Dissertação (mestrado)—Universidade de Brasília, Faculdade de Economia, Administração, Contabilidade e Ciência da Informação e Documentação, 2008. / Submitted by Jaqueline Oliveira (jaqueoliveiram@gmail.com) on 2008-11-28T15:03:54Z No. of bitstreams: 1 DISSERTAÇÃO_2008_GustavoRezendeDeOliveira.pdf: 1119317 bytes, checksum: ad87b0ceda5087c324b041c9bd460b08 (MD5) / Approved for entry into archive by Georgia Fernandes(georgia@bce.unb.br) on 2009-02-12T15:27:08Z (GMT) No. of bitstreams: 1 DISSERTAÇÃO_2008_GustavoRezendeDeOliveira.pdf: 1119317 bytes, checksum: ad87b0ceda5087c324b041c9bd460b08 (MD5) / Made available in DSpace on 2009-02-12T15:27:09Z (GMT). No. of bitstreams: 1 DISSERTAÇÃO_2008_GustavoRezendeDeOliveira.pdf: 1119317 bytes, checksum: ad87b0ceda5087c324b041c9bd460b08 (MD5) / Este trabalho tem por objetivo identificar a existência do efeito lead-lag entre o mercado acionário norte-americano, representado pela bolsa de valores de Nova York (NYSE), e o mercado acionário brasileiro, representado pela bolsa de valores de São Paulo (BOVESPA), ou seja, se os movimentos de elevação ou queda de preços na NYSE são seguidos, em média, por movimentos similares na BOVESPA, o que possibilitaria um certo grau de previsibilidade do valor dos ativos negociados no mercado brasileiro, permitindo assim a ocorrência de oportunidades de arbitragem. A existência deste efeito indica uma relativa segmentação entre os mercados, possibilidade inexistente na Hipótese do Mercado Eficiente (HME), segundo a qual os preços dos ativos são imprevisíveis. O estudo compreendeu o período de julho de 2006 a setembro de 2007, com utilização de dados dos índices Dow Jones e Ibovespa com freqüência intradiária de um minuto. Foi identificada a co-integração entre os dois mercados pelos testes de Engle e Granger e de Johansen, bem como a existência de causalidade bidirecional, por meio do teste de Causalidade de Granger. Os mercados se mostraram segmentados pelos resultados obtidos pelas regressões utilizando VECM, TSLS (Two Stage Least Squares) e GARCH, que mostraram que o retorno da BOVESPA é, em grande parte, explicado pelo movimento da NYSE em minutos anteriores. Os resultados divergem do pressuposto da HME de que não seria possível prever o valor de uma ação. No entanto, os resultados do trabalho mostraram que a realização de arbitragem com base no efeito lead-lag não é economicamente viável em decorrência dos custos de transação. _______________________________________________________________________________________ ABSTRACT / This study is aimed at identifying the existence of lead-lag effects between the US stock market, represented by the New York Stock Exchange (NYSE), and the Brazilian stock market, represented by the Sao Paulo Stock Exchange (BOVESPA), i.e. whether upward and downward price movements in the NYSE are followed, on average, by similar movements in BOVESPA, which would make possible a certain degree of predictability of stock prices in the Brazilian market thus allowing arbitrage opportunities. The existence of that effect would indicate a relative segmentation between these two markets, which would violate the Efficient Market Hypothesis, according to which stock prices are unpredictable. The sample comprised the period from July 2006 to September 2007, using data on the Dow Jones Industrial Average Index (DJIA) and the Bovespa Stock Index (IBOVESPA) within the intraday frequency of one minute. Cointegration between the two markets was identified by means of the Engle-Granger and the Johansen tests, as well as the existence of bi-directional causality, by means of the Granger causality test. The results obtained from VECM, TSLS and GARCH regressions showed that the two markets are segmented and that the IBOVESPA returns are, to a large extent, explained by the stock price ovements in NYSE which occur some minutes before. The results diverge from the HME assumption that stock prices are unpredictable. However, the results also show that the practice of arbitrage based on the leadlag effects are not economically feasible due to transaction costs.

