Why Buy and Hold? Technical Analysis in the Egyptian Stock Market

There is an ongoing controversy, whether technical analysis does provide useful information in the context of predicting future market trends and, therefore guided by technical trading systems investors can beat market performance. This controversy has motivated researchers across various markets to compare the performance of different technical analysis systems to market performance and see whether technical analysis does add value to the investment decision-making process. In our review of the literature, we neither came across any research that has utilized an actual trading platform in testing, nor one that has been conducted on the Egyptian stock market. The purpose of this thesis paper was to investigate the value of technical analysis in the investment decision-making process through a comparison of profitability between technical analysis systems and a passive buy-and-hold strategy. Our empirical testing utilizes a set of 10 popular technical trading systems and data from the Egyptian stock market. We ran a total of 220 simulations using MetaStock (one of the most popular trading platforms worldwide) as our trading platform, half of which were during an in-sample period where we optimize our systems’ parameters and the other half was during an out-of-sample period where we test our optimal parameters. Each system was tested on daily data of the EGX30 index, which is considered the main benchmark of the Egyptian stock market, and for robustness we re-test each system across a sample of 10 out of the 30 stocks that comprise the index. We found strong evidence of economically significant out-of-sample excess returns for the EGX30 index as well as for the 10 stocks over the period 7/2/2006– 12/31/2014. On average our set of technical analysis systems did substantially outperform the passive buy-and-hold strategy

Comparing the returns of technical analysis strategies with market index returns

Technical analysis techniques are measured against the performance of a buy and hold strategy. The study develops a method to test the performance of the active technical analysis strategy versus the passive buy and hold strategy augmenting existing literature. The strategies are tested on two emerging markets, JSE Top 40 (South Africa) and NIFTY 50 (India), and two developed markets, S&P 500 (USA) and FTSE 100 (London). Combinations of these indices are tested as well. The study is performed on data from 01/01/1997 to 31/12/2019. The data is split up into multiple three-year, five-year, ten-year, and twenty-year investment horizons. Different initial starting points are used to prevent data snooping biases. Nine technical indicators are used to produce returns to compare to the buy and hold strategy. These indicators include trend indicators, momentum indicators and a volatility indicator. There are six moving average-based indicators, as well as rate of change, relative strength index and bollinger bands. A combined indicator approach is also discussed and tested in the study. It is found that technical analysis techniques often outperform the buy and hold strategy. However, there is not a single indicator that performs well for all investment horizons, indices or combinations of indices. Most of the returns were eroded when considering transaction costs, but there are still some periods for which technical analysis provided superior returns to the buy and hold strategy.Dissertation (MSc (Actuarial Science))--University of Pretoria, 2021.Mathematics and Applied MathematicsMSc (Actuarial Science)Unrestricte

Investigation of the Use of a Bio-Derived Solvent for Non-Solvent-Induced Phase Separation (NIPS) Fabrication of Polysulfone Membranes

Organic solvents, such as N-methyl-2-pyrrolidone (NMP) and dimethylacetamide (DMAc), have been traditionally used to fabricate polymeric membranes. These solvents may have a negative impact on the environment and human health; therefore, using renewable solvents derived from biomass is of great interest to make membrane fabrication sustainable. Methyl-5-(dimethylamino)-2-methyl-5-oxopentanoate (Rhodiasolv PolarClean) is a bio-derived, biodegradable, nonflammable and nonvolatile solvent. Polysulfone is a commonly used polymer to fabricate membranes due to its thermal stability, strong mechanical strength and good chemical resistance. From cloud point curves, PolarClean showed potential to be a solvent for polysulfone. Membranes prepared with PolarClean were investigated in terms of their morphology, porosity, water permeability and protein rejection, and were compared to membranes prepared with traditional solvents. The pores of polysulfone/PolarClean membranes were sponge-like, and the membranes displayed higher water flux values (176.0 ± 8.8 LMH) along with slightly higher solute rejection (99.0 ± 0.51%). On the other hand, PSf/DMAc membrane pores were finger-like with lower water flux (63.1 ± 12.4 LMH) and slightly lower solute rejection (96 ± 2.00%) when compared to PSf/PolarClean membrane

Development of Hemocompatible Polymeric Materials for Blood-Contacting Medical Devices.

