VictorJuiz/thesis huggingface dataset:
Essays on hedge fund illiquidity, return predictability, and time-varying risk exposure
Keywords: time-varying risk exposure
hedge funds
return predictability

This thesis consists of three papers that make independent contributions to the field of financial economics. As such, the papers, Chapter 2, Chapter 3, and Chapter 4, can be read independently of each other.
In Chapter 2, we construct a simple measure of the aggregate illiquidity of hedge fund portfolios, and show that it has strong in- and out-of-sample forecasting power for 72 portfolios of international equities, U.S. corporate bonds, and currencies, over the 1994 to 2011 period. The forecasting ability of hedge fund illiquidity for asset returns is, in most cases, greater than, and provides independent information relative to, well-known predictive variables for each of these asset classes. We construct a simple equilibrium model to rationalise our findings and empirically verify auxiliary predictions of the model.
In Chapter 3, I analyse the risk-shifting of hedge funds. Since the information on hedge fund holdings is very restricted, researchers have used the variance of returns as a proxy for risk. I propose a new method for measuring the time-varying variance. I use this method to investigate whether equity long-short hedge funds engage in risk-shifting driven by their past performance relative to their peers. I find that hedge funds which have strongly underperformed or outperformed their peers in recent months increase their exposure to the core strategy, i.e. the equity long-short strategy, and to non-core strategies. The risk shifting is mitigated for hedge funds with long redemption periods.
Chapter 4 contributes to the equity premium prediction literature. I improve the forecast performance of typical single variable predictive regressions used in the equity premium prediction literature through Bayesian priors derived from consumption-based asset pricing models. To implement these model-based priors, I develop a Bayesian procedure which is rooted in the macroeconometrics literature. I find that the model-based priors can increase the explanatory power, measured by the out-of-sample R2, of the single variable predictive regressions by several percentage points.
The cell surface organisation of the Notch-1 receptor
Keywords: x-ray crystallography
Ca2+ binding
Notch-1
RDC
NMR

The Notch receptor family plays a key role in development and disease. In cancer, Notch can act either as an oncogene or as a tumour suppressor, and possibly as a cancer stem-cell factor. Whereas most research has focused on downstream signalling events, little is known about the cell surface organisation of Notch and its ligands. The extracellular part of Notch consists mainly of 36 epidermal growth factor-like domains (EGF-domains), many of which bind calcium. Studies have shown that tandem repeats of calcium-binding EGF domains form a rigid linear arrangement; however, the lack of calcium binding in EGF6, EGF10 and EGF22 led to the hypothesis that these might be sites of flexibility.
This thesis addresses the effect of these domains on the organisation of the extracellular region of Notch and provides further insight into the calcium-binding properties of Notch. NMR residual dipolar coupling (RDC) measurements of these regions are presented, together with the X-ray crystallographic data obtained in collaboration.
The crystal structure of the human Notch-1 construct EGF4-7 shows a tilt angle of 90° at the EGF5-6 interface which is much larger than the tilt angles of 10-20° observed for the EGF11-13 crystal structure. RDC measurements demonstrated an angle of ~70° in solution. The crystal structures of EGF21-23 and EGF20-23 showed a rod-shaped interface for the EGF21-22 domain, in which a cis-proline forms the packing interaction to a tyrosine at the β-turn in the major β-sheet of EGF22. These two interfaces are novel and demonstrate the possibility of interface formation without Ca2+. Crystallisation was unsuccessful for the EGF8-11 construct. However, RDC measurements indicate interdomain motion between EGF9 and EGF10 demonstrating a flexible interface.
These data establish new information on the structural organisation and calcium-binding properties of the extracellular region of Notch and identify flexible and rigid interfaces within multiple tandem repeats of EGF domains. This information will be invaluable in constructing models of Notch-ligand complexes for testing in future functional experiments.
Synchrotron electron beam control
Keywords: integral quadratic constraints
cross-directional control
internal model control
synchrotron
anti-windup compensation

