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Systemic Risk Based Portfolio Selection
Full text linkThis dissertation examines portfolio selection under systemic risk using performance measures. In the first chapter, we propose a novel performance measure to construct optimal portfolios that explicitly incorporate the occurrence of systemic event. Investors maximize an ex-ante modified Sharpe ratio that is conditional on some systemic event, with the latter interpreted as a low market return environment. We solve the portfolio optimization problem analytically under the absence of short-selling constraint and numerically when short-selling constraint is imposed. The approach is made operational by embedding it in a multivariate dynamic setting via dynamic conditional correlation and copula models. In the second chapter, we further enhance the portfolio selection approach proposed in the first chapter by using machine learning techniques. Specifically, the optimal portfolio is solved through a three-step supervised learning model. First, the smooth pinball neural network is employed to predict conditional marginal return distribution. Secondly, we use copula to model dependence between portfolio assets and the market, based on which we generate return scenarios. Lastly, we maximize the ex-ante conditional Sharpe ratio based on simulated returns. Unlike the previous chapter, where we use statistical models to forecast return distributions, in this chapter we take advantage of a distributional machine learning model along with a set of predictors that includes more than 1,000 predictive signals. In the last chapter, following the similar idea of conditional Sharpe ratio, we propose another systemic risk-based performance measure namely the conditional Rachev ratio. This measure inherits the advantage of unconditional Rachev ratio in the sense that it can account for asymmetric information of portfolio return distribution. Moreover, we build a link between our new measure and the well-know CoVaR measure in the finance literature. In each chapter, we construct a comparative analysis using data on the US stock market. Overall speaking, all the backtesting results demonstrate the superiority of our proposed approaches against popular benchmark strategies in terms of profitability and systemic risk, where the outperformance is robust to the inclusion of transaction costs
Suppressing precision errors by connecting copies of Ising models for continuous-time quantum computing
Full text linkClassical optimization problems can be mapped to Ising models in order to be solved by continuous-time quantum computing. It was recognised in [Young et al, PRA (2013)], [Pearson et al, njp QI, (2019)] and [Albash et al, QST, (2019)], that these problems are susceptible to a lack of precision in the fields and couplings of the Ising model.
In this thesis we introduce a scheme first described in [Bennett et al, arXiv:2206.02545, (2022)], which aims to suppress errors caused by lack of precision. This scheme was inspired by quantum annealing correction (QAC), first introduced in [Young et al, PRA (2013)], where physical qubits in multiple copies of a Ising model are linked together.
However, we introduce several innovations thereby making our scheme distinct.
First, when determining the ground state of the problem, we require only one copy to be correct, because the solution quality can be checked efficiently.
Second, using this "one correct copy" setting, we find the optimal strength of links connecting the copies to be anti-ferromagnetic and close to the minimum strength allowed by the precision. Here we find an improvement (on average) above separate copies and copies connected ferromagnetically.
Third, we find that configurations of copies that contain frustration (e.g. a loop of three or five copies), provide a further improvement in fraction correct.
Numerically testing our innovations on small instances of spin chains and spin glasses, we find improved tolerance to lack of precision equating to around 3 bits of precision improvement at p=7.
We develop a link selection protocol which aims to determine in a computationally non-intensive fashion, whether or not to connect corresponding qubits in different copies. Here, we obtain mixed results, with improvement in fraction correct over separate copies only for precisions p<4.
Finally, we apply our error suppression scheme when computing with quantum walks. In this setting we find that the improvement from using our technique is lost for all values of precision. We hypothesise this is due to the way our error suppression scheme functions by allowing 'access' to excited states, available innately in quantum walks
The Nature of Supererogation and its Application in Medical Practice
Full text linkThis thesis emphasises the need for doctors' professional duties to be bound firmly together with their moral obligations; there is danger for the patient when there is a divergence. I believe that the consideration and practice of supererogation acts as a means to further this union. I argue for its inclusion in medical practice.
