Mind Coskewness: A Performance Measure for Prudent, Long-Term Investors

This study examines how negative skewness a¤ects the behaviour of prudent investors. It also shows how the commonly used frame- work in the intertemporal asset pricing and the dynamic portfolio- consumption choice literature can generate negative skewness in asset reutrns. Given this impact, an extra premium is required in order to hold an asset with negatively coskewed returns. This premium was, on average, 2.09% p.a. for the UK stock market universe. Hence, a new performance measure, the intercept of the Harvey-Siddique two-factor asset pricing model is suggested for prudent, long-term investors. Us- ing this model, the performance of UK unit trusts is examined over the period 1991-2005. Despite exhibiting signi.cantly negative mana- gerial ability, trust managers were successful in reaping part of this negative coskewness premium.

Malware Classification based on Call Graph Clustering

Each day, anti-virus companies receive tens of thousands samples of potentially harmful executables. Many of the malicious samples are variations of previously encountered malware, created by their authors to evade pattern-based detection. Dealing with these large amounts of data requires robust, automatic detection approaches. This paper studies malware classification based on call graph clustering. By representing malware samples as call graphs, it is possible to abstract certain variations away, and enable the detection of structural similarities between samples. The ability to cluster similar samples together will make more generic detection techniques possible, thereby targeting the commonalities of the samples within a cluster. To compare call graphs mutually, we compute pairwise graph similarity scores via graph matchings which approximately minimize the graph edit distance. Next, to facilitate the discovery of similar malware samples, we employ several clustering algorithms, including k-medoids and DBSCAN. Clustering experiments are conducted on a collection of real malware samples, and the results are evaluated against manual classifications provided by human malware analysts. Experiments show that it is indeed possible to accurately detect malware families via call graph clustering. We anticipate that in the future, call graphs can be used to analyse the emergence of new malware families, and ultimately to automate implementation of generic detection schemes.Comment: This research has been supported by TEKES - the Finnish Funding Agency for Technology and Innovation as part of its ICT SHOK Future Internet research programme, grant 40212/0

On monetary policy and stock market anomalies

This study utilizes a macro-based VAR framework to investigate whether stock portfolios formed on the basis of their value, size and past performance characteristics are affected in a differential manner by unexpected US monetary policy actions during the period 1967-2007. Full sample results show that value, small capitalization and past loser stocks are more exposed to monetary policy shocks in comparison to growth, big capitalization and past winner stocks. Subsample analysis, motivated by variation in the realized premia and parameter instability, reveals that monetary policy shocks’ impact on these portfolios is significant and pronounced only during the pre-1983 period.Monetary policy, Federal funds rate, Market anomalies, Credit channel, Risk premia

Aproksimacija drugog reda za srednji pomak čestice uronjene u toplinsku kupku uz prisustvo vanjske sile

The interaction of a quantum particle with a heat bath of quantum oscillators under the influence of an external force has been studied and the mean displacement of this particle has been computed up to second order approximation in the propagator. The heat bath has been considered as Brownian and the characteristic frequencies are close to the characteristic frequency of the particle. The mean displacement of the particle has been found to oscillate with time. The temperature dependence of the mean displacement follows an exponential function of e-1/T.Razmatrano je međudjelovanje kvantne čestice s toplinskom kupkom kvantnih oscilatora uz prisustvo vanjske sile. Određen je srednji pomak čestice do približenja drugog reda za propagator. Toplinska kupka Brownovskog je tipa s karakterističnim frekvencijama bliskim karakterističnoj frekvenciji čestice. Nađeno je da srednji pomak čestice oscilira u vremenu

Effects of immigration on population growth and structures in Greece - A spatial approach

From the early 1990s, Greece has been experiencing a strong immigration flow consisting of various nationality groups with different demographic profiles and structures. The immigrant population is not uniformly distributed spatially and consists of various nationality groups with different demographic behaviours. Therefore, the examination of the implications of immigration on the population size and structure at a low geographical level, according to the nationality composition of the foreign population, is useful in finding population structures which are impossible to observe otherwise. This paper examines the impact of immigration on the population size, age and sex structure of the population in Greek municipalities. In order to do this, statistical clustering techniques have been utilised to define homogeneous groups of municipalities with respect to the nationality composition of their foreign population as well as the impact of immigration on their size and demographic characteristics.

