US sector rotation with five-factor Fama–French alphas

In this paper, we investigate the risk-adjusted performance of US sector portfolios and sector rotation strategy using the alphas from the Fama–French five-factor model. We find that five-factor model fits better the returns of US sector portfolios than the three-factor model, but that significant alphas are still present in all the sectors at some point in time. In the full sample period, 50% of sectors generate significant five-factor alpha. We test whether such alpha signifies a true sector out/underperformance by applying simple long-only and long-short sector rotation strategies. Our long-only sector rotation strategy that buys a sector with a positive five-factor alpha generates four times higher Sharpe ratio than the S & P 500 buy-and-hold. If the strategy is adjusted to switch to the risk-free asset in recessions, the Sharpe ratio achieved is tenfold that of the buy-and-hold. The long-short strategy fares less well

A tale of two states: asymmetries in the UK small, value and momentum premiums

This article performs comparative analysis of the asymmetries in size, value and momentum premium and their macroeconomic determinants over the UK economic cycles, using Markov switching approach. We associate Markov switching regime 1 with economic upturn and regime 2 with economic downturn. We find clear evidence of cyclical variations in the three premiums, most notable being that in the size premium, which changes from positive in expansions to negative in recessions. Macroeconomic indicators prompting such cyclicality the most are variables that proxy credit market conditions, namely the interest rates, term structure and credit spread. Overall, macro factors tend to have more significant impact on the three premiums during economic downturns. The results are robust to the choice of information variable used in modelling transition probabilities of the two-stage Markov switching model. We show that exploiting cyclicality in premiums proves particularly profitable for portfolios featuring small cap stocks in recessions at a feasible level of transaction costs

A guide to survival of momentum in UK style portfolios

In this study we estimate the survival time of momentum in six UK style portfolio returns from October 1980 to June 2014. We utilise the Kaplan-Meier estimator, a non-parametric method that measures the probability that momentum will persist beyond the present month. This probability enables us to compute the average momentum survival time for each of the six style portfolios. Discrepancies between these empirical mean survival times and those implied by theoretical models [Random Walk and ARMA (1, 1)] show that there is scope for profiting from momentum trading. We illustrate this by forming long-only, short-only and long-short trading strategies that exploit positive and negative momentum and their average survival time. These trading strategies yield considerably higher Sharpe ratios than the comparative buy-and-hold strategies at a feasible level of transaction costs. This result is most pronounced for the long/short strategies. Our findings remain robust during the 2007/2008 financial crisis and the aftermath, suggesting that Kaplan-Meier estimator is a powerful tool for designing a profitable momentum strategy

Fuzzy Fixed Point Results For Φ

In this paper, using rational type contractions, common fuzzy fixed point result for Φ contractive mappings involving control functions as coefficients of contractions in the setting of complex-valued metric space is established. The derived results generalizes some result in the existing literature. To show the validity of the derived results an appropriate example and applications are also discussed

Optical control of internal electric fields in band-gap graded InGaN nanowires

InGaN nanowires are suitable building blocks for many future optoelectronic devices. We show that a linear grading of the indium content along the nanowire axis from GaN to InN introduces an internal electric field evoking a photocurrent. Consistent with quantitative band structure simulations we observe a sign change in the measured photocurrent as a function of photon flux. This negative differential photocurrent opens the path to a new type of nanowire-based photodetector. We demonstrate that the photocurrent response of the nanowires is as fast as 1.5 ps

Examination of unremitting kidney illness by utilizing machine learning classifiers

