Wavelet multiscale analysis for hedge funds: scaling and strategies

The wide acceptance of Hedge Funds by Institutional Investors and Pension Funds has led to an explosive growth in assets under management. These investors are drawn to Hedge Funds due to the seemingly low correlation with traditional investments and the attractive returns. The correlations and market risk (the Beta in the Capital Asset Pricing Model) of Hedge Funds are generally calculated using monthly returns data, which may produce misleading results as Hedge Funds often hold illiquid exchange-traded securities or difficult to price over-the- counter securities. In this paper, the Maximum Overlap Discrete Wavelet Transform (MODWT) is applied to measure the scaling properties of Hedge Fund correlation and market risk with respect to the S&P 500. It is found that the level of correlation and market risk varies greatly according to the strategy studied and the time scale examined. Finally, the effects of scaling properties on the risk profile of a portfolio made up of Hedge Funds is studied using correlation matrices calculated over different time horizons

Improved Methods for Hydrofrac Event Detection and Phase Picking

The ability to detect small microseismic events and identify their P and S phase arrivals is a key issue in hydraulic fracture monitoring because of the low signal-to-noise ratios. We propose a array-based waveform correlation approach to detect small magnitude events with similar mechanisms and locations as a nearby master event. For the phase picking part, a transformed spectrogram method is used to identify the weak P arrivals. We have applied the technique to a downhole monitoring dataset of the microseismic events induced by hydraulic fracturing. The results show a better phase identification

Sheep Updates 2016

This session covers eleven papers from different authors: 1. Forward, Dr Bruce Mullan, Director Sheep Industry Development, Department of Agriculture and Food Western Australia 2. The Australian sheep industry in 2025, Mick Keogh, Australian Farm Institute 3. Decision making in a risky environment, David Cornish, Cornish Consulting 4. Business Transitioning, Michael Chilvers, Nile Tasmania 5. Advisory Boards in WA Agriculture - making life \u27easier\u27 for everyone, Gerry Hinkley, Producer, Tincurrin and Danielle England, Aginnovate 6. Principles of Successful Family Business Succession Strategies, Rosemary Bartle, Succession Planning Facilitator, Rabobank 7. Diversifying the Feedbase...is the grass really greener? Brad Wooldrige, Producer West Arthur, Dr Norm Stantich, Landgate 8. Seasonality of Lamb Supply - Have We Interpreted the price signals? John Young, Farming Systems Analysis Service 9. A comparative analysis ising Gross Margin for grain and sheep enterprises, Ashley Herbert, Farm Management Consultant, Agrarian Management 10. Tri Lamb Focus Program, Jamie Heinrich 11. The Dorper Lamb Story, Graeme Howi

Spring 1958

Dedication of Turf Clippings to Robert Williams (1) Picture - Stockbridge Turf majors (2) Title page and contents (3) Greetings from Dean Sieling - College of Agriculture (4) Outstanding Men in Turfgrass Honored (4) Word From the Editor of Turf Clippings (5) Message From the 1958 Winter School President (6) Summary of 1958 University of Massachusetts Turfgrass Conference - Al Radko (6-9) Importance of Superintendences Associations - Anthony B. Caranci (10) Picture - Turf Grass Interest Stretch from Coast to Coast (11) Picture - 1958 Winter School for Turf Managers (12) Golf Courses in California - James C. Scott (13) The Constant Battle - Joseph Troll (13) Recognition of the Golf Course Superintendent - Frederick Bove (14-15) 1958 Winter School Comments (16) Maintenance of Insurance Grounds - George J. Moore Jr. (17-18) Don\u27t Get Caught Short - Bruce Silven (19-20) We Have had It - They Now Have it - These Two Shall Have it - Orville O. Clapper (21) The Golf Course Superintendent - Prof. L. S. Dickinson (22-23) Picture - Winter School Alumni Meet at Conference (24) Cartoons (25) Cost of Lawn and Golf Course Construction - Geoffrey Cornish (26-27) Turf Club News (28-29) 1957 Horticulture Show Winner (30) Frosting on the Cake (30) Number One Graduate (31) 1957 Stockbridge Turf majors - Work (32) Turf management Club Associate Memberships (32

