Emerging Equity Markets: To Invest Or Not To Invest?

Numerous studies suggest that investors diversifying their portfolios with equity of emerging markets benefit from increased returns and/or reduced volatility. Using a 16-year sample from 1988 to 2003, we test this assertion and find that ex-post benefits to U.S. investors in this period are small. Our tests show that the improvement in portfolio performance is not consistent through time, and it is statistically significant only when we restrict our analysis to some regions and/or specific time periods. We find that the lack of significant gains of diversifying into emerging markets is caused by problems with the two main sources of diversification benefits: contrary to expectations, emerging markets have low relative realized returns and their correlation with the U.S. stock market has increased over time

Use of degree of disequilibrium analysis to select kinetic constraints for the rate-controlled constrained-equilibrium (RCCE) method

The Rate-Controlled Constrained-Equilibrium (RCCE) method provides a general framework that enables, with the same ease, reduced order kinetic modelling at three different levels of approximation: shifting equilibrium, frozen equilibrium, as well as non-equilibrium chemical kinetics. The method in general requires a significantly smaller number of differential equations than the dimension of the underlying Detailed Kinetic Model (DKM) for acceptable accuracies. To provide accurate approximations, however, the method requires accurate identification of the bottleneck kinetic mechanisms responsible for slowing down the relaxation of the state of the system towards local chemical equilibrium. In other words, the method requires that such bottleneck mechanisms be characterized by means of a set of representative constraints. So far, a drawback of the RCCE method has been the absence of a systematic algorithm that would allow a fully automatable identification of the best constraints for a given range of thermodynamic conditions and a required level of approximation. In this paper, we provide the first of two steps towards such algorithm based on the analysis of the degrees of disequilibrium (DoD) of chemical reactions in the underlying DKM. In any given DKM the number of rate-limiting kinetic bottlenecks is generally much smaller than the number of species in the model. As a result, the DoDs of all the chemical reactions effectively assemble into a small number of groups that bear the information of the rate-controlling constraints. The DoDs of all reactions in each group exhibit almost identical behaviour (time evolution, spatial dependence). Upon identification of these groups, the proposed kernel analysis of N matrices that are obtained from the stoichiometric coefficients yields the N constraints that effectively control the dynamics of the system. The method is demonstrated within the framework of modeling the expansion of products of the oxy-combustion of hydrogen through a quasi one-dimensional supersonic nozzle. The analysis predicts and RCCE simulations confirm that, under the geometrical and boundary conditions considered, the underlying DKM is accurately represented by only two bottleneck kinetic mechanisms, instead of the three constraints identified for the same problem in a recently published work also based, in part, on DoD analysis

Contrarian Technical Trading Rules: Evidence From Nairobi Stock Index

We apply several popular technical trading rules in the normal way and a contrarian way to daily data of the Nairobi Stock Index from 9/12/2006 to 4/18/2013. The contrarian usage of popular technical trading rules implies that when a technical trading indicator emits buy (sell) signals, we do the opposite and sell (buy) the index. Results from the study support the predictive power of contrarian technical trading rules. We also investigate whether a trader can use the predictive power of contrarian technical rules to beat the profitability of the buy-and-hold strategy considering both transaction costs and risk. Designing four strategies of various contrarian trading rules, we conclude that it is possible to beat the buy-and-hold strategy even considering transaction costs and risk

The Rate-Controlled Constrained-Equilibrium Approach to Far-From-Local-Equilibrium Thermodynamics

The Rate-Controlled Constrained-Equilibrium (RCCE) method for the description of the time-dependent behavior of dynamical systems in non-equilibrium states is a general, effective, physically based method for model order reduction that was originally developed in the framework of thermodynamics and chemical kinetics. A generalized mathematical formulation is presented here that allows including nonlinear constraints in non-local equilibrium systems characterized by the existence of a non-increasing Lyapunov functional under the system’s internal dynamics. The generalized formulation of RCCE enables to clarify the essentials of the method and the built-in general feature of thermodynamic consistency in the chemical kinetics context. In this paper, we work out the details of the method in a generalized mathematical-physics framework, but for definiteness we detail its well-known implementation in the traditional chemical kinetics framework. We detail proofs and spell out explicit functional dependences so as to bring out and clarify each underlying assumption of the method. In the standard context of chemical kinetics of ideal gas mixtures, we discuss the relations between the validity of the detailed balance condition off-equilibrium and the thermodynamic consistency of the method. We also discuss two examples of RCCE gas-phase combustion calculations to emphasize the constraint-dependent performance of the RCCE method.Fondazione Cariplo (grant 2008-2290)United States. Army Research Office (grant number W911NF-08-1-0444

Laminar burning velocity of isooctane-air, methane-air, and methanol-air mixtures at high temperature and pressure

Thesis (M.S.)--Massachusetts Institute of Technology, Dept. of Mechanical Engineering, 1977.MICROFICHE COPY AVAILABLE IN ARCHIVES AND ENGINEERING.Includes bibliographical references.by Mohamad Metghalchi.M.S

The effect of interruption on earning and labor force participation of married women /

Taken together, these results suggest that women who drop out of the labor force to raise families cannot expect to earn as much when they return as persons with uninterrupted careers. (Abstract shortened with permission of author.)A dynamic model based on human capital theory was formulated. The model analyzes wages and participation jointly with special attention to heterogeneity and selectivity bias. The model was then estimated using 12 years of longitudinal data from the mature women cohort of the National Longitudinal Survey and only married women were included. This is a sample of 5,083 women who in 1967 were 30 to 44 years of age.Women have a tendency to interrupt their careers with periods of time spent out of the labor force. Their labor force participation decisions are based on a comparison of the costs and benefits of market work with non-market work. The interruption would normally reduce the earning ability and thus the future participation of the individuals. The objective of this research is to estimate the effect of interruption on earning and labor force participation of married women. Previous research findings do not provide an accurate estimate because of selectivity bias, heterogeneity and not treating wages and participation simultaneously.When the model was implemented the following results were obtained: (1) Women who have spent more time at home in the past are more likely to remain in the home in the future. (2) The presence of preschool children decreases while the presence of older children increases the probability of a woman working. (3) Although part-time work carries with it fewer opportunities for advancement than full-time, it is a substitute for full withdrawal from the labor force. (4) Nonwhite workers have a higher tendency to have irregular employment patterns than the white ones. (5) Women facing larger penalties for their interruption will tend to shorten the length of their time out of the labor force. (6) It was estimated that the long-run wage loss was in the neighborhood of 9 to 10 percent for each year of work

Laminar burning velocity of mixtures of air with indolene, isooctane, methanol and propane

Thesis (Sc.D.)--Massachusetts Institute of Technology, Dept. of Mechanical Engineering, 1980.MICROFICHE COPY AVAILABLE IN ARCHIVES AND ENGINEERING.Includes bibliographical references.by Mohamad Metghalchi.Sc.D

Profitable Technical Trading Rules For The Austrian Stock Market

Two moving average technical trading rules for the Austrian stock market are tested. Results indicate that moving average rules do indeed have predictive power and could discern recurring-price patterns for profitable trading. Results also support the hypothesis that technical trading rules can outperform the buy-and-hold strategy. Break-even one-way trading costs are estimated to be between .61 and 2.36 %. These break-even costs are larger than recent estimates of actual trading costs, implying profitable trading rules for the Austrian stock market