The research in this dissertation focuses on the development of novel multifunctional polymeric coatings that incorporate multiple antithrombogenic and/or anti-proliferative bioactive agents. The incorporated bioactive agents, whether endogenous small molecules (nitric oxide), polysaccharides (heparin), proteins (thrombomodulin), or drugs (sirolimus), are intended to function synergistically to prevent the formation of thrombus and the proliferation of smooth muscle cells, which are considered to be two of the major causes for the failure of various blood-contacting implantable devices. New multifunctional bilayer polyurethane coatings were developed that exhibit both controlled NO release (via use embedded diazeniumdiolate NO donors) and surface-bound active TM or combined TM and heparin. Both TM and heparin’s activity were evaluated by chromogenic assays and found to be at clinically significant levels. The NO release rate could be tuned by changing the thickness of top coatings. The duration of NO release at physiologically relevant levels (1×10-10mol/min/cm^2) could be as long as 2 weeks. To control the rate of NO release of polymers containing diazeniumdiolate NO donors, more stable and less toxic lipophilic tetrapenylborate species were examined to help buffer the pH in the polymeric phase of the coatings. Furthermore, in order to completely eliminate the leaching and possible toxicity issues associated with small molecules, a new sulfonated PU was synthesized with sulfonic anionic sites covalently tethered to the PU backbones as a potential replacement for borate additives. In vitro endothelial cell and SMC studies demonstrated that such coatings exhibit much improved biocompatibility compared to films prepared with conventional tetrakis(p-chlorophenyl)borate. In addition to thrombus formation, SMC proliferation is another important cause for medical device failure, especially for stents and small-diameter vascular grafts. The use of NO, in combination with an anti-cell proliferation agent, might provide the ideal solution to reduce both clotting and restenosis risks. Thus, the first dual-functional polymeric coatings that released both sirolimus and NO were prepared. NO is released at physiologically relevant levels with simultaneous release of sirolimus from 3.00 to 0.10μgcm^2/h over a period of 2 weeks. The possibility of combining catalytic NO generation and sirolimus release was also explored by doping a selenium-derivatized PU with sirolimus.Ph.D.ChemistryUniversity of Michigan, Horace H. Rackham School of Graduate Studieshttp://deepblue.lib.umich.edu/bitstream/2027.42/64718/1/biyunw_1.pd

