69 research outputs found
Factorising equity returns in an emerging market through exogenous shocks and capital flows
A technique from stochastic portfolio theory [Fernholz, 1998] is applied to
analyse equity returns of Small, Mid and Large cap portfolios in an emerging
market through periods of growth and regional crises, up to the onset of the
global financial crisis. In particular, we factorize portfolios in the South
African market in terms of distribution of capital, change of stock ranks in
portfolios, and the effect due to dividends for the period Nov 1994 to May
2007. We discuss the results in the context of broader economic thinking to
consider capital flows as risk factors, turning around more established
approaches which use macroeconomic and socio-economic conditions to explain
Foreign Direct Investment (into the economy) and Net Portfolio Investment (into
equity and bond markets).Comment: 27 pages, 12 figure
High-speed detection of emergent market clustering via an unsupervised parallel genetic algorithm
We implement a master-slave parallel genetic algorithm (PGA) with a bespoke
log-likelihood fitness function to identify emergent clusters within price
evolutions. We use graphics processing units (GPUs) to implement a PGA and
visualise the results using disjoint minimal spanning trees (MSTs). We
demonstrate that our GPU PGA, implemented on a commercially available general
purpose GPU, is able to recover stock clusters in sub-second speed, based on a
subset of stocks in the South African market. This represents a pragmatic
choice for low-cost, scalable parallel computing and is significantly faster
than a prototype serial implementation in an optimised C-based
fourth-generation programming language, although the results are not directly
comparable due to compiler differences. Combined with fast online intraday
correlation matrix estimation from high frequency data for cluster
identification, the proposed implementation offers cost-effective,
near-real-time risk assessment for financial practitioners.Comment: 10 pages, 5 figures, 4 tables, More thorough discussion of
implementatio
Cosmic microwave background anisotropies: Nonlinear dynamics
We develop a new approach to local nonlinear effects in cosmic microwave
background anisotropies, and discuss the qualitative features of these effects.
New couplings of the baryonic velocity to radiation multipoles are found,
arising from nonlinear Thomson scattering effects. We also find a new nonlinear
shear effect on small angular scales. The full set of evolution and constraint
equations is derived, including the nonlinear generalizations of the radiation
multipole hierarchy, and of the dynamics of multi-fluids. These equations
govern radiation anisotropies in any inhomogeneous spacetime, but their main
application is to second-order effects in a universe that is close to the
Friedmann models. Qualitative analysis is given here, and quantitative
calculations are taken up in further papers.Comment: Revised version, with some important corrections and improved
clarity, highlighting the new results on nonlinear Thomson scattering effects
and nonlinear shear effects. To appear Phys Rev
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