Non-linear dependence modelling with bivariate copulas: statistical arbitrage pairs trading on the S&P 100

We develop a copula-based pairs trading framework and apply it to the S&P 100 index constituents from 1990 to 2014. We propose an integrated approach, relying on copulas for pairs selection and trading. Essentially, we fit t-copulas to all possible combinations of pairs in a formation period. Next, we trade these pairs in-sample to assess the profitability of mispricing signals derived from t-copulas. The top pairs are transferred to an out-of-sample trading period, and traded with individualized exit thresholds. In particular, we differentiate between pairs exhibiting mean-reversion and momentum effects and apply idiosyncratic take-profit and stop-loss rules. For the top 5 mean-reversion pairs, we find out-of-sample returns of 7.98% per year; the top 5 momentum pairs yield 7.22% per year. Standard deviations are low, leading to annualized Sharpe ratios of 1.52 (top 5 mean-reversion) and 1.33 (top 5 momentum), respectively.     

Policy evaluation in leisure services — The Northern Ireland case

This paper discusses the socio-cultural processes that shape homosexual leisure space, specifically examining the experiences of lesbians. In doing so, it seeks to contribute to the emergent body of tourism research focusing on gendered and sexualized leisure. Its primary contribution to gender tourism research, however, is to provide further support for the conceptualization of leisure processes and spaces as both heterosexist and androcentric. The paper thus begins by briefly discussing the socio-cultural construction of gay space and the powerful dynamics that underpin its emotional geography. It then briefly discusses the study's methodological approach before presenting and discussing the findings of the research conducted with lesbians in Manchester's gay village - one of the UK's first and most successful gay and lesbian quarters. The paper reveals how sexuality and gender combine to constrain women's consumption of public leisure space and suggests that, whilst homosexual spaces have emotional and psychological importance as empowering places in a heterosexual world, in the case of the Manchester gay village, this homosexual space does not empower lesbians because of the homo-patriarchic power dialectics characterizing its socio-cultural construction. The women interviewed in the study do have territorial ambitions in the village - their own space is important to them, it confirms their place in the village and it supports the development of social networks for lesbians in a hostile, hetero-patriarchic world. Yet, it emerges that lesbian space is an exceptionally difficult homosexual space to claim since the more powerful and more established gay male community in that area does not particularly welcome women.     

Zwischen Recht und Ethik

Entscheidungen im pflegerischen Alltag sind hochkomplex. Demzufolge müssen sie begründet, nachvollziehbar und transparent sein und sich nicht ausschlie?lich auf eine Perspektive stützen. Denn weder die pflegefachlichen, normativen und juristischen Vorgaben und Grundlagen, noch die ethische Reflexion für sich allein lassen tragf?hige Entscheidungen zu. Ethische Fallbesprechungen erm?glichen einen tragf?higen Konsens.     

Tourism and representation: a scale for measuring gendered portrayals

This paper analyses the nature of the images of women and men represented in tourism marketing and discusses the wider socio-cultural impact of such imagery. It begins by briefly discussing the gendered nature of tourism experiences and then reviews work on tourism, gender and representation. The paper's substantive contribution to tourism gender research, however, is its adaptation and development of a content analysis technique which facilitates the quantitative analysis of gender representations. A case study of a range of UK tour operators' brochures is presented which confirms that tourism representation relies heavily on the use of women as sexualized product adornments. The value and limitations of the content analysis research tool are discussed, as is its further applicability as a measurement of representations in tourism marketing.     

Ladislaus von Bortkiewicz—Statistician,Economist and a European Intellectual

Ladislaus von Bortkiewicz (1868–1931) was a European statistician. His scientific work covered theoretical economics, stochastics, mathematical statistics and radiology; today, we would call him a cross‐disciplinary scientist. With his clear views on mathematical principles with their applications in these fields, he stood in conflict with the mainstream economic schools in Germany at the dawn of the 20th century. He had many prominent students (Gumbel, Leontief and Freudenberg among them), and he carved out the path of modern statistical thinking. He was a true European intellectual with a career path from St. Petersburg via Göttingen to Straßburg and finally the Berliner Universität, now Humboldt‐Universität zu Berlin. He is known for the precise calibration of insurance claims applying the—at that time hardly known—Poisson distribution to Prussian horse kick and child suicide data. He proposed a simple solution to the Marxian transformation problem and wrote numerous articles and books on the mathematical treatment of statistical (including radiological physical) data. In this article, we sketch his life and work and point out the prominent role that he has in today's statistical thinking.     

Correlates of creative behaviour: the role of leadership and personal factors

An organizational field study was conducted to test the relationship between subordinate openness to experience, supervisor charismatic leadership, and creative behaviour. Data were collected from 167 employee‐supervisor pairs of a manufacturing company that produces advertising specialty products. Charismatic leadership related positively to subordinates' creative behaviour only for subordinates low in openness to experience and not for their high openness to experience counterparts. Implications for theory and practice are discussed. Copyright © 2010 ASAC. Published by John Wiley & Sons, Ltd.