Call number: LD2668 .T4 1985 S57 / Master of Science

<p>This thesis investigates the profitability of the momentum strategy in the Swedish stock market. The momentum strategy is an investment strategy where past winners are bought and past losers are sold short. In this paper Swedish stocks are analyzed during the period 1999 – 2007 with the approach first used by Jegadeesh and Titman (1993). The results indicate that momentum investing is profitable on the Swedish market. The main contribution to the profits is derived from investing in winners while the losers in most cases do not contribute at all to total profits. The profits remain after correcting for transaction costs for longer termed strategies while they diminish for the shorter termed ones. Compared to the market index, buying past winners yield an excess return while short selling of losers tend to make index investing more profitable. The analysis also shows that momentum can not be explained by the systematic risk of the individual stocks. The evidence in support of a momentum effect presented in this thesis also implies that predictable price patterns can be used to make excess returns; this contradicts the efficient market hypothesis.</p>

Approved for public release; distribution is unlimited. / The Tropical Cyclone Vorticity Tracking Program is used to identify vortices in the western North Pacific from the Navy Operational Global Atmospheric Prediction System (NOGAPS) analyses and forecasts during May- October 2002 and 2003. Based on the NOGAPS analyses, several parameters are different between the 23vortices that developed into storms during 2002 according to the Joint Typhoon Warning Center (JTWC) and the231 vortices that did not develop. After eliminating 127 vortices that did not persist at least 24 h, this left 104 nondevelopingcases. For the developing circulations, the average 850-mb relative vorticity value at the first JTWCwarningtime was 5.0 x 10-5 s-1, with an easterly deep layer wind shear of -1.8 m s-1. The average 850-mb relativevorticity maximum for the non-developing cases was 3.3 x 10-5 s-1, with a westerly vertical shear of 4.1 m s-1. TheNOGAPS model tends to over-forecast relative vorticity prior to formation time for both developers and nondevelopers.Especially for the 72-h and 96-h forecasts, the over-forecasting tendency leads to non-developingvortices meeting the threshold vorticity value of the developing vortices. The tendency for NOGAPS to forecastthe non-developing deep layer wind shear to become increasingly easterly with time is considered to be a majorfactor in these over-forecasts of formation. Some adjustments in the cumulus parameterization heating andmoistening plus convective momentum transport may improve these forecasts of tropical cyclone formation. / Captain, United States Air Force

Momentum investing is the process of buying stocks that have performed strongly in the past and shorting historically weak performers. Past empirical research has consistently shown momentum to generate significantly positive returns on a zero-cost strategy. We show that momentum performs well regardless of the specific time horizon used in formation and investment and motivate a one month gap between forming the portfolio and investing in it. Consistent with literature, we find momentum crashes–months where momentum’s profitability dramatically reverses–and demonstrate that momentum crashes occur across all time horizon variations in momentum. Lastly, we show that the momentum portfolio during crash months is not marked by clustering in specific industries, and that the momentum premium can- not be explained by risk from regulatory uncertainty of the financial services industry.

De Bruin och Hartogensis har föreslagit en ny metod för att beräkna impulsflödet och det sensibla värmeflödet vid stabila förhållanden. Metoden bygger på att de normaliserade standardavvikelserna är approximativt konstanta för den horisontella vinden och temperaturen. Beräkningarna görs endast utifrån medelvinden och temperaturen och dess standardavvikelser. Den här metoden testas i den här studien med datamaterial från Labans kvarnar på Gotland i Östersjön och Östergarnsholm som ligger 4 km utanför Gotland. Labans kvarnar representerar flöden över land och Östergarnsholm flöden över hav. Konstanterna som De Bruin och Hartogensis använde är följande: Cu=2.5 och CT=2.3, vilket gav en mycket liten spridning i deras beräkningar av flöden. Datamaterialet de använde sig av var från Kansas, USA, över en plan grässlätt. Olika statistiska mått har här testats för att erhålla värden på konstanterna. Medel-, median- och typvärde för de normaliserade standardavvikelserna för respektive kvantitet har beräknats. För landförhållanden i den här studien fås lite högre värden på konstanterna, Cu=2.6 och CT=2.6, än vad De Bruin och Hartogensis erhöll.  Vid beräkningar av flöden över hav delas vindriktningen upp i två intervall. Vindriktningen som ligger mellan 220o - 300o representerar vindar som blåser ifrån Gotland och vindriktningar som ligger mellan 80o - 220o representerar vindar från öppet hav. För öppna havsförhållanden fås konstanter som har ett lägre värde vid beräkning av impulsflödet, Cu=2.2 , än de värde som De Bruin och Hartogensis fick. För vindar som blåser ifrån Gotland erhålls konstanten till:Cu=3.0. Konstanter för beräkning av värmeflödet är svårare att bestämma och ger inte alls lika bra resultat över hav som för impulsflödet. Bestämningar av värmeflöde är mycket mer komplicerade än för impulsflöde. Delvis på grund av att det behövs två konstanter, men det beror också på att temperaturstrukturen i det marina gränsskiktet inte följer Monin-Obukhovs similaritetsteori.Framsidans foto / De Bruin and Hartogensis have proposed a new method to determine momentum flux and sensible heat flux at stable conditions. When using this method the assumption is made that the standard deviations for the longitudinal wind component and temperature are approximately constant. Only the mean wind and the temperature and the standard deviations are necessary for the calculations. The method has been analyzed in this study with data from Labans kvarnar sited on Gotland in the Baltic Sea and Östergarnsholm which is situated 4 km outside Gotland. Labans kvarnar represents fluxes over land and Östergarnsholm represents fluxes over sea. The constants that De Bruin and Hartogensis found are the following:Cu=2.5 for wind speed and CT=2.3  for temperature, which shows very little scatter in the calculations of the fluxes. The data they used where measured in Kansas over a very flat grassland site. Different statistics measurements have been tested to receive values of the constants. In search of constants the mean value, median value and the modal value for respectively quantity have been calculated. For land conditions the values of the constants are a little bit higher, Cu=2.6 and CT=2.6, than the values De Bruin and Hartogensis received. When calculating the fluxes over ocean the wind direction is divided in to two intervals. The wind direction between 220o - 300o represents winds from Gotland and wind direction between  80o - 220o represents winds from open sea. For the open sea conditions the constants calculated for the momentum flux in this study are a little bit lower, Cu=2.2, than the value De Bruin and Hartogensis found. For winds from Gotland the constant for momentum flux was found to be: Cu=3.0. When calculating the sensible heat flux the constants are very difficult to find and do not give as good result as for the momentum flux over sea. The conditions for the sensible heat are much more complicated than it is for momentum flux. Firstly two constants are needed and secondly the temperature structure in the marine boundary layer does not follow Monin-Obukhov similarity theory.