A THERMODYNAMIC AND FEASIBILITY STUDY OF GREEN SOLVENTS FOR THE FABRICATION OF WATER TREATMENT MEMBRANES

Nonsolvent induced phase separation (NIPS) has been widely used to fabricate polymeric membranes. In NIPS, a polymer is dissolved in a solvent to form a dope solution, which is then cast on a substrate and immersed in a nonsolvent bath, where phase inversion occurs. Petroleum-derived organic solvents, such as N-Methyl-2-Pyrrolidone (NMP) and Dimethylacetamide (DMAc), have been traditionally used to fabricate polymeric membranes via NIPS. However, these solvents may have negative impacts on environmental and human health; therefore, using greener and less toxic solvents, preferably derived from biomass, is of great interest to make membrane fabrication sustainable. In this dissertation, two low-hazard solvents, Methyl 5-(Dimethylamino)-2-Methyl-5-Oxopentanoate (Rhodiasolv® PolarClean) and Gamma-Valerolactone (GVL), were investigated as sole- and as cosolvents to cast Polysulfone (PSf) membranes via NIPS. In the first part of this project, Rhodiasolv PolarClean was studied. PolarClean is a bio-derived, biodegradable, nonflammable and nonvolatile solvent. From cloud point curves, PolarClean shows potential to be a solvent for polysulfone. Membranes prepared with PolarClean were investigated in terms of their morphology, porosity, water permeability and protein rejection, and were compared to membranes prepared with traditional solvents. The pores of polysulfone/PolarClean membranes were sponge-like, and the membranes displayed higher water flux values along with slightly higher solute rejection. On the other hand, PSf/DMAc membrane pores were finger-like with lower water flux and slightly lower solute rejection when compared to PSf/PolarClean membranes. Upon reverse-flow filtration to simulate membrane cleaning, it was observed that the pores of PSf/PolarClean membranes collapsed. To address this issue, GVL was investigated as a sole solvent and a cosolvent with PolarClean to fabricate PSf membranes. Membranes prepared using GVL as a sole solvent were observed to be gelatinous, hence not ideal for filtration. On the other hand, when GVL and PolarClean were used as cosolvents, viable membranes were cast with surface charge and hydrophicility not being significantly different from membranes made using PolarClean alone. Furthermore, the average pore size of membranes decreased as the weight percent of GVL in dope solutions increased. Therefore, the use of PolarClean/GVL as cosolvents shows promise for the fabrication of PSf membranes. With respect to operation, membranes cast from dope solutions containing equal amounts of PolarClean and GVL displayed the most similar flux curves and solute rejection to those made using the traditional solvent tested. Once it was determined that membranes made using PolarClean and GVL as cosolvents were viable and showed similar morphological and operational characteristics to those made using DMAc, the use of PolarClean/GVL cosolvents was then researched at the production scale. In the last portion of this study, a slot die-roll to roll (R2R) system was used to fabricate polysulfone (PSf) ultrafiltration membranes using low-hazard solvents individually and as cosolvents at a production scale. Production-scale membranes were compared structurally, morphologically and operationally to laboratory-scale membranes made using a doctor’s blade. The chemical structure of membranes was not affected by the use of different solvents nor by the differences in scale. On the other hand, cross-sectional images showed that the structures of the membranes were different most likely due to differences in diffusion rates between the different solvents/cosolvents into the nonsolvent, water. Furthermore, it was observed that slot die and doctor’s blade casting methods produced membranes with different roughness values likely due to evaporation time differences between the methods. While to protein filtration, all membranes displayed similar operational parameters, i.e., flux decline, permeability and recovery. Overall, this dissertation shows that membranes fabricated using greener/less toxic solvent mixtures are comparable to membranes cast using petroleum-derived solvents, and are scalable using slot die-R2R

Survey of quantitative investment strategies in the Russian stock market : Special interest in tactical asset allocation

