framework with participatory design principles. The Brisbane Media Map is a useful example of an authentic learning approach that successfully engages students of non-traditional and non-design areas of study in human-computer interaction, usability, and participatory design activities.

A distributed knowledge management infrastructure based on a Topic Map grid

Modern enterprise knowledge management systems typically require distributed approaches and the integration of numerous heterogeneous sources of information. A powerful foundation for these tasks can be Topic Maps, which not only provide a semantic net-like knowledge representation means and the possibility to use ontologies for modelling knowledge structures, but also offer concepts to link these knowledge structures with unstructured data stored in files, external documents etc. In this paper, we present the architecture and prototypical implementation of a Topic Map application infrastructure, the ‘Topic Grid’, which enables transparent, node-spanning access to different Topic Maps distributed in a network.

Enhancing digital road map with lane details extracted from large-scale stereo aerial imagery using object-oriented image analysis

Precise, up-to-date and increasingly detailed road maps are crucial for various advanced road applications, such as lane-level vehicle navigation, and advanced driver assistant systems. With the very high resolution (VHR) imagery from digital airborne sources, it will greatly facilitate the data acquisition, data collection and updates if the road details can be automatically extracted from the aerial images. In this paper, we proposed an effective approach to detect road lane information from aerial images with employment of the object-oriented image analysis method. Our proposed algorithm starts with constructing the DSM and true orthophotos from the stereo images. The road lane details are detected using an object-oriented rule based image classification approach. Due to the affection of other objects with similar spectral and geometrical attributes, the extracted road lanes are filtered with the road surface obtained by a progressive two-class decision classifier. The generated road network is evaluated using the datasets provided by Queensland department of Main Roads. The evaluation shows completeness values that range between 76% and 98% and correctness values that range between 82% and 97%.