京都大学 / 0048 / 新制・課程博士 / 博士(エネルギー科学) / 甲第19333号 / エネ博第322号 / 新制||エネ||65(附属図書館) / 32335 / 京都大学大学院エネルギー科学研究科エネルギー基礎科学専攻 / (主査)教授 中村 祐司, 教授 岸本 泰明, 教授 水内 亨 / 学位規則第4条第1項該当 / Doctor of Energy Science / Kyoto University / DGAM

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This research paper focuses on the implementation and evaluation of Minervini's momentum analysis techniques in an algorithmic approach. The study aimed to assess the limitations and challenges associated with executing Minervini's strategy in an algorithmic trading system. Several technical restrictions, practical application problems, and the exclusion of fundamental and catalyst aspects contribute to the implementation of a primitive variant of Minervini's strategy. The challenges included the subjective nature of base patterns making bases difficult to identify and limitations in risk and position sizing. However, despite the challenges, the algorithmic approach offers advantages such as the ability to analyze a large number of stocks rapidly. It is suggested to use the algorithm as a tool for stock exclusion rather than fully automating the buying and selling decisions. The research investigates the possibility of generating excess returns in Sweden, Denmark, and Finland using the implemented algorithm over different time periods from 2008 to 2023. Hundreds of stocks were divided up into 18 stock portfolios based on market capitalization size calculations for a given year. These portfolios were traded using both the momentum strategy and an index strategy. The empirical results indicate that small-cap portfolios exhibited consistent excess returns compared to mid-cap and large-cap portfolios, particularly during high volatility periods. However, the research did not account for transaction costs, which are essential to evaluate the strategy's net returns in real-world scenarios. Despite the exclusion of transaction costs in the study, the significant excess returns observed in small-cap portfolios indicate that the implemented momentum strategy performs notably better for small-cap stocks compared to mid-cap and large-cap stocks. This finding contradicts the efficient market hypothesis, assuming equal transaction costs across different market capitalizations. Further research should consider incorporating transaction costs to gain a more comprehensive understanding of the strategy's overall performance and its practical implications for various market segments. Future research should consider incorporating transaction costs and optimizing the stop-loss and profit-taking levels, and exploring a weekly-based approach instead of a daily-based approach. Additionally, volume analysis, data handling improvements, and a more detailed analysis of buy and sell decisions are recommended to optimize the algorithm's performance for future research. To summarize, while the implemented algorithm does not fully mimic Minervini's strategy, it offers valuable insights and potential value, especially in small-cap stocks. Further research and optimization are required to enhance its effectiveness and address the identified limitations.

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Det har genom åren skett många försök att utmana den effektiva marknadshypotesen, som säger att aktiemarknaden är effektiv och att det därav inte bör gå att använda sig av aktiestrategier för att uppnå riskjusterad överavkastning. En faktor som använts i försök att utmana hypotesen är momentum, som innebär hur starkt en tillgångs pris trendar.  Många studier existerar kring momentumfaktorn som generellt kommer fram till att det går att erhålla en positiv riskjusterad överavkastning genom användningen av momentum i aktiestrategier (se t.ex: Jegadeesh & Titman, 1993; Bird & Casavecchia, 2007; Antonacci, 2014). Samtidigt finns det strategier som beroende på börsen som helhets absoluta momentum väljer allokering mot antingen aktiemarknaden eller räntebärande värdepapper. Men hur blir det om man kombinerar dessa strategier, och hela tiden är investerad i aktieportföljer, men skiftar mellan mer offensiva och defensiva portföljer beroende på börsens momentum?  Genom att undersöka hela Stockholmsbörsen mellan åren 1998-2022 kommer denna studie fram till att kvantitativa aktiestrategier med omallokering mellan offensiva och defensiva aktieportföljer beroende på börsens momentum kan leda till en bättre riskjusterad avkastning än börsen, med avsevärt högre årlig avkastning och endast något högre standardavvikelse. Studien använder sig av kvantitativa aktiestrategier för att testa enskilda nyckeltal men också kombinationen av dessa nyckeltal, och om det är bättre att skifta mellan större och mindre bolag baserat på börsens momentum eller inte göra någon omallokering alls. Aktieportföljerna i studien har utvärderats utifrån trefaktormodellen utvecklad av Fama & French (1992). Trefaktormodellen har använts istället för den mer traditionella modellen CAPM eftersom trefaktormodellen gav en högre förklaringsgrad och därmed bör vara bättre lämpad för att studiens resultat ska ha hög tillförlitlighet.  Studien kom alltså fram till att en aktieportfölj där man skiftar mellan en offensiva och defensiva portföljer baserat på börsens momentum kan generera en riskjusterad överavkastning, då alla portföljer med omallokering gav ett positivt alfa-värde, och mer än hälften av dessa (4 av 7) fick ett signifikant alfa på 5% signifikansnivå. Däremot är det inte statistiskt säkerställt att omallokeringen efter börsens momentum varit gynnsam, då de andra portföljerna med samma nyckeltal utan omallokering också genererat positiva alfa-värden. Dock hade de offensiva portföljerna med endast småbolag högre standardavvikelse och något lägre alfa-värden, vilket tyder på att omallokeringen ger en något högre riskjusterad avkastning. Mer forskning behövs dock för att kunna dra några slutsatser kring detta.