The purpose of this research was to examine the influence of fictitious scoring updates on psychological momentum (PM) and athletic performance in a competitive basketball setting. The participants included in this study were 50 male undergraduate students who reported having played basketball previously and qualified by being able to make more than 24% (12 out of 50) of their 3-point shots in a pre-trial session. Participants were told that they were competing in a 50 shot, 3-point shooting competition against another individual, equal in ability. After every 10 shots, participants were given a fabricated score update and answered four questions used to measure PM. Results showed that the fictitious score updates significantly (p < .01) influenced participants’ PM scores, where those who were told they led had higher PM scores than those who were told they trailed. As for shooting performance, no significant differences (p = .76) were found between positive and negative PM states for participants who reported experiencing both during the competition. Together, these findings suggest that manufactured score updates can influence PM, but resultant performance differences may not exist. Results of this study lend support to the notion that PM is experienced by athletes. However, when examining basketball shooting performance, the momentum-performance relationship is statistically unsupported. Thus, although PM is thought of by many as a game-changing factor, this study would suggest that PM plays a negligible role in changes to individual performance.

Ph.D. (Physics) / Please refer to full text to view abstract

Magíster en Ciencias de la Ingeniería, Mención Mecánica / Este estudio presenta el análisis de una turbina eólica de eje horizontal que utiliza cilindros en rotación, en lugar de aspas con perfiles alares. El principio de funcionamiento de este generador eólico es el efecto Magnus, el cual sucede cuando las aspas cilíndricas se ponen en rotación y se da una interacción entre la corriente de viento incidente y el aire que es arrastrado por las paredes de los cilindros en movimiento. De esta forma se obtiene la sustentación que pone en movimiento la turbina. El objetivo buscado es caracterizar este tipo de turbina y buscar sus posibles aplicaciones en ambientes urbanos, mediante modelos numéricos y matemáticos que permitan determinar los parámetros de funcionamiento de las turbinas eólicas Magnus de eje horizontal. Se incluye un análisis teórico del efecto Magnus mediante la teoría de Flujo Potencial, con el cual se logra obtener una expresión analítica de la fuerza que produce este efecto sobre un cilindro en rotación, partiendo de un flujo irrotacional, incompresible y no viscoso. Para estudiar el desempeño de la turbina, se propone un método numérico no iterativo, que es implementado en un código que permite predecir el rendimiento de turbinas de eje horizontal, el cual es validado con mediciones experimentales de turbinas convencionales. Posteriormente se adecúa el código para aplicarlo a turbinas Magnus y con ello se obtiene el comportamiento de la curva de potencia ante variaciones en la geometría y cantidad de cilindros, así como las velocidades angulares de la turbina y del aspa cilíndrica. Los resultados de las simulaciones numéricas se procesan para obtener un modelo matemático del comportamiento de la turbina, el cual permite definir parámetros óptimos de operación y establecer un valor máximo de 0,2 para el coeficiente de potencia de este generador eólico, en el marco de su aplicación en ambientes urbanos.

>Magister Scientiae - MSc

The electron microscope is an ideal tool to prepare an electron into a specified quantum state, entangle that state with states in a specimen of interest, and measure the electron final state to indirectly gain information about the specimen. There currently exist excellent technologies to prepare both momentum eigenstates (transmission electron microscopy) and position eigenstates (scanning transmission electron microscopy) in a narrow band of energy eigenstates. Similarly, measurement of the momentum and position final states is straightforward with post-specimen lenses and pixelated detectors. Measurement of final energy eigenstates is possible with magnetic electron energy loss spectrometers. In 2010 and 2011, several groups independently showed that it was straightforward to prepare electrons into orbital angular momentum eigenstates. This disseratation represents my contributions to the toolset we have to control these eigenstates: preparation, application (interaction with specimen states), and measurement. My collaborators and I showed that phase diffraction gratings efficiently produce electron orbital angular momentum eigenstates; that control of orbital angular momentum can be used to probe chirality and local magnetic fields; and that there are several routes toward efficient measurement.