Unprecedented chemical transformation: crystallographic evidence for 1,1,2,2-tetrahydroxyethane captured within an Fe6Dy3 single molecule magnet

A nonanuclear {Fe6Dy3} coordination cluster displaying SMM behaviour in which an unprecedented chemical transformation provides structural information for the existence of 1,1,2,2-tetrahydroxyethane is reported

Testing for persistence in mutual fund performance and the ex post verification problem: Evidence from the Greek market

The present study examines a series of performance measures as an attempt to resolve the ex post verification problem. These measures are employed to test the performance persistence hypothesis of domestic equity funds in Greece, during the period 1998-2004. Correctly adjusting for risk factors and documented portfolio strategies explains a significant part of the reported persistence. The intercept of the augmented Carhart regression is proposed as the most appro- priate performance measure. Using this measure, weak evidence for persistence, only before 2001, is documented. The growth of the fund industry, the direction of flows to past winners and the integration in the international nancial system are suggested to be the reasons for the absence of performance persistence

Inductive interconnecting solutions for airworthiness standards and power-quality requirements compliance for more-electric aircraft/engine power networks

Driven by efficiency benefits, performance optimization and reduced fuel-burn, the aviation industry has witnessed a technological shift towards the broader electrification of on-board systems, known as the More-Electric Aircraft (MEA) concept. Electrical systems are now responsible for functions that previously required mechanical, hydraulic or pneumatic power sources, with a subset of these functions being critical or essential to the continuity and safety of the flight.;This trend of incremental electrification has brought along benefits such as reductions in weight and volume, performance optimization and reduced life-cycle costs for the aircraft operator. It has however also increased the necessary engine power offtake and has made the electrical networks of modern MEA larger and more complex. In pursuit of new, more efficient electrical architectures, paralleled or interconnected generation is thought to be one platform towards improved performance and fuel savings.;However, the paralleling of multiple generation sources across the aircraft can breach current design and certification rules under fault conditions. This thesis proposes and evaluates candidate interconnecting solutions to minimize the propagation of transients across the interconnected network and demonstrates their effectiveness with reference to current airworthiness standards and MIL-STD-704F power quality requirements.;It demonstrates that inductive interconnections may achieve compliance with these requirements and quantifies the estimated mass penalty incurred on the electrical architecture, highlighting how architectural and operating strategies can influence design options at a systems level. By examining the impact of protection operation speed on the electrical network, it determines that fast fault protection is a key enabling technology towards implementing lightweight and compliant interconnected architectures.;Lastly, this thesis addresses potential implications arising from alternate standards interpretations within the framework of interconnected networks and demonstrates the impact of regulatory changes on the electrical architecture and interconnecting solutions.Driven by efficiency benefits, performance optimization and reduced fuel-burn, the aviation industry has witnessed a technological shift towards the broader electrification of on-board systems, known as the More-Electric Aircraft (MEA) concept. Electrical systems are now responsible for functions that previously required mechanical, hydraulic or pneumatic power sources, with a subset of these functions being critical or essential to the continuity and safety of the flight.;This trend of incremental electrification has brought along benefits such as reductions in weight and volume, performance optimization and reduced life-cycle costs for the aircraft operator. It has however also increased the necessary engine power offtake and has made the electrical networks of modern MEA larger and more complex. In pursuit of new, more efficient electrical architectures, paralleled or interconnected generation is thought to be one platform towards improved performance and fuel savings.;However, the paralleling of multiple generation sources across the aircraft can breach current design and certification rules under fault conditions. This thesis proposes and evaluates candidate interconnecting solutions to minimize the propagation of transients across the interconnected network and demonstrates their effectiveness with reference to current airworthiness standards and MIL-STD-704F power quality requirements.;It demonstrates that inductive interconnections may achieve compliance with these requirements and quantifies the estimated mass penalty incurred on the electrical architecture, highlighting how architectural and operating strategies can influence design options at a systems level. By examining the impact of protection operation speed on the electrical network, it determines that fast fault protection is a key enabling technology towards implementing lightweight and compliant interconnected architectures.;Lastly, this thesis addresses potential implications arising from alternate standards interpretations within the framework of interconnected networks and demonstrates the impact of regulatory changes on the electrical architecture and interconnecting solutions