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See detailWhy is the Market Skewness-Return Relationship Negative?
Lehnert, Thorsten UL

Scientific Conference (2019, December 13)

The observed negative relationship between market skewness and excess return or the negative price of market skewness risk in the cross-section of stock returns is somewhat counterintuitive when we ... [more ▼]

The observed negative relationship between market skewness and excess return or the negative price of market skewness risk in the cross-section of stock returns is somewhat counterintuitive when we consider the usual interpretation of e.g. option-implied skewness as an indicator of jump risk or downside risk. One possible explanation for this inconsistency is that there are factors affecting option-implied market skewness other than jump risk in the stock market. In this paper, I find that price pressure associated with “crowded trades” of mutual funds is an important endogenous factor. Given that retail investors are prone to herding, the directional trading of mutual funds is correlated, and their collective actions can generate short-term price pressure on aggregate stock prices. Short sellers systematically exploit these patterns not only in the equity lending market, but also in the options market. In line with this economic channel, I find that firstly, the significant negative relationship between market skewness and returns becomes insignificant, once I control for price pressure. Secondly, the negative relationship is only present for the “bad” downside component of risk-neutral skewness, associated with out-of-the-money put options. For the “good” upside component of risk-neutral skewness, associated with out-of-the-money call options, the relationship is always positive. Thirdly, price pressure affects the skewness-return relationship, which can be clearly distinguished from the impact of flows on the volatility-return relationship in terms of the leverage effect. [less ▲]

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See detailWhy is the Market Skewness-Return Relationship Negative?
Lehnert, Thorsten UL

Scientific Conference (2019, December 13)

The observed negative relationship between market skewness and excess return or the negative price of market skewness risk in the cross-section of stock returns is somewhat counterintuitive when we ... [more ▼]

The observed negative relationship between market skewness and excess return or the negative price of market skewness risk in the cross-section of stock returns is somewhat counterintuitive when we consider the usual interpretation of e.g. option-implied skewness as an indicator of jump risk or downside risk. One possible explanation for this inconsistency is that there are factors affecting option-implied market skewness other than jump risk in the stock market. In this paper, I find that price pressure associated with “crowded trades” of mutual funds is an important endogenous factor. Given that retail investors are prone to herding, the directional trading of mutual funds is correlated, and their collective actions can generate short-term price pressure on aggregate stock prices. Short sellers systematically exploit these patterns not only in the equity lending market, but also in the options market. In line with this economic channel, I find that firstly, the significant negative relationship between market skewness and returns becomes insignificant, once I control for price pressure. Secondly, the negative relationship is only present for the “bad” downside component of risk-neutral skewness, associated with out-of-the-money put options. For the “good” upside component of risk-neutral skewness, associated with out-of-the-money call options, the relationship is always positive. Thirdly, price pressure affects the skewness-return relationship, which can be clearly distinguished from the impact of flows on the volatility-return relationship in terms of the leverage effect. [less ▲]

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See detailConsolidating Observation of Land and Sea Level Changes around South Georgia Island
Teferle, Felix Norman UL; Hunegnaw, Addisu UL; Hibbert, Angela et al

Poster (2019, December 13)

With its mid-ocean location in the Southern Atlantic Ocean South Georgia Island is in a key position for the oceanic and geodetic global monitoring networks. Since 2013 the tide gauge at King Edward Point ... [more ▼]

With its mid-ocean location in the Southern Atlantic Ocean South Georgia Island is in a key position for the oceanic and geodetic global monitoring networks. Since 2013 the tide gauge at King Edward Point (KEP) with GLOSS ID 187 has been monitored using a GNSS station nearby on Brown Mountain. By accurately geo-referencing the tide gauge and monitoring any vertical land movements, a continuous record of its datum within the Permanent Service for Mean Sea Level (PSMSL) can be established, which in turn makes the recorded and averaged sea levels useful for long-term studies and satellite altimetry calibrations. In 2014 another GNSS station was installed at KEP after local subsidence was sus-pected and later on three additional GNSS stations came to service at the periphery of the main island, making it possible to monitor uplift/subsidence wider afield. Further-more, together with four precise levelling campaigns of the KEP benchmark network in 2013, 2014 and two in 2017, it has also been possible to investigate the very local character of the vertical motions near KEP, i.e. the stability of the jetty upon which the tide gauge is mounted. In this study, we will present the results from the GNSS and precise levelling meas-urements, and will discuss their impact on the sea level record from the KEP tide gauge and nearby satellite altimetry sea surface heights. This study comes at a timely manner as during the Austral Summer 2019/2020 the jetty will be stabilized and en-larged, and consequently the current tide gauge will be replaced by a new one. Our measurements show that uplift is observed all over South Georgia Island while the ar-ea at KEP and particularly the jetty with tide gauge are subsiding relative to the rest of the island. In contrast, results for the tide gauge record show a lower magnitude of ob-served sea level rise than expected from nearby satellite altimetry. We will revisit all geodetic and oceanic observations in an attempt to improve the agreement between these measurements to summarize the status before the work at the jetty begins. [less ▲]

