Risk Analysis Of Hedge Funds: A Markov Switching Model Analysis

The paper applies Markov Regime Switching GARCH Model (SW-GARCH) to investigate the volatility behavior of strategies hedge fund monthly returns for the period 1997-2011. The results highlight two different regimes: The first regime is characterized by a high volatility for all strategies hedge fund monthly returns. The second is characterised by lower volatility and positive average returns (except Emerging Market strategy). Our results helped to capture even the short-lived crises along with the material crises of 2001 and 2008

Are Hedge Funds Uncorrelated With Financial Markets? An Empirical Assessment

In this paper, we examine the correlations between hedge fund strategy indices and asset classes. Based on the Dynamic Conditional Correlation (DCC) GARCH Model, we estimate the correlations between hedge fund, stock, and bond indices during bull and bear markets. The results reveal that there are significant correlations between hedge funds and the stock market, especially during the recent financial crisis that took place from 2007 to 2009

Politicisation of Science in the Process of Dealing with Manufactured Risk

Politicisation of Science in the Process of Dealing with Manufactured RiskAn Interdisciplinary Case StudyA key feature of modern society is the emergence of new characteristics of risks, which have been conceptualized by U. Beck as ‘manufactured risk’.1 Whereas in the past, risks principally consisted of natural hazards, which were limited in both time and space, manufactured risks are man-made, have a global effect, are potentially catastrophic, and can only be assessed speculatively. The global dimension of these risks has rendered apparent the latent divergence in the conceptions of risks that exist among different nations and regulatory regimes, thus resulting in tensions at and between national, regional, and international levels. One of the entities where these conflicts are most visible is the World Trade Organisation’s (WTO) dispute settlement body, which has recently been faced with several cases relating to manufactured risk.2 In these situations, and partially due to the WTO’s need to legitimize its going beyond national sovereignty, science has gained paramount importance in providing for a neutral and objective international normative yardstick for decision-making.3 Indeed, such function of science is exemplified in the WTO Agreement on the Application of Sanitary and Phytosanitary Measures (SPS Agreement), which indicates that, in order to leave to Member States their discretion to set the levels of protection, the WTO only ‘disciplines’ the existing risk assessments, thus ensuring that the risk regulations are appropriately based on science. In this respect, a clear-cut distinction is made between risk assessment, which provides for objectivity and authority, and risk management, which is expected to appropriately respond with policy decisions.4 The undisputed reliance on science, in case of manufactured risk, is problematic concerning two central aspects. Firstly, ‘risk’ is stil mainly conceptualised according to the traditional theory, which states that risk can be managed by rationally evaluating the probability of its occurrence and measuring it against the extent of the harm that might be caused by a disaster.5 However, due to the speculative characteristic of manufactured risk, no historical data exist regarding the probability, the form, or even the existence of these risks. As these aspects can only be evaluated retrospectively, a mere positivistic6 description of what manufactured risk consists of is drastically jeopardised. Secondly, the way science is being used as an ‘internationallyardstick’ fails to acknowledge and problematize the ways science may be politicised, thus potentially leading to a misuse of scientific knowledge when dealing with manufactured risk. Consequently, this paper will investigate some potential effects of the current use of science with regard to manufactured risk. To start with, the WTO’s approach towards science and its limiting definition of risk, appears not only incomplete vis-à-vis emerging forms of risk, but also ignores the practical inability of science to be used as a decisive tool in dispute settlement. Subsequently, the demeanour of displaying scientific knowledge as complete, unequivocal, and authoritative as well as disregarding the existence of various forms of uncertainty results in a de facto impediment of Member States’ freedom to “determine their own appropriate level of sanitary protection”.7 Therefore, this paper will empirically analyse how scientific knowledge is being politicised in the process of dealing with manufactured risks. For this purpose, the interdisciplinary analysis of a case concerning the selected genetically modified organism (GMO), Bt-176,8 will be presented. This specific GMO was banned in Germany, Austria, and Luxembourg, accepted by the European Communities (EC, now: European Union),9 and assessed in the WTO Dispute Settlement on the Measures Affecting the Approval and Marketing of Biotech Products (EC-Biotech).10 On this basis, the authors will, in the first part, propose a conceptual framework significant in evaluating how the relevant authorities at the national, EU, and WTO levels approach scientific knowledge when dealing with manufactured risks. In the following section, the paper will analyse the various facets on which the scientific evidence presented by Member States and the EC agencies conflict. Finally, the way the WTO Panel ‘disciplined’ the risk assessments, according to applicable law, will be investigated. Based on the analysis of the EC- Biotech case, diverging manners by which science is being politicised will be identified. In particular, the paper will investigate how different types of uncertainty are being ignored or disregarded, thus ultimately leading to the limitation of available evidence on which Member States can base their safeguard measures. In conclusion, the argument substantiated in this paper is that, due to the characteristics of manufactured risk and the inherent politicisation of science, under no circumstances should science be used as the most important normative yardstick in the WTO decisionmaking process. Additionally, this paper claims that in order to appropriately deal with manufactured risk and its speculative characteristic, scientific risk assessment should not only attempt to positively assess the risk, but as well attribute a major importance to all identified forms of uncertainty

