Three Essays on Hedge Funds

This dissertation consists of three chapters. The first two chapters focus on the Chinese hedge fund industry, and the third chapter focuses on American and offshore hedge funds. In the first chapter, I study the Chinese hedge fund industry during its earliest development from 2003 to 2013. I find that it outperforms the Chinese stock market over this period by about 200% in cumulative returns. I also find that different investment strategies lead to significant differences in a fund’s performance, risk taking behavior, and return generating process, although no investment strategy demonstrates persistence in performance during this period. Moreover, I point out that for any research on survival issues of Chinese hedge funds, it is necessary to distinguish between dissolved funds according to why a fund stops reporting to a database. Chinese hedge funds are different from other hedge funds in the world because of their self-chosen disclosing mechanism, special legal structure, and constant policy changes. So in the second chapter, I investigate whether these special features affect the performance of Chinese hedge funds. I find strong evidence that better fund performance is associated with more frequent fund disclosure, higher complexity of trust companies and fund management companies, and slower speed of fund families in launching new funds. I also provide evidence that the new policy in July 2011, which allows trust companies to trade stock index futures, brings fundamental changes to the hedge fund industry, especially funds that focus on hedging techniques. The third chapter studies hedge funds and their service providers. By building a comprehensive numeric score of hedge funds’ service providers, I study the relationship between hedge funds’ use of service providers and funds’ characteristics, performances, and investor flows. I find that using well-known service providers is associated with larger fund size, younger fund age, offshore domiciliation, better past performance, and smaller and less volatile cash flows from investors, and it can also predict better fund performance in the future. My results are robust across different fund sizes, investment strategies, and different levels of asset growth

FPSA: A Full System Stack Solution for Reconfigurable ReRAM-based NN Accelerator Architecture

Neural Network (NN) accelerators with emerging ReRAM (resistive random access memory) technologies have been investigated as one of the promising solutions to address the \textit{memory wall} challenge, due to the unique capability of \textit{processing-in-memory} within ReRAM-crossbar-based processing elements (PEs). However, the high efficiency and high density advantages of ReRAM have not been fully utilized due to the huge communication demands among PEs and the overhead of peripheral circuits. In this paper, we propose a full system stack solution, composed of a reconfigurable architecture design, Field Programmable Synapse Array (FPSA) and its software system including neural synthesizer, temporal-to-spatial mapper, and placement & routing. We highly leverage the software system to make the hardware design compact and efficient. To satisfy the high-performance communication demand, we optimize it with a reconfigurable routing architecture and the placement & routing tool. To improve the computational density, we greatly simplify the PE circuit with the spiking schema and then adopt neural synthesizer to enable the high density computation-resources to support different kinds of NN operations. In addition, we provide spiking memory blocks (SMBs) and configurable logic blocks (CLBs) in hardware and leverage the temporal-to-spatial mapper to utilize them to balance the storage and computation requirements of NN. Owing to the end-to-end software system, we can efficiently deploy existing deep neural networks to FPSA. Evaluations show that, compared to one of state-of-the-art ReRAM-based NN accelerators, PRIME, the computational density of FPSA improves by 31x; for representative NNs, its inference performance can achieve up to 1000x speedup.Comment: Accepted by ASPLOS 201

Fabrication of Crack-free Photonic Crystal Films on Superhydrophobic Nanopin Surface

厦门大学生物仿生及软物质研究院林友辉副教授以及院长刘向阳教授在利用超疏水基底改善胶体小球自组装研究方向取得进展。 目前通过胶体小球自组装方法已构筑了许多复杂却高度有序的光子晶体。但是胶体小球在形成有序结构过程中会不可避免的产生收缩和应力，该方法通常会导致裂纹和缺陷的形成，降低了光子晶体的光学质量，也同时限制了其进一步的应用。 在该研究中，作者基于以上的研究现状，以纳米针状的超疏水表面为基底，来改善胶体小球的自组装，可以减少甚至消除大尺度的裂纹的效果。基于该原理，最后成功制备出厘米级别无裂纹的光子晶体薄膜。【Abstract】sed on their superior optical performance, photonic crystals (PCs) have been investigated as excellent candidates for widespread applications including sensors, displays, separation processes, and catalysis. However, fabrication of large-area PC assemblies with no defects and structurally controllable is still a tough task. Herein, we develop an effective strategy for preparing centimeter-scale crack-free photonic crystals films by the combined effects of soft assembly and superhydrophobic nanopin surfaces. Owing to its large contact angle and low adhesive force on the superhydrophobic substrate, the colloidal suspension exhibits a continuous retraction of the three-phase (gas−liquid−solid) contact line(TCL) in the process of solvent (water molecules) evaporation. The constantly receding TCL can bring the colloidal spheres closer to each other, which could timely close the gaps due to the loss of water molecules. As a result, close-packed and well-ordered assembly structures can be easily obtained. We expect that this work may pave the way to utilize novel superhy drophobic materials for designing and developing high-quality PCs and to apply PCs in different fields.This work is financially supported by National Nature Science Foundation (Nos. 21401154,U1405226), 111 project (B16029), Guangdong Natural Science Foundation (2014A030310005),the Fundamental Research Funds for the Central Universities of China (Nos. 20720170011,20720140528), Ph.D. Programs Foundation of Ministry of Education of China(20130121110018), Fujian Provincial Department of Science & Technology (2014H6022).X.Y.L.'s primary affiliation is the Department of Physics, National University of Singapore

