Hedge Fund Manager Skill and Style-Shifting

Utilizing a novel style identification procedure, we show that style shifting is a dynamic strategy commonly employed by hedge fund managers. Three quarters of hedge funds shifted their investment styles at least once over the period from January 1994 to December 2013. We perform empirical tests of two hypotheses for the motivations of hedge fund style-shifting, namely backward-looking and forward-looking hypotheses. We find no evidence that style-shifting funds are backward-looking. Instead, we show evidence that managers of style-shifting funds exhibit both style-timing ability and the skill of generating abnormal returns in new styles. The new styles that hedge funds shift to on average outperform their old styles by 0.76% and style-shifting funds on average outperform their new style benchmark by 1.10% over the subsequent 12-month horizon. Finally, we show that small funds, winner funds, and funds with net inflows are more likely to shift styles

Backstepping Synthesis for Feedback Control of First-Order Hyperbolic PDEs with Spatial-Temporal Actuation

This paper deals with the stabilization problem of first-order hyperbolic partial differential equations (PDEs) with spatial-temporal actuation over the full physical domains. We assume that the interior actuator can be decomposed into a product of spatial and temporal components, where the spatial component satisfies a specific ordinary differential equation (ODE). A Volterra integral transformation is used to convert the original system into a simple target system using the backstepping-like procedure. Unlike the classical backstepping techniques for boundary control problems of PDEs, the internal actuation can not eliminate the residual term that causes the instability of the open-loop system. Thus, an additional differential transformation is introduced to transfer the input from the interior of the domain onto the boundary. Then, a feedback control law is designed using the classic backstepping technique which can stabilize the first-order hyperbolic PDE system in a finite time, which can be proved by using the semigroup arguments. The effectiveness of the design is illustrated with some numerical simulations

Search for dark matter produced in association with bottom or top quarks in √s = 13 TeV pp collisions with the ATLAS detector

A search for weakly interacting massive particle dark matter produced in association with bottom or top quarks is presented. Final states containing third-generation quarks and miss- ing transverse momentum are considered. The analysis uses 36.1 fb−1 of proton–proton collision data recorded by the ATLAS experiment at √s = 13 TeV in 2015 and 2016. No significant excess of events above the estimated backgrounds is observed. The results are in- terpreted in the framework of simplified models of spin-0 dark-matter mediators. For colour- neutral spin-0 mediators produced in association with top quarks and decaying into a pair of dark-matter particles, mediator masses below 50 GeV are excluded assuming a dark-matter candidate mass of 1 GeV and unitary couplings. For scalar and pseudoscalar mediators produced in association with bottom quarks, the search sets limits on the production cross- section of 300 times the predicted rate for mediators with masses between 10 and 50 GeV and assuming a dark-matter mass of 1 GeV and unitary coupling. Constraints on colour- charged scalar simplified models are also presented. Assuming a dark-matter particle mass of 35 GeV, mediator particles with mass below 1.1 TeV are excluded for couplings yielding a dark-matter relic density consistent with measurements

Stock-selection timing

We argue that mutual fund managers should trade actively only when the market presents opportunities to pick stocks with positive alpha. In this paper, we propose stock-selection opportunity measures and show that a significant portion of mutual funds time their active trading, i.e., they trade more when the market presents more stock-selection opportunities. We show that positive timers outperform negative timers by about 82 bps in annualized four-factor alpha over the subsequent six-month horizon and, more importantly, that stock-selection timing contributes significantly to fund performance even after controlling for fund managers’ stock-picking ability. Finally, we present evidence that on average funds with very high portfolio turnover are actually poor timers, whereas younger funds and funds with larger family size exhibit better skills in timing stock-selection

High frequency AC electric glow discharge visualization technology and application in big diameter hypersonic low-density wind tunnel

Abstract In order to visualize the rarefied flow field in a Φ1m hypersonic low-density wind tunnel, an electric glow discharge technique based on high frequency excited power has been developed. Firstly, finite element simulation analysis has been carried out, and it is concluded that the breakdown voltage can be reduced by using high frequency power supply; then an electric glow discharge apparatus has been fabricated, and the discharge images were compared with simulations; besides, a clear flow field around HB-1 standard model has been observed using this technology; finally, the influence of glow discharge on the flow field, as well as the differences between direct current and high frequency electric glow discharges is discussed at the end of this paper

Photoresponsive Styrylpyrene-Modified MOFs for Gated Loading and Release of Cargo Molecules

Metal-organic frameworks (MOFs) with integrated light responsiveness are highly desirable for advanced applications including sensors, gas storage and separation, and controlled delivery. Here, we report a photoresponsive MOF that can undergo sufficient pore opening and closing under irradiation of UV light (λ = 356 nm) and visible light (sunlight), respectively. The efficient gating properties are achieved by the reversible photocycloaddition of the styrylpyrene moieties attached to the MOFs, which allows for multiple cycles of loading and release of small molecules. We further demonstrate the applicability of the photoresponsive MOFs by the loading and release of an amine catalyst, tetramethylethylenediamine (TEMED), used in hydrogelation. The light-gated process enables spatial and temporal control over the release of the catalyst, producing hydrogels with various sizes and shapes. This work shows the potential of our photoresponsive MOFs in advanced materials design. </p