Exploiting coastal altimetry to improve the surface circulation scheme over the central Mediterranean Sea

This work is the first study exploiting along track altimetry data to observe and monitor coastal ocean features over the transition area between the western and eastern Mediterranean Basins. The relative performances of both the AVISO and the X‐TRACK research regional altimetric data sets are compared using in situ observations. Both products are cross validated with tide gauge records. The altimeter‐derived geostrophic velocities are also compared with observations from a moored Acoustic Doppler Current Profiler. Results indicate the good potential of satellite altimetry to retrieve dynamic features over the area. However, X‐TRACK shows a more homogenous data coverage than AVISO, with longer time series in the 50 km coastal band. The seasonal evolution of the surface circulation is therefore analyzed by conjointly using X‐TRACK data and remotely sensed sea surface temperature observations. This combined data set clearly depicts different current regimes and bifurcations, which allows us to propose a new seasonal circulation scheme for the central Mediterranean. The analysis shows variations of the path and temporal behavior of the main circulation features: the Atlantic Tunisian Current, the Atlantic Ionian Stream, the Atlantic Libyan Current, and the Sidra Gyre. The resulting bifurcating veins of these currents are also discussed, and a new current branch is observed for the first time

Automated detection of coastal upwelling in the Western Indian Ocean: Towards an operational “Upwelling Watch” system

Coastal upwelling is an oceanographic process that brings cold, nutrient-rich waters to the ocean surface from depth. These nutrient-rich waters help drive primary productivity which forms the foundation of ecological systems and the fisheries dependent on them. Although coastal upwelling systems of the Western Indian Ocean (WIO) are seasonal (i.e., only present for part of the year) with large variability driving strong fluctuations in fish catch, they sustain food security and livelihoods for millions of people via small-scale (subsistence and artisanal) fisheries. Due to the socio-economic importance of these systems, an "Upwelling Watch" analysis is proposed, for producing updates/alerts on upwelling presence and extremes. We propose a methodology for the detection of coastal upwelling using remotely-sensed daily chlorophyll-a and Sea Surface Temperature (SST) data. An unsupervised machine learning approach, K-means clustering, is used to detect upwelling areas off the Somali coast (WIO), where the Somali upwelling – regarded as the largest in the WIO and the fifth most important upwelling system globally – takes place. This automatic detection approach successfully delineates the upwelling core and surrounds, as well as non-upwelling ocean regions. The technique is shown to be robust with accurate classification of out-of-sample data (i.e., data not used for training the detection model). Once upwelling regions have been identified, the classification of extreme upwelling events was performed using confidence intervals derived from the full remote sensing record. This work has shown promise within the Somali upwelling system with aims to expand it to the rest of the WIO upwellings. This upwelling detection and classification method can aid fisheries management and also provide broader scientific insights into the functioning of these important oceanographic features

Cold ridge formation mechanisms on the Agulhas Bank (South Africa) as revealed by satellite-tracked drifters

The formation of the cold ridge, a seasonal mid-shelf upwelling feature on the Agulhas Bank, is investigated from a combination of satellite-tracked surface drifters, in situ current and temperature data, as well as satellite sea surface temperature (SST) and chlorophyll-a (Chl-a). The observational data showed coastal upwelling along the Tsitsikamma coast to be induced by the easterly wind in austral summer, with a coexistent westward flowing coastal current. Under this wind and current regime, surface drifters moved west and onto the mid-shelf with the cold water, thereafter following the southward-curved 100 m isobath. Satellite observations in March–April 2008 showed increased south-westward advection of wind-driven upwelled water during an Agulhas Current intrusion that resulted in the formation of a classically shaped cold ridge. Also of interest was the passing of a Natal Pulse along the south-eastern shelf edge of the Agulhas Bank in July 2007. This generated a large cyclonic eddy in the Agulhas Bight with an attendant warm water plume that swept over the adjacent shelf. Two idle drifters positioned on the mid-shelf at the time, immediately west of the Natal Pulse, were rapidly advected offshore along the curved 100 m isobath, confirming the long-thought association of the cold ridge with an Agulhas Bight cyclone. A moored current meter adjacent to the Tsitsikamma coast (1.5 km offshore) showed the effect of the Natal Pulse on the nearshore. Drifter trajectories show accelerated south-westward flow on the offshore side of the cold ridge and recirculation towards the east on its shoreward side. These findings strongly support the Westward Transport Hypothesis where squid paralarvae are advected westward from the inshore breeding grounds, to the food maxima on the interior of the central Agulhas Bank, to improve their chances of survival and can therefore have important implications for the management of the South African chokka squid fishery

Peptide Synthesis in Ionic Liquids (PEPSIL): All You Need is in the Toolbox!

