Evaluation of Commodity Trading Advisors using fixed and variable and benchmark models

This paper examines the performance of Commodity Trading Advisors (CTAs) using fixed and variable benchmarking models. In order to avoid the troublesome passive and active commodity and managed futures benchmarks (indices) when examining the performance of CTAs, we innovate by using data envelopment analysis (DEA). Because this alternative class has non-linear returns due to long/short positions, and derivatives (i.e., dynamic trading strategies), DEA can alleviate the problems usually associated with these indices. The effectiveness of using benchmarking models in a DEA setting will provide investors with an alternative technique in assessing the performance and identifying efficient CTAs.     

Jack van Lint (1932-2004): A survey of his scientific work

When Jack van Lint was appointed as full professor at the Eindhoven University of Technology at the age of 26 he combined a PhD in number theory with a very open scientific mind. It took a sabbatical visit to Bell Laboratories in 1966 to make him understand that a new and fascinating field of applied mathematics was emerging: discrete mathematics. It fascinated and inspired him for the rest of his life. When he passed away on September 28, 2004, he left behind a legacy of 18 books and 177 articles, covering many aspects of coding theory, combinatorics, and finite geometry.van Lint was also a strong international advocate of the role that discrete mathematics ought to play in modern applied mathematics curricula. Quite a few departments sought his advice. Years later, four different universities showed their appreciation by awarding him an honorary degree.This overview is an homage to van Lint's academic achievements and can serve as an introduction to his work for younger generations.     

On the covariance of the level sizes in random recursive trees

In this paper we study the covariance structure of the number of nodes k and l steps away from the root in random recursive trees. We give an analytic expression valid for all k, l and tree sizes N. The fraction of nodes k steps away from the root is a random probability distribution in k. The expression for the covariances allows us to show that the total variation distance between this (random) probability distribution and its mean converges in probability to zero. © 2002 Wiley Periodicals, Inc. Random Struct. Alg., 20: 519–539, 2002     

Determination of some hydroxycholesterols in human serum samples

The simultaneous determination of some hydroxycholesterols in human serum samples is described. The procedure is based on hydrolysis and extraction of these compounds in serum samples, followed by removal of especially cholesterol (making use of reversed-phase high-performance liquid chromatography) and derivatization of the purified compounds to their trimethylsilyl ethers and subsequent gas chromatography using flame ionization detection. Serum levels of 7 alpha-hydroxycholesterol, 7 beta-hydroxycholesterol and 26-hydroxycholesterol were determined in several groups of patients: normals, untreated patients suffering from cerebrotendinous xanthomatosis, patients suffering from cerebrotendinous xanthomatosis and treated with either chenodeoxycholic acid or cholic acid in an effective dose, patients suffering from cerebro-hepato-renal syndrome, patients suffering from hypercholesterolemia and treated with cholestyramine for prolonged periods and one patient presumed to be suffering from an inborn error of metabolism in bile acid synthesis. It can be concluded that the 7 alpha-hydroxycholesterol concentration in serum is a good parameter for establishing disorders involving the metabolic conversion of 7 alpha-hydroxycholesterol towards bile acids. In addition, 26-hydroxycholesterol levels in patients suffering from cerebrotendinous xanthomatosis are beyond detectable limits, even during treatment with bile acids in an effective dose, whereas in all other conditions this compound is substantially present.     

The effect of linguistic entropy on speech perception in noise in young and elderly listeners.

The rationale for a method to quantify the information content of linguistic stimuli, i.e., the linguistic entropy, is developed. The method is an adapted version of the letter-guessing procedure originally devised by Shannon [Bell Syst. Tech. J. 30, 50-64 (1951)]. It is applied to sentences included in a widely used test to measure speech-reception thresholds and originally selected to be approximately equally redundant. Results of a first experiment reveal that this method enables one to detect subtle differences between sentences and sentence lists with respect to linguistic entropy. Results of a second experiment show that (1) in young listeners and with the sentences employed, manipulating linguistic entropy can result in an effect on SRT of approximately 4 dB in terms of signal-to-noise ratio; (2) the range of this effect is approximately the same in elderly listeners.     

FT-EPR and HPLC study of the mechanism of 4-chlorophenol photolysis

The mechanism of 4-chlorophenol (4CP) photolysis was investigated with the aid of Fourier Transform Electron Paramagnetic Resonance (FT-EPR) and pulsed-laser photolysis combined with High Performance Liquid Chromatography (HPLC) detection-of stable (diamagnetic) products. With FT-EPR transient free radicals produced by pulsed-laser excitation of solutions of 4CP in alcohols could be identified. Time profiles of the FT-EPR spectra provided information on reaction kinetics and Chemically Induced Dynamic, Electron Polarization (CIDEP) effects. It was found that 4CP photolysis in alcohols leads to the simultaneous formation of the phenoxyl radical and radicals produced by hydrogen abstraction from the solvent. CIDEP patterns establish that these radicals are formed in a reaction sequence involving a triplet state precursor and radical pair intermediate. Results of earlier transient optical absorption measurements indicate that the triplet precursor must be the carbene 4-oxocyclohexa-2,5-dienylidene. This assignment is supported by the finding that photolysis of quinone diazide in a hydrogen-donating solvent gives the same free radical products as those obtained from 4CP. The formation of the phenoxyl radical intermediate accounts for the finding that photolysis of deoxygenated solutions of 4CP in alcohols gives phenol as stable diamagnetic product. By contrast, photolysis of aerated and deoxygenated aqueous solutions of 4CP produces benzoquinone and hydroquinone as primary products, respectively.     

3D molecular imaging SIMS

Thin monolayer and bilayer films of spin cast poly(methyl methacrylate) (PMMA), poly(2-hydroxyethyl methacrylate) (PHEMA), poly(lactic) acid (PLA) and PLA doped with several pharmaceuticals have been analyzed by dynamic SIMS using SF₅⁺ polyatomic primary ion bombardment. Each of these systems exhibited minimal primary beam-induced degradation under cluster ion bombardment allowing molecular depth profiles to be obtained through the film. By combing secondary ion imaging with depth profiling, three-dimensional molecular image depth profiles have been obtained from these systems. In another approach, bevel cross-sections are cut in the samples with the SF₅⁺ primary ion beam to produce a laterally magnified cross-section of the sample that does not contain the beam-induced damage that would be induced by conventional focussed ion beam (FIB) cross-sectioning. The bevel surface can then be examined using cluster SIMS imaging or other appropriate microanalysis technique.