Chronic kidney disease is a rising health issue that affects millions of people worldwide. Early detection and characterization of this disease is essential for effective management and control. This disease is associated with several serious health risks, such as cardiovascular disease, increased risk of stroke, and end-stage renal disease, which can be effectively prevented by early detection and treatment. Medical scientists rely on machine learning algorithms to diagnose the disease accurately at its outset. Recently, adding value to healthcare is being accomplished through the integration of machine learning algorithms into mobile health solution. Considering this, this paper proposes a predictive model of three machine learning classifiers, including Support Vector Machine, Decision Tree, and Multilayer Perceptron for chronic kidney disease prediction. The performance of the model was assessed using confusion matrix and executed in popular machine learning software tools such as WEKA and Rapid Minor. The study found that support vector machine yielded the highest accuracy rate of 98% in predicting chronic kidney disease in WEKA among other standard classifiers by using 10-fold cross validation. In addition, the proposed prediction model has been compared with existing models in terms of accuracy, sensitivity, and specificity. The experimental results indicate that the proposed predictive model shows promising results. These findings could integrate with the development of mobile health solution and other innovative approaches to prevent and treat this debilitating condition.info:eu-repo/semantics/acceptedVersio

CAG : stylometric authorship attribution of multi-author documents using a co-authorship graph

© 2020 The Authors. Published by IEEE. This is an open access article available under a Creative Commons licence. The published version can be accessed at the following link on the publisher’s website: https://ieeexplore.ieee.org/document/8962080Stylometry has been successfully applied to perform authorship identification of single-author documents (AISD). The AISD task is concerned with identifying the original author of an anonymous document from a group of candidate authors. However, AISD techniques are not applicable to the authorship identification of multi-author documents (AIMD). Unlike AISD, where each document is written by one single author, AIMD focuses on handling multi-author documents. Due to the combinatoric nature of documents, AIMD lacks the ground truth information - that is, information on writing and non-writing authors in a multi-author document - which makes this problem more challenging to solve. Previous AIMD solutions have a number of limitations: (i) the best stylometry-based AIMD solution has a low accuracy, less than 30%; (ii) increasing the number of co-authors of papers adversely affects the performance of AIMD solutions; and (iii) AIMD solutions were not designed to handle the non-writing authors (NWAs). However, NWAs exist in real-world cases - that is, there are papers for which not every co-author listed has contributed as a writer. This paper proposes an AIMD framework called the Co-Authorship Graph that can be used to (i) capture the stylistic information of each author in a corpus of multi-author documents and (ii) make a multi-label prediction for a multi-author query document. We conducted extensive experimental studies on one synthetic and three real-world corpora. Experimental results show that our proposed framework (i) significantly outperformed competitive techniques; (ii) can effectively handle a larger number of co-authors in comparison with competitive techniques; and (iii) can effectively handle NWAs in multi-author documents.This work was supported in part by the Digital Economy Promotion Agency under Project MP-62-0003, and in part by the Thailand Research Fund and Office of the Higher Education Commission under Grant MRG6180266.Published versio

Comorbidities, complications and mortality in people of South Asian ethnicity with type 1 diabetes compared with other ethnic groups : a systematic review

Objective The aim of this systematic review is to explore the association of South Asian (SA) ethnicity on comorbidities, microvascular and macrovascular complications and mortality compared with other ethnic groups in people with type 1 diabetes mellitus (T1DM). Design Systematic review. Method A systematic literature search strategy was designed and carried out using Medline and Embase for full-text and abstract studies published in English from 1946 to February 2016. The initial search identified 4722 papers. We assessed 305 full-text articles in detail for potential inclusion. Ten papers met the inclusion criteria for review and an additional one paper was included from our secondary search strategy using the bibliography of included studies. In total, 11 studies were included. Eligibility criteria for selecting studies Studies were included if they were published in English, involved SA participants with T1DM and compared them with non- SA participants and assessed one of the outcomes of comorbidities, microvascular complications, macrovascular complications and mortality. Results SA with T1DM have higher mortality compared with white Europeans (WE), mainly contributed to by excess cardiovascular disease. SA have significantly higher glycated haemoglobin (HbA1c), lower high-density lipoprotein (HDL) and lower rates of neuropathy compared with WE. There were no differences in rates of retinopathy and nephropathy. Compared with Africans, SA had lower levels of microalbuminuria, HbA1c and systolic blood pressure and higher HDL levels. There were no significant differences in the remaining outcomes: cardiovascular disease, retinopathy, neuropathy and body mass index. Furthermore, SA have higher HbA1c levels than Malay and Chinese and higher waist hip ratio and lower HDL levels compared with Chinese only. Conclusion Our analysis highlights ethnic disparity in macrovascular outcomes that is so evident for type 2 diabetes mellitus may also be present for SA patients with T1DM. We highlight the need for a large, prospective, cohort study exploring the effect of ethnicity in a uniform healthcare setting