This personal account describes our studies regarding peptide synthesis in ionic liquids (PEPSIL). In addition, we summarize our experiments in which the use of ionic liquids gives simple and promising access to unnatural amino acids in an enantiomerically enriched form. Extension of PEPSIL method to complex structures such as cyclopeptides is also discussed. Some of these cyclopeptides are the direct precursors of bioactive and pharmaceutical compounds

Effect of Short and Long Term Irrigation with Treated Wastewater on Chemical Composition and Herbicidal Activity of Eucalyptus camaldulensis Dehn. Essential Oils

[EN] Water shortage throughout the world, especially in arid regions in the later decades has led to search for alternatives to save potable fresh water. Treated wastewater (TWW) appears to be an opportunity for irrigation. However, it could represent a stress factor for plants, and influence their metabolism, changing their secondary metabolites and, consequently, their biological properties. Eucalyptus camaldulensis essential oil (EO) had been reported to possess phytotoxic activity. The main objective of this work was to compare the chemical composition and herbicidal activity of E. camaldulensis EO obtained from leaves of young plants and old trees irrigated with well water (WW) and TWW. Germination tests were performed in vitro against Amaranthus hybridus, Chenopodium album, Echinochloa crus-galli and Lolium perenne. The EOs composition was analyzed by gas chromatography and gas chromatography/mass spectrometry. A high percentage of oxygenated monoterpenes, with 1,8-cineole as main compound, was found in the EOs from leaves of young plants irrigated with both types of water. The EO from leaves of old trees irrigated with WW contained a main fraction of monoterpene hydrocarbons (45.17%) with p-cymene as principal compound. The highest herbicidal potential was shown by the EO from young plants irrigated with TWW. It completely inhibited A. hybridus and L. perenne germination, and nearly blocked the others at all concentrations assayed. It also showed strong phytotoxic activity on seedling length. The results suggest the possible use of TWW to irrigate Eucalyptus crops as it enhances the EOs herbicidal potential that could be used as natural herbicides.This work was supported by the Ministry of Higher Education and Scientific Research of Tunisia.Maaloul, A.; Verdeguer Sancho, MM.; Oddo, M.; Saadaoui, E.; Jebri, M.; Michalet, S.; Dijoux-Franca, M.... (2019). Effect of Short and Long Term Irrigation with Treated Wastewater on Chemical Composition and Herbicidal Activity of Eucalyptus camaldulensis Dehn. Essential Oils. Notulae Botanicae Horti Agrobotanici Cluj-Napoca. 47(4):1374-1381. https://doi.org/10.15835/nbha47411374S1374138147

Genetic diversity and race composition of sunflower broomrape populations from Tunisia

Sunflower broomrape (Orobanche cumana Wallr.) was detected in 2010 for the first time in sunflower fields of Tunisia, in the Béja region. No information is available on the race composition and genetic diversity of the broomrape populations parasitizing sunflower in that area. Plant tissue and seeds were collected from nine populations in Béja Sud (ORD, ORE), Amdoun (ORF, ORG), and Béja Nord (ORH to ORL) areas of the Béja region. Virulence studies on populations ORD, ORH and ORK revealed that the ORD population was essentially race E, whereas race G individuals were present in ORH and ORK poulations, with greater frequency in the ORK population. Cluster analysis of inter-population relatedness indicated that Tunisian populations were more related to Eastern European than to Spanish populations, with the Béja Nord populations clustering separately from the rest of Tunisian populations. Analysis at the intra-population level of the ORD, ORG, ORH and ORK populations revealed the existence of two gene pools (GP1 and GP2), that were present in all populations at different frequencies. GP2 was at a lower frequency (1/14) in ORD and ORG but at higher frequencies in ORH (5/15) and ORK (8/14). This indicates that GP1 was probably an initial introduction of a race E population, while GP2 is most likely a later introduction of a race G population, introduced initially in Béja Nord area but now spreading to other areas in the region. The risk of a generalized expansion of race G of broomrape in this sunflower cultivation area is discussed