Acts of supererogation go beyond the requirements of duty. The concept has roots in Christianity, and was most fully developed by St Thomas Aquinas. It came under attack during the Reformation; for Protestants, salvation was not to be earned by good works, it was only bestowed by the grace of God.
The concept has largely disappeared from everyday usage in a secular society, nevertheless there is an expectation that members of the caring professions should embrace it to some extent. Doctors have lost an understanding of the subject, hampered by the professionalization of medicine.
This thesis illustrates the concept in its practical application and provides a framework of three different models of supererogation. I look to the work of K.E.Kirk and Stanley Hauerwas in theology, and I look at the philosophy of Emmanuel Levinas and Iris Murdoch to support my claims. Examples from literary sources, rather than medical case histories which are often too businesslike in tone, illustrate the complexity of what takes place between patient and doctor.
Doctors might fail to see what is important; they need the faculty of moral perception and also imagination to think of what more can be done for patients as well as wisdom to judge if this can be done safely. I believe that my third model of supererogation could be put into practice for the benefit of both patients and doctors
The Role of BrxR in Regulating Bacterial Phage-Defence Systems
Full text linkBacteria are under constant attack by bacteriophages, their natural predators that outnumber them 10-fold. The resulting selection pressure has given rise to a diverse range of phage-defence systems within bacteria. These systems are often clustered within ‘defence islands’ in the bacterial genome, facilitating coregulation and complementary action. In this thesis, regulation of an Escherichia fergusonii defence island containing both BREX and type IV restriction modification systems by BrxR protein is explored. Through LacZ assays, mutagenesis studies, and EOP assays, BrxR is functionally characterised as a ligand-binding transcriptional repressor of phage defence. The roles of the HTH and WYL domains found within BrxR are identified as likely DNA- and ligand-binding regions, respectively, and the groundwork is laid for future study of BrxR, including identification of its cognate phage-associated ligand
Improved Deep Neural Networks for Generative Robotic Grasping
Full text linkThis thesis provides a thorough evaluation of current state-of-the-art robotic grasping methods and contributes to a subset of data-driven grasp estimation approaches, termed generative models. These models aim to directly generate grasp region proposals from a given image without the need for a separate analysis and ranking step, which can be computationally expensive. This approach allows for fully end-to-end training of a model and quick closed-loop operation of a robot arm.
A number of limitations are identified within these generative models, which are identified and addressed. Contributions are proposed that directly target each stage of the training pipeline that help to form accurate grasp proposals and generalise better to unseen objects. Firstly, inspired by theories of object manipulation within the mammalian visual system, the use of multi-task learning in existing generative architectures is evaluated. This aims to improve the performance of grasping algorithms when presented with impoverished colour (RGB) data by training models to perform simultaneous tasks such as object categorisation, saliency detection, and depth reconstruction. Secondly, a novel loss function is introduced which improves overall performance by rewarding the network to focus only on learning grasps at suitable positions. This reduces overall training times and results in better performance on fewer training examples. The last contribution analyses the problems with the most common metric used for evaluating and comparing offline performance between different grasping models and algorithms. To this end, a Gaussian method of representing ground-truth labelled grasps is put forward, which optimal grasp
locations tested in a simulated grasping environment.