Russia’s financial markets have been an uncharted area when it comes to exploring the performance of investment strategies based on modern portfolio theory. In this thesis, we focus on the country’s stock market and study whether profitable investments can be made while at the same time taking uncertainties, risks, and dependencies into account. We also pay particular interest in tactical asset allocation. The benefit of this approach is that we can utilize time series forecasting methods to produce trading signals in addition to optimization methods. We use two datasets in our empirical applications. The first one consists of nine sectoral indices covering the period from 2008 to 2017, and the other includes altogether 42 stocks listed on the Moscow Exchange covering the years 2011 – 2017. The strategies considered have been divided into five sections. In the first part, we study classical and robust mean-risk portfolios and the modeling of transaction costs. We find that the expected return should be maximized per unit expected shortfall while simultaneously requiring that each asset contributes equally to the portfolio’s tail risk. Secondly, we show that using robust covariance estimators can improve the risk-adjusted returns of minimum variance portfolios. Thirdly, we note that robust optimization techniques are best suited for conservative investors due to the low volatility allocations they produce. In the second part, we employ statistical factor models to estimate higher-order comoments and demonstrate the benefit of the proposed method in constructing risk-optimal and expected utility-maximizing portfolios. In the third part, we utilize the Almgren–Chriss framework and sort the expected returns according to the assumed momentum anomaly. We discover that this method produces stable allocations performing exceptionally well in the market upturn. In the fourth part, we show that forecasts produced by VECM and GARCH models can be used profitably in optimizations based on the Black–Litterman, copula opinion pooling, and entropy pooling models. In the final part, we develop a wealth protection strategy capable of timing market changes thanks to the return predictions based on an ARIMA model. Therefore, it can be stated that it has been possible to make safe and profitable investments in the Russian stock market even when reasonable transaction costs have been taken into account. We also argue that market inefficiencies could have been exploited by structuring statistical arbitrage and other tactical asset allocation-related strategies.Venäjän rahoitusmarkkinat ovat olleet kartoittamatonta aluetta tutkittaessa moderniin portfolioteoriaan pohjautuvien sijoitusstrategioiden käyttäytymistä. Tässä tutkielmassa keskitymme maan osakemarkkinoihin ja tarkastelemme, voidaanko taloudellisesti kannattavia sijoituksia tehdä otettaessa samalla huomioon epävarmuudet, riskit ja riippuvuudet. Kiinnitämme erityistä huomiota myös taktiseen varojen kohdentamiseen. Tämän lähestymistavan etuna on, että optimointimenetelmien lisäksi voimme hyödyntää aikasarjaennustamisen menetelmiä kaupankäyntisignaalien tuottamiseksi. Empiirisissä sovelluksissa käytämme kahta data-aineistoa. Ensimmäinen koostuu yhdeksästä teollisuusindeksistä kattaen ajanjakson 2008–2017, ja toinen sisältää 42 Moskovan pörssiin listattua osaketta kattaen vuodet 2011–2017. Tarkasteltavat strategiat on puolestaan jaoteltu viiteen osioon. Ensimmäisessä osassa tarkastelemme klassisia ja robusteja riski-tuotto -portfolioita sekä kaupankäyntikustannusten mallintamista. Havaitsemme, että odotettua tuottoa on syytä maksimoida suhteessa odotettuun vajeeseen edellyttäen samalla, että jokainen osake lisää sijoitussalkun häntäriskiä yhtä suurella osuudella. Toiseksi osoitamme, että minimivarianssiportfolioiden riskikorjattuja tuottoja voidaan parantaa robusteilla kovarianssiestimaattoreilla. Kolmanneksi toteamme robustien optimointitekniikoiden soveltuvan parhaiten konservatiivisille sijoittajille niiden tuottamien matalan volatiliteetin allokaatioiden ansiosta. Toisessa osassa hyödynnämme tilastollisia faktorimalleja korkeampien yhteismomenttien estimoinnissa ja havainnollistamme ehdotetun metodin hyödyllisyyttä riskioptimaalisten sekä odotettua hyötyä maksimoivien salkkujen rakentamisessa. Kolmannessa osassa käytämme Almgren–Chrissin viitekehystä ja asetamme odotetut tuotot suuruusjärjestykseen oletetun momentum-anomalian mukaisesti. Havaitsemme, että menetelmä tuottaa vakaita allokaatioita menestyen erityisen hyvin noususuhdanteessa. Neljännessä osassa osoitamme, että VECM- että GARCH-mallien tuottamia ennusteita voidaan hyödyntää kannattavasti niin Black–Littermanin malliin kuin kopulanäkemysten ja entropian poolaukseenkin perustuvissa optimoinneissa. Viimeisessä osassa laadimme varallisuuden suojausstrategian, joka kykenee ajoittamaan markkinoiden muutoksia ARIMA-malliin perustuvien tuottoennusteiden ansiosta. Voidaan siis todeta, että Venäjän osakemarkkinoilla on ollut mahdollista tehdä turvallisia ja tuottavia sijoituksia myös silloin kun kohtuulliset kaupankäyntikustannukset on huomioitu. Toiseksi väitämme, että markkinoiden tehottomuutta on voitu hyödyntää suunnittelemalla tilastolliseen arbitraasiin ja muihin taktiseen varojen allokointiin pohjautuvia strategioita

