by Mi Jia, Wang Xueyu. / Thesis (M.B.A.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (leaves 77-78). / ABSTRACT --- p.III / TABLE OF CONTENTS --- p.iv / LIST OF TABLES AND FIGURES --- p.vi / Chapters / INTRODUCTION --- p.1 / DATA AND RESEARCH METHODOLOGY --- p.6 / EFFICIENCY TESTS --- p.12 / Time Serial Correlation Analysis --- p.12 / Seasonal Fluctuation --- p.16 / General Index's analysis and comparison --- p.17 / Holiday Effect --- p.20 / Test of Predictability in Stock Market Returns --- p.35 / Larger Stock in June effect --- p.37 / Passive Vs Active portfolio (with technical analysis) --- p.39 / Technical analysis --- p.40 / Filter Rules Approach Testing --- p.43 / Returns over Short and Long Horizons --- p.49 / Holding Period Return over Short and Long Horizons --- p.50 / Accumulative Abnormal Return over Short and Long Horizons --- p.51 / Mutual Fund Performance --- p.52 / Mutual Fund vs. Index --- p.53 / Relative Performance among Mutual Funds --- p.54 / "B/M, Size, and P/E Effect" --- p.55 / "Correlation among B/M, Assets, Market Value of A Share, P/E and Beta" --- p.56 / B/M and Annual Return --- p.57 / P/E and Annual Return --- p.59 / Assets and annual return --- p.60 / Market Value of A Share and Annual Return --- p.61 / Beta and Annual Return --- p.53 / Multiple Regressions --- p.64 / CONCLUSION --- p.66 / Limitation of Research --- p.66 / Summary --- p.67 / APPENDIX 1 --- p.69 / APPENDIX 2 --- p.70 / APPENDIX 3 --- p.71 / APPENDIX 4 --- p.72 / APPENDIX 5 --- p.73 / BIBLIOGRAPHY --- p.77

O objetivo deste trabalho à testar um mÃtodo alternativo para formaÃÃo de carteiras eficientes, a partir da classificaÃÃo da eficiÃncia tÃcnica das aÃÃes negociadas na BOVESPA no perÃodo de outubro/1998 a setembro/2003, utilizando-se o modelo nÃo paramÃtrico de AnÃlise EnvoltÃria de Dados.Para formaÃÃo de carteiras eficientes, à utilizado a teoria das carteiras de Markowitz, comparando o modelo DEA e Elton-Gruber de seleÃÃo de ativos para composiÃÃo das carteiras Ãtimas. Para tanto, foi feito cotaÃÃo dos preÃos mÃdios diÃrios das aÃÃes negociadas na BOVESPA, para estabelecer os indicadores de eficiÃncia. Comparando-se os mÃtodos, verificouse uma melhor performance da carteira formada utilizando a metodologia DEA em relaÃÃo ao tradicional modelo Elton-Gruber, obtendo-se um melhor nÃvel de retorno em relaÃÃo ao mesmo nÃvel de risco das carteiras. / The purpose of this paper is testing an alternative method to create an efficient portfolio, from the technical efficiency ranking of the bonds negociated in BOVESPA from october/1998 to september/2003, using the non parametric model of data envelopment analysis.To the creating of efficient portfolios, is using the Markowitz portfolio theory, comparing to the selecting assets to the composition of best portfolios DEA model from Elton Grubber. To establish the index of efficiency was calculated the average prices quotation of bonds negociated in Bovespa. Comparing the methods, it was verified the best erformance of portfolios using the DEA methodology in relation to the traditional Elton Gruber model to get a best level of return compared to the risk of portfolios.