The combination of these novel additions to generative models results in improved grasp success, accuracy, and performance on common benchmark datasets compared to previous approaches. Furthermore, the efficacy of these contributions is also tested when transferred to a physical robotic arm, demonstrating the ability to effectively grasp previously unseen 3D printed objects of varying complexity and difficulty without the need for domain adaptation. Finally, the future directions are discussed for generative convolutional models within the overall field of robotic grasping
There and back again - mobility and burial rites in early medieval England c. AD 400-1000: an analysis of strontium isotopes in cremated human remains
Full text linkObservable changes in funerary rites in early medieval Britain culminate in the re-appearance of cremation in the 5th and 6th centuries, and again briefly in the 9th century. These changes are traditionally linked to questions of mobility and encompass many thousands of individuals. Analyses making use of isotopic systems have been immensely successful in the exploration of inhumed, unburnt remains in the last few decades - touching on the diet, mobility, and the lifecycle of individuals, and recent work on cremated remains has shown that some of these isotope analyses are also reliable when conducted on calcined bone. Following on from this work, this thesis aims to test whether strontium isotope analysis on cremated remains can be used to extract new information from early medieval cemeteries to investigate such aspects as mobility, animal-human relationships, and social practice of the cremating communities. The project uses multi-skeletal sampling to explore the mobility history of cremated individuals buried at the 5th to 7th century mixed-rite cemeteries at Ingleby Barwick, Stockton-on-Tees, and Cleatham, North Lincolnshire, as well as at the 9th century Scandinavian barrow cemetery at Heath Wood, Ingleby, Derbyshire. Plants within 25km catchments around the sites were sampled to establish the variation of bioavailable 87Sr/86Sr, ameliorating the sample density and therefore precision of existing Sr isoscapes.
The application of strontium isotope analysis uncovered what appears to be regional mobility amongst the cremating communities at Cleatham and Ingleby Barwick, and long-distance mobility from Scandinavia at Heath Wood. At Cleatham, the larger sample of individuals (54 humans and 4 animals) also allowed us to observe that women, born outside the 25km catchment, moved more frequently into the area than men. This was noted to pertain especially to the early phase of use of the cemetery and highlights that trends in mobility may change across time. Animal-human relationships were explored with reference to the strontium isotope results and agency/personhood theory at all three case-study sites. This work is the first of its kind with a focus on the early medieval period in Britain and its results show that the method has enormous potential to unlock aspects of mobility, animal-human relationships, and social practice of the cremating communities
Essays on the economics of networks
Full text linkNetworks (collections of nodes or vertices and graphs capturing their linkages) are a common object of study across a range of fields includ- ing economics, statistics and computer science. Network analysis is often based around capturing the overall structure of the network by some reduced set of parameters. Canonically, this has focused on the notion of centrality. There are many measures of centrality, mostly based around statistical analysis of the linkages between nodes on the network. However, another common approach has been through the use of eigenfunction analysis of the centrality matrix. My the- sis focuses on eigencentrality as a property, paying particular focus to equilibrium behaviour when the network structure is fixed. This occurs when nodes are either passive, such as for web-searches or queueing models or when they represent active optimizing agents in network games. The major contribution of my thesis is in the applica- tion of relatively recent innovations in matrix derivatives to centrality measurements and equilibria within games that are function of those measurements. I present a series of new results on the stability of eigencentrality measures and provide some examples of applications to a number of real world examples
An investigation into recent outlet glacier dynamics within Vincennes Bay, Wilkes Land, East Antarctica.