Advanced devices that can assist the therapists to offer rehabilitation are in high demand with the growing rehabilitation needs. The primary requirement from such rehabilitative devices is to reduce the therapist monitoring time. If the training device can autonomously adapt to the performance of the user, it can make the rehabilitation partly self-manageable. Therefore the main goal of our research is to investigate how to make a rehabilitation system more adaptable. The strategy we followed to augment the adaptability of the GENTLE/A robotic system was to (i) identify the parameters that inform about the contribution of the user/robot during a human-robot interaction session and (ii) use these parameters as performance indicators to adapt the system. Three main studies were conducted with healthy participants during the course of this PhD. The first study identified that the difference between the position coordinates recorded by the robot and the reference trajectory position coordinates indicated the leading/lagging status of the user with respect to the robot. Using the leadlag model we proposed two strategies to enhance the adaptability of the system. The first adaptability strategy tuned the performance time to suit the user’s requirements (second study). The second adaptability strategy tuned the task difficulty level based on the user’s leading or lagging status (third study). In summary the research undertaken during this PhD successfully enhanced the adaptability of the GENTLE/A system. The adaptability strategies evaluated were designed to suit various stages of recovery. Apart from potential use for remote assessment of patients, the work presented in this thesis is applicable in many areas of human-robot interaction research where a robot and human are involved in physical interaction.

This dissertation consists of five separate and self-contained essays. They have been written as distinct papers. Although there is a fair amount of overlap and cross-reference in analysis and discussion, the intention is that potential readers should be able to read them separately. Essay 1: An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange.This essay describes and analyzes the trading structure at the Stockholm Stock Exchange. In the empirical part, we report stylized facts based on intraday transaction and order book data, focusing on the intraday behavior of returns, trading activity, order placement and bid/ask spread, on the importance of the tick size and finally on some characteristics of the limit order book. Our main empirical conclusions are that a) the intraday U-shape in trading activity found in earlier U.S. studies on the whole also pertains to the Stockholm Stock Exchange, b) the limit order placement also follows an intraday U-shape, c) there is no distinct intraday pattern in returns, d) the volatility and bid/ask spread seems to be higher at the beginning of the trading day, e) the tick size is economically important, and f) the price impact of an order is a nonlinear function of its quantity, implying price inelastic demand and supply. Essay 2: An Empirical Analysis of the Trading Structure at the Stockholm Options and Forwards Exchange, OM.We first describe and analyze the trading structure at the Stockholm Options and Forward Exchange, OM Stockholm. It is characterized by some interesting market microstructure features, such as a high degree of transparency in a fully computerized trading system and a possibility to submit combination orders. We also present empirically results from tests on the intra- and interday trading volume of the OMX index derivatives, both in terms of number of contracts traded and in terms of number of transactions. There is evidence of a high degree of intraday variation in trading volume and some interday variation. The extension of trading hours of the underlying stocks, during the studied period should, according to modern trade concentration models, affect the distribution of trading across the day. Although no formal test of the models is possible with this data set, we are able to shed some supportive additional light on all of these models. Essay 3: Tick Size, Market Liquidity and Trading Volume: Evidence from the Stockholm Stock Exchange. (This essay was co-authored with Patrik Sandås.)The regulated tick size at a securities exchange puts a lower bound on the bid/ask spread. We use cross-sectional and cross-daily data from the Stockholm Stock Exchange to assess if this lower bound is economically important and if it has any direct effect on market depth and traded volume. We find a) strong support that the tick size is positively correlated to market depth and c) some support that it is negatively related to traded volume. We identify different groups of agents to whom a lower tick size would be beneficial and to whom it would be detrimental. Essay 4: An Analysis of the Lead-Lag Relationship between the OMX Index Forwards and the OMX Cash Index.This essay investigates the intraday lead-lag structure in returns between on the one hand the OMX cash index and on the other hand the OMX index forwards and the OMX synthetic index forwards in Sweden. The data set includes 22 months of data, from December 1991, to September 1993. It is divided into three sub-periods. The main conclusion is that there is a high degree of bidirectional interdependence, with both series Granger causing each other. Using a Sims-test, we find that the forwards as well as synthetic forwards lead the cash index with between fifteen and thirty minutes, while the cash index leads the forwards with about ten to fifteen minutes.. This implies a longer lead from the cash index to the forwards than in previous studies. The large interdependence could possibly be due to higher transaction costs, lower liquidity in the forward market and the specific trading environments used for Swedish securities. Essay 5: Order Flow Dynamics: Evidence from the Helsinki