Value in Fundamental Stock Screening: F-Score Investment Strategy Performance and Additional Fundamental Analysis in the US Equity Market

The objective in this study is to assess the performance of an F-Score based trading strategy in the US equity market and analyze whether the strategy can be improved by excluding companies that have unreliable earnings figures and increased default risk, proxied by M-Score and Z-Score, respectively. Piotroski (2000) argues that by screening high book-to-market (HBM) companies with the F-Score, an aggregate of nine fundamental signals indicating financial strength, one can earn significant abnormal returns. Furthermore, Piotroski (2000) claims that the spread between long and short position returns is the biggest when low distress risk companies are used. Moreover, Beneish (2013) finds that companies, which may have manipulated their earnings figures tend to earn lower returns. To identify manipulators, Beneish (2013) uses M-Score (Beneish 1999), also calculated from financial statement data. In this study, companies are first ranked based on their fiscal year-end book-to-market ratios after which, the top tercile (high book-to-market companies) is taken into further analysis. Next, the HBM companies are ranked with F-Score so that financially sound (weak) companies are assigned to a long (short) portfolio. In stages three and four, the F-Score portfolios are screened with M-score and Z-Score so that companies with high manipulation probability and inflated default risk are excluded. Portfolio formations are carried out in June and the positions are held for one year, after which the ranking is repeated. The first portfolio formations are in June 1999 and the last in June 2016. Based on the analysis conducted for S&P 500 constituent companies, an F-Score based trading strategy generates (positive) abnormal returns over the sample period, but only for the long leg. Moreover, the long position returns seem to be mainly driven by the underlying performance of the HBM portfolio. However, high F-Score companies seem to be more profitable than their low F-Score counterparts. Additionally, by using M-Score to identify companies that may have managed their earnings and excluding them, the risk-adjusted performance of the long portfolios can be improved compared to an F-Score-only strategy. The exclusion of possible earnings manipulators also decreases the returns of the short portfolios, but not enough to reach acceptable statistical significance. Additional Z-Score screening on the other hand seems to be inefficient for both long and short portfolios. The results suggest that an F-Score based financial strength analysis is, to some extent, useful also when only large companies are analyzed. Moreover, the results indicate that additional fundamental analysis that considers the quality of reported earnings can be beneficial when implementing a value strategy.Tutkielman tarkoituksena on arvioida F-Score perusteisen arvosijoitusstrategian toimivuutta Yhdysvaltojen osakemarkkinoilla sekä analysoida, voiko strategian tuottoja parantaa käyttämällä ainoastaan yhtiöitä, joiden raportoidut tuottoluvut ovat luotettavia ja joilla on alhainen konkurssiriski. Piotroski (2000) esittää, että pisteyttämällä korkean B/M-luvun yhtiöt yhdek-sän fundamenttimuuttujan F-Scorella, sijoittajan on mahdollista erotella tulevaisuudessa parhaiten pärjäävät yhtiöt heikosti menestyvistä. Piotroski (2000) myös huomauttaa, että pitkän ja lyhyen position tuottoero on suurin alhaisen konkurssiriskin yhtiöitä käytettäessä. Beneish (2013) puolestaan toteaa, että yhtiöt, jotka ovat mahdollisesti vääristäneet raportoituja tuottolukujaan, ansaitsevat alhaisempia tuottoja tulevaisuudessa. Mahdollisten tulos-manipuloijien tunnistamiseen Beneish (2013) käyttää niin ikään tilinpäätöstiedosta laskettua M-Scorea (Beneish 1999). Tutkielmassa käytetyn sijoitusstrategian vaiheet voidaan esittää seuraavasti. Ensimmäisessä vaiheessa yhtiöt järjestetään tilinpäätöstiedosta lasketun B/M-luvun perusteella suuruusjär-jestykseen, jonka jälkeen suurimpien B/M-lukujen yhtiöiden tertiili otetaan lisäkäsittelyyn. Toisessa vaiheessa korkean B/M-luvun yhtiöt järjestetään F-Scoren perusteella portfolioihin siten, että fundamenteiltaan vahvat (korkea F-Score) yhtiöt muodostavat ostoposition ja heikot yhtiöt (matala F-Score) myyntiposition. Kolmannessa vaiheessa muodostetuista portfolioista poistetaan M-Scoren perusteella epäluotettavien tuloslukujen yhtiöt. Viimeisessä vaiheessa portfolioiden osakkeet rajoitetaan Z-Scoren osoittamana alhaisen konkurssiriskin yhtiöihin. Portfoliot muodostetaan kesäkuun ensimmäisenä kaupankäyntipäivänä ja positiot pidetään muuttumattomana yhden vuoden ajan, jonka jälkeen edellä mainitut vaiheet toistetaan. Ensimmäiset portfoliot muodostetaan kesäkuussa 1999 ja viimeiset kesäkuussa 2016. Tutkielman tulosten perusteella F-Scoreen perustuva sijoitusstrategia on tuottava S&P 500-indeksin osakkeille vuosien 1999 ja 2017 välillä. Epänormaalit tuotot kuitenkin rajoittuvat os-topositioon ja johtuvat suurilta osin pohjana olevien korkean B/M-luvun osakkeiden yleisesti hyvistä tuotoista. Korkean F-Scoren yhtiöiden voidaan myös todeta olevan kannattavampia alhaisen F-Scoren yhtiöihin verrattuna. Tulosten perusteella voidaan lisäksi todeta, että pit-kän position riskikorjattuja tuottoja voidaan edelleen parantaa poistamalla M-Scoren avulla epäluotettavien tuottolukujen yhtiöt. Mainittujen yhtiöiden poistaminen myös alentaa lyhyen position tuottoja, mutta ei riittävästi saavuttaakseen tilastollisen merkitsevyyden. Portfolioiden osakkeiden rajaaminen alhaisen konkurssiriskin yhtiöihin ei puolestaan näytä muuttavan osto- ja myyntiportfolioiden riskikorjattuja tuottoja. Tulosten valossa fundamenttianalyysiin perustuva taloudellisen aseman ja tilinpäätöslukujen laadun arviointi perinteisen B/M-lukuun pohjautuvan arvosijoitusstrategian toteutuksessa on kuitenkin hyödyllistä myös silloin, kun strategian pohjana käytetään ainoastaan suuria yrityksiä, joskin F-Scoren erottelukyky näyttää olevan heikompi isoille yhtiöille

