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

Fractal and multifractal analysis of complex networks: Estonian network of payments

Complex networks have gained much attention from different areas of knowledge in recent years. Particularly, the structures and dynamics of such systems have attracted considerable interest. Complex networks may have characteristics of multifractality. In this study, we analyze fractal and multifractal properties of a novel network: the large scale economic network of payments of Estonia, where companies are represented by nodes and the payments done between companies are represented by links. We present a fractal scaling analysis and examine the multifractal behavior of this network by using a sandbox algorithm. Our results indicate the existence of multifractality in this network and consequently, the existence of multifractality in the Estonian economy. To the best of our knowledge, this is the first study that analyzes multifractality of a complex network of payments.Comment: 13 page

Probability of Large Movements in Financial Markets

Based on empirical financial time-series, we show that the "silence-breaking" probability follows a super-universal power law: the probability of observing a large movement is inversely proportional to the length of the on-going low-variability period. Such a scaling law has been previously predicted theoretically [R. Kitt, J. Kalda, Physica A 353 (2005) 480], assuming that the length-distribution of the low-variability periods follows a multiscaling power law.Comment: 8 pages, 5 figure

Scaling analysis of multivariate intermittent time series

The scaling properties of the time series of asset prices and trading volumes of stock markets are analysed. It is shown that similarly to the asset prices, the trading volume data obey multi-scaling length-distribution of low-variability periods. In the case of asset prices, such scaling behaviour can be used for risk forecasts: the probability of observing next day a large price movement is (super-universally) inversely proportional to the length of the ongoing low-variability period. Finally, a method is devised for a multi-factor scaling analysis. We apply the simplest, two-factor model to equity index and trading volume time series.Comment: 16 pages, 5 figures, accepted for publication in Physica

Comparison of Swine Performance When Fed Diets Containing Corn Root Worm Protected Corn, Parental Line Corn, or Conventional Corn Grown During 2000 in Nebraska

This experiment was conducted to evaluate growth performance and carcass quality measurements in growing-finishing pigs fed diets containing either Corn Root Worm Protected Corn (CRW0586), the parental control corn (RX670), or two commercial sources of non-genetically modified corn (DK647 and RX740). The experiment used 72 barrows and 72 gilts with an average initial body weight of 50 lb. The pigs were allotted to a randomized complete block design with a 2 x 4 factorial arrangement of treatments (two sexes x four corn hybrids). The experiment continued until the average body weight was 260 lb, at which time all pigs were slaughtered. Real-time ultrasound measurements were taken on the final day of the experiment. Carcass quality measurements were made 24 hours postmortem. Corn hybrid did not affect average daily gain (ADG) or average daily feed intake (ADFI), but there was an effect of sex, with barrows having greater (P\u3c0.01) ADG and ADFI than gilts. Feed efficiency was not affected by the different corn hybrids, but gilts had improved (P\u3c0.01) feed efficiency compared to barrows during Finisher 1 (0.37 versus 0.35) and Finisher 2 (0.32 versus 0.30). Real-time ultrasound measurements were similar corns; however, a sex effect was detected for backfat (BF) depth, with gilts having less (P\u3c0.01) BJ than barrows (0.78 versus 0.98 in). There were no differences in carcass midline BF measurements among corns, but there was a significant difference between barrows and gilts, with gilts having less (P\u3c0.05) BF than barrows. Hot carcass weight was greater (P\u3c0.01) in barrows than gilts (210 versus 190 lb). Also, the percent carcass lean was greater (P\u3c0.01) in gilts than barrows (51.7 versus 49.5%). Longissimus muscle quality scores were similar among corns and between barrows and gilts. Analysis of longissimus muscle composition revealed no main effect of corn (P\u3e0.20) or sex (P\u3e0.30) for protein, fat, and water percentages. However, Corn Root Worm Protected Corn (73.1%) differed (P\u3c0.04) from parental control corn (73.6%) but not commercial corns (73.3 and 73.3%) in longissimus water content. In summary, there were no differences in growth performance or carcass measurements in growing-finishing pigs fed diets containing either Corn Root Worm Protected Corn, the parental control corn, or two commercial sources of non-genetically modified corn. Thus, the replacement of non-genetically modified corn. Thus, the replacement of non-transgenic corn with Corn Root Worm Protected Corn in growing-finishing diets will result in similar growth performance and(or) carcass measurements

Worldwide phylogeography and history of wheat genetic diversity

Since its domestication in the Fertile Crescent ~8000 to 10,000 years ago, wheat has undergone a complex history of spread, adaptation, and selection. To get better insights into the wheat phylogeography and genetic diversity, we describe allele distribution through time using a set of 4506 landraces and cultivars originating from 105 different countries genotyped with a high-density single-nucleotide polymorphism array. Although the genetic structure of landraces is collinear to ancient human migration roads, we observe a reshuffling through time, related to breeding programs, with the appearance of new alleles enriched with structural variations that may be the signature of introgressions from wild relatives after 1960