Stock Exchange. (This essay was co-authored with Kaj Hedvall.)This essay investigates the dynamics of the order flow in a limit order book. In contrast to previous studies, our data set from the Helsinki Stock Exchange encompasses the entire order book structure, including the dealer identities. This enables us to focus on the order behavior of individual dealers. We classify the events in the order book and study the structure of subsequent events using contingency tables. In specific, the structure of subsequent events initiated by the same dealer is compared to the overall event structure. We find that order splitting is more frequent than order imitation. Furthermore, if the spread increases as a result of a trade, other dealers quickly restore the spread, by submitting new limit orders. One conclusion is therefore that there exists a body of potential limit orders outside the formal limit order book and that there is a high degree of resiliency in our limit order book market. As a logical consequence, a large dealer strategically splits his order, in order for the market to supply additional liquidity. One interpretation of our results is that a limit order book market can accommodate larger orders than is first apparent by the outstanding limit orders. Another interpretation is that a limit order book structure gives room for informed traders to successively trade on their information. A third interpretation is that prices only slowly incorporate new information. / Diss. Stockholm : Handelshögskolan, 1994

This volume is a collection of three essays relating to the pricing of securities in financial markets, such as stock markets, where a large number of individual securities are traded. Lead-Lag Effects in a Competitive REE MarketThis essay introduces a model of cross-security information aggregation. The model is essentially an extension of Chan (Journal of Finance, 1993) to the case of simultaneous auction markets where revealed information is correlated across securities.The model provides clear predictions of lead-lag effects between securities returns. Several of the model's predictions are confirmed empirically using data from the Paris Bourse. Other models of price formation, including the basic Chan model and nonsynchronous trading, are rejected as they cannot account for observed return patterns. Learning the True Index LevelThis essay extends the model of cross-security information aggregation by deriving implications for autocorrelation in index returns. Both time series and cross-sectional predictions are confirmed by empirical evidence from the Paris Bourse. In addition, the time series predictions are consistent with earlier, partly unexplained, empirical evidence from the US market. An Empirical Study of Index Return AutocorrelationThis essay studies return autocorrelation on the Stockholm Stock Exchange focusing on the relation between index returns and indvidual stock returns. It is demonstrated that the two return types have similar time series properties, and it is concluded that the causes of autocorrelation are the same in both cases. / <p>Diss. Stockholm : Handelshögskolan, 1997</p>

Lead-lag dampers are present in most rotors to provide the required level of damping in all flight conditions. These dampers are a critical component of the rotor system, but they also represent a major source of maintenance cost. In present rotor systems, both hydraulic and elastomeric lead-lag dampers have been used. Hydraulic dampers are complex mechanical components that require hydraulic fluids and have high associated maintenance costs. Elastomeric dampers are conceptually simpler and provide a ``dry" rotor, but are rather costly. Furthermore, their damping characteristics can degrade with time without showing external signs of failure. Hence, the dampers must be replaced on a regular basis. A semi-active friction based lead-lag damper is proposed as a replacement for hydraulic and elastomeric dampers. Damping is provided by optimized energy dissipation due to frictional forces in semi-active joints. An actuator in the joint modulates the normal force that controls energy dissipation at the frictional interfaces, resulting in large hysteretic loops. Various selective damping strategies are developed and tested for a simple system containing two different frequency modes in its response, one of which needs to be damped out. The system reflects the situation encountered in rotor response where 1P excitation is present along with the potentially unstable regressive lag motion. Simulation of the system response is obtained to compare their effectiveness. Next, a control law governing the actuation in the lag damper is designed to generate the desired level of damping for performing adaptive selective damping of individual blade lag motion. Further, conceptual design of a piezoelectric friction based lag damper for a full-scale rotor is presented and various factors affecting size, design and maintenance cost, damping capacity, and power requirements of the damper are discussed. The selective semi-active damping strategy is then studied in the context of classical ground resonance problem. In view of the inherent nonlinearity in the system due to friction phenomena, multiblade transformation from rotating frame to nonrotating frame is not useful. Stability analysis of the system is performed in the rotating frame to gain an understanding of the dynamic characteristics of rotor system with attached semi-active friction based lag dampers. This investigation is extended to the ground resonance stability analysis of a comprehensive UH-60 model within the framework of finite element based multibody dynamics formulations. Simulations are conducted to study the performance of several integrated lag dampers ranging from passive to semi-active ones with varying levels of selectivity. Stability analysis is performed for a nominal range of rotor speeds using Prony's method.

