Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation

We examine whether hot hands exist among hedge fund managers. In measuring performance persistence, we use hedge fund style benchmarks. This allows us to identify managers with valuable skills, and also to control for option-like features inherent in returns from hedge fund strategies. We take into account the possibility that reported asset values may be based on stale prices. We develop a statistical model that relates a hedge fund’s performance to its decision to liquidate or close in order to infer the performance of a hedge fund that left the database. While we find significant performance persistence among superior funds we find little evidence of persistence among inferior funds.

Riemann--Hilbert problem approach for two-dimensional flow inverse scattering

International audienceWe consider inverse scattering for the time-harmonic wave equation with first-order perturbation in two dimensions. This problem arises in particular in the acoustic tomography of moving fluid. We consider linearized and nonlinearized reconstruction algorithms for this problem of inverse scattering. Our nonlinearized reconstruction algorithm is based on the non-local Riemann--Hilbert problem approach. Comparisons with preceding results are given

Diagrammatic calculation of energy spectrum of quantum impurity in degenerate Bose-Einstein condensate

In this paper we considered a quantum particle moving through delute Bose-Einstein condensate at zero temperature. In our formulation the impurity particle interacts with the gas of uncoupled Bogoliubov's excitations. We constructed the perturbation theory for the Green's function of the impurity particle with respect to the impurity-condensate interaction employing the coherent-state path integral approach. The perturbative expansion for the Green's function is resumed into the expansion for its poles with the help of the diagrammatic technique developed in this work. The dispersion relation for the impurity clothed by condensate excitations is obtained and effective mass is evaluated beyond the Golden rule approximation

Research of influence of time of reaction of the driver on the calculation of the capacity of the highway

In the work we performed a review of studies of foreign scholars on changing the reaction time of the driver depending on various road conditions, namely the change in the response time when using the traffic light regulation. Earlier by the authors of this article have already been carried out research in the field of throughput of a site of a highway with traffic regulation, which showed that this value depends on the time of reaction of the driver. In this article the estimation of how much bandwidth the highway using different result obtained in the course of analysis, time value of reaction of the driver and is a direct correlation bandwidth from the time of reaction of the driver. The values obtained allow to conclude that taking into account the psycho-physiological characteristics of drivers (response time) will have a significant impact on the throughput and the various methods of organization and reorganization of sections of the road network, implementation of which is used investigated the amount of bandwidth