A multiple factor model for European stocks

We present an empirical study focusing on the estimation of a fundamental multi-factor model for a universe of European stocks. Following the approach of the BARRA model, we have adopted a cross-sectional methodology. The proportion of explained variance ranges from 7.3% to 66.3% in the weekly regressions with a mean of 32.9%. For the individual factors we give the percentage of the weeks when they yielded statistically significant influence on stock returns. The best explanatory power – apart from the dominant country factors – was found among the statistical constructs „success“ and „variability in markets“.Vorgestellt wird eine empirische Studie, welche die Schätzung eines fundamentalen Multi-Faktor-Modells für ein Universum europäischer Aktien beinhaltet. Als Methode wurde in Anlehnung an die Vorgehensweise im BARRA-Modell der Querschnittsanalyse der Vorzug gegeben. Der Anteil der erklärten Varianz beläuft sich in den wöchentlichen Regressionen auf 7,3% bis 66,3% bei einem Durchschnitt von 32,9%. Für die einzelnen Faktoren wird die Häufigkeit angegeben, mit der sie sich in den Regressionen signifikant erwiesen haben. Den höchsten Erklärungsgehalt im Untersuchungszeitraum hatten Länderfaktoren, aber auch Konstrukte wie „Success“ oder „Variability in Markets“

River Run Off Measurement With SAR Along Track Interferometry

The paper summarizes the need for global space borne river run-off measurements. It reports about an airborne SAR experiment aimed to measure the surface velocity of the river Isar in Bavaria / Germany. The results from two different SAR techniques, including Along Track Interferometry (ATI) show good correspondence. Finally suggestions for further studies are given

Is consumption growth only a sideshow in asset pricing?: asset pricing implications of demographic change and shocks to time preferences

I show that risk sources such as unexpected demographic changes or shocks to the agent's subjective time preferences may have stronger implications and be of greater importance for asset pricing than risk in the (aggregate) consumption growth process. In the first chapter, I discuss stochastic changes to time preferences. Shocks to the agent's subjective time discounting of future utility cause stochastic changes in asset prices and the agent's value function. Independent of the consumption growth process, shocks to time discounting imply a covariation between asset returns and the marginal utility process, and the equity premium is non-zero. My model can generate both a reasonably low level and volatility in the risk-free real interest rate and a high stock price volatility and equity premium. If time discounting follows a process with mean- reversion, then the interest rate process is mean-reverting and stock returns are (at long horizons) negatively auto-correlated. In the second chapter, I analyze the asset pricing implications of birth and death rate shocks in an overlapping generations model. The interest rate and the equity premium are time varying and under certain conditions the interest rate is lower and the equity premium is higher during periods characterized by a high birth rate and low mortality than in times of a low birth rate and high mortality. Demographic changes may explain substantial parts of the time variation in the real interest rate and the equity premium. Demographic uncertainty implies a large unconditional variation in asset returns and leads to stochastic changes in the conditional volatility of stock returns. In the last chapter, I illustrate how shocks to the death rate may affect expected asset returns in the cross-section. An agent demands more of an asset with higher (lower) payoff in states of the world when he expects to live longer (shorter) and marginal utility is high (low) than an asset with the opposite payoff schedule. In equilibrium, the first asset pays a lower expected return than the latter. Empirical evidence supports the model. Out-of-sample evidence suggests that a strategy, which loads on uncertainty in the death rate, pays a positive unexplained return according to traditional market models

Numerical calculation of magnetic form factors of complex shape nano-particles coupled with micromagnetic simulations

We investigate the calculation of the magnetic form factors of nano-objects with complex geometrical shapes and non homogeneous magnetization distributions. We describe a numerical procedure which allows to calculate the 3D magnetic form factor of nano-objects from realistic magnetization distributions obtained by micromagnetic calculations. This is illustrated in the canonical cases of spheres, rods and platelets. This work is a first step towards a 3D vectorial reconstruction of the magnetization at the nanometric scale using neutron scattering techniques.Comment: 7 pages, 5 figures. To appear in Physics Procedi