Lead-lag dampers are present in most rotor systems to provide the desired level of damping for all flight conditions. These dampers are critical components of the rotor system, and the performance of semi-active Coulomb-friction-based lead-lag dampers is examined for the UH-60 aircraft. The concept of adaptive damping, or “damping on demand,” is discussed for both ground resonance and forward flight. The concept of selective damping is also assessed, and shown to face many challenges. In rotorcraft flight dynamics, optimized warping twist change is a potentially enabling technology to improve overall rotorcraft performance. Research efforts in recent years have led to the application of active materials for rotorcraft blade actuation. An innovative concept is proposed wherein the typically closed section blade is cut open to create a torsionally compliant structure that acts as its own amplification device; deformation of the blade is dynamically controlled by out-of-plane warping. Full-blade warping is shown to have the potential for great design flexibility. Recent advances in rotorcraft blade design have also focused on variable-camber airfoils, particularly concepts involving “truss-core” configurations. One promising concept is the use of hexagonal chiral lattice structures in continuously deformable helicopter blades. The static behavior of passive and active chiral networks using piezoelectric actuation strategies is investigated, including under typical aerodynamic load levels. The analysis is then extended to the dynamic response of active chiral networks in unsteady aerodynamic environments.

國內有許多以不同資料、次市場劃分以及控制品質的方法編製房地產相關價格指數，提供不同的價格資訊，然而編製的過程可能產生偏誤，影響價格指數之準確性，導致房價指數變動與市場訊息不符，因此各種相關房價指數之市場代表性仍有待釐清。 本文首先觀察目前市場較常使用之信義房價指數(中古屋)及國泰房地產指數(預售屋及新成屋)，發現近年來信義房價指數無法適當反應房地產市場景氣繁榮的情形。此二房價指數領先落後的關係亦不符合相關理論及過去實證，因此認為此二房價指數長期趨勢受到編製資料及估計方法上的偏誤所影響。接著利用政府(房地產交易價格簡訊)及業者(台灣不動產成交行情公報)資料以特徵價格法重新建立台北市及台北縣中古屋房價指數，並與信義房價指數作比較，結果顯示本文建立之中古屋房價指數相對於信義房價指數較符合市場變動與相關訊息。最後，為求未來房地產資訊之應用，將過去相關房價指數研究成果與本文建立之房價指數整合，並驗證台北市國泰房地產指數領先整合中古屋房價指數一季，台北縣國泰房地產指數領先整合中古屋房價指數二季，顯示此台北都會區的中古屋及預售屋房價指數相互間的關係符合相關理論推導與過去實證結果。 / There are many real-estate related price indices established in various formation of datum, submarkets and modeling, providing different kinds of price information. But the process itself may be a victim of error, hence affecting the precision of price indices and cause discrepancy between price indices’ variation and correlative market information, therefore the representativeness of real-estate related price indices must be clarified. In this study, we observe the commonly used Sinyi Housing Price Index (existing housing) and Cathay Real-Estate Price Index(pre-sales and new housing), and discovered that Sinyi Housing Price Index is incapable of reflecting the recent boom in the real-estate market. The Granger Causality test result of these two housing price indices(HPI) is inconsequent to relevant theory and empirical studies, therefore attribute this to the error within the establishment of HPI. Then, we reestablish existing housing HPI of Taipei city and Taipei county by using government and enterprise organized data. In comparison to Sinyi Housing Price Index, our newly established HPI cohere with correlative market information. And last, for future application of real-estate market information, we integrate empirical studies in the past with ours and examine its lead-lag relation with Cathay Real-Estate Price Index. The Granger Causality test result corresponds to relevant theory and empirical studies, furthermore, we found that the time-gap between Cathay Real-Estate Price Index and the Integrated existing housing HPI in Taipei city is 1-season, and 2-season in Taipei county.