Numerical computation and avoidance of manipulator singularities

This thesis develops general solutions to two open problems of robot kinematics: the exhaustive computation of the singularity set of a manipulator, and the synthesis of singularity-free paths between given configurations. Obtaining proper solutions to these problems is crucial, because singularities generally pose problems to the normal operation of a robot and, thus, they should be taken into account before the actual construction of a prototype. The ability to compute the whole singularity set also provides rich information on the global motion capabilities of a manipulator. The projections onto the task and joint spaces delimit the working regions in such spaces, may inform on the various assembly modes of the manipulator, and highlight areas where control or dexterity losses can arise, among other anomalous behaviour. These projections also supply a fair view of the feasible movements of the system, but do not reveal all possible singularity-free motions. Automatic motion planners allowing to circumvent problematic singularities should thus be devised to assist the design and programming stages of a manipulator. The key role played by singular configurations has been thoroughly known for several years, but existing methods for singularity computation or avoidance still concentrate on specific classes of manipulators. The absence of methods able to tackle these problems on a sufficiently large class of manipulators is problematic because it hinders the analysis of more complex manipulators or the development of new robot topologies. A main reason for this absence has been the lack of computational tools suitable to the underlying mathematics that such problems conceal. However, recent advances in the field of numerical methods for polynomial system solving now permit to confront these issues with a very general intention in mind. The purpose of this thesis is to take advantage of this progress and to propose general robust methods for the computation and avoidance of singularities on non-redundant manipulators of arbitrary architecture. Overall, the work seeks to contribute to the general understanding on how the motions of complex multibody systems can be predicted, planned, or controlled in an efficient and reliable way.Aquesta tesi desenvolupa solucions generals per dos problemes oberts de la cinemàtica de robots: el càlcul exhaustiu del conjunt singular d'un manipulador, i la síntesi de camins lliures de singularitats entre configuracions donades. Obtenir solucions adequades per aquests problemes és crucial, ja que les singularitats plantegen problemes al funcionament normal del robot i, per tant, haurien de ser completament identificades abans de la construcció d'un prototipus. La habilitat de computar tot el conjunt singular també proporciona informació rica sobre les capacitats globals de moviment d'un manipulador. Les projeccions cap a l'espai de tasques o d'articulacions delimiten les regions de treball en aquests espais, poden informar sobre les diferents maneres de muntar el manipulador, i remarquen les àrees on poden sorgir pèrdues de control o destresa, entre d'altres comportaments anòmals. Aquestes projeccions també proporcionen una imatge fidel dels moviments factibles del sistema, però no revelen tots els possibles moviments lliures de singularitats. Planificadors de moviment automàtics que permetin evitar les singularitats problemàtiques haurien de ser ideats per tal d'assistir les etapes de disseny i programació d'un manipulador. El paper clau que juguen les configuracions singulars ha estat àmpliament conegut durant anys, però els mètodes existents pel càlcul o evitació de singularitats encara es concentren en classes específiques de manipuladors. L'absència de mètodes capaços de tractar aquests problemes en una classe suficientment gran de manipuladors és problemàtica, ja que dificulta l'anàlisi de manipuladors més complexes o el desenvolupament de noves topologies de robots. Una raó principal d'aquesta absència ha estat la manca d'eines computacionals adequades a les matemàtiques subjacents que aquests problemes amaguen. No obstant, avenços recents en el camp de mètodes numèrics per la solució de sistemes polinòmics permeten ara enfrontar-se a aquests temes amb una intenció molt general en ment. El propòsit d'aquesta tesi és aprofitar aquest progrés i proposar mètodes robustos i generals pel càlcul i evitació de singularitats per manipuladors no redundants d'arquitectura arbitrària. En global, el treball busca contribuir a la comprensió general sobre com els moviments de sistemes multicos complexos es poden predir, planificar o controlar d'una manera eficient i segur