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See detailTeachers' Implicit Attitudes Toward Students From Different Social Groups: A Meta-Analysis
Pit-Ten Cate, Ineke UL; Glock, Sabine UL

in Frontiers in Psychology, section Cognitive Science. (2019)

Teachers' attitudes toward their students have been associated with differential teachers' expectations and, in turn, with students' educational pathways. Theories of social cognition can explain the link ... [more ▼]

Teachers' attitudes toward their students have been associated with differential teachers' expectations and, in turn, with students' educational pathways. Theories of social cognition can explain the link between attitudes and behavior. In this regard, the distinction between implicit and explicit attitudes is worth to be considered, whereby implicit attitudes are automatically activated when the attitude object is present and guide automatic behavior. In contrast, explicit attitudes infer deliberation and reflection, hence affecting controlled behavior. As teachers often are required to act immediately in situations that do not allow for thoughtful reflection due to time restraints, teachers' implicit attitudes concerning different student groups with shared characteristics, such as gender or ethnicity, may be especially important when considering teachers' behavior in relation to students' educational pathways. This notion is reflected by an increased interest in adopting implicit methodology in the educational domain. Over the last 10 years, several studies have been conducted in different countries, involving in- and pre-service teachers and investigating their attitudes toward different student groups. Estimates of effects have varied and may be affected by sampling bias. To systematically review and integrate data from different studies, this meta-analysis focuses on teachers' implicit attitudes. Following the systematic search of the database and initial screening, 43 articles were identified from which 22, describing 34 studies, were retained for the meta-analysis after further inspection. First analyses revealed an estimated average effect size of 0.56 for implicit attitudes in favor of non-marginalized groups. As there was a large extent of heterogeneity between studies, several moderator variables were investigated. Results showed that the employed implicit measure and stimulus materials as well as the student target group affected the effect sizes. Low or non-significant relationships were reported between implicit and explicit attitudes. Findings are discussed in terms of theory and future research. [less ▲]

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See detailDEVELOPING INDIVIDUAL-BASED GUT MICROBIOME METABOLIC MODELS FOR THE INVESTIGATION OF PARKINSON’S DISEASE-ASSOCIATED INTESTINAL MICROBIAL COMMUNITIES
Baldini, Federico UL

Doctoral thesis (2019)

The human phenotype is a result of the interactions of environmental factors with genetic ones. Some environmental factors such as the human gut microbiota composition and the related metabolic functions ... [more ▼]

The human phenotype is a result of the interactions of environmental factors with genetic ones. Some environmental factors such as the human gut microbiota composition and the related metabolic functions are known to impact human health and were put in correlation with the development of different diseases. Most importantly, disentangling the metabolic role played by these factors is crucial to understanding the pathogenesis of complex and multifactorial diseases, such as Parkinson’s Disease. Microbial community sequencing became the standard investigation technique to highlight emerging microbial patterns associated with different health states. However, even if highly informative, such technique alone is only able to provide limited information on possible functions associated with specific microbial communities composition. The integration of a systems biology computational modeling approach termed constraint-based modeling with sequencing data (whole genome sequencing, and 16S rRNA gene sequencing), together with the deployment of advanced statistical techniques (machine learning), helps to elucidate the metabolic role played by these environmental factors and the underlying mechanisms. The first goal of this PhD thesis was the development and deployment of specific methods for the integration of microbial abundance data (coming from microbial community sequencing) into constraint-based modeling, and the analysis of the consequent produced data. The result was the implementation of a new automated pipeline, connecting all these different methods, through which the study of the metabolism of different gut microbial communities was enabled. Second, I investigated possible microbial differences between a cohort a Parkinson’s disease patients and controls. I discovered microbial and metabolic changes in Parkinson’s disease patients and their relative dependence on several physiological covariates, therefore exposing possible mechanisms of pathogenesis of the disease.Overall, the work presented in this thesis represents method development for the investigation of before unexplored functional metabolic consequences associated with microbial changes of the human gut microbiota with a focus on specific complex diseases such as Parkinson’s disease. The consequently formulated hypothesis could be experimentally validated and could represent a starting point to envision possible clinical interventions. [less ▲]

