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Fundamental momentum : a new approach to investment analysisDittberner, Andrew Graham January 2016 (has links)
The study examined the momentum in the fundamentals of companies over time, and
whether the information content in the momentum of the fundamentals improved the
understanding of the long-standing price momentum and earnings momentum anomalies
on the Johannesburg Stock Exchange (JSE). Fundamental momentum is defined as the
difference between the change of a fundamental variable over consecutive time periods.
The study included all industrial companies that were listed on the JSE between the period
January 1990 and December 2013.
The purpose of the study was to investigate whether price momentum or earnings
momentum was subsumed by fundamental momentum. Price momentum and earnings
momentum are long-standing anomalies that have been widely researched, yet no definitive
explanation has been provided in the literature. The objective of the study was to improve
the understanding of price momentum and earnings momentum through the analysis of
fundamental momentum. The study also provided insight into the persistence of
fundamental momentum of earnings.
The study tested the profitability of the price momentum, earnings momentum and the
fundamental momentum of earnings trading strategies. The research hypotheses were
formulated and tested using equal-weighted sort analysis. The sustainability of fundamental
momentum of earnings was also analysed. The size and value risk factors were taken into
account to ensure that the results were not influenced by such risk factors. The Fama and
French three-factor model was employed to test whether the results captured one of these
risk effects.
The fourth research question investigated whether the fundamental momentum of an
underlying component of earnings increased the persistence of the fundamental momentum
of future earnings. Earnings were shown to be mean reverting over time, and therefore, the
expectation was that positive or negative fundamental momentum of earnings was not
sustainable over a prolonged period of time. However, by decomposing earnings into the
accrual and cash flow components, and their respective sub-components, the study undertook regression analysis to see whether a specific component of earnings could
improve the sustainability of fundamental momentum.
The final research question tested whether price momentum and/or earnings momentum
was subsumed by fundamental momentum. Two-way analysis was conducted to test
whether the strategies captured similar effects. Sort analysis was used by first constructing
equal-weighted portfolios based on either price momentum or earnings momentum. Each
portfolio was then further subdivided based on the fundamental momentum of earnings. The
profitability of the resultant portfolios was then compared with the initial portfolio.
The results confirmed that the price momentum and earnings momentum anomalies were
present on the JSE for the sample selected for the study. The fundamental momentum of
earnings trading strategy was also shown to be a profitable trading strategy for the extreme
quintile portfolios. Using the Fama-MacBeth regression methodology, size and value effects
were not found to impact the results across all three momentum strategies. A behavioural
overreaction or underreaction hypothesis was argued to explain the profitability of the
fundamental momentum of earnings strategy. The market was shown to anticipate the
earnings surprise that resulted in earnings momentum up to 12 months prior to portfolio
formation. Similarly, the market anticipated fundamental momentum of earnings 12 months
prior to the earnings announcement.
The fundamental momentum of future earnings was shown to be more sustainable when
the fundamental momentum of the cash flow component of prior earnings was higher than
the fundamental momentum of the accrual component of prior earnings. This result did not
give insight into the nominal size effect of the underlying earnings components, rather, it
only gave insight into the rates of change of the earnings components.
The final result of the study showed that price momentum and fundamental momentum
captured different effects. However, the earnings momentum and fundamental momentum
results were not as clear cut. Both strategies used a variant of earnings to construct the
quintile portfolios and thus it was very plausible that they captured a similar effect. The study contributed to the current literature in a number of ways. A new trading strategy
based on the fundamental momentum of earnings was tested. Fundamental momentum of
earnings as a trading strategy has yet to be defined; as a result, it has not been researched
prior to this study. Given the results, it may be seen as a derivative of earnings momentum.