Cette thèse a pour but d’explorer la structure de causalité qui sous-tend les marchés financiers. Elle se concentre sur l’inférence multi-échelle de réseaux de causalité entre investisseurs dans deux bases de données contenant les identifiants des investisseurs. La première partie de cette thèse est consacrée à l’étude de la causalité dans les processus de Hawkes. Ces derniers définissent la façon dont l’activité d’un investisseur (par exemple) dépend du passé; sa version multivariée inclut l’interaction entre séries temporelles, à toutes les échelles. Les résultats principaux de cette partie est que l’estimation avec le maximum de vraisemblance des paramètres du processus changent remarquablement peu lorsque la direction du temps est inversée, tant pour les processus univariés que pour les processus multivariés avec noyaux d’influence mutuelle symétriques, et que la causalité effective de ces processus dépend de leur endogénéité. Cela implique qu’on ne peut pas utiliser ce type de processus pour l’inférence de causalité sans précautions. L’utilisation de tests statistiques permet la différentiation des directions du temps pour des longues données synthétiques. Par contre, l’analyse de données empiriques est plus problématique: il est tout à fait possible de trouver des données financières pour lesquelles la vraisemblance des processus de Hawkes est plus grande si le temps s’écoule en sens inverse. Les processus de Hawkes multivariés avec noyaux d’influence asymétriques ne sont pas affectés par une faible causalité. Il est malheureusement difficile de les calibrer aux actions individuelles des investisseurs présents dans nos bases de données, pour deux raisons. Nous avons soigneusement vérifie que l’activité des investisseurs est hautement non-stationaire et qu’on ne peut pas supposer que leur activité est localement stationaire, faute de données en nombre suffisant, bien que nos bases de données contiennent chacune plus de 1 million de transactions. Ces problèmes sont renforcés par le fait que les noyaux dans les processus de Hawkes codent l’influence mutuelle des investisseurs pour toutes les échelles de temps simultanément. Afin de pallier ce problème, la deuxième partie de cette thèse se concentre sur la causalité entre des échelles de temps spécifiques. Un filtrage supplémentaire est obtenu en réduisant le nombre effectif d’investisseurs grâce aux Réseaux Statistiquement Validés. Ces derniers sont utilisés pour catégoriser les investisseurs, qui sont groupés selon leur degré de la synchronisation de leurs actions (achat, vente, neutre) dans des intervalles déterminés à une échelle temporelle donnée. Cette partie propose une méthode pour l’inférence de réseaux de meneurs et suiveurs déterminés à une échelle de temps donnée dans le passé et à une autre dans le futur. Trois variations de cette méthode sont étudiées. Cette méthode permet de caractériser la causalité d’une façon novatrice. Nous avons comparé l’asymétrie temporelle des actions des investisseurs et celle de la volatilité des prix, et conclure que la structure de causalité des investisseurs est considérablement plus complexe que celle de la volatilité. De façon attendue, les investisseurs institutionnels, dont l’impact sur l’évolution des prix est beaucoup plus grand que celui des clients privés, ont une structure causale proche de celle de la volatilité: en effet, la volatilité, étant une quantité macroscopique, est le résultat d’une aggrégation des comportements de tous les investisseurs, qui fait disparaître la structure causale des investisseurs privés. / This thesis aims to uncover the underlyingcausality structure of financial markets by focusing onthe inference of investor causal networks at multipletimescales in two trader-resolved datasets.The first part of this thesis is devoted to the causal strengthof Hawkes processes. These processes describe in a clearlycausal way how the activity rate of e.g. an investor dependson his past activity rate; its multivariate version alsomakes it possible to include the interactions between theagents, at all time scales. The main result of this part isthat the classical MLE estimation of the process parametersdoes not vary significantly if the arrow of time is reversedin the univariate and symmetric multivariate case.This means that blindly trusting univariate and symmetricmultivariate Hawkes processes to infer causality from datais problematic. In addition, we find a dependency betweenthe level of causality in the process and its