Detecting Switching Strategies in Equity Hedge Funds

Equity hedge funds are thought to effectively operate market timing by implementing switching strategies conditional on market circumstances. In this paper we use only the reported monthly returns on a set of funds to infer the type of switching strategies they follow, if any, as well as their switching times. A set of regime-switching models for each equity hedge funds’ returns against various benchmarks are estimated; subsequently we answer the following general questions: What proportion of equity funds seem to have switching strategies in place? Which are the most popular instruments for switching strategies? And what is the relationship between the switching times of different funds? The general methodology applied in this paper may be useful to investors that wish to detect, from only from their reported returns, whether and when a particular fund has been timing the market.

Dynamic modeling of nitrogen losses in river networks unravels the coupled effects of hydrological and biogeochemical processes

The importance of lotic systems as sinks for nitrogen inputs is well recognized. A fraction of nitrogen in streamflow is removed to the atmosphere via denitrification with the remainder exported in streamflow as nitrogen loads. At the watershed scale, there is a keen interest in understanding the factors that control the fate of nitrogen throughout the stream channel network, with particular attention to the processes that deliver large nitrogen loads to sensitive coastal ecosystems. We use a dynamic stream transport model to assess biogeochemical (nitrate loadings, concentration, temperature) and hydrological (discharge, depth, velocity) effects on reach-scale denitrification and nitrate removal in the river networks of two watersheds having widely differing levels of nitrate enrichment but nearly identical discharges. Stream denitrification is estimated by regression as a nonlinear function of nitrate concentration, streamflow, and temperature, using more than 300 published measurements from a variety of US streams. These relations are used in the stream transport model to characterize nitrate dynamics related to denitrification at a monthly time scale in the stream reaches of the two watersheds. Results indicate that the nitrate removal efficiency of streams, as measured by the percentage of the stream nitrate flux removed via denitrification per unit length of channel, is appreciably reduced during months with high discharge and nitrate flux and increases during months of low-discharge and flux. Biogeochemical factors, including land use, nitrate inputs, and stream concentrations, are a major control on reach-scale denitrification, evidenced by the disproportionately lower nitrate removal efficiency in streams of the highly nitrate-enriched watershed as compared with that in similarly sized streams in the less nitrate-enriched watershed. Sensitivity analyses reveal that these important biogeochemical factors and physical hydrological factors contribute nearly equally to seasonal and stream-size related variations in the percentage of the stream nitrate flux removed in each watershed

Editorialising practices, competitive marketablility and James Thomson's 'The seasons'

The lapse of Andrew Millar's copyright for James Thomson's The Seasons in 1765 resulted in an increasing number of new editions of the poem being published in the late eighteenth century. This article compares the print-cultural make-ups of three editions of The Seasons that were issued in the 1790s. An examination of the print-cultural differences between these publishing ventures reveals distinct editorial practices and marketing strategies. In an attempt to increase the attractiveness of their editions with visual and textual paraphernalia, the producers developed their own versions' of The Seasons and, in the process, fashioned new interpretations of Thomson's poem

Special Libraries, April 1916

Volume 7, Issue 4https://scholarworks.sjsu.edu/sla_sl_1916/1003/thumbnail.jp

Pantheon 1.0, a manually verified dataset of globally famous biographies

We present the Pantheon 1.0 dataset: a manually verified dataset of individuals that have transcended linguistic, temporal, and geographic boundaries. The Pantheon 1.0 dataset includes the 11,341 biographies present in more than 25 languages in Wikipedia and is enriched with: (i) manually verified demographic information (place and date of birth, gender) (ii) a taxonomy of occupations classifying each biography at three levels of aggregation and (iii) two measures of global popularity including the number of languages in which a biography is present in Wikipedia (L), and the Historical Popularity Index (HPI) a metric that combines information on L, time since birth, and page-views (2008-2013). We compare the Pantheon 1.0 dataset to data from the 2003 book, Human Accomplishments, and also to external measures of accomplishment in individual games and sports: Tennis, Swimming, Car Racing, and Chess. In all of these cases we find that measures of popularity (L and HPI) correlate highly with individual accomplishment, suggesting that measures of global popularity proxy the historical impact of individuals.Comment: Scientific Data 2:15007

The use of John Adams as a historical character 1789--1874

John Adams was central to the founding of the United States and has held enduring interest among many generations including his own. The foundation of Adams as a historical character was constructed both by people he interacted with personally and by the turmoil of politics, casting him in roles with conflicting results. After his death, Adams was placed in a variety of roles as a historical character as people struggled to make sense of the contentious decades leading up and including the Civil War. After the Civil War, a more sophisticated warts and all portrayal of John Adams as a historical character as American historical identity was reexamined. The ways Adams was constructed and used as a historical character illuminates issues surrounding cultural history, historiography and conceptualization of the American Revolution by historians. That use also highlights recent interest in John Adams

Money Market Liquidity under Currency Board – Empirical Investigations for Bulgaria

Over the last years the efficiency and existence of an automatic adjustment mechanism of currency boards are in the centre of economic discussions. This study is intended to provide an empirical analysis of the volume and interest rate of unsecured overnight deposits at Bulgarian interbank market. Three empirical models are developed in order to explain the behaviour of demand, supply and interest rates. The impact of reserve requirements, operations connected with government budget, transactions in reserve currency (Euro) and some seasonal factors is discussed. The developments of interest rates and volumes are well captured by the employed variables and their statistically significant signs coincide with the theoretical literature.http://deepblue.lib.umich.edu/bitstream/2027.42/40079/3/wp693.pd

Medical discourse and ideology in the Edinburgh Review: a Chaldean exemplar

No abstract available

Conditional Complexity of Compression for Authorship Attribution

We introduce new stylometry tools based on the sliced conditional compression complexity of literary texts which are inspired by the nearly optimal application of the incomputable Kolmogorov conditional complexity (and presumably approximates it). Whereas other stylometry tools can occasionally be very close for different authors, our statistic is apparently strictly minimal for the true author, if the query and training texts are sufficiently large, compressor is sufficiently good and sampling bias is avoided (as in the poll samplings). We tune it and test its performance on attributing the Federalist papers (Madison vs. Hamilton). Our results confirm the previous attribution of Federalist papers by Mosteller and Wallace (1964) to Madison using the Naive Bayes classifier and the same attribution based on alternative classifiers such as SVM, and the second order Markov model of language. Then we apply our method for studying the attribution of the early poems from the Shakespeare Canon and the continuation of Marlowe’s poem ‘Hero and Leander’ ascribed to G. Chapman.compression complexity, authorship attribution.