Patterns of co-morbidity with anxiety disorders in Chinese women with recurrent major depression

BACKGROUND: Studies conducted in Europe and the USA have shown that co-morbidity between major depressive disorder (MDD) and anxiety disorders is associated with various MDD-related features, including clinical symptoms, degree of familial aggregation and socio-economic status. However, few studies have investigated whether these patterns of association vary across different co-morbid anxiety disorders. Here, using a large cohort of Chinese women with recurrent MDD, we examine the prevalence and associated clinical features of co-morbid anxiety disorders. METHOD: A total of 1970 female Chinese MDD patients with or without seven co-morbid anxiety disorders [including generalized anxiety disorder (GAD), panic disorder, and five phobia subtypes] were ascertained in the CONVERGE study. Generalized linear models were used to model association between co-morbid anxiety disorders and various MDD features. RESULTS: The lifetime prevalence rate for any type of co-morbid anxiety disorder is 60.2%. Panic and social phobia significantly predict an increased family history of MDD. GAD and animal phobia predict an earlier onset of MDD and a higher number of MDD episodes, respectively. Panic and GAD predict a higher number of DSM-IV diagnostic criteria. GAD and blood-injury phobia are both significantly associated with suicidal attempt with opposite effects. All seven co-morbid anxiety disorders predict higher neuroticism. CONCLUSIONS: Patterns of co-morbidity between MDD and anxiety are consistent with findings from the US and European studies; the seven co-morbid anxiety disorders are heterogeneous when tested for association with various MDD features

Childhood Sexual Abuse and the Development of Recurrent Major Depression in Chinese Women

Background Our prior study in Han Chinese women has shown that women with a history of childhood sexual abuse (CSA) are at increased risk for developing major depression (MD). Would this relationship be found in our whole data set? Method Three levels of CSA (non-genital, genital, and intercourse) were assessed by self-report in two groups of Han Chinese women: 6017 clinically ascertained with recurrent MD and 5983 matched controls. Diagnostic and other risk factor information was assessed at personal interview. Odds ratios (ORs) were calculated by logistic regression. Results We confirmed earlier results by replicating prior analyses in 3,950 new recurrent MD cases. There were no significant differences between the two data sets. Any form of CSA was significantly associated with recurrent MD (OR 4.06, 95% confidence interval (CI) [3.19–5.24]). This association strengthened with increasing CSA severity: non-genital (OR 2.21, 95% CI 1.58–3.15), genital (OR 5.24, 95% CI 3.52–8.15) and intercourse (OR 10.65, 95% CI 5.56–23.71). Among the depressed women, those with CSA had an earlier age of onset, longer depressive episodes. Recurrent MD patients those with CSA had an increased risk for dysthymia (OR 1.60, 95%CI 1.11–2.27) and phobia (OR 1.41, 95%CI 1.09–1.80). Any form of CSA was significantly associated with suicidal ideation or attempt (OR 1.50, 95% CI 1.20–1.89) and feelings of worthlessness or guilt (OR 1.41, 95% CI 1.02–2.02). Intercourse (OR 3.47, 95%CI 1.66–8.22), use of force and threats (OR 1.95, 95%CI 1.05–3.82) and how strongly the victims were affected at the time (OR 1.39, 95%CI 1.20–1.64) were significantly associated with recurrent MD

Associations of Educational Attainment, Occupation, Social Class and Major Depressive Disorder among Han Chinese Women

Background The prevalence of major depressive disorder (MDD) is higher in those with low levels of educational attainment, the unemployed and those with low social status. However the extent to which these factors cause MDD is unclear. Most of the available data comes from studies in developed countries, and these findings may not extrapolate to developing countries. Examining the relationship between MDD and socio economic status in China is likely to add to the debate because of the radical economic and social changes occurring in China over the last 30 years. Principal findings We report results from 3,639 Chinese women with recurrent MDD and 3,800 controls. Highly significant odds ratios (ORs) were observed between MDD and full time employment (OR = 0.36, 95% CI = 0.25–0.46, logP = 78), social status (OR = 0.83, 95% CI = 0.77–0.87, logP = 13.3) and education attainment (OR = 0.90, 95% CI = 0.86–0.90, logP = 6.8). We found a monotonic relationship between increasing age and increasing levels of educational attainment. Those with only primary school education have significantly more episodes of MDD (mean 6.5, P-value = 0.009) and have a clinically more severe disorder, while those with higher educational attainment are likely to manifest more comorbid anxiety disorders. Conclusions In China lower socioeconomic position is associated with increased rates of MDD, as it is elsewhere in the world. Significantly more episodes of MDD occur among those with lower educational attainment (rather than longer episodes of disease), consistent with the hypothesis that the lower socioeconomic position increases the likelihood of developing MDD. The phenomenology of MDD varies according to the degree of educational attainment: higher educational attainment not only appears to protect against MDD but alters its presentation, to a more anxious phenotype