Risk and Return Performance Attribution for Cross Border Investment Portfolio

Should currency be treated as a separate asset class? If currency hedging adds value to a portfolio, how should this be done

Anatomy of extreme events in a complex adaptive system

We provide an analytic, microscopic analysis of extreme events in an adaptive population comprising competing agents (e.g. species, cells, traders, data-packets). Such large changes tend to dictate the long-term dynamical behaviour of many real-world systems in both the natural and social sciences. Our results reveal a taxonomy of extreme events, and provide a microscopic understanding as to their build-up and likely duration.Comment: 8 pages, 4 figures. Now with Postscript figure

Minority Game of price promotions in fast moving consumer goods markets

A variation of the Minority Game has been applied to study the timing of promotional actions at retailers in the fast moving consumer goods market. The underlying hypotheses for this work are that price promotions are more effective when fewer than average competitors do a promotion, and that a promotion strategy can be based on past sales data. The first assumption has been checked by analysing 1467 promotional actions for three products on the Dutch market (ketchup, mayonnaise and curry sauce) over a 120-week period, both on an aggregated level and on retailer chain level. The second assumption was tested by analysing past sales data with the Minority Game. This revealed that high or low competitor promotional pressure for actual ketchup, mayonnaise, curry sauce and barbecue sauce markets is to some extent predictable up to a forecast of some 10 weeks. Whereas a random guess would be right 50% of the time, a single-agent game can predict the market with a success rate of 56% for a 6 to 9 week forecast. This number is the same for all four mentioned fast moving consumer markets. For a multi-agent game a larger variability in the success rate is obtained, but predictability can be as high as 65%. Contrary to expectation, the actual market does the opposite of what game theory would predict. This points at a systematic oscillation in the market. Even though this result is not fully understood, merely observing that this trend is present in the data could lead to exploitable trading benefits. As a check, random history strings were generated from which the statistical variation in the game prediction was studied. This shows that the odds are 1:1,000,000 that the observed pattern in the market is based on coincidence.Comment: 19 pages, 10 figures, accepted for publication in Physica

Predictability of large future changes in a competitive evolving population

The dynamical evolution of many economic, sociological, biological and physical systems tends to be dominated by a relatively small number of unexpected, large changes (`extreme events'). We study the large, internal changes produced in a generic multi-agent population competing for a limited resource, and find that the level of predictability actually increases prior to a large change. These large changes hence arise as a predictable consequence of information encoded in the system's global state.Comment: 10 pages, 3 figure

Precursors of extreme increments

We investigate precursors and predictability of extreme increments in a time series. The events we are focusing on consist in large increments within successive time steps. We are especially interested in understanding how the quality of the predictions depends on the strategy to choose precursors, on the size of the event and on the correlation strength. We study the prediction of extreme increments analytically in an AR(1) process, and numerically in wind speed recordings and long-range correlated ARMA data. We evaluate the success of predictions via receiver operator characteristics (ROC-curves). Furthermore, we observe an increase of the quality of predictions with increasing event size and with decreasing correlation in all examples. Both effects can be understood by using the likelihood ratio as a summary index for smooth ROC-curves

Searching good strategies in adaptive minority games

In this paper we introduce adaptation mechanism based on genetic algorithms in minority games. If agents find their performances too low, they modify their strategies in hope to improve their performances and become more successful. One aim of this study is to find out what happens at the system as well as at the individual agent level. We observe that adaptation remarkably tightens the competition among the agents, and tries to pull the collective system into a state where the aggregate utility is the largest. We first make a brief comparative study of the different adaptation mechanisms and then present in more detail parametric studies. These different adaptation mechanisms broaden the scope of the applications of minority games to the study of complex systems.Comment: 8 pages including 9 figures. Uses REVTeX

Topologically nontrivial time-dependent chiral condensates

Topologically nontrivial time-dependent solutions of the classical nonlinear sigma model are studied as candidates of the disoriented chiral condensate (DCC) in 3+1 dimensions. Unlike the analytic solutions so far discussed, these solutions cannot be transformed into isospin-uniform ones by chiral rotations. If they are produced as DCC's, they can be detected by a distinct pattern in the angle-rapidity distribution of the neutral-to-chrged-pion ratio.Comment: 11 pages, 3 figures available upon request to autho

Scheduling Infrastructure Renewal for Railway Networks

The pressing necessity to renew infrastructure assets in developed railway systems leads to an increased number of activities to be scheduled annually. Scheduling of renewal activities for a railway network is a critical task because these activities often require a significant amount of time and create a capacity conflict in operation scheduling. This paper discusses economic and technological aspects, opportunities, and constraints in the renewals of multiple rail infrastructure components at several locations in a railway network. We addressed and modeled a challenging situation in which there were interrelationships between different track lines, and thus, possession of a track line could affect the other track lines and prevent renewal works on them. A mathematical formulation for the railway infrastructure renewal scheduling problem in the network context was presented to minimize the total renewal and unavailability costs. A method based on a triple-prioritization rule and an optimal sharing of renewal times allocated for different types of rail infrastructure components in a possession is proposed to solve the problem. The method was applied to a real case of a regional railway network in Northern Netherlands and it was shown that up to 13% of total costs can be saved compared with the current scheduling practice

MAXILLARY SINUS ODONTOGENIC MYXOMA

The odontogenic myxoma is a benign, locally advanced neoplasm of the maxillary or mandible cells. Its clinical and radiological manifestation corresponds to a malignant process that complicates the diagnosis and leads to a block resection of the jaw. An intraoperative express biopsy with an urgent histological examination allows to avoid a traumatic surgical intervention and to carry out a full postoperative rehabilitation of patients. A rare clinical case of a maxillary tumor growing into the nasal cavity and orbit with the destruction of the alveolar bone is presented. The article describes the diagnostic approach, planning and surgical treatment of the patient with the disease