Leptokurtic Portfolio Theory

The question of optimal portfolio is addressed. The conventional Markowitz portfolio optimisation is discussed and the shortcomings due to non-Gaussian security returns are outlined. A method is proposed to minimise the likelihood of extreme non-Gaussian drawdowns of the portfolio value. The theory is called Leptokurtic, because it minimises the effects from "fat tails" of returns. The leptokurtic portfolio theory provides an optimal portfolio for investors, who define their risk-aversion as unwillingness to experience sharp drawdowns in asset prices. Two types of risks in asset returns are defined: a fluctuation risk, that has Gaussian distribution, and a drawdown risk, that deals with distribution tails. These risks are quantitatively measured by defining the "noise kernel" -- an ellipsoidal cloud of points in the space of asset returns. The size of the ellipse is controlled with the threshold parameter: the larger the threshold parameter, the larger return are accepted for investors as normal fluctuations. The return vectors falling into the kernel are used for calculation of fluctuation risk. Analogously, the data points falling outside the kernel are used for the calculation of drawdown risks. As a result the portfolio optimisation problem becomes three-dimensional: in addition to the return, there are two types of risks involved. Optimal portfolio for drawdown-averse investors is the portfolio minimising variance outside the noise kernel. The theory has been tested with MSCI North America, Europe and Pacific total return stock indices.Comment: 10 pages, 2 figures, To be presented in NEXT-SigmaPh

Intersections of moving fractal sets

Intersection of a random fractal or self-affine set with a linear manifold or another fractal set is studied, assuming that one of the sets is in a translational motion with respect to the other. It is shown that the mass of such an intersection is a self-affine function of the relative position of the two sets. The corresponding Hurst exponent h is a function of the scaling exponents of the intersecting sets. A generic expression for h is provided, and its proof is offered for two cases --- intersection of a self-affine curve with a line, and of two fractal sets. The analytical results are tested using Monte-Carlo simulations

Efficient method of finding scaling exponents from finite-size Monte-Carlo simulations

Monte-Carlo simulations are routinely used for estimating the scaling exponents of complex systems. However, due to finite-size effects, determining the exponent values is often difficult and not reliable. Here we present a novel technique of dealing with the problem of finite-size scaling. This new method allows not only to decrease the uncertainties of the scaling exponents, but makes it also possible to determine the exponents of the asymptotic corrections to the scaling laws. The efficiency of the technique is demonstrated by finding the scaling exponent of uncorrelated percolation cluster hulls.Comment: The "previous version" of this is arXiv:0804.1911. This version is published in EPJ

Impact of COVID-19 Pandemic on Energy Demand in Estonia

The COVID-19 pandemic triggered a question of how to measure and evaluate adequacy of the applied restrictions. Available studies propose various methods mainly grouped to statistical and machine learning techniques. The current paper joins this line of research by introducing a simple-yet-accurate linear regression model which eliminates effects of weekly cycle, available daylight, temperature, and wind from the electricity consumption data. The model is validated using real data and enables the qualitative analysis of economical impact.Comment: 5 pages, 6 figure

On the fractality of the biological tree-like structures

The fractal tree-like structures can be divided into three classes, according to the value of the similarity dimension Ds:DsD, where D is the topological dimension of the embedding space. It is argued that most of the physiological tree-like structures have Ds≥D. The notion of the self-overlapping exponent is introduced to characterise the trees with Ds>D. A model of the human blood-vessel system is proposed. The model is consistent with the processes governing the growth of the blood-vessels and yields Ds=3.4. The model is used to analyse the transport of passive component by blood