Small-scale opencast mining: an important research field for anthropogenic geomorphology

Artisanal and small-scale mining (A&SM) is a growing economic sector in many third-world countries. This review focuses on anthropo-geomorphic factors and processes associated with small-scale opencast mining (SSOM), a form of A&SM in which near-surface ores are extracted by removing relatively thin covers of soil, bedrock or sediments. Being widespread and commonly conducted without proper planning and beyond the control of local authorities, this form of mining has potentially large impacts on landforms and landscape dynamics, often resulting in drastic consequences for the local environment and agriculture. SSOM should be regarded as a component of anthropogenic geomorphology because it involves the role of humans in creating landforms and modifying the operation of natural geomorphological processes, such as weathering, erosion, transport and deposition. By initiating new and modifying natural geomorphic processes, SSOM causes and/or accelerates geomorphic processes, resulting in various forms of land degradation. While the direct geomorphic impact of SSOM is in general easily discernible and leads to characteristic features, such as excavated pits and overburden spoil heaps, many secondary impacts are attributed to geomorphic processes triggered in the wake of the primary mining-induced landscape alterations. The magnitude of such secondary implications may well extend beyond the actual mining areas, but these effects have not been thoroughly addressed in the research so far. This review summarizes the known studies on the geomorphic impacts of SSOM operations and highlights common geomorphic processes and landforms associated with this type of anthropogenic activity, thus establishing a starting point for further in-depth research

Vermögensanlagevorschriften für deutsche Versicherungsunternehmen : Status Quo und finanzwirtschaftliche Bewertungen

Versicherungsunternehmen haben bei der Auswahl ihrer Vermögensanlagen die gesetzlichen Restriktionen des Versicherungsaufsichtsgesetzes einzuhalten. Neben einer strukturierten Darstellung der zahlreichen Regulierungstatbestände werden aus Sicht der Finanzierungstheorie sowie den empirischen Verhältnissen an den Kapitalmärkten die im VAG enthaltenen Rahmenbedingungen einer kritischen Bewertung unterzogen

Ordered arrays of magnetic nanowires investigated by polarized small-angle neutron scattering

Polarized small-angle neutron scattering (PSANS) experimental results obtained on arrays of ferromagnetic Co nanowires ($\phi\approx13$ nm) embedded in self-organized alumina (Al$_{2}$O$_{3}$) porous matrices are reported. The triangular array of aligned nanowires is investigated as a function of the external magnetic field with a view to determine experimentally the real space magnetization $\vec{M}(\vec{r})$ distribution inside the material during the magnetic hysteresis cycle. The observation of field-dependentSANSintensities allows us to characterize the influence of magnetostatic fields. The PSANS experimental data are compared to magnetostatic simulations. These results evidence that PSANS is a technique able to address real-space magnetization distributions in nanostructured magnetic systems. We show that beyond structural information (shape of the objects, two-dimensional organization) already accessible with nonpolarized SANS, using polarized neutrons as the incident beam provides information on the magnetic form factor and stray fields \textgreek{m}0Hd distribution in between nanowires.Comment: 13 pages, 10 figures, submitted to Phys. Rev.

Human-Likeness Indicator for Robot Posture Control and Balance

Similarly to humans, humanoid robots require posture control and balance to walk and interact with the environment. In this work posture control in perturbed conditions is evaluated as a performance test for humanoid control. A specific performance indicator is proposed: the score is based on the comparison between the body sway of the tested humanoid standing on a moving surface and the sway produced by healthy subjects performing the same experiment. This approach is here oriented to the evaluation of a human-likeness. The measure is tested using a humanoid robot in order to demonstrate a typical usage of the proposed evaluation scheme and an example of how to improve robot control on the basis of such a performance indicator scoreComment: 16 pages, 5 Figures. arXiv admin note: substantial text overlap with arXiv:2110.1439