Inflationary Reheating in Grand Unified Theories

Grand unified theories may display multiply interacting fields with strong coupling dynamics. This poses two new problems: (1) What is the nature of chaotic reheating after inflation, and (2) How is reheating sensitive to the mass spectrum of these theories ? We answer these questions in two interesting limiting cases and demonstrate an increased efficiency of reheating which strongly enhances non-thermal topological defect formation, including monopoles and domain walls. Nevertheless, the large fluctuations may resolve this monopole problem via a modified Dvali-Liu-Vachaspati mechanism in which non-thermal destabilsation of discrete symmetries occurs at reheating.Comment: 4 pages, 5 ps figures - 1 colour, Revtex. Further (colour & 3-D) figures available from http://www.sissa.it/~bassett/reheating/ . Matched to version to appear in Phys. Rev. let

Metric preheating and limitations of linearized gravity

Recently it has become clear that the resonant amplification of quantum field fluctuations at preheating must be accompanied by resonant amplification of scalar metric perturbations, since the two are united by Einstein's equations. Furthermore, this "metric preheating" enhances particle production and leads to gravitational rescattering effects even at linear order. In multi-field models with strong preheating (q \gg 1), metric perturbations are driven nonlinear, with the strongest amplification typically on super-Hubble scales (k \to 0). This amplification is causal, being due to the super- Hubble coherence of the inflaton condensate, and is accompanied by resonant growth of entropy perturbations. The amplification invalidates the use of the linearized Einstein field equations, irrespective of the amount of fine-tuning of the initial conditions. This has serious implications at all scales - from the large-angle cosmic microwave background (CMB) anisotropies to primordial black holes. We investigate the (q,k) parameter space in a two-field model, and introduce the time to nonlinearity, t_{nl}, as the timescale for the breakdown of the linearized Einstein equations. Backreaction effects are expected to shut down the linear resonances, but cannot remove the existing amplification, which threatens the viability of strong preheating when confronted with the CMB. We discuss ways to escape the above conclusions, including secondary phases of inflation and preheating solely to fermions. Finally we rank known classes of inflation from strongest (chaotic and strongly coupled hybrid inflation) to weakest (hidden sector, warm inflation) in terms of the distortion of the primordial spectrum due to these resonances in preheating.Comment: 31 pages, 16 figures, Revtex. Final version. Nuclear Physics B (in press

Physics, Astrophysics and Cosmology with Gravitational Waves

Gravitational wave detectors are already operating at interesting sensitivity levels, and they have an upgrade path that should result in secure detections by 2014. We review the physics of gravitational waves, how they interact with detectors (bars and interferometers), and how these detectors operate. We study the most likely sources of gravitational waves and review the data analysis methods that are used to extract their signals from detector noise. Then we consider the consequences of gravitational wave detections and observations for physics, astrophysics, and cosmology.Comment: 137 pages, 16 figures, Published version <http://www.livingreviews.org/lrr-2009-2

Validating gravitational-wave detections:The Advanced LIGO hardware injection system

Hardware injections are simulated gravitational-wave signals added to the Laser Interferometer Gravitational-wave Observatory (LIGO). The detectors' test masses are physically displaced by an actuator in order to simulate the effects of a gravitational wave. The simulated signal initiates a control-system response which mimics that of a true gravitational wave. This provides an end-to-end test of LIGO's ability to observe gravitational waves. The gravitational-wave analyses used to detect and characterize signals are exercised with hardware injections. By looking for discrepancies between the injected and recovered signals, we are able to characterize the performance of analyses and the coupling of instrumental subsystems to the detectors' output channels. This paper describes the hardware injection system and the recovery of injected signals representing binary black hole mergers, a stochastic gravitational wave background, spinning neutron stars, and sine-Gaussians