This thesis aims to identify main driving market risk factors of different strategies implemented by hedge funds by looking at correlation coefficients, implementing Principal Component Analysis and analyzing "loadings" for first three principal components, which explain the largest portion of the variation of hedge funds' returns. In the next step, a stepwise regression through iteration process includes and excludes market risk factors for each strategy, searching for the combination of risk factors which will offer a model with the best "fit", based on The Akaike Information Criterion - AIC and Bayesian Information Criterion - BIC. Lastly, to avoid counterfeit results and overcome model uncertainty issues a Bayesian Model Average - BMA approach was taken. Key words: Hedge Funds, hedge funds' strategies, market risk, principal component analysis, stepwise regression, Akaike Information Criterion, Bayesian Information Criterion, Bayesian Model Averaging Author's e-mail: aleksaradosavcevic@gmail.com Supervisor's e-mail: mp.princ@seznam.cz

Un pointé précis des temps de premières arrivées sismiques joue un rôle important dans de nombreuses études d’imagerie sismique. Un nouvel algorithme adaptif est développé combinant trois approches associant l’utilisation de fenêtres multiples imbriquées, l’estimation des propriétés statistiques d’ordre supérieur et le critère d’information d’Akaike. L’algorithme a l’avantage d’intégrer plusieurs propriétés (l’énergie, la gaussianité, et la stationnarité) dévoilant la présence des premières arrivées. Tandis que les incertitudes de pointés ont, dans certains cas, d’importance équivalente aux pointés eux-mêmes, l’algorithme fournit aussi automatiquement une estimation sur leur incertitudes. La précision et la fiabilité de cet algorithme sont évaluées en comparant les résultats issus de ce dernier avec ceux provenant d’un pointé manuel, ainsi que d’autres pointeurs automatiques. Cet algorithme est simple à mettre en œuvre et ne nécessite pas de grandes performances informatiques. Cependant, la présence de bruit dans les données peut en dégrader la performance. Une double sommation dans le domaine temporel est alors proposée afin d’améliorer la détectabilité des premières arrivées. Ce processus est fondé sur un principe clé : la ressemblance locale entre les traces stackées. Les résultats montrent l’intérêt qu’il y a à appliquer cette sommation avant de réaliser le pointé automatique. / Accurate picking of first arrival times plays an important role in many seismic studies, particularly in seismic tomography and reservoirs or aquifers monitoring. A new adaptive algorithm has been developed based on combining three picking methods (Multi-Nested Windows, Higher Order Statistics and Akaike Information Criterion). It exploits the benefits of integrating three properties (energy, gaussianity, and stationarity), which reveal the presence of first arrivals. Since time uncertainties estimating is of crucial importance for seismic tomography, the developed algorithm provides automatically the associated errors of picked arrival times. The comparison of resulting arrival times with those picked manually, and with other algorithms of automatic picking, demonstrates the reliable performance of this algorithm. It is nearly a parameter-free algorithm, which is straightforward to implement and demands low computational resources. However, high noise level in the seismic records declines the efficiency of the developed algorithm. To improve the signal-to-noise ratio of first arrivals, and thereby to increase their detectability, double stacking in the time domain has been proposed. This approach is based on the key principle of the local similarity of stacked traces. The results demonstrate the feasibility of applying the double stacking before the automatic picking.

The master’s thesis deals with a numerical simulation of failure of ceramic foams with open-cell structure and with understanding of conditions required for the failure of the structure under various mechanical loading conditions. To this purpose, the so-called stress-energy coupled criterion was utilized. The motivation for this thesis was to create a model able of the most accurate prediction of the ceramic foam strength in comparison with experimental observations. First part of the thesis is focused on the theoretical background required for solving the problem. More specifically there are mentioned methods of the foam material modelling, Linear Elastic Fracture Mechanic (LEFM) and coupled stress-energy criterion used for definition of the crack initiation. In the second part of the thesis, numerical Finite Element Analyses (FEA) whose main purpose was to determine critical conditions necessary for the initiation of strut failure within the foam structure, were performed. These pieces of knowledge were then used for creation of the numerical simulation algorithm of the mechanical test of foam material with regular cell pattern. Outputs of numerical simulations were at the end of this work compared with experimental results (of the compression test) made on the real Al_2 O_3 foams prepared by 3D printing technology and provided by the Institute of Physics of Materials Czech Academy of Science. It can be concluded that a good agreement between results of both approaches was reached and the prediction of the ceramic foam mechanical strength using the developed model is in the meanwhile the most accurate estimation from recently published approaches.