Understanding the sustainability of fundamental momentum of future earnings was also
researched. The final contribution of the study was the two-way analysis of price momentum
and fundamental momentum, and earnings momentum and fundamental momentum. / Thesis (PhD)--University of Pretoria, 2016. / tm2016 / Financial Management / PhD / Unrestricted
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Développement d'une nouvelle mesure d'équilibre pour l'aide à la sélection des variables dans un modèle de score de propension / Development of a new weighted balance measure to help to select the variables to be included in a propensity score modelCaruana, Emmanuel 01 March 2017 (has links)
Le score de propension s'est progressivement imposé comme l’une des méthodes de référence dans l'analyse des données observationnelles afin de prendre en compte le biais potentiel lié à l’existence de facteurs de confusion dans l'estimation de l'effet du traitement sur le critère de jugement. Parmi les recommandations de bonnes pratiques d'utilisation, le processus de sélection des variables à inclure dans le score final utilisé est essentiel, ainsi que l'évaluation de l'équilibre obtenu sur les covariables après appariement ou pondération sur ce score. Dans l'objectif de prioriser l'inclusion et l'équilibre des variables ayant une relation avec le critère de jugement une nouvelle mesure d'équilibre est proposée dans ce travail de thèse. Une première partie de ce travail a eu pour objectif de développer une mesure globale pondérée permettant d'évaluer l'équilibre global des covariables obtenu après appariement et ainsi d'aider à la sélection d’un modèle de propension le plus parcimonieux possible, en éliminant notamment les variables instrumentales. En effet ces variables ne doivent pas être introduites dans le modèle de score de propension au risque de majorer le biais final d'estimation. Lors des étapes d'évaluation de l'équilibre final obtenu, les différentes mesures d'équilibres disponibles ne prennent le plus souvent pas en compte cette information et concluent souvent à l'intérêt d'inclure une telle variable afin de réduire au maximum le déséquilibre entre les groupes. L'évaluation des performances de cette mesure a dans un premier temps fait appel à des simulations de type Monte Carlo. Dans une seconde partie, une mise en application sur des données réelles issues de la médecine d'urgence a permis de préciser la pratique d'utilisation d'une telle mesure / Propensity score (PS) methods have become increasingly used to analyze observational data and take into account confusion bias in final estimate of treatment effects. The goal of the PS is to balance the distribution of potential confounders across treatment groups. The performance of the PS strongly relies on variable selection in PS construction and balance assessment in PS analysis. Specifically, the choice of the variables to be included in the PS model is of paramount importance. In order to priorize inclusion and balance of variables related to the outcome, a new balance measure was proposed in this thesis. First, a new weighted balance measure was studied to help in construction of PS model and to obtain the most parsimonious model, by excluding instrumental variables known to be related with increasing bias in final treatment estimate. Several balances measures are proposed to assess final balance, but none of them help researchers to not include instrumental variables. We propose a new weighted balance measure that takes into account, for each covariate, its strength of association with the outcome. This measure was evaluated using a simulation study to assess whether minimization of the measure coincided with minimally biased estimates. Secondly, we propose to apply this measure to a real data set from an observational cohort study.