This thesis develops techniques for the design and analysis of controllers to achieve sub-micron accuracy on the position of electron beams for the optimal performance of synchrotrons. The techniques have been applied to Diamond Light Source, the UK's national synchrotron facility. Electron beam motion in synchrotrons is considered as a large-scale, two-dimensional process and by using basis functions, controllable modes of the process are identified which are independent and allow the design to be approached in terms of a family of single-input, single-output transfer functions. This thesis develops techniques for the design and analysis of controllers to achieve sub-micron accuracy on the position of electron beams for the optimal performance of synchrotrons. The techniques have been applied to Diamond Light Source, the UK's national synchrotron facility. Electron beam motion in synchrotrons is considered as a large-scale, two-dimensional process and by using basis functions, controllable modes of the process are identified which are independent and allow the design to be approached in terms of a family of single-input, single-output transfer functions. In this thesis, loop shaping concepts for dynamical systems are applied to the two-dimensional frequency domain to meet closed loop specifications. Spatial uncertainties are modelled by complex Fourier matrices and the closed loop robust stability, in the presence of spatial uncertainties is analysed within an Integral Quadratic Constraint framework. Two extensions to the unconstrained, single-actuator array controller design are considered. The first being anti-windup augmentation to give satisfactory performance when rate limit constraints are imposed on the actuators and the second being a strategy to account for two arrays of actuators with different dynamics. The resulting control schemes offer both stability and performance guarantees within structures that are feasible for online computation in real time.
Pseudo-Arcadius' Epitome of Herodian's Περὶ καθολικῆς προσῳδίας; with a critical edition and notes on Books 1-8
Keywords: Greek language
Greek accentuation
Arcadius
Herodian

This thesis is a new edition of the Preface and Books 1-8 of Pseudo-Arcadius’ Epitome of Herodian’s Περὶ καθολικῆς προσῳδίας. It includes an introduction, critical apparatus, apparatus of parallel passages and notes on the text, and is intended as a contribution to modern Herodianic studies.
Most of our knowledge of Greek accentuation is due to Herodian’s lost Περὶ καθολικῆς προσῳδίας. The main sources for this work, an epitome misattributed to Arcadius and another by John Philoponus, do not have modern critical editions. Lentz’s only collected edition of Herodian’s works (1867-70) is difficult to work with, because Lentz attempts to reconstruct Herodian’s work rather than to lay out the surviving evidence.
The new critical edition of Pseudo-Arcadius’ Epitome is a response to the need for new and separate editions of the sources for the Περὶ καθολικῆς προσῳδίας. A new edition of this text is important because the previous two editions (Barker 1820, Schmidt 1860) have many weaknesses; neither editor examined all the surviving manuscripts, and they did not read the manuscripts themselves but used copies made by other people.
My new examination of all the surviving manuscripts, excepting some very late and uncontroversially derivative manuscripts, comes to a new conclusion about their interrelations. The two manuscripts which I am the first to employ turn out to be the only non-derivative manuscripts, and therefore by far the most important. They enable us to improve the text significantly.
My introduction includes a substantial new evaluation of the interpolated or doubtful sections in the epitome, whose study is impeded by confusion as to their date and relationships to other works. It also discusses the authorship of this epitome, and its grammatical terminology and concepts.
Another innovation is the apparatus of parallel passages. The collection of other texts that have derived material from Herodian shows the extent of Herodian’s influence on later grammatical texts. The parallel passages, as witnesses to Herodian’s text in some form, often enable us to correct the text of Pseudo-Arcadius’ Epitome.
A further contribution of my thesis consists of the commentary, which discusses corrupt passages, features of the text that have never been explained before, and places where specific details of the epitomator’s methods can be identified. The commentary also provides argumentation supporting decisions taken in editing the text, and other helpful information for the understanding of the text.
Understanding lineage-specific biology through comparative genomics
Keywords: Genomics
Evolution
Computational Biology

A major challenge in biology is to identify how different species arose and acquired distinct phenotypic traits. High-throughput sequencing is transforming our understanding of biology by allowing us to study genomes and cellular processes at genome-wide levels. Only a decade subsequent to the publication of the first human genome draft, genome assemblies of hundreds of organisms have been produced. Yet, genome analysis remains challenging and advances have lagged far behind our sequencing abilities and other technological advances. The next generation of comparative genomicists must therefore understand, invent and apply a wide number of computational tools in order to study biology in the most efficient manner and in order to pose the most interesting questions. This thesis spans areas covering evolutionary genomics, gene regulation, and computational methods development. A major aim was to understand how genetic variation contributes to variation in phenotypic traits. This was approached using a large variety of evolutionary and comparative genomics tools. In particular, high-throughput sequencing datasets were analysed to study single-cell transcriptomics, gene duplications, gene architecture evolution, and alternative splicing. Additionally, in cases where off-the-shelf analysis tools were inexistent, novel pipelines and programs were designed and implemented to solve algorithmic problems such as scaffolding genome assemblies and short-read mapping onto small exons.
Electron spin properties of carbon based manomaterials: metallofullerenes, nanotubes and peapods
Keywords: peapods
nanotubes
carbon
nanomaterials
metallofullerenes
spin properties
electron spin resonance