Published Article / The role of the Projection Principle within Chomsky's Government-Binding (GB) Theory is to preserve the subcategorisation properties of lexical items at all levels of syntactic representation, viz. D-structure, S-structure, and Lexical Form. Arguments have been made that the Projection Principle is a new concept that is simply an extension of theTransformational Component (XFM) and Emonds' Structure-Preserving Constraint (SPC), and that it does not deserve the high status it has been accorded in GB theory. This paper provides evidence, based on sentences involving movement operations, that the Projection Principle is innovative and that it convincingly addresses what theXFMandSPChave failed to address.

Dissertation (PhD)--Stellenbosch University, 2003. / ENGLISH ABSTRACT: In this dissertation we study the influence of data cases when the Cp criterion of Mallows (1973) is used for variable selection in multiple linear regression. The influence is investigated in terms of the predictive power and the predictor variables included in the resulting model when variable selection is applied. In particular, we focus on the importance of identifying and dealing with these so called selection influential data cases before model selection and fitting are performed. For this purpose we develop two new selection influence measures, both based on the Cp criterion. The first measure is specifically developed to identify individual selection influential data cases, whereas the second identifies subsets of selection influential data cases. The success with which these influence measures identify selection influential data cases, is evaluated in example data sets and in simulation. All results are derived in the coordinate free context, with special application in multiple linear regression. / AFRIKAANSE OPSOMMING: Invloedryke waarnemings as die C-p kriterium vir veranderlike seleksie in meervoudigelineêre regressie gebruik word: In hierdie proefskrif ondersoek ons die invloed van waarnemings as die Cp kriterium van Mallows (1973) vir veranderlike seleksie in meervoudige lineêre regressie gebruik word. Die invloed van waarnemings op die voorspellingskrag en die onafhanklike veranderlikes wat ingesluit word in die finale geselekteerde model, word ondersoek. In besonder fokus ons op die belangrikheid van identifisering van en handeling met sogenaamde seleksie invloedryke waarnemings voordat model seleksie en passing gedoen word. Vir hierdie doel word twee nuwe invloedsmaatstawwe, albei gebaseer op die Cp kriterium, ontwikkel. Die eerste maatstaf is spesifiek ontwikkelom die invloed van individuele waarnemings te meet, terwyl die tweede die invloed van deelversamelings van waarnemings op die seleksie proses meet. Die sukses waarmee hierdie invloedsmaatstawwe seleksie invloedryke waarnemings identifiseer word beoordeel in voorbeeld datastelle en in simulasie. Alle resultate word afgelei binne die koërdinaatvrye konteks, met spesiale toepassing in meervoudige lineêre regressie.

Σκοπός της παρούσας διπλωματικής εργασίας είναι να μελετηθεί ο βαθμός επίδρασης της οικονομικής κρίσης στην επίδοση των ελληνικών επιχειρήσεων. Πιο αναλυτικά, το θεωρητικό μέρος επιχειρεί να δώσει μια εικόνα του τρόπου με τον οποίο επηρέασε η οικονομική κρίση τις επιχειρήσεις αλλά και του τρόπου με τον οποίο αυτές αντέδρασαν προκειμένου να επιβιώσουν. Στο εμπειρικό μέρος της εργασίας γίνεται, με τη βοήθεια επιλεγμένων αριθμοδεικτών, χρηματοοικονομική ανάλυση των οικονομικών καταστάσεων 18 ελληνικών επιχειρήσεων που ανήκουν σε διαφορετικούς κλάδους για χρονικό διάστημα 5 ετών και συγκεκριμένα την περίοδο 2006-2010 που περιλαμβάνει δύο έτη πριν την εμφάνιση της οικονομικής κρίσης και δύο έτη μετά την εμφάνιση αυτής. / --