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Le noyau-bulle de 34Si : Un outil expérimental pour étudier l’interaction spin-orbite ? / The 34Si bubble nucleus : An experimental tool to study the spin-orbit interaction ?Mutschler, Aurélie 08 September 2015 (has links)
L’interaction spin-orbite a permis de reproduire dans les modèles nucléaires théoriques, les nombres magiques N=28 et 50 observés dans les noyaux atomiques. Ces dernières décennies, l’étude expérimentale de noyaux exotiques a mis en évidence une évolution des nombres magiques loin de la vallée de stabilité. On peut alors se poser la question de l’évolution des potentiels d’interaction eux-mêmes, et en particulier de l’interaction spin-orbite. Si cette interaction a été historiquement incluse « à la main » dans les modèles de champ moyen « classiques », elle émerge cependant naturellement dans les modèles relativistes. La description de l’interaction spin-orbite est très similaire dans ces deux types de modèles, mais il subsiste a priori un désaccord du point de vue de sa dépendance en isospin : les modèles non-relativistes de type Hartree-Fock présentent en effet un potentiel spin-orbite dépendant fortement de l’isospin, contrairement aux modèles de type Relativistic Mean Field.En 2009, des calculs mettant en œuvre différents modèles théoriques ont prédit l’existence d’une « bulle », caractérisée par une déplétion en densité protonique centrale, dans le ³⁴Si. Ce dernier aurait une densité protonique très exotique, et bien différente de sa densité neutronique. Le ³⁴Si constituerait alors une sonde idéale de l’évolution du potentiel spin-orbite dans les systèmes présentant une forte asymétrie protons-neutrons. L’émergence d’un tel effet trouverait son origine dans la déplétion de l’orbitale protonique2s½, les orbitales s étant les seules à contribuer à la densité nucléaire centrale.Une expérience réalisée en Septembre 2012 à NSCL (MSU, Etats-Unis), a permis de mettre en évidence pour la première fois un effet de bulle nucléaire dans le ³⁴Si. L’étude des facteurs spectroscopiques des états peuplés lors des réactions d’arrachage de proton ou de neutron ³⁴Si(-1p) ³³Al et ³⁴Si(-1n) ³³Si indique que sa structure neutronique est très proche d’un système sans corrélations au-delà du champ moyen, tandis que son orbitale protonique est très faiblement occupée : n(2s½) = 0,16(4).Les réactions ³⁶S(-1p) ³⁵P et ³⁶S(-1n) ³⁵S ont été étudiées dans les mêmes conditions expérimentales. L’évolution de l’occupation n(2s½) mesurée entre le ³⁶S et le ³⁴Si, ainsi que la variation de l’écart en énergie des partenaires spin-orbite neutroniques 2p½-2p^3/2, mesurée entre ces deux noyaux dans une expérience antérieure, sont en faveur des modèles de champ moyen non-relativistes. La partie théorique de cette thèse a cependant montré que la différence de comportement de l’interaction spin-orbite entre modèles relativistes et non-relativistes est en fait un artefact causé par l’omission du terme d’échange dans les calculs de type Relativistic Mean Field. En effet, l’inclusion du terme de Fock dans les modèles relativistes permet de rétablir la dépendance en isospin du potentiel spin-orbite observée dans le cas non-relativiste. / The spin-orbit interaction is essential for the reproduction of magic numbers N=28 and 50 in theoretical nuclear models. Over the past few decades, the experimental study of exotic nuclei has highlighted an evolution of magic numbers far from stability. One can then wonder about the evolution of nuclear potentials themselves, and in particular the one of spin-orbit interaction. Historically, this interaction was included « by hand » in mean field models, whereas it naturally arises in relativistic mean field models. The description of the spin-orbit interaction happens to be very similar in those two kinds of models, but there remains a disagreement regarding its isospin dependance. Indeed, Hartree-Fock models exhibit a spin-orbit potential which strongly depends on isospin, contrary to relativistic mean field models.In 2009, a proton bubble was predicted in ³⁴Si by means of several different nuclear models. This effect consists in a central proton central density depletion. ³⁴Si would exhibit a quite exotic proton density, and very different from its neutron density. This nucleus would then constitute an ideal probe to test the behaviour of the spin-orbit potential in systems with strong proton-neutron asymmetry. The appearance of such an effect would originate from the depletion of proton 2s½ orbitals, as s orbitals are the only ones contributing to the central density.An experiment which was performed in September 2012 at NSCL (MSU, United States) highlighted for the first time a proton bubble in ³⁴Si. The spectroscopic strengths of states populated in the knockout reactions ³⁴Si(-1p)³³Al and ³⁴Si(-1n)³³Si reveal that the neutron structure of ³⁴Si is close to the one of a system without beyond-mean-field correlations, whereas its proton orbital is only weakly occupied : n(2s½) = 0,16(4).The reactions ³⁶S(-1p)³⁵P and ³⁶S(-1n)³⁵S were studied in similar experimental conditions. The change in occupancy n(2s½) measured between ³⁶S and ³⁴Si, as well as the variation in the neutron spin-orbit splitting 2p½-2p^3/2 measured in an earlier experiment, suggest that non-relativistic models exhibit the right isospin dependance. The theoretical part of this thesis showed however that the difference in behaviour of the spin-orbit interaction between relativistic and non-relativistic model is actually an artefact caused by the omission of the exchange term in relativistic mean field calculations. Indeed, including the Fock term in relativistic models enables to restore the isospin dependance observed in the non-relativistic case.
