Chain: A Dynamic Double Auction Framework for Matching Patient Agents

In this paper we present and evaluate a general framework for the design of truthful auctions for matching agents in a dynamic, two-sided market. A single commodity, such as a resource or a task, is bought and sold by multiple buyers and sellers that arrive and depart over time. Our algorithm, Chain, provides the first framework that allows a truthful dynamic double auction (DA) to be constructed from a truthful, single-period (i.e. static) double-auction rule. The pricing and matching method of the Chain construction is unique amongst dynamic-auction rules that adopt the same building block. We examine experimentally the allocative efficiency of Chain when instantiated on various single-period rules, including the canonical McAfee double-auction rule. For a baseline we also consider non-truthful double auctions populated with zero-intelligence plus"-style learning agents. Chain-based auctions perform well in comparison with other schemes, especially as arrival intensity falls and agent valuations become more volatile

International Sentiment Spillovers in Equity Returns

This paper examines the extent of spillovers from US investor sentiment on G7 aggregate market, value and growth stock returns. As a proxy for investor sentiment, we include individual investor survey, measured by the University of Michigan consumer confidence index and market sentiment measured by Baker and Wurgler composite sentiment index. Using monthly data for the period January 1991 to December 2013, our results indicate the presence of significant spillover effects of US investor sentiment on G7 stock returns. Our findings from generalized impulse response functions show that aggregate market and growth stocks of all non-US G7 countries are significantly affected by the propagation of the US market sentiment. The financial crisis of 2007 has played a significant role in affecting value stock returns in these countries. Our findings further reveal that both the rational and irrational components of the US individual investor sentiment do not play any significant role in affecting international stock returns

Balancing cryptoassets and gold: a weighted-risk-contribution index for the alternative asset space

Bitcoin is foremost amongst the emerging asset class knownas cryptoassets. Two noteworthy characteristics of the returns of non-stablecoin cryptoassets are their high volatility, which brings with it ahigh level of risk, and their high intraclass correlation, which limits thebenefits that can be had by diversifying across multiple cryptoassets. Yetcryptoassets exhibit no correlation with gold, a highly-liquid yet scarceasset which has proved to function as a safe haven during crises affectingtraditional financial systems. As exemplified by Shannon’s Demon, a lackof correlation between assets opens the door to principled risk controlthrough so-called volatility harvesting involving periodic rebalancing.In this paper we propose an index which combines a basket of five cryp-toassets with an investment in gold in a way that aims to improve therisk profile of the resulting portfolio while preserving its independencefrom mainstream financial asset classes such as stocks, bonds and fiatcurrencies. We generalise the theory of Equal Risk Contribution to allowfor weighting according to a desired level of contribution to volatility. Wefind a crypto–gold weighting based on Weighted Risk Contribution to behistorically more effective in terms of Sharpe Ratio than several alterna-tive asset allocation strategies including Shannon’s Demon. Within thecrypto-basket, whose constituents are selected and rebalanced monthly,we find an Equal Weighting scheme to be more effective in terms of thesame metric than a market capitalisation weighting

Performance and performance persistence of UK closed-end equity funds

Using a comprehensive data set of almost 300 UK closed-end equity funds over the period 1990 to 2013, we use the false discovery rate to assess the alpha-performance of individual funds with both domestic and other mandates, using self-declared benchmarks and additional risk factors. We find evidence to indicate that up to 16% of the funds have truly positive alphas while around 3% have truly negative alphas. Positive post-formation alphas using fund-price returns depend on the factor model used: there is some positive-alpha performance when post-formation returns are evaluated using a one-factor global model but substantial positive-alpha performance when using a four-factor global model

Gamma ray production in inelastic scattering of neutrons produced by cosmic muons in 56^{56}Fe

We report on the study of the intensities of several gamma lines emitted after the inelastic scattering of neutrons in $^{56}$Fe. Neutrons were produced by cosmic muons passing the 20t massive iron cube placed at the Earth's surface and used as a passive shield for the HPGe detector. Relative intensities of detected gamma lines are compared with the results collected in the same iron shield by the use of $^{252}$Cf neutrons. Assessment against the published data from neutron scattering experiments at energies up to 14 MeV is also provided

A Dynamic Knowledge Management Framework for the High Value Manufacturing Industry

Dynamic Knowledge Management (KM) is a combination of cultural and technological factors, including the cultural factors of people and their motivations, technological factors of content and infrastructure and, where these both come together, interface factors. In this paper a Dynamic KM framework is described in the context of employees being motivated to create profit for their company through product development in high value manufacturing. It is reported how the framework was discussed during a meeting of the collaborating company’s (BAE Systems) project stakeholders. Participants agreed the framework would have most benefit at the start of the product lifecycle before key decisions were made. The framework has been designed to support organisational learning and to reward employees that improve the position of the company in the market place