Submitted by Erika Demachki (erikademachki@gmail.com) on 2014-09-23T17:39:36Z No. of bitstreams: 2 DISSERTAÇÃO - KARINE DINIZ XAVIER - FINAL.pdf: 1895047 bytes, checksum: 884de83a7704304b48f37431bda32b21 (MD5) license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) / Approved for entry into archive by Jaqueline Silva (jtas29@gmail.com) on 2014-09-23T18:31:45Z (GMT) No. of bitstreams: 2 DISSERTAÇÃO - KARINE DINIZ XAVIER - FINAL.pdf: 1895047 bytes, checksum: 884de83a7704304b48f37431bda32b21 (MD5) license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) / Made available in DSpace on 2014-09-23T18:31:45Z (GMT). No. of bitstreams: 2 DISSERTAÇÃO - KARINE DINIZ XAVIER - FINAL.pdf: 1895047 bytes, checksum: 884de83a7704304b48f37431bda32b21 (MD5) license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) Previous issue date: 2013-04-26 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES / This study presents an instrument for farmers and general users to mitigate the risk on the agricultural market. Such instrument refers to different portfolios from a table composed of several agricultural activities. These portfolios are accompanied by its risk and monthly operating payback, along with optimal allocation of its financial resources and the area of rural property for each activity. Whence, eight agricultural activities economically relevant to the State of Goiás were primarily selected (cotton, rice, beef cattle, bean, corn, soybean, sorghum and tomato) and the monthly medium prices series received by farmers were researched at the Companhia Nacional de Abastecimento – Conab. Also, the series of operational costs per hectare were collected from the Federação da Agricultura e Pecuária de Goiás – Faeg. Posteriorly, the operating payback of each related activity was calculated and checked the stationarity of the payback series. After confirmed the stationarity of the time series, the volatility of the payback series from each activity was analyzed. Then was calculated the matrix of correlation between the activities payback on the study and the model of linear programming, which has the equation proposed by Markowitz (1952) as objective function in order to minimize the portfolio risk. The results show portfolios with combinations of two, three, four, five and six agricultural activities. It was possible to check that Portfolio 1, composed by corn and soybean activities, showed greater level of monthly operational payback, 15.70%, to a risk of 2.79%. The Portfolio 6, composed by tomato and beef cattle activities, offer a minor level of risk when compared to other portfolios, 0.35%, to a monthly operational payback of 3.33%. The choice of the best portfolio is done when the user takes into account the level of risk which he or she is able to face. It was also possible to check that the activity diversification promotes the reduction of the non-systemic risk until a certain limit amount of agricultural activities in the portfolio. The Efficient Frontiers showed each combination of risk and payback that makes up the portfolio, further offering great resource allocations (land and capital). / Este estudo apresenta um instrumento para produtores rurais e usuários em geral para mitigação do risco no mercado agropecuário. Tal instrumento se refere a uma tabela com diferentes portfólios compostos por diferentes atividades agropecuárias, acompanhados de seu risco e retorno operacional mensal, além das alocações ótimas dos recursos financeiros e da área da propriedade rural para cada atividade. Para isso, primeiramente foram selecionadas oito atividades agropecuárias de relevância econômica para o Estado de Goiás (algodão, arroz, bovinocultura de corte, feijão, milho, soja, sorgo e tomate) e levantadas as séries temporais de preços médios mensais recebidos pelo produtor, junto à Companhia Nacional de Abastecimento - Conab, e as séries temporais de custos operacionais por hectare, junto à Federação da Agricultura e Pecuária de Goiás - Faeg. Posteriormente foram calculados os retornos operacionais de cada atividade relacionada e verificada a estacionariedade da série de retornos. Confirmada a estacionariedade das séries temporais, foram analisadas as volatilidades das séries de retornos de cada atividade. Logo após, calculou-se a matriz de correlação entre os retornos das atividades em estudo e o modelo de programação linear, que possui como função objetivo a equação proposta por Markowitz (1952) que visa minimizar o risco de um portfólio. Os resultados oferecem portfólios com a combinação de duas, três, quatro, cinco e seis atividades agropecuárias. Foi possível verificar que o Portfólio 1, composto pelas atividades milho e soja, apresentou maior nível de retorno operacional mensal, 15,70%, para um risco de 2,79%. O Portfólio 6, formado pelas atividades tomate e bovinocultura de corte, oferece o menor nível de risco quando comparado aos outros portfólios, 0,35%, para um retorno operacional mensal de 3,33%. A escolha do melhor portfólio é feita pelo usuário levando em consideração o nível de risco que ele está disposto a enfrentar. Também foi possível verificar que a diversificação permite a significativa redução do risco não – sistêmico até certa quantidade limite de atividades agropecuárias no portfólio. As Fronteiras Eficientes apresentam cada combinação de risco e retorno que perfazem o portfólio, além de oferecem as alocações ótimas de recursos (terra e capital).