Full text linkThe Antarctic Ice Sheet has been in a state of negative mass balance over recent decades, with mass loss largely occurring from the West Antarctic Ice Sheet. However, recent studies indicate that Wilkes Land, East Antarctica, has lost mass at accelerating rates over the past two decades, exhibiting a dynamic response to oceanic forcing. Overlying the marine-based Aurora Subglacial Basin (ASB), Wilkes Land has been referred to as the potential ‘weak underbelly’ of the East Antarctic Ice Sheet and is drained by several major outlet glaciers. Despite their potential importance, few of these glaciers have been studied in detail. This includes the six outlet glaciers draining into Vincennes Bay, a region recently reported to have the warmest intrusions of modified Circumpolar Deep Water (mCDW) ever recorded in East Antarctica. This thesis seeks to improve our understanding of the understudied Vincennes Bay outlet glaciers, providing a first overview of recent ice dynamics observed between 1963 and 2022. Optical satellite imagery, differential satellite synthetic aperture radar interferometry (DInSAR) techniques and a range of secondary datasets were employed in order to assess change across four fundamental glacier parameters: terminus position, ice surface velocity, ice surface elevation, and grounding line position. Decadal fluctuations between terminus advance and terminus retreat recorded across the Vincennes Bay outlet glaciers correspond closely with wider patterns reported across Wilkes Land, potentially correlated to variations in sea ice production. Ice surface velocities were generally stable between 2000 and 2021, with some fluctuations measured across the grounding line of Bond East Glacier. Observed changes in ice surface elevation were spatially variable, with a consistent, albeit relatively modest, thinning trend seen across Vanderford Glacier between 2003 and 2017. Enhanced rates of ice thinning were measured across each of the Vanderford, Adams, Anzac, and Underwood Glaciers between 2017 and 2020, potentially linked to the widespread decline in Antarctic sea ice extent reported during the austral spring of 2016. Most importantly, extensive grounding line retreat was observed at Vanderford Glacier, measured at 18.6 km between 1996 and 2020. Such rapid grounding line retreat (0.8 km yr-1) is consistent with the notion that warm mCDW is able to access deep cavities formed below the Vanderford Ice Shelf, driving high rates of basal melting. With an inland retrograde bed slope observed along the Vanderford Trench, such oceanic forcing may have significant implications for the future stability of Vanderford Glacier. This study shows that the dynamic response of Vanderford Glacier has been more muted than expected given the high magnitude of grounding line retreat observed. Enhanced thinning and the onset of ice flow acceleration may therefore be predicted over the coming decades
Impacts of sex, age, and desiccation on cuticular hydrocarbon profiles of Anopheles gambiae pupae
Full text linkMetal binding to the Polaris protein associated with ethylene sensing by plants
Full text linkCopper ions are essential to life, but toxic if not tightly regulated. In the model organism Arabidopsis thaliana, the ER-localised ethylene receptor, ETR1, requires Cu(I) at an intramembrane site, dependent on the Cu(I)-transporting P-type ATPase RAN1. However, the detailed biochemical mechanisms of Cu(I)-delivery, and ethylene binding, are unknown.
The protein Polaris (PLS), a negative regulator of ethylene signalling, shares some characteristics of known Cu(I)-metallochaperones, and was proposed to be involved in correct Cu(I)-metalation of ETR1. Here, metal binding to PLS has been investigated in-vitro, allowing prediction of its likely metalation state in-vivo. PLS bound Cu(I) and Zn(II) in 2:1 protein:metal stoichiometries, with β2 affinities of 3.79 x1019 and 3.76 x1012 M-2 respectively. Recently developed metalation calculators, based on metal-availability read-out from calibrated bacterial cells, were adapted to use these constants. The metal affinities of the Arabidopsis cytosolic Cu(I) chaperone Atx1, showed Cu(I) bound in a 1:1 and Zn(II) a 2:1 stoichiometry, and its metalation was modelled. This work showed, in E. coli BL21(DE3), by reading out CueR-dependent copA transcripts, Atx1 overexpression decreased Cu(I)-availability, when calibrated using E. coli JM109, with implications for heterologous expression of metalloproteins in bacteria. Availabilities, measured here, were used to correctly predict the metal preference of Atx1 in E. coli, when tested post-extraction. Using the Atx1 Cu(I)-affinity of 5.47 x10-18 M as an estimate for the intracellular buffered Cu(I)-availability in the cytosol of Arabidopsis, the metalation of PLS as a function of Atx1 Cu(I)-metalation showed it was unlikely PLS extracts Cu(I) directly from the buffer, at least not as a 2:1 complex.
This thesis speculates upon the putative roles of PLS in the biochemical activities of ETR1, and considers some of the implications and challenges associated with the potential formation of metal-dependent 2:1 ligand:metal complexes (with analogy to PLS2:Cu(I)) in biological systems, more broadly
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