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A regularized stationary mean-field gameYang, Xianjin 19 April 2016 (has links)
In the thesis, we discuss the existence and numerical approximations of solutions of a regularized mean-field game with a low-order regularization. In the first part, we prove a priori estimates and use the continuation method to obtain the existence of a solution with a positive density. Finally, we introduce the monotone flow method and solve the system numerically.
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Regularization Techniques for Linear Least-Squares ProblemsSuliman, Mohamed Abdalla Elhag 04 1900 (has links)
Linear estimation is a fundamental branch of signal processing that deals with estimating the values of parameters from a corrupted measured data. Throughout the years, several optimization criteria have been used to achieve this task. The most astonishing attempt among theses is the linear least-squares. Although this criterion enjoyed a wide popularity in many areas due to its attractive properties, it appeared to suffer from some shortcomings. Alternative optimization criteria, as a result, have been proposed. These new criteria allowed, in one way or another, the incorporation of further prior information to the desired problem. Among theses alternative criteria
is the regularized least-squares (RLS). In this thesis, we propose two new algorithms to find the regularization parameter for linear least-squares problems. In the constrained perturbation regularization
algorithm (COPRA) for random matrices and COPRA for linear discrete ill-posed problems, an artificial perturbation matrix with a bounded norm is forced into the model matrix. This perturbation is introduced to enhance the singular value structure of the matrix. As a result, the new modified model is expected to provide a better stabilize substantial solution when used to estimate the original signal through minimizing the worst-case residual error function.
Unlike many other regularization algorithms that go in search of minimizing the estimated data error, the two new proposed algorithms are developed mainly to select the artifcial perturbation bound and the regularization parameter in a way that approximately minimizes the mean-squared error (MSE) between the original signal and its estimate under various conditions. The first proposed COPRA method is developed mainly to estimate the regularization parameter when the measurement matrix is complex Gaussian, with centered unit variance (standard), and independent and identically distributed (i.i.d.) entries. Furthermore, the second proposed COPRA method deals with discrete ill-posed problems when the singular values of the linear transformation matrix are decaying very fast to a significantly small value. For the both proposed algorithms, the regularization parameter is obtained as a solution of a non-linear characteristic equation. We provide a details study for the general
properties of these functions and address the existence and uniqueness of the root. To demonstrate the performance of the derivations, the first proposed COPRA method is applied to estimate different signals with various characteristics, while the second proposed COPRA method is applied to a large set of different real-world discrete ill-posed problems. Simulation results demonstrate that the two proposed methods outperform a set of benchmark regularization algorithms in most cases. In addition, the algorithms are also shown to have the lowest run time.