This work aims to implement 3D microstructures that generate light with orbital angular momentum towards applications in Biophotonics. Over the past few decades, 3D printing has established itself as the most versatile technology with effortless adaptability. Parallel to this, the concept of miniaturiza tion has seen tremendous growth irrespective of the field and has become an estab lished trend motivated by the need for compact, portable and multi-function devices. Therefore, when these two concepts get together, i.e., 3D printing of miniaturized objects, it could lead to an exciting path with endless opportunities. When it comes to optics, miniaturized 3D printing offers the potential to create compact optical micro-systems and exhibits a way to manufacture freeform µ-optics. In particular, two-photon lithography (TPL) is a cutting edge 3D printing technology that has re cently demonstrated groundbreaking solutions for optics as it offers high resolution with a great degree of flexibility. With a TPL 3D printer, it is possible to fabricate complex µ-optical elements and employ them for compelling applications. In recent years, light with orbital angular momentum (OAM), or ”twisted” light, has captured the interests of several researchers due to its inspiring applications. Tra ditionally, to generate OAM beams, one would require bulk, table-top optics, restrict ing their applications to over-the-table setup. An alternative approach of OAM beam generation is through µ-structures over the fiber, as they can open up new opportu nities, especially in Bioscience, and facilitate in-vivo operations. In particular, this probe-like setup can be used for processes such as optical trapping, high-resolution microscopy, etc. Hence, I propose the development of a novel approach with un precedented capabilities for generating OAM beams right from single-mode optical fibers, by transforming its Gaussian-like output beam by using complex 3D printed microstructures. In this document, I will showcase designs and results on generating Bessel beams (both zeroth- and high-order) and high-NA converging beams (with and without OAM) for optical trapping from the fiber. Remarkably, I achieved the first-ever fiber-based high-order Bessel beam generation and the first-ever fiber optical tweezers with OAM.

This study investigates if momentum effects can be found on the Swedish stock market by testing a cross-sectional momentum strategy on historical data. To explain the results mathematically, a second approach, involving time series regression for predicting future returns is introduced and thereby extends the cross-sectional theory. The result of the study shows that momentum effects through the cross-sectional strategy exist on the Swedish stock market. Although positive return is found, the time series regression do not give any significance for predicting future returns. Hence, there is a contradiction between the two approaches. / Denna studie undersöker om momentumeffekter föreligger på den svenska aktiemarknaden med hjälp av två olika tillvägagångssätt. Först testas momentumstrategin på historisk data och därefter genomförs tidseriesregression för att undersöka om resultaten har statistisk signifikans för att prediktera framtida avkastning. Resultatet visar att momentumeffekter existerar på den svenska aktiemarknaden. Trots att positiv avkastning erhålls ger tidserieregressionen ingen indikation på att prediktering av framtida avkastning är möjlig. Följaktligen finns det en motsägelse mellan de två tillvägagångssätten.

This thesis presents a modern approach to two Integral Boundary Layer methods implemented in the Python programming language. This work is based on two 2D boundary layer methods: Thwaites' method for laminar boundary layer flows and Head's method for turbulent boundary layer flows. Several novel enhancements improve the quality and usability of the results. These improvements include: a common ordinary differential equation (ODE) integration framework that generalizes computational implementations of Integral Boundary Layer methods; the use of a dense output Runge-Kutta ODE solver that allows for querying of simulation results at any point with accuracy to the same order as that of the solver; and an edge velocity treatment method using cubic spline interpolation that improves the simulation performance using only points from an inviscid edge velocity distribution. Both the laminar and turbulent methods are shown to benefit from smoothing of the edge velocity distribution. The choice of ODE solver alleviates the need to artificially limit step sizes. Comparisons against analytic solutions, experimental data and XFOIL results provide a wide varity of verification and validation cases with which to compare. The implementation of Thwaites' method in this thesis avoids simplifications made in other implementations of this method, which results in more robust results. The implementation of Head's method produces high-quality results typically found in other implementations while utilizing the common ODE integration framework. Utilizing the common ODE framework results in significantly less code needed to implement Thwaites' and Head's methods. In addition, the boundary layer solvers produce results in seconds for all results presented here. Boundary layer transition and separation criteria are implemented as a proof of concept, but require future work.

ExoCube is the latest National Science Foundation (NSF) funded space weather CubeSat and is a collaboration between PolySat, Scientific Solutions Inc. (SSI), the University of Wisconsin, NASA Goddard and SRI International. The 3U will carry a mass spectrometer sensor suite, EXOS, in to low earth orbit (LEO) to measure neutral and ionized particles in the exosphere and thermosphere. Measurements of neutral and ion particles are directly impacted by the angle at which they enter EXOS and which leads to pointing requirements. A combination of a gravity gradient system with a momentum bias wheel is proposed to meet pointing requirements while reducing power requirements and overall system complexity. A MATLAB simulation of dynamic and kinematic behavior of the system in orbit is implemented to guide system design and verify that the pointing requirements will be met. The problem of achieving the required three-axis pointing is broken into four phases: detumbling, initial attitude acquisition, wheel spin-up, and attitude maintenance. Ultimately, this configuration for attitude control in a CubeSat could be applied to many future missions with the simulation serving as a design tool for CubeSat developers.