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See detailJoint Scheduling and Precoding for Frame-Based Multigroup Multicasting in Satellite Communications
Bandi, Ashok UL; Shankar, Bhavani UL; Chatzinotas, Symeon UL et al

Scientific Conference (2019, December 09)

Recent satellite standards enforce the coding of multiple users’ data in a frame. This transmission strategy mimics the well-known physical layer multigroup multicasting (MGMC). However, typical beam ... [more ▼]

Recent satellite standards enforce the coding of multiple users’ data in a frame. This transmission strategy mimics the well-known physical layer multigroup multicasting (MGMC). However, typical beam coverage with a large number of users and limited frame length lead to the scheduling of only a few users. Moreover, in emerging aggressive frequency reuse systems, scheduling is coupled with precoding. This is addressed in this work, through the joint design of scheduling and precoding for frame-based MGMC satellite systems. This aim is formulated as the maximization of the sum-rate under per beam power constraint and minimum SINR requirement of scheduled users. Further, a framework is proposed to transform the non-smooth SR objective with integer scheduling and nonconvex SINR constraints as a difference-of-convex problem that facilitates the joint update of scheduling and precoding. Therein, an efficient convex-concave procedure based algorithm is proposed. Finally, the gains (up to 50%) obtained by the jointed design over state-of-the-art methods is shown through Monte-Carlo simulations. [less ▲]

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See detailLa grande-duchesse Marie-Adélaïde en version non falsifiée
Scuto, Denis UL

Article for general public (2019)

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See detailFunctional inequalities on path space of sub-Riemannian manifolds and applications
Cheng, Li Juan UL; Grong, Erlend; Thalmaier, Anton UL

E-print/Working paper (2019)

For sub-Riemannian manifolds with a chosen complement, we first establish the derivative formula and integration by parts formula on path space with respect to a well-defined gradient operator. By using ... [more ▼]

For sub-Riemannian manifolds with a chosen complement, we first establish the derivative formula and integration by parts formula on path space with respect to a well-defined gradient operator. By using these formulae, we then show that upper and lower bounds of the horizontal Ricci curvature correspond to functional inequalities on path space analogous to what has been established in Riemannian geometry by Aaron Naber, such as gradient inequalities, log-Sobolev and Poincaré inequalities. [less ▲]

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See detailDependability Assessment of the Android OS Through Fault Injection
Iannillo, Antonio Ken UL; Cotroneo, Domenico; Natella, Roberto et al

in IEEE Transaction on Reliability (2019)

The reliability of mobile devices is a challenge for vendors since the mobile software stack has significantly grown in complexity. In this article, we study how to assess the impact of faults on the ... [more ▼]

The reliability of mobile devices is a challenge for vendors since the mobile software stack has significantly grown in complexity. In this article, we study how to assess the impact of faults on the quality of user experience in the Android mobile OS through fault injection. We first address the problem of identifying a realistic fault model for the Android OS, by providing developers a set of lightweight and systematic guidelines for fault modeling. Then, we present an extensible fault injection tool (AndroFIT) to apply such fault model on actual, commercial Android devices. Finally, we present a large fault injection experimentation on three Android products from major vendors and point out several reliability issues and opportunities for improving the Android OS. [less ▲]

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See detailChallenges in completing EMU: asymmetric competition vs fiscal harmonisation. A case study of the Benelux countries
Danescu, Elena UL

in Journal of Contemporary European Research [=JCER] (2019)

This paper aims to investigate the concept, context and socio-economic consequences of fiscal competition in the integrated economic space of EMU in completion, to pinpoint the positive and negative ... [more ▼]

This paper aims to investigate the concept, context and socio-economic consequences of fiscal competition in the integrated economic space of EMU in completion, to pinpoint the positive and negative factors at work via a case study of the Benelux countries – both founder members of the EU and pioneers of EMU – and to examine the impact on European and international regulations in the field. In particular, it will endeavour to provide a comprehensive interpretation of fiscal policy in the Benelux countries via a comparative approach and from a historical perspective. It will look at the development of respective domestic fiscal policies, driven by national interests and by membership of a Community that is subject to requirements in terms of harmonisation and taxation, but also by constant contact (and frequent clashes) with the multilateral international environment. [less ▲]

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See detailThe DAta Protection REgulation COmpliance Model
Bartolini, Cesare UL; Lenzini, Gabriele UL; Robaldo, Livio UL

in IEEE Security and Privacy (2019), 17(6), 37-45

Understanding whether certain technical measures comply with the General Data Protection Regulation’s (GDPR’s) principles is complex legal work. This article describes a model of the GDPR that allows for ... [more ▼]