Simulating transient compressible flows involving shock waves presents challenges to the CFD practitioner in terms of the mesh quality required to resolve discontinuities and prevent smearing. This document discusses a novel two-dimensional Cartesian anisotropic mesh adaptation technique implemented for transient compressible flow. This technique, originally developed for laminar incompressible flow, is efficient because it refines and coarsens cells using criteria that consider the solution in each of the cardinal directions separately. In this document the method will be applied to compressible flow. The procedure shows promise in its ability to deliver good quality solutions while achieving computational savings. Transient shock wave diffraction over a backward step and shock reflection over a forward step are considered as test cases because they demonstrate that the quality of the solution can be maintained as the mesh is refined and coarsened in time. The data structure is explained in relation to the computational mesh, and the object-oriented design and implementation of the code is presented. Refinement and coarsening algorithms are outlined. Computational savings over uniform and isotropic mesh approaches are shown to be significant.

There is a growing need to manage water resources in a sustainable way, particularly in semi arid areas, with dramatic social and economic development as well as rapid population growth. Optimising water allocation in a river basin is an important aspect ensuring equitable and efficient water use. This research develops an optimisation approach (the Integrated Water Resource Optimisation model, IWRO) to optimise the conjunctive use of surface water and groundwater resources in a sustainable manner. The IWRO model is comprised of a surface water optimisation model (SWO) and the Tsinghua groundwater optimisation (TGO) model. These models employ Genetic Algorithms (GAs) to optimise water allocation. Application of a surface water optimisation (SWO) model incorporating a GA is demonstrated initially for a simple test case, through which the GA approach was validated against known solutions. Sensitivity analysis of different operators and parameters related to GAs was also carried out. The validated SWO model was then applied to a more complex system, the Shiyang River Basin in Gansu Province in China, to maximise equitable surface water supplies. On the groundwater side, the GA approach was applied with the existing Tsinghua groundwater model to optimise groundwater supplies with sustainability considerations. The results were compared with those from an existing model (the WEAP model), indicating that the IWRO model is capable of satisfying the objectives of equitable water allocation and groundwater sustainability set for it. In the context of Integrated Water Resources Management (IWRM), account must be taken of a wide range of social and environmental issues. Different scenarios were therefore designed for the Shiyang River Basin management. Various criteria in terms of economic, social, environment and water security were also indentified for further multi-criterion decision making analysis.

The problem of the study was the effectiveness of three techniques to teach the instructional unit, "The Air Force Fiscal Account Structure and Codes." The techniques compared were (1) lecture-demonstration procedure supplemented with the eclectic programed textbook, (2) autoinstructional procedure using only the eclectic programed textbook, and (3) the conventional lecture-demonstration procedure.

Past research indicates that self-compassion has positive implications for psychological health and functioning. However, as a newly specified construct, the literature regarding self-compassion could benefit from a more thorough validation of the primary scale used in this area of research, the Self-Compassion Scale. In the present study, structural path analysis (using Amos) was used to explore the criterion validity of the SCS with four variables which have been theorized to be relevant to self-compassion (caregiver emotional responsiveness, fear of emotion, internalized spirituality, and achievement goal orientation). Initial hypothesis testing indicated support for the path model, with the exception of achievement goals which were not significantly associated with self-compassion. Trimming these paths in a subsequent analysis improved model fit. Interestingly, further analyses of the model indicated that the pairing of participant and parent gender produced substantial differences in path coefficients. Next, correlational and factor analytic methods were used to test the construct validity of the SCS. Correlational analyses found adequate convergent construct validity but some lack of divergent validity between SCS dimensions and conceptually similar constructs (i.e., fear of emotion, social connectedness and self-criticism). Confirmatory factor analysis indicated that a two-factor model fit the data better than the one-factor model proposed by the author of the SCS. The incremental validity of the two-factor model was supported by incorporating a two-factor SCS in the path analysis. In sum, these findings generally support the criterion validity of the SCS through meaningful associations with theoretically relevant variables but cautions that these associations are strongly influenced by gender. It is also strongly recommended that a two-factor model of the SCS be explored in further research to ascertain its incremental utility for understanding self-compassion’s positive effects on psychological health.