Texas Law Review

Journal containing articles, notes, book reviews, and other analyses of law and legal cases

Accounting for financial instruments in corporate treasuries

The purpose of this thesis is to demonstrate the need for enhanced accounting methodology for financial instruments which are traded in the global financial markets. The thesis proposes an accounting framework within which the value-at-risk of financial instruments can be disclosed in the financial statements of enterprises. The thesis considers accounting developments in recent years and analyses the latest proposals suggested by international accounting bodies. It furthermore contemplates the requirements of the Bank for International Settlements in terms of capital adequacy and value-at-risk requirements. In order to provide a meaningful analysis of the subject matter of financial instruments, the various market risks pertaining to the accounting of financial instruments are discussed and considered in terms of their application to the underlying bu. siness of the enterprise. - Extensive analysis is done of valuation techniques and the mathematical concepts of value-atrisk. In this regard the pioneering works of professor Philippe Jorion of the University of California is used to illustrate the application of value-at-risk. The objective of this comprehensive analysis of value-at-risk is to suggest a meaningful method to account for risk exposures in financial instruments and ensure greater transparency in terms of disclosure. In this regard the thesis follows the guidelines proposed by the International Accounting Standards Committee in terms of recognition (definitions}, measurement (valuation}, presentation (classification} and disclosure (terms, conditions and accounting policies} of financial instruments. Consideration is also given to global accounting harmonisation and a number of accounting concerns which are presently unresolved. In this regard certain hedge issues as well as the differences between accrual accounting and fair value accounting are considered. Disclosure requirements are analysed in detail, especially in respect of value-at-risk accounting. Finally, the thesis illustrates the significant growth of products and instruments in the financial markets and the severe financial impact it has in terms of global capital and global financial losses.Financial AccountingDCom (Applied Accountancy

Stimuli-responsive polymeric nanoparticles biomedical applications

Stimuli-responsive polymeric nanoparticles have recently gained tremendous attention, in particular in the field of controlled drug delivery as a result of offering prolonged circulation times and on demand delivery. The tailor-made design of stimuli-responsive nanoparticles mostly relies on the incorporation of desired stimuli-responsive motifs into the polymers. However, the challenge is to synthesize the corresponding polymers in a well-defined and reproducible way. In the context of the synthesis of stimuli-responsive polymers, the reversible addition fragmentation chain transfer (RAFT) polymerization process is advantageous compared to other techniques due to its high tolerance to various functional groups and polymerization conditions. After the synthesis of the stimuli responsive polymers, it is also crucial to formulate the resulting stimuli-responsive nanoparticles in a controlled way. Nanoprecipitation represents a facile and reliable way to produce polymeric nanoparticles. As a result, the RAFT polymerization process and the nanoprecipitation technique were selected as the methods of choice within this thesis for the synthesis of (multi)functional polymers and the formation of the corresponding nanoparticles. The presented thesis represents an overview of (i) the synthesis of various new stimuli-responsive polymers with tailor-made functionalities and polymer structures, (ii) the formulation of stimuli-responsive nanoparticles via nanoprecipitation, (iii) the investigation of stimuli-responsive behavior of the nanoparticles, as well as (iv) the evaluation of synthesized nanoparticles for drug delivery applications

Challenge and Research Trends of Forecasting Financial Energy

The measurement of economic entities' financial strength is one of the significant challenges of modern economic and financial research. With increased financial globalization, faster economic changes, and a new dimension of increased financial risk in the context of the COVID-19 pandemic crisis due to its biological nature and broad scope, affecting the whole world simultaneously, the issue of forecasting financial energy is gaining much more importance currently. This Special Issue entitled „Challenge and Research Trends of Forecasting Financial Energy” is devoted to the broad research area of forecasting financial energy of economic units such as enterprises, households, local governments, etc. Conceptualizing the term of financial energy, we aim to capture a wide spectrum of predicting and evaluating the financial standing, including various aspects of corporate finance, personal finance, and public finance