endogeneity.For long time series of synthetic data, one can discriminatebetween the forward and backward arrows of time byperforming rigorous statistical tests on the processes, butfor empirical data the situation is much more ambiguous,as it is entirely possible to find a better Hawkes process fitwhen time runs backwards compared to forwards.Asymmetric Hawkes processes do not suffer from veryweak causality. Fitting them to the individual traders’ actionsfound in our datasets is unfortunately not very successfulfor two reasons. We carefully checked that tradersactions in both datasets are highly non-stationary, andthat local stationarity cannot be assumed to hold as thereis simply not enough data, even if each dataset containsabout one million trades. This is also compounded by thefact that Hawkes processes encode the pairwise influenceof traders for all timescales simultaneously.In order to alleviate this problem, the second part ofthis thesis focuses on causality between specific pairs oftimescales. Further filtering is achieved by reducing theeffective number of investors; Statistically Validated Networksare applied to cluster investors into groups basedon the statistically high synchronisation of their actions(buy, sell or neutral) in time intervals of a given timescale.This part then generalizes single-timescale lead-lag SVNsto lead-lag networks between two timescales and introducesthree slightly different methodsThese methods make it possible to characterize causalityin a novel way. We are able to compare the time reversalasymmetry of trader activity and that of price volatility,and conclude that the causal structure of trader activity isconsiderably more complex than that of the volatility for agiven category of traders. Expectedly, institutional traders,whose impact on prices is much larger than that of retailclients, have a causality structure that is closer to that ofvolatility. This is because volatility, being a macroscopicquantity, aggregates the behaviour of all types of traders,thereby hiding the causality structure of minor players.

[pt] Esta tese é composta por dois capítulos. O primeiro capítulo mostra que a presença de efeitos lead-lag no mercado de ações dos EUA é um fenômeno mais amplo do que previamente reportado pela literatura e está associado à existência de momentum de fatores de um dia. Os efeitos lead-lag estão presentes na frequência diária, sempre que as ações são expostas ao mesmo fator de risco, difundidas por quase 100 fatores. Este fenômeno não é explicado pelo efeito por indústria, reportado previamente pela literatura, efeitos de firmas de baixo valor de mercado reagindo a firmas com maior valor de mercado, assim como outros efeitos de lead-lag. O momentum de fatores de um dia está diretamente relacionado à existência de autocovariância cruzada entre ações expostas aos mesmos fatores de risco e está presente tanto na seção transversal quanto na série temporal. O momentum do fator de um dia é rentável mesmo após os custos de negociação e não apresenta quedas bruscas como outras estratégias de momentum. O momentum do fator de um mês é absorvido pelo momentum do fator de um dia, apresentando alfa negativo. A relevância do efeito do primeiro dia é confirmada com técnicas de machine learning. As reversões de curto prazo em ações também se tornam mais fortes depois de controlarmos para esse efeito de autocovariância cruzada que vem pelo componente de fatores. O segundo capítulo mostra como o momentum de fatores impacta o desempenho das estratégias de reversão de curto prazo em ações nos Estados Unidos. Benefícios significativos no desempenho podem ser alcançados se os efeitos do momento do fator forem considerados na construção de estratégias de reversão. As estratégias tradicionais de reversão de curto prazo em ações padrão têm uma exposição negativa ao momentum de fatores, uma vez que vendem as ações vencedoras de curto prazo que, em média, estão mais expostas aos fatores vencedores de curto prazo e compram ações perdedoras de curto prazo que, em média, estão mais expostas aos fatores perdedores de curto prazo. A melhor maneira de neutralizar esse efeito que prejudica a rentabilidade da reversão de curto prazo é proteger simultaneamente as exposições das ações a um conjunto elevado de fatores de risco. Por exemplo, o hedge feito apenas para os 3 fatores Fama-French não elimina completamente a exposição ao momentum de fatores. Classificar ações pelo usando o resíduo dos retornos não é tão eficiente quanto classificar