2,524 research outputs found
Random Matrix Theory and Fund of Funds Portfolio Optimisation
The proprietary nature of Hedge Fund investing means that it is common
practise for managers to release minimal information about their returns. The
construction of a Fund of Hedge Funds portfolio requires a correlation matrix
which often has to be estimated using a relatively small sample of monthly
returns data which induces noise. In this paper random matrix theory (RMT) is
applied to a cross-correlation matrix C, constructed using hedge fund returns
data. The analysis reveals a number of eigenvalues that deviate from the
spectrum suggested by RMT. The components of the deviating eigenvectors are
found to correspond to distinct groups of strategies that are applied by hedge
fund managers. The Inverse Participation ratio is used to quantify the number
of components that participate in each eigenvector. Finally, the correlation
matrix is cleaned by separating the noisy part from the non-noisy part of C.
This technique is found to greatly reduce the difference between the predicted
and realised risk of a portfolio, leading to an improved risk profile for a
fund of hedge funds.Comment: 17 Page
Multijet production in neutral current deep inelastic scattering at HERA and determination of α_{s}
Multijet production rates in neutral current deep inelastic scattering have been measured in the range of exchanged boson virtualities 10 5 GeV and â1 < η_{LAB}^{jet} < 2.5. Next-to-leading-order QCD calculations describe the data well. The value of the strong coupling constant α_{s} (M_{z}), determined from the ratio of the trijet to dijet cross sections, is α_{s} (M_{z}) = 0.1179 ± 0.0013 (stat.)_{-0.0046}^{+0.0028}(exp.)_{-0.0046}^{+0.0028}(th.)
Observation of Scaling Violations in Scaled Momentum Distributions at HERA
Charged particle production has been measured in deep inelastic scattering
(DIS) events over a large range of and using the ZEUS detector. The
evolution of the scaled momentum, , with in the range 10 to 1280
, has been investigated in the current fragmentation region of the Breit
frame. The results show clear evidence, in a single experiment, for scaling
violations in scaled momenta as a function of .Comment: 21 pages including 4 figures, to be published in Physics Letters B.
Two references adde
Observation of isolated high-E_T photons in deep inelastic scattering
First measurements of cross sections for isolated prompt photon production in
deep inelastic ep scattering have been made using the ZEUS detector at the HERA
electron-proton collider using an integrated luminosity of 121 pb^-1. A signal
for isolated photons in the transverse energy and rapidity ranges 5 < E_T^gamma
< 10 GeV and -0.7 < eta^gamma < 0.9 was observed for virtualities of the
exchanged photon of Q^2 > 35 GeV^2. Cross sections are presented for inclusive
prompt photons and for those accompanied by a single jet in the range E_T^jet
\geq 6 GeV and -1.5 \leq eta^jet < 1.8. Calculations at order alpha^3alpha_s
describe the data reasonably well.Comment: 16 pages, 5 figure
Wavelet multiscale analysis for hedge funds: scaling and strategies
The wide acceptance of Hedge Funds by Institutional Investors and Pension Funds has led to an explosive growth in assets under management. These investors are drawn to Hedge Funds due to the seemingly low correlation with traditional investments and the attractive returns.
The correlations and market risk (the Beta in the Capital Asset Pricing Model) of Hedge Funds are generally calculated using monthly returns data, which may produce misleading results as Hedge Funds often hold illiquid exchange-traded securities or difficult to price over-the-
counter securities. In this paper, the Maximum Overlap Discrete Wavelet Transform (MODWT) is applied to measure the scaling properties of Hedge Fund correlation and market risk with respect to the S&P 500. It is found that the level of correlation and market risk varies greatly
according to the strategy studied and the time scale examined. Finally, the effects of scaling properties on the risk profile of a portfolio made up of Hedge Funds is studied using correlation matrices calculated over different time horizons
Observation of hard scattering in photoproduction events with a large rapidity gap at HERA
Events with a large rapidity gap and total transverse energy greater than 5
GeV have been observed in quasi-real photoproduction at HERA with the ZEUS
detector. The distribution of these events as a function of the
centre of mass energy is consistent with diffractive scattering. For total
transverse energies above 12 GeV, the hadronic final states show predominantly
a two-jet structure with each jet having a transverse energy greater than 4
GeV. For the two-jet events, little energy flow is found outside the jets. This
observation is consistent with the hard scattering of a quasi-real photon with
a colourless object in the proton.Comment: 19 pages, latex, 4 figures appended as uuencoded fil
Multijet production in neutral current deep inelastic scattering at HERA and determination of alpha_s
Multijet production rates in neutral current deep inelastic scattering have
been measured in the range of exchanged boson virtualities 10 < Q2 < 5000 GeV2.
The data were taken at the ep collider HERA with centre-of-mass energy sqrt(s)
= 318 GeV using the ZEUS detector and correspond to an integrated luminosity of
82.2 pb-1. Jets were identified in the Breit frame using the k_T cluster
algorithm in the longitudinally invariant inclusive mode. Measurements of
differential dijet and trijet cross sections are presented as functions of jet
transverse energy E_{T,B}{jet}, pseudorapidity eta_{LAB}{jet} and Q2 with
E_{T,B}{jet} > 5 GeV and -1 < eta_{LAB}{jet} < 2.5. Next-to-leading-order QCD
calculations describe the data well. The value of the strong coupling constant
alpha_s(M_Z), determined from the ratio of the trijet to dijet cross sections,
is alpha_s(M_Z) = 0.1179 pm 0.0013(stat.) {+0.0028}_{-0.0046}(exp.)
{+0.0064}_{-0.0046}(th.)Comment: 22 pages, 5 figure
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