Optimal f and Portfolio Return Optimisation in US Futures Markets

While considerable evidence has been produced concerning the efficacy of trading rules in futures markets, the results have generally not allowed for the reinvestment of profits as might be observed for real traders. Similarly, the determination of the appropriate capital allocation required per futures contract traded has been largely unstructured so making reported percentage returns questionable. This paper provides evidence of the profitability of a simple and publicly available trading rule in five futures markets but more importantly incorporates the ability to reinvest any profits via the ‘Optimal f’ technique described by Vince (1990). The results indicate that money management in speculative futures trading plays a more important role in trading rule profitability than previously considered by providing dramatic differences in profitability depending on how aggressively the trader capitalises each futures contract.Futures, Optimal f, Money Management, Trading Rules, Technical Analysis.

Modeling of residual spheres for subduction zone earthquakes: 1. Apparent slab penetration signatures in the NW Pacific caused by deep diffuse mantle anomalies

We have computed focal residual spheres for 145 subduction zone earthquakes along the northwest edge of the Pacific using regional and global mantle velocity models from tomographic inversions. The mantle models explain much of the observed residual sphere data and, to a certain extent, suggest the location of mantle velocity heterogeneities which are responsible for various residual sphere patterns. For most deep events considered, the fast slablike residual sphere anomalies are caused by diffuse heterogeneities, mainly of deep lower mantle and receiver mantle origin rather than by an extension of the slab. The region immediately below the deepest earthquakes, depths of 650–1500 km, has an effect usually smaller than or comparable to the effect of other regions of the mantle. Without a proper account of the teleseismic effect, attributing the long-wavelength anomalies of the residual sphere to near-source slab effects alone, or even primarily, is not valid. The fast bands in many observed residual spheres agree with seismicity trends. Once the deep mantle and receiver mantle effects are removed, these may give the approximate orientation, but not the depth extent, of near-source fast velocities. For most deep earthquakes under Japan the predominant fast band is subhorizontal rather than near vertical. This type feature would be overlooked in conventional residual sphere studies using only steeply diving rays and cosine weighting of the data

Primate theory of mind is a Turing test

Heyes’s literature review of deception, imitation, and selfrecognition is inadequate, misleading, and erroneous. The anaesthetic artifact hypothesis of self-recognition is unsupported by the data she herself examines. Her proposed experiment is tantalizing, indicating that theory of mind is simply a Turing test

Measuring the Efficiency of Residential Real Estate Brokerage Firms

This article measures overall, allocative, technical, pure technical and scale efficiency levels for a sample of residential real estate brokerage firms using data envelopment analysis, a linear-programming technique. The results suggest that real estate brokerage firms operate inefficiently. Inefficiencies are primarily a function of sub-optimal input allocations and the failure to operate at constant returns to scale rather than from poor input utilization. Regression analysis is employed to determine which firm and/or market characteristics affect efficiency levels. The results show that increasing firm size increases efficiency while choosing to franchise, adding an additional multiple listing service and increasing operating leverage decreases firm performance.

Magnetic Instability in Strongly Correlated Superconductors

Recently a new phenomenological Hamiltonian has been proposed to describe the superconducting cuprates. This so-called Gossamer Hamiltonian is an apt model for a superconductor with strong on-site Coulomb repulsion betweenthe electrons. It is shown that as one approaches half-filling the Gossamer superconductor, and hence the superconducting state, with strong repulsion is unstable toward an antiferromagnetic insulator an can undergo a quantum phase transition to such an insulator if one increases the on-site Coulomb repulsion

A Tension Shell Structure for Application to Entry Vehicles

The shape of a shell of revolution designed t o have only tensile stresses under axisymmetric aerodynamic loadings has been derived on the basis of linear membrane theory. values of circumferential tension is also given. The results of this paper indicate that the design of an entry vehicle based on the tension shell concept leads to desirable aerodynamic and structural characteristics, namely, high drag and low weight

An alternate method for achieving temperature control in the -130 C to 75 C range

Thermal vacuum testing often requires temperature control of chamber shrouds and heat exchangers within the -130 C to 75 C range. There are two conventional methods which are normally employed to achieve control through this intermediate temperature range: (1) single-pass flow where control is achieved by alternately pulsing hot gaseous nitrogen (GN2) and cold LN2 into the feed line to yield the setpoint temperature; and (2) closed-loop circulation where control is achieved by either electrically heating or LN2 cooling the circulating GN2 to yield the setpoint temperature. A third method, using a mass flow ratio controller along with modulating control valves on GN2 and LN2 lines, provides excellent control but equipment for this method is expensive and cost-prohibitive for all but long-term continuous processes. The single-pass method provides marginal control and can result in unexpected overcooling of the test article from even a short pulse of LN2. The closed-loop circulation method provides excellent control but requires an expensive blower capable of operating at elevated pressures and cryogenic temperatures. Where precise control is needed (plus or minus 2 C), single-pass flow systems typically have not provided the precision required, primarily because of overcooling temperature excursions. Where several individual circuits are to be controlled at different temperatures, the use of expensive cryogenic blowers for each circuit is also cost-prohibitive, especially for short duration of one-of-a-kind tests. At JPL, a variant of the single-pass method was developed that was shown to provide precise temperature control in the -130 C to 75 C range while exhibiting minimal setpoint overshoot during temperature transitions. This alternate method uses a commercially available temperature controller along with a GN2/LN2 mixer to dampen the amplitude of cold temperature spikes caused by LN2 pulsing. The design of the GN2/LN2 mixer, the overall control system configuration, the operational procedure, and the prototype system test results are described

Local Economic Development Incentives in the United States

Anderson and Wassmer examine the use and effectiveness of local economic development incentives within a specific region, the Detroit metropolitan area. The Detroit area serves as a good example, they say, because of the area\u27s 20-plus year track record of its communities offering the gamut of economic incentives aimed at redirecting economic activity and jobs. The evidence they uncover reveals factors that drive cities not just in this Southeast Michigan area, but nationwide to offer particular types of incentives that are more or less generous than those offered by their neighbors.https://research.upjohn.org/up_press/1059/thumbnail.jp

FARM LEVEL CONSEQUENCES OF CANADIAN AND U.S. DAIRY POLICIES

Agricultural and Food Policy, Livestock Production/Industries,

Bidding for Business: The Efficacy of Local Economic Development Incentives in a Metropolitan Area

Anderson and Wassmer examine the use and effectiveness of local economic development incentives within a specific region, the Detroit metropolitan area. The Detroit area serves as a good example, they say, because of the area\u27s 20-plus year track record of its communities offering the gamut of economic incentives aimed at redirecting economic activity and jobs. The evidence they uncover reveals factors that drive cities not just in this Southeast Michigan area, but nationwide to offer particular types of incentives that are more or less generous than those offered by their neighbors.https://research.upjohn.org/up_press/1059/thumbnail.jp