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The Reciprocal Influence between Individuals’ Perceptions of Spouse’s Attachment and Marital SatisfactionGe, Feiran 18 March 2015 (has links)
There is a large body of research documenting the link between individuals’ perceptions of partners’ traits and relationship satisfaction (Simpson, Fillo, & Myers, 2012). Prior work indicates that both accurate understanding and idealized perception of partners’ traits are associated with greater relationship satisfaction (e.g., Luo & Snider, 2009). However, research in this area has predominantly focused on the impact of partner perception on relationship satisfaction. There is very limited evidence on whether relationship satisfaction in turn affects partner perception. The present study followed newlywed heterosexual couples during their first 2-3 years of marriage and examined the relations between individuals’ perceptions of spouses’ attachment style and marital satisfaction over time using two waves of data. Using cross-lagged structural equation models, the study finds that individuals’ greater satisfaction significantly predicted their greater accuracy in tracking their partner’s anxiety, lower accuracy in tracking their partner’s avoidance, increased positive illusions of their partner’s avoidance, and their partner’s decreased positive illusions of individuals’ avoidance one year later. Furthermore, individuals’ greater positive illusions of their partner’s anxiety and avoidance led to their partner’s increased satisfaction and individuals’ decreased satisfaction down the line, respectively. Potential explanations for contradictory results between anxiety and avoidance are discussed at length. The study extends the literature by investigating the directionality of the link between partner perception and relationship outcomes using cross-lagged models in a longitudinal design.
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Markov random dynamical systems of rational maps on the Riemann sphere / リーマン球面上の有理写像からなるマルコフ的ランダム力学系Watanabe, Takayuki 23 March 2021 (has links)
京都大学 / 新制・課程博士 / 博士(人間・環境学) / 甲第23273号 / 人博第988号 / 新制||人||234(附属図書館) / 2020||人博||988(吉田南総合図書館) / 京都大学大学院人間・環境学研究科共生人間学専攻 / (主査)教授 角 大輝, 教授 上木 直昌, 准教授 木坂 正史 / 学位規則第4条第1項該当 / Doctor of Human and Environmental Studies / Kyoto University / DFAM
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Phase Transitions Between Asynchronous and Synchronous Neural Dynamics: Theoretical Insight Into the Mechanisms Behind Neural Oscillations in Parkinson's DiseaseGast, Richard 07 December 2021 (has links)
In Parkinson's disease (PD), large parts of the brain transition into states of enhanced neural synchronization.
These phase transitions have been associated with the death of dopaminergic neurons as well as with impaired motor function.
In this thesis, we address the much-debated question of how parkinsonian synchronization depends on dopamine depletion in the basal ganglia (BG).
To this end, we develop spiking neural network (SNN) models of BG circuits and study them via bifurcation analysis.
First, we derive mean-field models that allow to account for various forms of short-term plasticity in SNNs.
We show that such short-term plasticity mechanisms can lead to highly synchronous, periodic bursting dynamics and discuss the relevance of this bursting regime for PD.
Second, we find that the external pallidum, an important part of the BG, cannot cause parkinsonian oscillations autonomously.
However, our results suggest that the external pallidum may contribute to the emergence of cross-frequency coupling that has been reported for parkinsonian oscillations.
Finally, we describe an open-source Python toolbox that we developed to implement and analyze mean-field models of neural dynamics.
