A numerical study on the evolution of portfolio rules

In this paper we test computationally the performance of CAPM in an evolutionary setting. In particular we study the stability of distribution of wealth in a financial market where some traders invest as prescribed by CAPM and others behave according to different portfolio rules. Our study is motivated by recent analytical results that show that, whenever a logarithmic utility maximiser enters the market, CAPM traders vanish in the long run. Our analysis provides further insights and extends these results. We simulate a sequence of trades in a financial market and: first, we address the issue of how long is the long run in different parametric settings; second, we study the effect of heterogeneous savings behaviour on asymptotic wealth shares. We find that CAPM is particularly “unfit” for highly risky environments

RAFI replication: easier done than said?

This is a post-peer-review, pre-copyedit version of an article published in The Journal of Asset Management. The definitive publisher-authenticated version Glabadanidis, Paskalis Teodoros; Obaydin, Ivan; Zurbruegg, Ralf, RAFI replication: easier done than said?, The Journal of Asset Management, 2012; 13(3):210-225 is available online at: dx.doi.org/10.1057/jam.2012.7We investigate whether adding fundamental indices to a portfolio provides increased diversification benefits. Our results show that equity investors who care only about portfolio mean and variance will benefit from including a fundamental index in their portfolios. This benefit is especially pronounced during periods of average stock market volatility. We also find that investors can construct a do-it-yourself buy-and-hold replicating portfolio that frequently outperforms the Research Affiliates Fundamental Index®(RAFI®), exchange traded fund out-of-sample.Paskalis Glabadanidis, Ivan Obaydin, Ralf Zurbrueg

Risk-Return Relationship in a Complex Adaptive System

For survival and development, autonomous agents in complex adaptive systems involving the human society must compete against or collaborate with others for sharing limited resources or wealth, by using different methods. One method is to invest, in order to obtain payoffs with risk. It is a common belief that investments with a positive risk-return relationship (namely, high risk high return and vice versa) are dominant over those with a negative risk-return relationship (i.e., high risk low return and vice versa) in the human society; the belief has a notable impact on daily investing activities of investors. Here we investigate the risk-return relationship in a model complex adaptive system, in order to study the effect of both market efficiency and closeness that exist in the human society and play an important role in helping to establish traditional finance/economics theories. We conduct a series of computer-aided human experiments, and also perform agent-based simulations and theoretical analysis to confirm the experimental observations and reveal the underlying mechanism. We report that investments with a negative risk-return relationship have dominance over those with a positive risk-return relationship instead in such a complex adaptive systems. We formulate the dynamical process for the system's evolution, which helps to discover the different role of identical and heterogeneous preferences. This work might be valuable not only to complexity science, but also to finance and economics, to management and social science, and to physics

Combustion in thermonuclear supernova explosions

Type Ia supernovae are associated with thermonuclear explosions of white dwarf stars. Combustion processes convert material in nuclear reactions and release the energy required to explode the stars. At the same time, they produce the radioactive species that power radiation and give rise to the formation of the observables. Therefore, the physical mechanism of the combustion processes, as reviewed here, is the key to understand these astrophysical events. Theory establishes two distinct modes of propagation for combustion fronts: subsonic deflagrations and supersonic detonations. Both are assumed to play an important role in thermonuclear supernovae. The physical nature and theoretical models of deflagrations and detonations are discussed together with numerical implementations. A particular challenge arises due to the wide range of spatial scales involved in these phenomena. Neither the combustion waves nor their interaction with fluid flow and instabilities can be directly resolved in simulations. Substantial modeling effort is required to consistently capture such effects and the corresponding techniques are discussed in detail. They form the basis of modern multidimensional hydrodynamical simulations of thermonuclear supernova explosions. The problem of deflagration-to-detonation transitions in thermonuclear supernova explosions is briefly mentioned.Comment: Author version of chapter for 'Handbook of Supernovae,' edited by A. Alsabti and P. Murdin, Springer. 24 pages, 4 figure

Characterisation of the Physical Composition and Microbial Community Structure of Biofilms within a Model Full-Scale Drinking Water Distribution System

