An investigation into multivariate variance ratio statistics and their application to stock market predictability

© The Author, 2017. Published by Oxford University Press. All rights reserved. We propose several multivariate variance ratio statistics for "testing" the weak form Efficient Market Hypothesis and for measuring the direction and magnitude of departures from this hypothesis. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment. We propose asymptotic standard errors that are robust to departures from the "no leverage" assumption of Lo and MacKinlay (1988), but are relatively simple and in particular do not require the selection of a bandwidth parameter. We show the limiting behavior of the statistic under a multivariate fads model and under a moderately explosive bubble process: these alternative hypotheses give opposite predictions with regards to the long-run value of the statistics. We apply the methodology to weekly returns for Center for Research in Security Prices size-sorted portfolios from 1962 to 2013 in three subperiods. We find evidence of a reduction of linear predictability in the most recent period, for small and medium cap stocks, but we still reject the multivariate null hypothesis in the most recent period. The main findings are not substantially affected by allowing for a common factor time varying risk premium

The Ubiquitin Specific Protease USP34 promotes ubiquitin signaling at DNA double-strand breaks

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Quantifying the modern recharge of the "fossil" Sahara aquifers

The North-Western Sahara Aquifer System (NWSAS), one of the world's largest groundwater systems, shows an overall piezometric decline associated with increasing withdrawals. Estimating the recharge rate in such a semiarid system is challenging but crucial for sustainable water development. In this paper, the recharge of the NWSAS is estimated using a regional water budget based on GRACE terrestrial water storage monthly records, soil moisture from the GLDAS (a land data system that assimilates hydrological information), and groundwater pumping rates. A cumulated natural recharge rate of 1.40 +/- 0.90 km(3) yr(-1) is estimated for the two main aquifers. Our results suggest a renewal rate of about 40% which partly contradicts the premise that recharge in this area should be very low or even null. Aquifer depletion inferred from our analysis is consistent with observed piezometric head decline in the two main aquifers in the region. Annual recharge variations were also estimated and vary between 0 and 4.40 km(3) yr(-1) for the period 2003-2010. These values correspond to a recharge between 0 and 6.75 mm yr(-1) on the 650,000 km(2) of outcropping areas of the aquifers, which is consistent with the expected weak and sporadic recharge in this semiarid environment. These variations are also in line with annual rainfall variation with a lag time of about 1 year

Turning to Peers: Integrating Understanding of the Self, the Condition, and Others’ Experiences in Making Sense of Complex Chronic Conditions

People are increasingly involved in the self-management of their own health, including chronic conditions. With technology advances, the choice of self-management practices, tools, and technologies has never been greater. The studies reported here investigated the information seeking practices of two different chronic health populations in their quest to manage their health conditions. Migraine and diabetes patients and clinicians in the UK and the US were interviewed about their information needs and practices, and representative online communities were explored to inform a qualitative study. We found that people with either chronic condition require personally relevant information and use a broad and varied set of practices and tools to make sense of their specific symptoms, triggers, and treatments. Participants sought out different types of information from varied sources about themselves, their medical condition, and their peers’ experiences of the same chronic condition. People with diabetes and migraine expended great effort to validate their personal experiences of their condition and determine whether these experiences were ‘normal’. Based on these findings, we discuss the need for future personal health technologies that support people in engaging in meaningful and personalised data collection, information seeking, and information sharing with peers in flexible ways that enable them to better understand their own condition

Approximation of conformal mappings using conformally equivalent triangular lattices

Consider discrete conformal maps defined on the basis of two conformally equivalent triangle meshes, that is edge lengths are related by scale factors associated to the vertices. Given a smooth conformal map $f$, we show that it can be approximated by such discrete conformal maps $f^\epsilon$. In particular, let $T$ be an infinite regular triangulation of the plane with congruent triangles and only acute angles (i.e.\ $<\pi/2$). We scale this tiling by $\epsilon>0$ and approximate a compact subset of the domain of $f$ with a portion of it. For $\epsilon$ small enough we prove that there exists a conformally equivalent triangle mesh whose scale factors are given by $\log|f'|$ on the boundary. Furthermore we show that the corresponding discrete conformal maps $f^\epsilon$ converge to $f$ uniformly in $C^1$ with error of order $\epsilon$.Comment: 14 pages, 3 figures; v2 typos corrected, revised introduction, some proofs extende

A Schwarz lemma for K\"ahler affine metrics and the canonical potential of a proper convex cone

This is an account of some aspects of the geometry of K\"ahler affine metrics based on considering them as smooth metric measure spaces and applying the comparison geometry of Bakry-Emery Ricci tensors. Such techniques yield a version for K\"ahler affine metrics of Yau's Schwarz lemma for volume forms. By a theorem of Cheng and Yau there is a canonical K\"ahler affine Einstein metric on a proper convex domain, and the Schwarz lemma gives a direct proof of its uniqueness up to homothety. The potential for this metric is a function canonically associated to the cone, characterized by the property that its level sets are hyperbolic affine spheres foliating the cone. It is shown that for an $n$-dimensional cone a rescaling of the canonical potential is an $n$-normal barrier function in the sense of interior point methods for conic programming. It is explained also how to construct from the canonical potential Monge-Amp\`ere metrics of both Riemannian and Lorentzian signatures, and a mean curvature zero conical Lagrangian submanifold of the flat para-K\"ahler space.Comment: Minor corrections. References adde

LMDA Canada Newsletter, Winter 2003/2004

Contents include: Letter from the Chair, The Naming of Process and the Process of Naming Or, When You\u27re Doing This Work, You\u27re Doing Dramaturgy, Opening the Lens...Mini-Conference Day One, Collaboration and Identity Mini-Conference Day Two, \u27Turgs in the Hood: LMDA Annual Conference in Chicago, LMDA Canada: Membership Contact Listhttps://soundideas.pugetsound.edu/lmdanewsletter/1025/thumbnail.jp

Pauvreté et accès à l'eau dans la vallée du Sénégal

Water poverty in the Senegal Valley Considering the flood-recession agriculture, the hydraulic history of the valley of the Senegal River is ancient, but knows a deep mutation since the introduction of the irrigation. Can one speak of water poverty, whereas two dams now control the water flow of the Senegal River and ensure a permanent abundance in water ? The answer to this questioning is proposed through the link between poverty, access to funding, access to land, and involvement in resource management.L'histoire hydraulique de la vallée du fleuve Sénégal est ancienne et remonte à la culture de décrue. Mais elle connaît une profonde mutation depuis l'introduction de l'irrigation. Peut-on parler de « pauvreté hydraulique », alors que deux barrages régulent à présent le régime du fleuve Sénégal et assurent une permanence de l'abondance en eau ? La réponse à cette question est proposée sous l'angle de l'articulation entre la pauvreté, l'accès au financement, l'accès au foncier, la participation à la gestion de la ressource