Self-repairing control for damaged robotic manipulators

Algorithms have been developed allowing operation of robotic systems under damaged conditions. Specific areas addressed were optimal sensor location, adaptive nonlinear control, fault-tolerant robot design, and dynamic path-planning. A seven-degree-of-freedom, hydraulic manipulator, with fault-tolerant joint design was also constructed and tested. This report completes this project which was funded under the Laboratory Directed Research and Development program

Real-Time Hybrid Visual Servoing of a Redundant Manipulator via Deep Reinforcement Learning

Fixtureless assembly may be necessary in some manufacturing tasks and environ-ments due to various constraints but poses challenges for automation due to non-deterministic characteristics not favoured by traditional approaches to industrial au-tomation. Visual servoing methods of robotic control could be effective for sensitive manipulation tasks where the desired end-effector pose can be ascertained via visual cues. Visual data is complex and computationally expensive to process but deep reinforcement learning has shown promise for robotic control in vision-based manipu-lation tasks. However, these methods are rarely used in industry due to the resources and expertise required to develop application-specific systems and prohibitive train-ing costs. Training reinforcement learning models in simulated environments offers a number of benefits for the development of robust robotic control algorithms by reducing training time and costs, and providing repeatable benchmarks for which algorithms can be tested, developed and eventually deployed on real robotic control environments. In this work, we present a new simulated reinforcement learning envi-ronment for developing accurate robotic manipulation control systems in fixtureless environments. Our environment incorporates a contemporary collaborative industrial robot, the KUKA LBR iiwa, with the goal of positioning its end effector in a generic fixtureless environment based on a visual cue. Observational inputs are comprised of the robotic joint positions and velocities, as well as two cameras, whose positioning reflect hybrid visual servoing with one camera attached to the robotic end-effector, and another observing the workspace respectively. We propose a state-of-the-art deep reinforcement learning approach to solving the task environment and make prelimi-nary assessments of the efficacy of this approach to hybrid visual servoing methods for the defined problem environment. We also conduct a series of experiments ex-ploring the hyperparameter space in the proposed reinforcement learning method. Although we could not prove the efficacy of a deep reinforcement approach to solving the task environment with our initial results, we remain confident that such an ap-proach could be feasible to solving this industrial manufacturing challenge and that our contributions in this work in terms of the novel software provide a good basis for the exploration of reinforcement learning approaches to hybrid visual servoing in accurate manufacturing contexts

Spacecraft Dormancy Autonomy Analysis for a Crewed Martian Mission

Current concepts of operations for human exploration of Mars center on the staged deployment of spacecraft, logistics, and crew. Though most studies focus on the needs for human occupation of the spacecraft and habitats, these resources will spend most of their lifetime unoccupied. As such, it is important to identify the operational state of the unoccupied spacecraft or habitat, as well as to design the systems to enable the appropriate level of autonomy. Key goals for this study include providing a realistic assessment of what "dormancy" entails for human spacecraft, exploring gaps in state-of-the-art for autonomy in human spacecraft design, providing recommendations for investments in autonomous systems technology development, and developing architectural requirements for spacecraft that must be autonomous during dormant operations. The mission that was chosen is based on a crewed mission to Mars. In particular, this study focuses on the time that the spacecraft that carried humans to Mars spends dormant in Martian orbit while the crew carries out a surface mission. Communications constraints are assumed to be severe, with limited bandwidth and limited ability to send commands and receive telemetry. The assumptions made as part of this mission have close parallels with mission scenarios envisioned for dormant cis-lunar habitats that are stepping-stones to Mars missions. As such, the data in this report is expected to be broadly applicable to all dormant deep space human spacecraft

Proceedings of the NASA Conference on Space Telerobotics, volume 5

Papers presented at the NASA Conference on Space Telerobotics are compiled. The theme of the conference was man-machine collaboration in space. The conference provided a forum for researchers and engineers to exchange ideas on the research and development required for the application of telerobotics technology to the space systems planned for the 1990's and beyond. Volume 5 contains papers related to the following subject areas: robot arm modeling and control, special topics in telerobotics, telerobotic space operations, manipulator control, flight experiment concepts, manipulator coordination, issues in artificial intelligence systems, and research activities at the Johnson Space Center