Within drinking water distribution systems (DWDS), microorganisms form multi-species biofilms on internal pipe surfaces. A matrix of extracellular polymeric substances (EPS) is produced by the attached community and provides structure and stability for the biofilm. If the EPS adhesive strength deteriorates or is overcome by external shear forces, biofilm ismobilised into the water potentially leading to degradation of water quality. However, little is known about the EPS within DWDS biofilms or how this is influenced by community composition or environmental parameters, because of the complications in obtaining biofilm samples and the difficulties in analysing EPS. Additionally, although biofilms may contain various microbial groups, research commonly focuses solely upon bacteria. This research applies an EPS analysis method based upon fluorescent confocal laser scanning microscopy (CLSM) in combination with digital image analysis (DIA), to concurrently characterize cells and EPS (carbohydrates and proteins) within drinking water biofilms from a full-scale DWDS experimental pipe loop facility with representative hydraulic conditions. Application of the EPS analysismethod, alongside DNA fingerprinting of bacterial, archaeal and fungal communities, was demonstrated for biofilms sampled from different positions around the pipeline, after 28 days growth within the DWDS experimental facility. The volume of EPS was 4.9 times greater than that of the cells within biofilms, with carbohydrates present as the dominant component. Additionally, the greatest proportion of EPS was located above that of the cells. Fungi and archaea were established as important components of the biofilm community, although bacteria were more diverse.Moreover, biofilms from different positions were similar with respect to community structure and the quantity, composition and three-dimensional distribution of cells and EPS, indicating that active colonisation of the pipe wall is an important driver inmaterial accumulation within the DWDS

Cigarette smoking, genetic polymorphisms and colorectal cancer risk: the Fukuoka Colorectal Cancer Study

Background: It is uncertain whether smoking is related to colorectal cancer risk. Cytochrome P-450 CYP1A1, glutathione-S-transferase (GST) and NAD(P)H:quinone oxidoreductase 1 (NQO1) are important enzymes in the metabolism of tobacco carcinogens, and functional genetic polymorphisms are known for these enzymes. We investigated the relation of cigarette smoking and related genetic polymorphisms to colorectal cancer risk, with special reference to the interaction between smoking and genetic polymorphism. Methods: We used data from the Fukuoka Colorectal Cancer Study, a population-based case-control study, including 685 cases and 778 controls who gave informed consent to genetic analysis. Interview was conducted to assess lifestyle factors, and DNA was extracted from buffy coat. Results: In comparison with lifelong nonsmokers, the odds ratios (OR) of colorectal cancer for <400, 400-799 and ≥800 cigarette-years were 0.65 (95 % confidence interval [CI], 0.45-0.89), 1.16 (0.83-1.62) and 1.14 (0.73-1.77), respectively. A decreased risk associated with light smoking was observed only for colon cancer, and rectal cancer showed an increased risk among those with ≥400 cigarette-years (OR 1.60, 95 % CI 1.04-2.45). None of the polymorphisms under study was singly associated with colorectal cancer risk. Of the gene-gene interactions studied, the composite genotype of CYP1A1*2A or CYP1A1*2C and GSTT1 polymorphisms was associated with a decreased risk of colorecta

FinTech revolution: the impact of management information systems upon relative firm value and risk

The FinTech or ‘financial technology’ revolution has been gaining increasing interest as technologies are fundamentally changing the business of financial services. Consequently, financial technology is playing an increasingly important role in providing relative performance growth to firms. It is also well known that such relative performance can be observed through pairs trading investment. Therefore pairs trading have implications for understanding financial technology performance, yet the relationships between relative firm value and financial technology are not well understood. In this paper we investigate the impact of financial technology upon relative firm value in the banking sector. Firstly, using pairs trade data we show that financial technologies reveal differences in relative operational performance of firms, providing insight on the value of financial technologies. Secondly, we find that contribution of relative firm value growth from financial technologies is dependent on the specific business characteristics of the technology, such as the business application and activity type. Finally, we show that financial technologies impact the operational risk of firms and so firms need to take into account both the value and risk benefits in implementing new technological innovations. This paper will be of interest to academics and industry professionals

Reproductive toxicity of seafood contaminants: Prospective comparisons of Swedish east and west coast fishermen's families

Cohorts comprising fishermen's families on the east coast of Sweden have been found to have a high consumption of contaminated fish as well as high body burdens of persistent organochlorine pollutants (POPs). Their west coast correspondents are socio-economically similar, but with considerably lower POP exposure since the fish caught on the west coast is far less contaminated. The rationale for this was that the cohorts residing on the east coast of Sweden have been found to have a high consumption of contaminated fish as well as high body burdens of POPs, whereas their west coast correspondents are socio-economically similar, but with considerably lower POP exposure since the fish caught on the west coast is far less contaminated. Among the reproductive outcomes investigated are included both male and female parameters, as well as couple fertility and effects on the fetus. A range of exposure measures, including both questionnaire assessments of fish consumption and biomarkers, have been used