Long-term interleukin-6 levels and subsequent risk of coronary heart disease: Two new prospective studies and a systematic review

Background The relevance to coronary heart disease (CHD) of cytokines that govern inflammatory cascades, such as interleukin-6 (IL-6), may be underestimated because such mediators are short acting and prone to fluctuations. We evaluated associations of long-term circulating IL-6 levels with CHD risk (defined as nonfatal myocardial infarction [MI] or fatal CHD) in two population-based cohorts, involving serial measurements to enable correction for within-person variability. We updated a systematic review to put the new findings in context. Methods and Findings Measurements were made in samples obtained at baseline from 2,138 patients who had a first-ever nonfatal MI or died of CHD during follow-up, and from 4,267 controls in two cohorts comprising 24,230 participants. Correction for within-person variability was made using data from repeat measurements taken several years apart in several hundred participants. The year-to-year variability of IL-6 values within individuals was relatively high (regression dilution ratios of 0.41, 95% confidence interval [CI] 0.28-0.53, over 4 y, and 0.35, 95% CI 0.23-0.48, over 12 y). Ignoring this variability, we found an odds ratio for CHD, adjusted for several established risk factors, of 1.46 (95% CI 1.29-1.65) per 2 standard deviation (SD) increase of baseline IL-6 values, similar to that for baseline C-reactive protein. After correction for within-person variability, the odds ratio for CHD was 2.14 (95% CI 1.45-3.15) with long-term average ("usual'') IL-6, similar to those for some established risk factors. Increasing IL-6 levels were associated with progressively increasing CHD risk. An updated systematic review of electronic databases and other sources identified 15 relevant previous population-based prospective studies of IL-6 and clinical coronary outcomes (i.e., MI or coronary death). Including the two current studies, the 17 available prospective studies gave a combined odds ratio of 1.61 (95% CI 1.42-1.83) per 2 SD increase in baseline IL-6 (corresponding to an odds ratio of 3.34 [95% CI 2.45-4.56] per 2 SD increase in usual [long-term average] IL-6 levels). Conclusions Long-term IL-6 levels are associated with CHD risk about as strongly as are some major established risk factors, but causality remains uncertain. These findings highlight the potential relevance of IL-6-mediated pathways to CH

Understanding the Dynamics of Fluorescence Emission During Zeolite Detemplation Using Time Resolved Photoluminescence Spectroscopy

Time-resolved photoluminescence spectroscopy (TRPS) shows potential as a sensitive, non-destructive, high throughput, label-free laser-based spectroscopy technique capable of analysing low concentrations of organic species adsorbed on and within zeolite pores. Here we report the results from a study that uses TRPS to characterise photoluminescence (PL) arising from synthesised chabazite framework zeolites at three different stages of the detemplation process (from an uncalcined, partially calcined, and calcined zeolite). Temporal resolution was used to demonstrate the steric confinement effects of OSDA within a zeolite framework and therefore to establish a signature region for determining the presence of the template. Gated spectra comparisons between an uncalcined and a partially calcined zeolite demonstrated the presence of template alongside the proliferation of template-derived combustion products. An analysis of lifetime values demonstrated the ability for TRPS to track depletion of OSDA and establish a characteristic PL spectrum for a clean zeolite