Understanding whether certain technical measures comply with the General Data Protection Regulation’s (GDPR’s) principles is complex legal work. This article describes a model of the GDPR that allows for semiautomatic processing of legal text and the leveraging of state-of-the-art legal informatics approaches, which are useful for legal reasoning, software design, information retrieval, or compliance checking. [less ▲]

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See detailEvery quasitrivial n-ary semigroup is reducible to a semigroup
Couceiro, Miguel; Devillet, Jimmy UL

in Algebra Universalis (2019), 80(4),

We show that every quasitrivial n-ary semigroup is reducible to a binary semigroup, and we provide necessary and sufficient conditions for such a reduction to be unique. These results are then refined in ... [more ▼]

We show that every quasitrivial n-ary semigroup is reducible to a binary semigroup, and we provide necessary and sufficient conditions for such a reduction to be unique. These results are then refined in the case of symmetric n-ary semigroups. We also explicitly determine the sizes of these classes when the semigroups are defined on finite sets. As a byproduct of these enumerations, we obtain several new integer sequences. [less ▲]

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See detailDistance-based vertex identification in graphs: The outer multiset dimension
Gil-Pons, Reynaldo; Ramirez Cruz, Yunior UL; Trujillo-Rasua, Rolando et al

in Applied Mathematics and Computation (2019), 363

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See detailTemporal 3D Human Pose Estimation for Action Recognition from Arbitrary Viewpoints
Adel Musallam, Mohamed; Baptista, Renato UL; Al Ismaeil, Kassem UL et al

in 6th Annual Conf. on Computational Science & Computational Intelligence, Las Vegas 5-7 December 2019 (2019, December)

This work presents a new view-invariant action recognition system that is able to classify human actions by using a single RGB camera, including challenging camera viewpoints. Understanding actions from ... [more ▼]

This work presents a new view-invariant action recognition system that is able to classify human actions by using a single RGB camera, including challenging camera viewpoints. Understanding actions from different viewpoints remains an extremely challenging problem, due to depth ambiguities, occlusion, and a large variety of appearances and scenes. Moreover, using only the information from the 2D perspective gives different interpretations for the same action seen from different viewpoints. Our system operates in two subsequent stages. The first stage estimates the 2D human pose using a convolution neural network. In the next stage, the 2D human poses are lifted to 3D human poses, using a temporal convolution neural network that enforces the temporal coherence over the estimated 3D poses. The estimated 3D poses from different viewpoints are then aligned to the same camera reference frame. Finally, we propose to use a temporal convolution network-based classifier for cross-view action recognition. Our results show that we can achieve state of art view-invariant action recognition accuracy even for the challenging viewpoints by only using RGB videos, without pre-training on synthetic or motion capture data. [less ▲]

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See detailThe Impact of Human Mobility on Edge Data Center Deployment in Urban Environments
Vitello, Piergiorgio UL; Capponi, Andrea UL; Fiandrino, Claudio UL et al

in IEEE Global Communications Conference (GLOBECOM), Waikoloa, HI, USA, 2019 (2019, December)

Multi-access Edge Computing (MEC) brings storage and computational capabilities at the edge of the network into so-called Edge Data Centers (EDCs) to better low-latency applications. To this end ... [more ▼]

Multi-access Edge Computing (MEC) brings storage and computational capabilities at the edge of the network into so-called Edge Data Centers (EDCs) to better low-latency applications. To this end, effective placement of EDCs in urban environments is key for proper load balance and to minimize outages. In this paper, we specifically tackle this problem. To fully understand how the computational demand of EDCs varies, it is fundamental to analyze the complex dynamics of cities. Our work takes into account the mobility of citizens and their spatial patterns to estimate the optimal placement of MEC EDCs in urban environments in order to minimize outages. To this end, we propose and compare two heuristics. In particular, we present the mobility-aware deployment algorithm (MDA) that outperforms approaches that do not consider citizens mobility. Simulations are conducted in Luxembourg City by extending the CrowdSenSim simulator and show that efficient EDCs placement significantly reduces outages. [less ▲]

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See detailTowards a complexity turn in border studies? Rückblicke und Ausblicke
Wille, Christian UL

Presentation (2019, December)

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See detailDas postfaktische Drängen des Buchstaben in Zeiten rechtlich-sprachlicher Entgrenzung
Becker, Katrin UL

in Geisenhanslüke, Achim (Ed.) Buchstäblichkeit Theorie, Geschichte, Übersetzung (2019)

Detailed reference viewed: 32 (1 UL)