abstract: Hardware implementation of deep neural networks is earning significant importance nowadays. Deep neural networks are mathematical models that use learning algorithms inspired by the brain. Numerous deep learning algorithms such as multi-layer perceptrons (MLP) have demonstrated human-level recognition accuracy in image and speech classification tasks. Multiple layers of processing elements called neurons with several connections between them called synapses are used to build these networks. Hence, it involves operations that exhibit a high level of parallelism making it computationally and memory intensive. Constrained by computing resources and memory, most of the applications require a neural network which utilizes less energy. Energy efficient implementation of these computationally intense algorithms on neuromorphic hardware demands a lot of architectural optimizations. One of these optimizations would be the reduction in the network size using compression and several studies investigated compression by introducing element-wise or row-/column-/block-wise sparsity via pruning and regularization. Additionally, numerous recent works have concentrated on reducing the precision of activations and weights with some reducing to a single bit. However, combining various sparsity structures with binarized or very-low-precision (2-3 bit) neural networks have not been comprehensively explored. Output activations in these deep neural network algorithms are habitually non-binary making it difficult to exploit sparsity. On the other hand, biologically realistic models like spiking neural networks (SNN) closely mimic the operations in biological nervous systems and explore new avenues for brain-like cognitive computing. These networks deal with binary spikes, and they can exploit the input-dependent sparsity or redundancy to dynamically scale the amount of computation in turn leading to energy-efficient hardware implementation. This work discusses configurable spiking neuromorphic architecture that supports multiple hidden layers exploiting hardware reuse. It also presents design techniques for minimum-area/-energy DNN hardware with minimal degradation in accuracy. Area, performance and energy results of these DNN and SNN hardware is reported for the MNIST dataset. The Neuromorphic hardware designed for SNN algorithm in 28nm CMOS demonstrates high classification accuracy (>98% on MNIST) and low energy (51.4 - 773 (nJ) per classification). The optimized DNN hardware designed in 40nm CMOS that combines 8X structured compression and 3-bit weight precision showed 98.4% accuracy at 33 (nJ) per classification. / Dissertation/Thesis / Masters Thesis Electrical Engineering 2018

This research is a systematic, in depth empirical test of the strong form of the efficient market hypothesis (EMH) using the dual-fund industry as the research subject. Unlike most strong-form EMH research, this study deals with a small, homogeneous sector of the investment company industry with a comparable origin date. To obtain homogeneity of the research subjects, the sample size is necessarily small (7), thus, making it difficult to find statistically significant results. In general, portfolio performance is negatively correlated with variability in measures of portfolio characteristics such as the major mix, common stock categories, portfolio turnover, etc. The better-performing dual funds were more consistently managed while the lower-performing companies had significant and sometimes frequent changes in portfolio policies. In line with the efficient market hypothesis, "passive" management, i.e., low turnover, few changes in major mix or common stock composition, shows better results in the dual-fund industry from inception through 1973.

