Trading foreign exchange carry portfolios

Foreign exchange carry trades involve buying high yielding currencies while selling low yielding currencies. Contrary to the implications of the uncovered interest parity condition, carry trades have generated consistent profits in the past decades. As foreign exchange has gained increased relevance as an asset class in its own, the carry trade emerged as a major driver of foreign exchange market turnover. Given the widespread use and ease of implementation of carry strategies, active currency managers should be evaluated relative to a benchmark which incorporates a proxy for carry trade returns. Within this thesis we study the profitability of various carry portfolio strategies on a very recent data set ranging from the 1st of January 1999 to the 5th of March 2010. Within three distinct empirical chapters we analyse whether different asset allocation, market-timing and money management methodologies have the potential to improve the performance of a simple carry portfolio, such as the one implemented by the Currency Harvest exchange traded fund by Deutsche Bank. Three main findings emerge from our investigation on carry trade portfolios. First, we find that a simple carry trade proxy is difficult to outperform with asset allocation and market-timing techniques. Nevertheless, we would not conclude that professional currency managers should cease to implement carry strategies, since they can add value to the investment process by successfully addressing the issue of optimal leveraging for carry trades. Second, we find that the portfolio flows of carry traders do uncover pockets of predictability in the FX market. Strategies which aim at front-running the trades of carry strategies, do generate positive returns with low correlations to traditional carry trade strategies and therefore offer good diversification vehicles for carry portfolios. Lastly, we find that while profitable market-timing seems feasible on historical backtests, the results are strongly dependent on the correctly timing the credit crisis. Thus, we note that our results are affected by a lookback bias. We posit that before the credit crisis, portfolio managers would not have had the foresight to select the correct market-timing indicators. We thus advocate a broad diversification of risk indicators for carry trade timing

Prevalence of Nonalcoholic Fatty Liver Disease and Its Association With Cardiovascular Disease Among Type 2 Diabetic Patients

n/

Trading foreign exchange carry portfolios

Foreign exchange carry trades involve buying high yielding currencies while selling low yielding currencies. Contrary to the implications of the uncovered interest parity condition, carry trades have generated consistent profits in the past decades. As foreign exchange has gained increased relevance as an asset class in its own, the carry trade emerged as a major driver of foreign exchange market turnover. Given the widespread use and ease of implementation of carry strategies, active currency managers should be evaluated relative to a benchmark which incorporates a proxy for carry trade returns. Within this thesis we study the profitability of various carry portfolio strategies on a very recent data set ranging from the 1st of January 1999 to the 5th of March 2010. Within three distinct empirical chapters we analyse whether different asset allocation, market-timing and money management methodologies have the potential to improve the performance of a simple carry portfolio, such as the one implemented by the Currency Harvest exchange traded fund by Deutsche Bank. Three main findings emerge from our investigation on carry trade portfolios. First, we find that a simple carry trade proxy is difficult to outperform with asset allocation and market-timing techniques. Nevertheless, we would not conclude that professional currency managers should cease to implement carry strategies, since they can add value to the investment process by successfully addressing the issue of optimal leveraging for carry trades. Second, we find that the portfolio flows of carry traders do uncover pockets of predictability in the FX market. Strategies which aim at front-running the trades of carry strategies, do generate positive returns with low correlations to traditional carry trade strategies and therefore offer good diversification vehicles for carry portfolios. Lastly, we find that while profitable market-timing seems feasible on historical backtests, the results are strongly dependent on the correctly timing the credit crisis. Thus, we note that our results are affected by a lookback bias. We posit that before the credit crisis, portfolio managers would not have had the foresight to select the correct market-timing indicators. We thus advocate a broad diversification of risk indicators for carry trade timing.EThOS - Electronic Theses Online ServiceGBUnited Kingdo

Scalar multiplet recombination at large N and holography

We consider the coupling of a free scalar to a single-trace operator of a large N CFT in d dimensions. This is equivalent to a double-trace deformation coupling two primary operators of the CFT, in the limit when one of the two saturates the unitarity bound. At leading order, the RG-flow has a non-trivial fixed point where multiplets recombine. We show this phenomenon in field theory, and provide the holographic dual description. Free scalars correspond to singleton representations of the AdS algebra. The double-trace interaction is mapped to a boundary condition mixing the singleton with the bulk field dual to the single-trace operator. In the IR, the singleton and the bulk scalar merge, providing just one long representation of the AdS algebra. \ua9 2016, The Author(s)

Data augmentation for hypernymy detection

The automatic detection of hypernymy relationships represents a challenging problem in NLP. The successful application of state-of-the-art supervised approaches using distributed representations has generally been impeded by the limited availability of high quality training data. We have developed two novel data augmentation techniques which generate new training examples from existing ones. First, we combine the linguistic principles of hypernym transitivity and intersective modifier-noun composition to generate additional pairs of vectors, such as “small dog - dog” or “small dog - animal”, for which a hypernymy relationship can be assumed. Second, we use generative adversarial networks (GANs) to generate pairs of vectors for which the hypernymy relation can also be assumed. We furthermore present two complementary strategies for extending an existing dataset by leveraging linguistic resources such as WordNet. Using an evaluation across 3 different datasets for hypernymy detection and 2 different vector spaces, we demonstrate that both of the proposed automatic data augmentation and dataset extension strategies substantially improve classifier performance

miRVine: a microRNA expression atlas of grapevine based on small RNA sequencing

miRNAs are the most abundant class of small non-coding RNAs, and they are involved in post-transcriptional regulations, playing a crucial role in the refinement of genetic programming during plant development. Here we present a comprehensive picture of miRNA regulation in Vitis vinifera L. plant during its complete life cycle. Furthering our knowledge about the post-transcriptional regulation of plant development is fundamental to understand the biology of such an important crop