Together, this thesis provides insight into BG synchronization processes as well as the mathematical basis and software for future studies of neural synchronization.:1 Introduction
1.1 A complex systems perspective of the brain
1.2 Brain function and the phase transition to synchronized neural activity
1.3 Low-dimensional manifolds of synchronized neural activity
1.4 Phase transitions to synchronized neural activity in Parkinson’s disease
1.5 Thesis overview
2 Mathematical Models and Methods
2.1 A non-linear oscillator model of neural activity
2.2 Dynamical systems methods for the study of neural network models
2.3 Dynamics of a single QIF neuron
3 Low-Dimensional Dynamics in Spiking Neural Networks
3.1 Mean-field approaches in neuroscience
3.2 Dynamics of QIF networks with post-synaptic STP
3.3 Dynamics of QIF networks with spike-frequency adaptation
3.4 Mean-field dynamics of QIF networks with pre-synaptic STP
3.5 Discussion
4 Phase Transitions and Neural Synchronization in the External Pallidum
4.1 A new perspective on GPe structure and function
4.2 GPe model definition and analysis
4.3 Phase transitions in the GPe under static and periodic input
4.4 Discussion
5. Modeling of Neural Mean-Field Dynamics Via PyRates
5.1 Computational modeling in neuroscience
5.2 The Framework
5.3 Pre-implemented methods for neural modeling workflows
5.4 Results
5.5 Discussion
6. Conclusion and Outlook
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Considering Tail Events in Hedge Fund Portfolio OptimizationBladh, Josefin, Greta, Holm January 2021 (has links)
The Fourth Swedish National Pension Fund (AP4), as well as many other large investors, has noted deficiencies the Mean-Variance framework for portfolio management of asset with non-normal characteristics. The main problem apparent in the Mean-Variance framework, when investing in alternative assets such as hedge funds, is the lacking systematic control of the balance between the measurements of risk due normal variation and tail-risk. Hedge funds constitute an asset class distinguished by non-normal characteristics such as negative skewness and heavy excess kurtosis, which suggests normality should not be assumed when optimizing a portfolio of hedge funds. Certain hedge fund strategies aim to be uncorrelated to other hedge funds and the major asset markets and are thus expected to have the capacity to hedge against extreme market events. Hedge fund performance during historically volatile market periods, including heavy losses and liquidations, has however proved this untrue. Outcomes in the tail of hedge fund distributions rather appear to occur in conjunction with increased correlation toward external indicators such as the equity stock market. With the aim to consider tail events in a portfolio of hedge funds and index futures, an optimization model intending to capture the asymmetric covariance between hedge fund assets and the equity market is developed and evaluated. The theory of copulas is applied to estimate the multivariate distribution by separating assumptions regarding univariate characteristics and dependence between assets. The estimated multivariate distribution is thereafter utilized in a scenario-based optimization model applying the Conditional Value at Risk (CVaR) measure as a risk measure, to capture events in the left tail of the portfolio distribution. The proposed GARCH-C-Vine-Mean-CVaR model is presented and evaluated against two reference models, a GARCH-C-Vine-Mean-Variance model, and a model assuming a multivariate normal distribution, EWMA-Mean-Variance. The ability to capture realized outcomes is analyzed for all three models, where the proposed GARCH-C-Vine-Mean-CVaR as well as the GARCH-C-Vine-Mean-Variance model show to capture realized outcomes to a further extent than the model assuming a multivariate normal distribution. Further, applying the risk measure CVaR has in this study shown to capture the realized outcomes to the same extent as applying variance as the risk measure. In conclusion, the proposed model manages to capture tail-events in the data analyzed in this study, to a further extent than if assuming multivariate normality. The lack of regulations and bias that denote hedge fund reporting, does however prevent a conclusion on whether the proposed model captures actual realized tail-events of hedge fund returns.
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Rekonstrukce trestného činu / The Crime Scene ReconstructionHesová, Veronika January 2021 (has links)
The Crime Scene Reconstruction Abstract This diploma thesis deals with the issue of crime scene reconstruction both from the point of view of criminal law and from the point of view of criminological science and practice. With the help of reconstruction as a means of evidence, which is classified in the Criminal Procedure Code as a special means of proof, the authorities involved in criminal proceedings try to find out the facts of the case, about which there is no reasonable doubt. Through reconstruction as a method of criminalistic practice, the factual circumstances under which the investigated crime was committed are restored. The main goal of this thesis is a detailed analysis of the crime scene reconstruction from a criminal and forensic point of view, and the result of this analysis is a chapter devoted to considerations de lege ferenda. The secondary goal of the diploma thesis is to compare the crime scene reconstruction with selected investigative acts with the help of a comparative method. The diploma thesis is divided into three parts. The first part deals with the comparison of the crime scene reconstruction with investigative acts, with which there are very frequent interchanges in criminal practice. Part of the first part is also an approximation of the legal regulation of reconstruction in...
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