New broad 8Be nuclear resonances

Energies, total and partial widths, and reduced width amplitudes of 8Be resonances up to an excitation energy of 26 MeV are extracted from a coupled channel analysis of experimental data. The presence of an extremely broad J^pi = 2^+ ``intruder'' resonance is confirmed, while a new 1^+ and very broad 4^+ resonance are discovered. A previously known 22 MeV 2^+ resonance is likely resolved into two resonances. The experimental J^pi T = 3^(+)? resonance at 22 MeV is determined to be 3^-0, and the experimental 1^-? (at 19 MeV) and 4^-? resonances to be isospin 0.Comment: 16 pages, LaTe

Health benefits of physical activity: the evidence Review

P hysical inactivity is a modifiable risk factor for cardiovascular disease and a widening variety of other chronic diseases, including diabetes mellitus, cancer (colon and breast), obesity, hypertension, bone and joint diseases (osteoporosis and osteoarthritis), and depression. 1-14 The prevalence of physical inactivity (among 51% of adult Canadians) is higher than that of all other modifiable risk factors. Several authors have attempted to summarize the evidence in systematic reviews and meta-analyses. These evaluations are often overlapping (reviewing the same evidence). Some of the most commonly cited cohorts have been described in different studies over time as more data accumulate (see Appendix 2, available online at www.cmaj.ca/cgi/content/full/174/6 /801/DC1). In this review, we searched the literature using the key words "physical activity," "health," "health status," "fitness," "exercise," "chronic disease," "mortality" and diseasespecific terms (e.g., "cardiovascular disease," "cancer," "diabetes" and "osteoporosis"). Using our best judgment, we selected individual studies that were frequently included in systematic reviews, consensus statements and meta-analyses and considered them as examples of the best evidence available. We also have included important new findings regarding the relation between physical activity and fitness and allcause and cardiovascular-related mortality. All-cause and cardiovascular-related death Primary prevention Since the seminal work of Morris and colleagues in the 1950s 16,17 and the early work of Paffenbarger and colleagues in the 1970s, 18,19 there have been numerous long-term prospective follow-up studies (mainly involving men but more recently women also) that have assessed the relative risk of death from any cause and from specific diseases (e.g., carciovascular disease) associated with physical inactivity. 6,20-26 Both men and women who reported increased levels of physical activity and fitness were found to have reductions in relative risk (by about 20%-35% 27,28 ) of death (see Appendix 2, available at www.cmaj.ca/cgi/content/full/174/6/801/DC1). For example, in a study involving healthy middle-aged men and women followed up for 8 years, the lowest quintiles of physical fitness, as measured on an exercise treadmill, were associated with an increased risk of death from any cause compared with the top quintile for fitness (relative risk among men 3.4, 95% confidence interval [CI] 2.0 to 5.8, and among women 4.7, 95% CI 2.2 to 9.8). 7 Recent investigations have revealed even greater reductions in the risk of death from any cause and from cardiovascular disease. For instance, being fit or active was associated with a greater than 50% reduction in risk. 29 Furthermore, an increase in energy expenditure from physical activity of 1000 kcal (4200 kJ) per week or an increase in physical fitness of 1 MET (metabolic equivalent) was associated with a mortality benefit of about 20%. Physically inactive middle-aged women (engaging in less than 1 hour of exercise per week) experienced a 52% increase in all-cause mortality, a doubling of cardiovascularrelated mortality and a 29% increase in cancer-related mortality compared with physically active women. 30 These relative risks are similar to those for hypertension, hypercholesterolemia and obesity, and they approach those associated with moderate cigarette smoking. Moreover, it appears that people who are fit Review The primary purpose of this narrative review was to evaluate the current literature and to provide further insight into the role physical inactivity plays in the development of chronic disease and premature death. We confirm that there is irrefutable evidence of the effectiveness of regular physical activity in the primary and secondary prevention of several chronic diseases (e.g., cardiovascular disease, diabetes, cancer, hypertension, obesity, depression and osteoporosis) and premature death. We also reveal that the current Health Canada physical activity guidelines are sufficient to elicit health benefits, especially in previously sedentary people. There appears to be a linear relation between physical activity and health status, such that a further increase in physical activity and fitness will lead to additional improvements in health status. CMAJ 2006;174(6):801-9 Abstrac