New Insight on the Performance of Equity Long/short Investment Styles

peer reviewedLong-short equity strategies have recently generated exceptional performance raising a set of concerns about the strategies’ propensity to deliver alpha or beta. This paper revisits the performance of equity long-short hedge funds across investments styles. We first categorize individual hedge funds with regard to their size and/or value factor investing along the generalization of Sharpe (1992) style analysis. Style weights on size and value factors are used to split the equity long-short universe in 5x5 hedge fund style portfolios. To analyze the performance of each style, we consider two sets of innovative factors. First, we apply sequential Fama-French model of Lambert, Fays and Hübner (2015). Besides, to captures downside and extreme risk embedded in hedge fund strategies we augment the model with the co-skewness and co-kurtosis factors developed by Lambert and Hübner (2013). Under this framework, we perform cross-sectional performance analyses of individual hedge funds as well as time-series analysis on the hedge fund style broad category. Our contributions are threefold; first, our alternative framework significantly improves the explanatory power of the multi-factor model in the context of long-short equity funds, second, considering higher-moment factors aim to capture part of the abnormal return of the downside and extreme risk exposures taken by a fund manager, and finally, long-short equity hedge funds are, to some extent, less exposed to small capitalisation stocks than expected and instead rather prefer higher momentum levels in their strategies.Hedge funds special editio

Création et suivi de trajectoire en 4D avec évitement automatique des No-Fly-Zones et calculs de sorties supplémentaires pour l'aide au pilotge

L’objectif de ce projet est de concevoir une trajectoire optimale en 4 dimensions (trois dimensions d’espace et une dimension de temps) afin de lier l’ensemble des points de cheminement spécifiés dans le plan de vol proposé. Ce travail comprend la gestion des No-Fly-Zones, c'est-à-dire des zones dans lesquelles le vol est interdit ou momentanément refusé. Il peut s’agir d’un obstacle météorologique à contourner ou d’une zone dans laquelle un conflit aérien est déjà trop dense pour accueillir un nouvel appareil. L’objectif est la diminution de la charge de travail des contrôleurs aériens au sol. L’avion proposera des routes de façon autonomes, sans nécessiter l’aide des pilotes. S’ils l’acceptent, cette route sera transmise au sol pour l’acceptation.des contrôleurs aériens Si les deux parties sont d’accord, l’information sera transmise aux autres avions. Ainsi, les contrôleurs se concentrent sur la gestion des conflits. La densification du trafic aérien rendra nécessaire ces études, cette tâche déchargera également les pilotes car la quantité des communications avec le sol sera réduite. La méthode proposée permet donc de réaliser un suivi de trajectoire optimisée en prenant en compte l’évitement de No-Fly Zones. Une méthode de méta-heuristique est utilisée dans notre algorithme d’optimisation. Cette méthode novatrice allie les bénéfices de deux méthodes existantes. Cette nouvelle méthode est créée de manière à être maintenue à jour aisément. Si une fonctionnalité est codée dans la suite du projet, il n’y aura qu’un seul sous- programme à modifier, ce qui améliore l’efficacité de la maintenance du programme

Exploring long duration gravitational-wave transients with second generation detectors

Minute-long gravitational-wave (GW) transients are currently a little-explored regime, mainly due to a lack of robust models. As searches for long-duration GW transients must rely on minimal assumptions about the signal properties, they are also sensitive to GWs emitted from unpredicted sources. The detection of such sources offers exciting and strong potential for new science. Because of the large parameter space covered, all-sky long-duration transient searches require model-independant processing and fast analysis techniques. For my PhD thesis, I integrated a set of fast cross-correlation routines in the spherical harmonic domain (SphRad) [50] into X-pipeline [95], a targeted GW search pipeline commonly used to search for GW counterparts of short and long duration GRBs & core-collapse supernovae. Spherical harmonic decomposition allows for the sky position dependancy of the coherent analysis to be isolated from the data [40] and cached for re-use, saving both time and processing units. Moreover, the spherical harmonic approach offers a fundamentally different view of the data, allowing for new possibilities for rejecting non-Gaussian background noise that could be mistaken for a GW signal. The combined search pipeline, X-SphRad, underwent a thorough internal review within the LIGO collaboration, which I led. The pipeline good functioning was assessed by rigorous tests including comparing a test data set with a standard sky grid-based analysis. I have developed a novel pixel clustering method that does not depend on the amplitude of potential signals. By using an edge detection algorithm, I quantify each pixel in the spectrogram by its similarity with its neighbours then extract features of sharply changing intensity (or ‘edge’). The method has shown promising results in preliminary tests. A simplified version of the algorithm was implemented in X-SphRad and large-scale testings are currently being processed.

Modèles de Basses Dimensions pour la convection magnétohydrodynamique

The coupled temperature, Navier-Stokes and induction equations are projected on a limited number of basis functions in order to derive low dimensional models of magnetohydrodynamic convection. The stability of these models is studied in function of the relevant parameters, including the applied forces, the Reynolds number and the Prandl number.Outgoin

ALBUS: a machine learning algorithm for gravitational wave burst searches

peer reviewe

Odour sampling system with remote triggering: feedback from a Belgian experience

An automatic odour sampling system can be activated remotely to collect samples when an odour event is perceived. Activation of sampling can be done by a neighbour when he smells an odour but also by an environmental agency, a laboratory or local authorities. Another approach is instrumental triggering for instance by a chemical analyser, an instrumental odour monitoring system (e-nose) or even simply by a wind vane. Remote odour sampling is particularly useful in ambient air at the receptor site and at the fenceline when emissions and perceptions are not continuous. It is ideal for cases of short exposition time and low frequency. Indeed, in most cases, the service in charge of the odour sampling is not close enough to arrive during the odour event and collect/measure the odour during a complaint in order to “objective” it [1]. If there is a temperature system conditioning, it allows for sampling at any time of the day and the night while maintaining a good preservation of the odour in the bags (among others preventing condensation). Complementary sampling/measurement materials like adsorbent tubes and low cost gas sensors can be activated at the same time as the odour bag sampling. Odour correlation with chemicals is then possible. The study in Belgium was performed with the collaboration of the local authorities: they were in charge of activating the sampling devices located in the close proximity of industrial areas. Two samplers (Odorprep®) were installed in a Wallonia industrial valley, where odour complaints were usual. The campaign had lasted from November 2018 to September 2019. Two trailers, from ISSeP, equipped with air quality analyzers, measured half-hourly NH3, H2S, BTEX, limonene and pinene. A meteorological weather station measured wind direction and speed, T, RH and pressure. Olfactometric analyses were performed by ULiège SAM laboratory with a TO Evolution 6FC according to EN 13725. One aim was to use the odour concentrations measured at the receptor level in order to estimate an odour emission rate [2]. Odour dispersion modelling is performed with ADMS 5 software (CERC). A second goal was to study potential correlation of the odour event and some chemical compounds. The results (odour concentration, chemicals concentration, dispersion model results, weather conditions) will be presented as well as the assessment of strengths and weaknesses of the automatic sampling system