Esse estudo tem como objetivo investigar o comportamento da oferta de trabalho dos cônjuges brasileiros e verificar o grau de adequação desse em relação a um modelo específico dentro da abordagem coletiva (\'collective models\'). O modelo coletivo de oferta de trabalho com fatores distributivos oferece uma estrutura teórica para interpretar o processo decisório intra-familiar e seus resultados, as alocações de consumo e oferta de trabalho das famílias, que são Pareto eficientes por hipótese. Fatores distributivos são variáveis que afetam a decisão sobre oferta de trabalho, mas não tem impactos sobre as preferências nem a restrição orçamentária das famílias. As informações relativas à amostra de famílias brasileiras foram obtidas a partir da PNAD e da Estatística de Registros Civis, ambas para o ano de 2004. Os resultados não rejeitam as restrições derivadas do modelo coletivo, tanto em sua forma geral quanto na versão restrita pela imposição de preferências egoístas. Além disso, as variáveis adotadas como fatores distributivos, sex-ratio e \'participação em divórcios\', influenciam, de forma significativa e condizente com a teoria, a oferta de trabalho de maridos e esposas. / This paper has as objective to investigate the Brazilian spouses\' labor supply behavior and to empirically check the adequacy of a specific collective model. The collective labor supply model with distribution factors offers a theoretical structure to interpret the intra-household decision process and its results, the families\' choices of consumption and labor supply, who are Pareto efficient. Distribution factors are variables that affect the labor supply decision, but do not have impacts on the preference relations nor the budget constraint of the families. The sample of Brazilian families had been gotten from the \"PNAD\" and \"Estatística de Registros Civis\", for the year of 2004. The results do not reject the restrictions derived from the collective model, neither in its general form nor in the egoisti preferences form. Moreover, distribution factors, sex-ratio and \'participação em divórcios\', are found to affect labor supply of husbands and wives in the directions predicted by the theory and to be statistically significant.

In this dissertation, I consider a range of topics related to the role played by information in modern asset pricing theory. The primary research focus is twofold. First, I synthesize existing research in insider trading and seek to stimulate an expansion of the literature at the intersection of work in the insider trading and financial economics areas. Second, I present the case for using Peter Bossaerts's (2004) Efficiently Learning Markets (ELM) methodology to empirically test asset pricing models. The first chapter traces the development of domestic and international insider trading regulations and explores the legal issues surrounding the proprietary nature of information in financial markets. I argue that, practically, the reinvigoration of the insider trading debate is unfortunate because, in spite of seemingly unending efforts to settle the debate, we are no closer to answering whether insider trading is even harmful, much less worthy of legal action. In doing so, I challenge the conventional wisdom of framing insider trading research as a quest for resolution to the debate. By adopting an agnostic perspective on the desirability of insider trading regulations, I am able to clearly identify nine issues in this area that are fruitful topics for future research. The second chapter studies prices and returns for movie-specific Arrow-Debreu securities traded on the Iowa Electronic Markets. The payoffs to these securities are based on the movies' initial 4-week U.S. box office receipts. We employ a unique data set for which we have traders' pre-opening forecasts to provide the first direct test of Bossaerts's (2004) ELM hypothesis. We supplement the forecasts with estimated convergence rates to examine whether the prior forecast errors affect market price convergence. Our results support the ELM hypothesis. While significant deviations between initial forecasts and actual box-office outcomes exist, prices nonetheless evolve in accordance with efficient updating. Further, convergence rates appear independent of both the average initial forecast error and the level of disagreement in forecasts. Lastly, the third chapter revisits the theoretical justifications for Bossaerts's (2004) ELM, with the goal of providing clear, intuitive proofs of the key results underlying the methodology. The seemingly biggest hurdle to garnering more widespread adoption of the ELM methodology is the confusion that surrounds the use of weighted modified returns when testing for rational asset pricing restrictions. I attack this hurdle by offering a transparent justification for this approach. I then establish how and why Bossaerts's results extend from the case of digital options to the more practically relevant class of all limited-liability securities, including equities. I conclude by showing that the ELM restrictions naturally lend themselves to estimation and testing of asset pricing models, using weighted modified returns, in a Generalized Method of Moments (GMM) framework.

Today’s rapid growth in population on sub-urban areas has caused an increase in fecal coliforms to be discharged to down-streams and lakes. The unaffordability of conventional sewerage systems makes it inaccessible to big part of the population of rural communities to receive proper sanitation. Since population growth is only projected to increase during the next few years, action is necessary to change the course of the future of rural communities, more specifically described on this report, Louisiana’s communities. One option to offer affordable sewerage systems to the Louisiana region is that we utilize of the Simplified Sewerage technology. Simplified Sewerage has been tested on several municipalities around the globe, especially in Brazil. The results of its application have proven to be conclusive and beneficial to communities.

