706 research outputs found
A novel dynamic asset allocation system using Feature Saliency Hidden Markov models for smart beta investing
The financial crisis of 2008 generated interest in more transparent,
rules-based strategies for portfolio construction, with Smart beta strategies
emerging as a trend among institutional investors. While they perform well in
the long run, these strategies often suffer from severe short-term drawdown
(peak-to-trough decline) with fluctuating performance across cycles. To address
cyclicality and underperformance, we build a dynamic asset allocation system
using Hidden Markov Models (HMMs). We test our system across multiple
combinations of smart beta strategies and the resulting portfolios show an
improvement in risk-adjusted returns, especially on more return oriented
portfolios (up to 50 in excess of market annually). In addition, we propose
a novel smart beta allocation system based on the Feature Saliency HMM (FSHMM)
algorithm that performs feature selection simultaneously with the training of
the HMM, to improve regime identification. We evaluate our systematic trading
system with real life assets using MSCI indices; further, the results (up to
60 in excess of market annually) show model performance improvement with
respect to portfolios built using full feature HMMs
People, culture, and society a researcher's guide to psychological studies in Hong Kong /
published_or_final_versio
Topological Censorship
All three-manifolds are known to occur as Cauchy surfaces of asymptotically
flat vacuum spacetimes and of spacetimes with positive-energy sources. We prove
here the conjecture that general relativity does not allow an observer to probe
the topology of spacetime: any topological structure collapses too quickly to
allow light to traverse it. More precisely, in a globally hyperbolic,
asymptotically flat spacetime satisfying the null energy condition, every
causal curve from \scri^- to {\scri}^+ is homotopic to a topologically
trivial curve from \scri^- to {\scri}^+. (If the Poincar\'e conjecture is
false, the theorem does not prevent one from probing fake 3-spheres).Comment: 12 pages, REVTEX; 1 postscript figure in a separate uuencoded file.
Our earlier version (PRL 71, 1486 (1993)) contained a secondary result,
mistakenly attributed to Schoen and Yau, regarding ``passive topological
censorship'' of a certain class of topologies. As Gregory Burnett has pointed
out (gr-qc/9504012), this secondary result is false. The main topological
censorship theorem is unaffected by the erro
Anticancer Effect of Medicinal Mushroom with Prooxidant Activity on Human Bladder Cancer Cells
Accurate IMU Preintegration Using Switched Linear Systems For Autonomous Systems
Employing an inertial measurement unit (IMU) as an additional sensor can
dramatically improve both reliability and accuracy of visual/Lidar odometry
(VO/LO). Different IMU integration models are introduced using different
assumptions on the linear acceleration from the IMU. In this paper, a novel IMU
integration model is proposed by using switched linear systems. The proposed
approach assumes that both the linear acceleration and the angular velocity in
the body frame are constant between two consecutive IMU measurements. This is
more realistic in real world situation compared to existing approaches which
assume that linear acceleration is constant in the world frame while angular
velocity is constant in the body frame between two successive IMU measurements.
Experimental results show that the proposed approach outperforms the
state-of-the-art IMU integration model. The proposed model is thus important
for localization of high speed autonomous vehicles in GPS denied environments.Comment: 19 pages, 2 Figures, Accepted for publication by the IEEE Intelligent
Transportation Systems Conference (ITSC 2019). Additionally, Supplementary
Derivations on the Pape
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