nos retornos totais, pois tal estratégia não neutraliza completamente a exposição negativa ao momentum do fator. Propomos uma estratégia de reversão totalmente hedgeada que, diferentemente das estratégias convencionais de reversão de curto prazo, é lucrativa após os custos de transação, que não apresenta quedas bruscas como outras estratégias de momentum tradicional, que tem índice de Sharpe 2,5 vezes maior do que as estratégias de reversão convencionais e que é lucrativa mesmo se for restrita a apenas a ações com alto valor de mercado. / [en] This thesis is composed by two chapters. The first chapter shows that the presence of lead-lag effects in the US equity market is a broader phenomenon than previously found in the literature and is associated with the existence of a strong one-day factor momentum. Lead-lag effects are present whenever stocks are exposed to the same common risk factor, holding for almost 100 factors on a daily frequency. This phenomenon is not explained by the previously reported industry, large-cap to small-cap and other lead-lag effects. One-day factor momentum is directly related to the existence of factor-based stock cross-autocovariance and is present both in the cross-section and the time series. One-day factor momentum is profitable after trading costs and does not present crashes. One-month factor momentum is subsumed by one-day factor momentum with negative alpha in spanning tests. The relevance of the one-day effect is confirmed with machine learning techniques. Short-term reversals in stocks also become stronger after we control for this factor-based cross-autocovariance pattern. The second chapter shows how factor momentum impacts the performance of standard short-term single-equity reversal strategies in the US equity market. Significant benefits in performance can be achieved if the effects of factor momentum is considered in the construction of reversal strategies. Standard short-term reversal strategies have a negative exposure to factor momentum since they sell winner stocks that on average are more exposed to the winner factors and buy loser stocks that on average are more exposed to loser factors. The best way to neutralize this effect that drags down short-term reversal performance is to hedge stocks exposures simultaneously to a very large set of factors. For instance, hedging only with the 3 Fama-French factors does not eliminate the exposure to factor momentum. Sorting stocks using residual returns is not as efficient as sorting on total returns as it does not completely neutralize the negative exposure to factor momentum. We propose a fully-hedged reversal strategy that, differently from conventional short-term reversal strategies, is profitable after trading costs, that do not present crashes, that has Sharpe ratio 2.5 times higher than the conventional reversal strategies and that is profitable even if we restrict our sample to only large-cap stocks.

<p>Examensarbetet syftar till att jämföra nya alternativ till olika system för användning i laborationer i reglerteknikkurser för olika studentkategorier. Det skall utredas vilket av ett antal alternativ till mjukvaruplattformar som är bäst lämpat att användas vid reglerteknikundervisningen i ITN:s reglerlaboratorium vid Linköpings universitet. Tidigare laborationer i berörda kurser skall även modifieras så att dessa kan genomföras i de nya systemen.</p><p>Examensarbetet resulterade i en rad modifierade laborationer och system att tillämpa i dessa. De nya systemen medför att all reglering sköts direkt från en dator istället för tidigare variant med externa apparater som programmeras. På så sätt kan större fokus läggas på regleringen i sig och inte de system som tillämpas för att utföra den.</p> / <p>The purpose of this thesis work is to compare new alternatives for different systems to use in laborations, in courses offered in control system design, for different types of students. The intention is to investigate which of a number of software platform alternatives are best suited for these purposes. Current laborations are to be modified to be viable in the new systems.</p><p>The project resulted in a number of modified laborations and control systems to use in these. The new solutions are made so that all of the control is done by one computer, as opposed to the previous solution where external units had to be programmed and controlled. This way, the laborations can focus more on the control theory and less on the systems used to realize it.</p>