The successful utilization of carbon nanomaterials in future electron spin-based technologies is highly dependent upon the ability to control their assembly at the nanoscale to form tailored solid-state architectures. Spin active metallofullerenes (MFs), Sc@C82 and La@C82,/sub>, can be self assembled in 3D fullerene crystals or inside a carbon nanotube to form peapod structures.
Single walled carbon nanotubes (SWCNTs) are an architect material to potentially allow the formation of 1-D spin chains. SWCNTs should be optimised to allow formation of spin chains and free of magnetic catalyst and carbon impurities, which have previously limited investigations of SWCNT spin properties. To address this, SWCNTs produced by laser ablation with a non-magnetic PtRhRe catalyst were purified through a multiple step centrifugation process in order to remove amorphous carbon and catalyst impurities. Centrifugation of SWCNT solutions resulted in sedimentation of carbon nanotube bundles containing clusters of catalyst particles, while isolated nanotubes with reduced catalyst particle content remained in the supernatant. Electron paramagnetic resonance (EPR) signals were detected only for samples which contained catalyst particles, with the ultracentrifuged SWCNTs showing no EPR signal at X-band (9.4 GHz) and fields ≤0.4 T.
Integration of MFs into future devices requires a clear understanding of the nature of the spin and spin-spin interactions. Evaluating the spin properties of MFs, in both 3D (crystals) and 1D (peapods), will identify the spin-spin interactions and the affect of the surrounding SWCNT. Diluting spin active Sc@C82 and La@C82 MFs in a diamagnetic C60 matrix, between 0.4% and 100%, permitted the tuning of the mean fullerene separation and thus interfullerene spin interactions. In dilute concentrations of MFs the hyper ne structure was resolved in EPR and with increasing concentration exchange narrowing was observed as a single narrow EPR peak.
Encapsulation of Sc@C82 MFs, of varying dilutions, into purified SWCNTs allowed formation of highly ordered 1-D array of metallofullerenes. Changing the spin environment from 3D crystal to 1D peapod resulted in the loss of the observed hyperfine structure in EPR. A single narrow peak was observed for Sc@C82:C60 peapods, indicating significant affect of the surrounding SWCNT structure upon the spin interactions of 1D metallofullerenes. Peapods of Ce@C82 showed a similar EPR signal, suggesting that the observed narrow peak arises from charge transfer between the MF cage and the surrounding SWCNT.
Matroids and complexity
Keywords: basis-graph
matroid theory
complexity

We consider different ways of describing a matroid to a Turing machine by listing the members of various families of subsets, and we construct an order on these different methods of description. We show that, under this scheme, several natural matroid problems are complete in classes thought not to be equal to P.
We list various results linking parameters of basis graphs to parameters of their associated matroids. For small values of k we determine which matroids have the clique number, chromatic number, or maximum degree of their basis graphs bounded above by k. If P is a class of graphs that is closed under isomorphism and induced subgraphs, then the set of matroids whose basis graphs belong to P is closed under minors. We characterise the minor-closed classes that arise in this way, and exhibit several examples.
One way of choosing a basis of a matroid at random is to select a total ordering of the ground set uniformly at random and use the greedy algorithm. We consider the class of matroids having the property that this procedure chooses a basis uniformly at random.
Finally we consider a problem mentioned by Oxley. He asked if, for every two elements and n - 2 cocircuits in an n-connected matroid, there is a circuit that contains both elements and that meets every cocircuit. We show that a slightly stronger property holds for regular matroids.
Simulations of mass accretion onto dark matter haloes and angular momentum transfer to a Milky Way disk at high redshift
Keywords: numerical simulations
galaxy formation
cosmology theory

This thesis presents results from two simulation studies of galaxy formation. In the first project, a dark-matter-only HORIZON simulation is used to investigate the environment and redshift dependence of mass accretion onto haloes and subhaloes. It is found that the halo accretion rate varies less strongly with redshift than predicted by the Extended Press--Schechter formalism, and that low accretion events may drive the radio-mode feedback hypothesized for recent galaxy formation models. The subhaloes at z<0.5 in the simulation accrete at higher rates than haloes, on average, and it is argued that this is due to their enhanced clustering at small scales. There is no dependence of accretion rate on environment at zsim2, but a weak correlation emerges at zleq0.5. The results further support previous suggestions that at z>1, dark matter haloes and their associated black holes grew coevally, but imply that haloes could be accreting at fractional rates that are up to a factor of 3--4 higher than their associated black holes by the present day.
In the second project, outputs from one of the Adaptive Mesh Refinement NUT simulations are analyzed in order to test whether filamentary flows of cold gas are responsible for the build-up of angular momentum within a Milky Way type disk at zgeq3. A set of algorithms are presented that use the resolved physical scale of 12,mathrmpc to identify: (i) the central gas disk and its plane of orientation; (ii) the complex individual filament trajectories that connect to the disk, and; (iii) the infalling satellites. The results suggest that two filaments at zgtrsim5.5, which later merge to form a single filament at zlesssim4, drive the angular momentum and mass budget of the disk between 3lesssimzlesssim8, whereas luminous satellite mergers make negligible fractional contributions. These findings hence provide strong quantitative evidence that the growth of thin disks in low mass haloes at high redshift is supported via inflowing streams of cold gas.
Natural product inspired organic synthesis: enantiopure heterocycles modelled on pramanicin
Keywords: antibacterial drugs
heterocycles
Natural products

