Non-normal real estate return distributions by property type in the U.K.

Investment risk models with infinite variance provide a better description of distributions of individual property returns in the IPD database over the period 1981 to 2003 than Normally distributed risk models, which mirrors results in the U.S. and Australia using identical methodology. Real estate investment risk is heteroscedastic, but the Characteristic Exponent of the investment risk function is constant across time yet may vary by property type. Asset diversification is far less effective at reducing the impact of non-systematic investment risk on real estate portfolios than in the case of assets with Normally distributed investment risk. Multi-risk factor portfolio allocation models based on measures of investment codependence from finite-variance statistics are ineffectual in the real estate context

Can Institutional Investors Bias Real Estate Portfolio Appraisals? Evidence from the Market Downturn

This paper investigates the extent to which institutional investors may have influenced independent real estate appraisals during the financial crisis. A conceptual model of the determinants of client influence on real estate appraisals is proposed. It is suggested that the extent of clients’ ability and willingness to bias appraisal outputs is contingent upon market and regulatory environments (ethical norms and legal and institutional frameworks), the salience of the appraisal(s) to the client, financial incentives for the appraiser to respond to client pressure, organisational culture, the level of moral reasoning of both individual clients and appraisers, client knowledge and the degree of appraisal uncertainty. The potential of client influence to bias ostensibly independent real estate appraisals is examined using the opportunity afforded by the market downturn commencing in 2007 in the UK. During the market turbulence at the end of 2007, the motivations of different types of owners to bias appraisals diverged clearly and temporarily provided a unique opportunity to assess potential appraisal bias. We use appraisal-based performance data for individual real estate assets to test whether there were significant ownership effects on performance during this period. The results support the hypothesis that real estate appraisals in this period reflected the differing needs of clients.This is the author accepted manuscript. The final version is available from Springer via http://dx.doi.org/10.1007/s10551-015-2953-

Nambu-Hamiltonian flows associated with discrete maps

For a differentiable map $(x_1,x_2,..., x_n)\to (X_1,X_2,..., X_n)$ that has an inverse, we show that there exists a Nambu-Hamiltonian flow in which one of the initial value, say $x_n$, of the map plays the role of time variable while the others remain fixed. We present various examples which exhibit the map-flow correspondence.Comment: 19 page

Only the best? Exploring cross-border investor preferences in US gateway cities

Despite heady growth in cross-border investment into commercial real estate over recent decades, there are few studies that examine differences in investment preferences between domestic and cross-border investors at a micro level. We address the gap by examining the characteristics of assets acquired by cross border investors in six major US metro areas, comparing them with the purchases made by US investors in those same areas. Our study uses data on more than 67 500 transactions recorded by Real Capital Analytics (RCA) over the period from Q1 2003 to Q3 2016. As well as examining cross-border investors in aggregate, we isolate and examine purchases by investors from each of the four principal source nations for cross-border real estate investment in these cities. This is important since treating cross-border investors as a single group may obscure important differences between them. We employ multilevel logit techniques and we find across a number of specifications that cross-border investors prefer larger assets, newer assets and CBD locations regardless of nationality. However, temporal and sectoral patterns of investment, as well as evidence for return chasing behavior, vary with the nationality of investor being studied

Cryptographic requirements for chaotic secure communications

In recent years, a great amount of secure communications systems based on chaotic synchronization have been published. Most of the proposed schemes fail to explain a number of features of fundamental importance to all cryptosystems, such as key definition, characterization, and generation. As a consequence, the proposed ciphers are difficult to realize in practice with a reasonable degree of security. Likewise, they are seldom accompanied by a security analysis. Thus, it is hard for the reader to have a hint about their security. In this work we provide a set of guidelines that every new cryptosystems would benefit from adhering to. The proposed guidelines address these two main gaps, i.e., correct key management and security analysis, to help new cryptosystems be presented in a more rigorous cryptographic way. Also some recommendations are offered regarding some practical aspects of communications, such as channel noise, limited bandwith, and attenuation.Comment: 13 pages, 3 figure

Renormalization Group Functional Equations

Functional conjugation methods are used to analyze the global structure of various renormalization group trajectories, and to gain insight into the interplay between continuous and discrete rescaling. With minimal assumptions, the methods produce continuous flows from step-scaling {\sigma} functions, and lead to exact functional relations for the local flow {\beta} functions, whose solutions may have novel, exotic features, including multiple branches. As a result, fixed points of {\sigma} are sometimes not true fixed points under continuous changes in scale, and zeroes of {\beta} do not necessarily signal fixed points of the flow, but instead may only indicate turning points of the trajectories.Comment: A physical model with a limit cycle added as section IV, along with reference

No Time Machine Construction in Open 2+1 Gravity with Timelike Total Energy Momentum

It is shown that in 2+1 dimensional gravity an open spacetime with timelike sources and total energy momentum cannot have a stable compactly generated Cauchy horizon. This constitutes a proof of a version of Kabat's conjecture and shows, in particular, that not only a Gott pair cannot be formed from processes such as the decay of a single cosmic string as has been shown by Carroll et al., but that, in a precise sense, a time machine cannot be constructed at all.Comment: 7 pages. Several changes and 3 figures added. To appear in Phys. Rev.

Plykin-like attractor in non-autonomous coupled oscillators

A system of two coupled non-autonomous oscillators is considered. Dynamics of complex amplitudes is governed by differential equations with periodic piecewise continuous dependence of the coefficients on time. The Poincar\'{e} map is derived explicitly. With exclusion of the overall phase, on which the evolution of other variables does not depend, the Poincar\'{e} map is reduced to 3D mapping. It possesses an attractor of Plykin type located on an invariant sphere. Computer verification of the cone criterion confirms the hyperbolic nature of the attractor in the 3D map. Some results of numerical studies of the dynamics for the coupled oscillators are presented, including the attractor portraits, Lyapunov exponents, and the power spectral density.Comment: 11 pages, 9 figure

Liquidity and the drivers of search, due diligence and transaction times for UK commercial real estate investments

Trading commercial real estate involves a process of exchange that is costly and which occurs over an extended and uncertain period of time. This has consequences for the performance and risk of real estate investments. Most research on transaction times has occurred for residential rather than commercial real estate. We study the time taken to transact commercial real estate assets in the UK using a sample of 578 transactions over the period 2004 to 2013. We measure average time to transact from a buyer and seller perspective, distinguishing the search and due diligence phases of the process, and we conduct econometric analysis to explain variation in due diligence times between assets. The median time for purchase of real estate from introduction to completion was 104 days and the median time for sale from marketing to completion was 135 days. There is considerable variation around these times and results suggest that some of this variation is related to market state, type and quality of asset, and type of participants involved in the transaction. Our findings shed light on the drivers of liquidity at an individual asset level and can inform models that quantify the impact of uncertain time on market on real estate investment risk