This study examines the comparative magnitude of disturbances in intraday data for exchange traded foreign exchange (FX) options. An in-depth time series analysis on the frequency and extent of discrepancies in the disturbances is conducted. The purpose of this study is twofold. First, using intraday data and trading volume, this study attempts to determine whether both put-call parity and lower boundary conditions consistently hold for exchange traded options written on U.S. dollar denominated options on the Euro trading on the Philadelphia Stock Exchange (PHLX). Second, this study attempts to investigate the magnitude of any discrepancies that may exist due to a temporary cessation of either put-call parity or lower boundary conditions. Intraday (tick-by-tick) bid prices, ask prices, and trading volume on U.S. dollar denominated European style call options and put options on the Euro are obtained. Option data is collected through a Structured Query Language (SQL) request from the Bloomberg database. Corresponding tick-by-tick spot rates for the underlying exchange rate are obtained for the same time period. Tick-by-tick 3-month Treasury bill rates are obtained to for use as the relevant risk-free interest rate. The primary data set spans an approximate one month period from 11/1/2011 to 12/6/2011. Call and option pricing data for near-the-money exercise prices are obtained for options expiring in December 2011, January 2012, February 2012, March 2012, June 2012, and September 2012. A total of 7,212 ticks (minutes) are analyzed for the conversion strategy and 7,209 ticks are analyzed for the reversal strategy. The data is structured into an unbalanced panel data set (cross-sectional time series data) using put-call pairs as the cross sectional units and ticks as the time-series unit. To test the efficiency of the foreign exchange options market, lower boundary and put-call parity conditions were tested on tick-by-tick currency option data. Analysis shows that lower boundary conditions hold for the overwhelming majority of options, with less than 0.0001% of violations for the observed options. A more detailed econometric analysis was prepared to test the put-call parity condition for currency options. A fixed effects model specification is used to describe the put-call parity relationship. Based on the analysis, it is possible to obtain arbitrage profits in the short run through the use of either a conversion or reversal strategy even after accounting for transaction costs. Taking the first differences of the variables resulted in a model with stationary variables and statistically significant estimators. The inclusion of dummy variables for moneyness did not add significant explanatory power to the deterministic put-call parity relationship. For both first differences of conversion and reversal strategies, the large t-statistics for the slope coefficients and intercept terms indicate a rejection of the null hypothesis, H0: λ0 = 0 and λ1 = 1 after adjusting for standard error. This implies that once transaction costs are adjusted for, put-call parity does not hold. However, the intercept term is only very slightly negative, and the intercept term is only slightly less than one in both cases. This implies that when put-call parity is violated, arbitrage profit should be relatively small.

Modern main memory is primarily built using dynamic random access memory (DRAM) chips. As DRAM chip scales to higher density, there are mainly three problems that impede DRAM scalability and performance improvement. First, DRAM refresh overhead grows from negligible to severe, which limits DRAM scalability and causes performance degradation. Second, although memory capacity has increased dramatically in past decade, memory bandwidth has not kept pace with CPU performance scaling, which has led to the memory wall problem. Third, DRAM dissipates considerable power and has been reported to account for as much as 40% of the total system energy and this problem exacerbates as DRAM scales up. To address these problems, 1) we propose Rank-level Piggyback Caching (RPC) to alleviate DRAM refresh overhead by servicing memory requests and refresh operations in parallel; 2) we propose a high performance and bandwidth efficient approach, called SELF, to breaking the memory bandwidth wall by exploiting die-stacked DRAM as a part of memory; 3) we propose a cost-effective and energy-efficient architecture for hybrid memory systems composed of high bandwidth memory (HBM) and phase change memory (PCM), called Dual Role HBM (DR-HBM). In DR-HBM, hot pages are tracked at a cost-effective way and migrated to the HBM to improve performance, while cold pages are stored at the PCM to save energy.