This thesis is concerned with the synthesis of chiral pyrrolidinone scaffolds as mimics of the natural product pramanicin, and the evaluation of their antibacterial properties for use towards the development of potential novel antibacterial lead compounds.
Chapter 1 discusses the urgency of the antibiotic resistance problem as well as the current lack of new antibiotics in the drug pipeline. This dearth of new antibacterials is partly attributed to the combinatorial libraries used in the screening process which occupies a limited chemical space. By applying the natural product-inspired paradigm, it is hypothesised that a drug discovery process with a starting point based on a natural product, possessing intrinsic antibacterial properties, may provide insights to a novel class of antibacterials.
Chapter 2 describes the synthesis of three different scaffolds of oxygenated pyrrolidinones via a common bicyclic intermediate synthesised from L-pyroglutamic acid. The use of a mild and facile epoxidation condition utilising H2O2/tertiary amine afforded the epoxypyrrolidinones. α-Hydroxylation with “Davis oxaziridine” and a Ru-mediated dihydroxylation gave 2-hydroxypyrrolidinones and 2,3-dihydroxypyrrolidinones respectively. In all cases, a pendant Weinreb amide was used to introduce a variety of side-chains onto the parent pyrrolidinones. The enantioselective oxygenation of these scaffolds was accomplished as a result of the chiral [3.3.0] bicyclic intermediate.
Chapter 3 describes the attempted synthesis of oxygenated pyrrolidinones via tetramic acids. Although progress was thwarted by synthetic challenges discussed therein, a series of tetramic acids was synthesised. A synthetic sequence to install a 3-acyl moiety onto the parent tetramic acid core was accomplished via an O-acyl/C-acyl rearrangement using a series of carboxylic acids in the presence of excess DMAP. The use of a 3-acyltetramic acid with a pendant phosphorane permits a general synthetic route, compatible with a wide range of aldehydes, towards 3-enoyltetramic acids via Horner-Wadsworth-Emmons olefination. These tetramic acids are mimics of another class of bactericidal natural products which nonetheless allows the natural product-inspired paradigm to be investigated.
Finally, an analysis of the antibacterial properties of the synthesised compounds is discussed in Chapter 4. A cellular hole-plate bioassay with E. coli and S. aureus was chosen to provide a rapid assessment for active compounds. A correlation between the physicochemical properties and the observed activities of these active compounds suggested possible chemical modifications which could be undertaken in the future to improve their activities.
Success nonetheless
Keywords: governance
public utilities
islands
social capital
Caribbean
small-scale democracies
small countries

A large part of the study of politics is dedicated to identifying the circumstances under which democracy will flourish. Putnam made a major contribution to this field through his concept of social capital as developed in Making Democracy Work. Putnam found that communities with a high number of civic associations –i.e. social capital- had a better chance of developing an effective style of democratic government.
This definition of social capital sparked much subsequent research and policy activity. It is argued here, however, that this work ignored the immediate needs of societies which do not have the required stock of social capital. There is still little guidance available on how effective government can be achieved even if the right societal circumstances are absent.
This thesis hopes to find inspiration from government agencies that were successful despite their challenging social capital conditions. It specifically looks at sixteen public utilities on the Caribbean islands of Aruba, Curacao and St. Kitts between 2005 and 2009. The thesis then systematically investigates the relationship between the performance of the agencies and the behaviour of their senior officials.
It emerges that in the absence of social capital, governance is in these cases mainly hampered by a deluge of irrelevant data. Successful utilities overcame this flood by constantly upgrading the quality of information, implementing a strict yet inclusive style of governance, and allowing strong leaders the space to translate words into actions. These outcomes suggest that social capital forms an important tool for ordering information, and that, in its absence, there are still alternative strategies available to secure success nonetheless.