Three Essays on Variance Risk and Correlation Risk

This thesis focuses on variance risk and correlation risk in the equity market, and consists of three essays. The first essay demonstrates that the variance risk, mea- sured as the difference between the realized return variance and its risk-neutral expectation, is an important determinant of the cross-sectional variation of hedge fund returns. Empirical evidence shows that funds with significantly higher loadings on variance risk outperform lower-loading funds on average. However, they incur severe losses during market downturns. Failure to account for variance risk results in overestimation of funds' absolute returns and underestimation of risk. The results provide important implications for hedge fund risk management and performance evaluations. The second essay examines the empirical properties of a widely-used correlation risk proxy, namely the dispersion trade between the index and individual stock options. I find that discrete hedging errors in such trading strategy can result in incorrect inferences on the magnitude of correlation risk premium and render the proxy unreliable as a measure of pure exposure to correlation risk. I implement a dynamic hedging scheme for the dispersion trade, which significantly improves the estimation accuracy of correlation risk and enhances the risk-return profile of the trading strategy. Finally, the third essay aims to forecast the average pair-wise correlations between stocks in the market portfolio. I investigate a comprehensive list of forecasting models and find that past average correlation and the option-implied correlation provide superior out-of-sample forecasting performance compared to other predictors. I provide empirical evidence showing that the forecasts of average correlation can improve the optimal portfolio choices and substantially enhance the performance of active correlation trading strategies

Three essays on variance risk and correlation risk

This thesis focuses on variance risk and correlation risk in the equity market, and consists of three essays. The first essay demonstrates that the variance risk, mea- sured as the difference between the realized return variance and its risk-neutral expectation, is an important determinant of the cross-sectional variation of hedge fund returns. Empirical evidence shows that funds with significantly higher loadings on variance risk outperform lower-loading funds on average. However, they incur severe losses during market downturns. Failure to account for variance risk results in overestimation of funds' absolute returns and underestimation of risk. The results provide important implications for hedge fund risk management and performance evaluations. The second essay examines the empirical properties of a widely-used correlation risk proxy, namely the dispersion trade between the index and individual stock options. I find that discrete hedging errors in such trading strategy can result in incorrect inferences on the magnitude of correlation risk premium and render the proxy unreliable as a measure of pure exposure to correlation risk. I implement a dynamic hedging scheme for the dispersion trade, which significantly improves the estimation accuracy of correlation risk and enhances the risk-return profile of the trading strategy. Finally, the third essay aims to forecast the average pair-wise correlations between stocks in the market portfolio. I investigate a comprehensive list of forecasting models and find that past average correlation and the option-implied correlation provide superior out-of-sample forecasting performance compared to other predictors. I provide empirical evidence showing that the forecasts of average correlation can improve the optimal portfolio choices and substantially enhance the performance of active correlation trading strategies.EThOS - Electronic Theses Online ServiceStudentship from the Centre for Hedge Fund Research, Imperial College Business SchoolGBUnited Kingdo

Coordination of Eu(III) with 1,10-Phenanthroline-2,9-dicarboxamide Derivatives: A Combined Study by MS, TRLIF, and DFT

Coordination of Eu(III) with 1,10-Phenanthroline-2,9-dicarboxamide Derivatives: A Combined Study by MS, TRLIF, and DF

Pharmacodynamic evaluation of Cordyceps sinensis (Berk.) Sacc. for ischemic stroke in rats and potential mechanism through network pharmacology and molecular docking

Objective: To explore the therapeutic potential of Cordyceps sinensis (Berk.) Sacc. (C. sinensis, Dong Chong Xia Cao) in an ischemic stroke (IS) model and predict its possible mechanism through network pharmacology. Methods: Thirty-three Sprague–Dawley rats were randomly divided into the Sham, model, and C. sinensis groups. After 5 days of pre-treatment, the model group and the C. sinensis group were subjected to middle cerebral artery occlusion (MCAO) modeling. Effect of C. sinensis on MCAO rats was evaluated by comparing cerebral infarct size, neurological function, cerebral water content, pathological changes, and certain biochemical indicators. Intersection targets between C. sinensis and IS was screened using network pharmacology analysis. Relationship among core components, targets and pathways of C. sinensis in treating IS was constructed through network pharmacology analysis and further verified by molecular docking. Finally, the DAVID v8.8 database was used for performing GO analysis and KEGG pathway enrichment analysis by importing the intersection targets. Results: Compared with the model group, C. sinensis significantly reduced the volume of cerebral infarction (P = .026), the cerebral water content (P = .0013), the mNSS score (P < .001), and the levels of IL-17 (P = .031), TNF-α (P = .016), MDA (P = .014), and glutamate (P = .014) in serum, while upregulating the level of SOD in serum and improving the pathological morphology in MCAO rat ischemic brains. The results of network pharmacology analysis showed that core targets (such as CASP3, PTGS2, and PPARG) and the main enrichment pathways (IL-17, AGE-RAGE, and TNF signaling pathways) were regulated by 30 chemical components of C. sinensis, which effectively treated IS in MCAO rats. Conclusion: The results of this study showed that C. sinensis effectively interfered with MCAO rats, and the mechanism may be related to the regulation of blood lipids and to anti-apoptosis and anti-inflammatory effects

Role of gallium wetting layer in high-quality ZnO growth on sapphire (0001) substrates

A Ga wetting layer was used to modify the surface structure of sapphire (0001) substrate to prepare high-quality ZnO film by radio frequency plasma-assisted molecule beam epitaxy. We found that this Ga layer plays a crucial role in eliminating 30° rotation domains, controlling polarity and decreasing defect density in ZnO epilayers, as demonstrated by in situ reflection high energy electron diffraction,ex situ high resolution X-ray diffraction and high resolution cross-sectional transmission electron microscopy. Zn-polar film of ZnO was determined by convergent beam electron diffraction. A Ga bilayer model is proposed to understand the effects of the Ga wetting layer on high-quality ZnO growth

Damp-heat constitution influences gut microbiota and urine metabolism of Chinese infants

Background: As an increasingly popular complementary and alternative approach for early detection and treatment of disease, traditional Chinese medicine constitution (TCMC) divides human beings into those with balanced constitution (BC) and unbalanced constitution, where damp-heat constitution (DHC) is one of the most unbalanced constitutions. Many studies have been carried out on the microscopic mechanism of constitution classification; however, most of these studies were conducted in adults and rarely in infants. Many diseases are closely related to intestinal microbiota, and metabolites produced by the interaction between microbiota and the body may impact constitution classification. Herein, we investigated the overall constitution distribution in Chinese infants, and analyzed the profiles of gut microbiota and urine metabolites of DHC to further promote the understanding of infants constitution classification. Methods: General information was collected and TCMC was evaluated by Constitutional Medicine Questionnaires. 1315 questionnaires were received in a cross-sectional study to investigate the constitution composition in Chinese infants. A total of 56 infants, including 30 DHC and 26 BC, were randomly selected to analyze gut microbiota by 16S rRNA sequencing and urine metabolites by UPLC-Q-TOF/MS method. Results: BC was the most common constitution in Chinese infants, DHC was the second common constitution. The gut microbiota and urine metabolites in the DHC group showed different composition compared to the BC group. Four differential genera and twenty differential metabolites were identified. In addition, the combined marker composed of four metabolites may have the high potential to discriminate DHC from BC with an AUC of 0.765. Conclusions: The study revealed the systematic differences in the gut microbiota and urine metabolites between infants with DHC and BC. Moreover, the differential microbiota and metabolites may offer objective evidences for constitution classification