Herding, Heterogeneity, and Momentum Trading of Institutional Investors Across Asset Classes

This paper examines herding, heterogeneity, and momentum trading of institutional investors in Israel across a broad variety of financial assets. While previous studies typically focus on stocks only, we examine herding patterns, heterogeneity, and momentum trading of institutional investors in five asset classes. We find that during the sample period (1/2002 – 12/2011) large investors tended to herd more than medium and small-size investors. In contrast, small investors used momentum trading patterns more than medium and large-size investors. Homogeneity was found among large investors, especially pension funds, and during the first half of the 2000s, when investors purchased corporate bonds at the expense of government bonds. This phenomenon ended upon the beginning of the subprime crisis and against the backdrop of the financial difficulties of the bond issuers. In those years, panicked investors withdrew funds from the most liquid institutions (study funds), while infusing funds to pension and provident funds due to legally binding arrangements. We attribute some of the heterogeneous trading of the institutional investors, to those factors

SINGULAB - A Graphical user Interface for the Singularity Analysis of Parallel Robots based on Grassmann-Cayley Algebra

This paper presents SinguLab, a graphical user interface for the singularity analysis of parallel robots. The algorithm is based on Grassmann-Cayley algebra. The proposed tool is interactive and introduces the designer to the singularity analysis performed by this method, showing all the stages along the procedure and eventually showing the solution algebraically and graphically, allowing as well the singularity verification of different robot poses.Comment: Advances in Robot Kinematics, Batz sur Mer : France (2008

Sortino(γ): A Modified Sortino Ratio With Adjusted Threshold

A portfolio’s Sortino ratio is strongly affected by the risk-free vs. risky assets mix, except for the case where the threshold, T is equal to the risk-free rate. Therefore, if T differs from the risk-free rate, the portfolio’s Sortino ratio could potentially be increased by merely changing the mix of the risk-free and the risky components. The widely used Sharpe ratio, on the other hand, does not share this caveat. We introduce a modified Sortino ratio, Sortino(γ), which is invariant concerning the portfolio’s risk-free vs. risky assets mix and eliminates the above deficiency. The selected threshold T(γ), mimics the portfolio composition in the sense that it equals to the risk-free rate plus γ times the portfolio’s equity risk premium. Higher selected γ reflects higher risk/loss aversion. We propose a procedure for optimizing the composition of the risky portion of the portfolio to maximize the Sortino(γ) ratio. In addition, we show that Sortino(γ) is consistent with first and second-order stochastic dominance with riskless asset rules

Sortino(γ): a modified Sortino ratio with adjusted threshold

A portfolio’s Sortino ratio is strongly affected by the risk-free vs. risky assets mix, except for the case where the threshold, T is equal to the risk-free rate. Therefore, if T differs from the risk-free rate, the portfolio’s Sortino ratio could potentially be increased by merely changing the mix of the risk-free and the risky components. The widely used Sharpe ratio, on the other hand, does not share this caveat. We introduce a modified Sortino ratio, Sortino(γ), which is invariant with respect to the portfolio’s risk-free vs. risky assets mix, and hence eliminates the above deficiency. The selected threshold T(γ), mimics the portfolio composition in the sense that it equals to the risk-free rate plus γ times the portfolio’s equity risk premium. Higher selected γ reflects higher risk/loss aversion. We propose a procedure for optimizing the composition of the risky portion of the portfolio to maximize the Sortino(γ) ratio. In addition, we show that Sortino(γ) is consistent with first and second order stochastic dominance with riskless asset rules

Distal Fecal Wash Host Transcriptomics Identifies Inflammation Throughout the Colon and Terminal IleumSummary

Background & Aims: Noninvasive modalities for assessing active endoscopic and histologic inflammation in Crohn’s disease and ulcerative colitis patients are critically needed. Fecal wash host shed-cell transcriptomics has been shown to be a robust classifier of endoscopic and histologic inflammation in inflammatory bowel disease patients with distal colitis. Whether such fecal washes can inform on inflammatory processes occurring in more proximal intestinal segments is currently unknown. Methods: Fifty-nine inflammatory bowel disease patients and 50 controls were prospectively enrolled. Biopsy specimens and fecal washes from the distal colon, proximal colon, and terminal ileum were compared. Host transcriptomics were performed on the biopsy specimens and fecal washes obtained during colonoscopy at predefined locations throughout the colon and terminal ileum and results were associated with concurrent clinical, endoscopic, and histologic parameters. Results: We found that host transcriptomics of distal fecal washes robustly classify histologic inflammation in ileal and proximal colonic Crohn’s disease, even without distal colonic involvement (area under the receiver operating characteristic curve, 0.94 ± 0.09). We further found that fecal washes consist of modules of co-expressed genes of immune, stromal, and epithelial origin that are indicative of endoscopic disease severity. Fecal wash host transcriptomics also captures expression of gene modules previously associated with a lack of response to biological therapies. Conclusions: Our study establishes the accuracy of distal colonic fecal washes for identifying and scoring inflammatory processes throughout the entire ileal–colonic axis