Lisa Huang

Vadim Zlotnikov, Jiayu Liu, Igor Halperin et al.

Crowding is widely regarded as one of the most important risk factors in designing portfolio strategies. In this paper, we analyze stock crowding using network analysis of fund holdings, which is used to compute crowding scores for stocks. These scores are used to construct costless long-short portfolios, computed in a distribution-free (model-free) way and without using any numerical optimization, with desirable properties of hedge portfolios. More specifically, these long-short portfolios provide protection for both small and large market price fluctuations, due to their negative correlation with the market and positive convexity as a function of market returns. By adding our long-short portfolio to a baseline portfolio such as a traditional 60/40 portfolio, our method provides an alternative way to hedge portfolio risk including tail risk, which does not require costly option-based strategies or complex numerical optimization. The total cost of such hedging amounts to the total cost of rebalancing the hedge portfolio.

Scott Howard, Grant Barthelmes, Cara Ravasio et al.

Packet Compressed Sensing Imaging (PCSI) is digital unconnected image transmission method resilient to packet loss. The goal is to develop a robust image transmission method that is computationally trivial to transmit (e.g., compatible with low-power 8-bit microcontrollers) and well suited for weak signal environments where packets are likely to be lost. In other image transmission techniques, noise and packet loss leads to parts of the image being distorted or missing. In PCSI, every packet contains random pixel information from the entire image, and each additional packet received (in any order) simply enhances image quality. Satisfactory SSTV resolution (320x240 pixel) images can be received in ~1-2 minutes when transmitted at 1200 baud AFSK, which is on par with analog SSTV transmission time. Image transmission and reception can occur simultaneously on a computer, and multiple images can be received from multiple stations simultaneously - allowing for the creation of "image nets." This paper presents a simple computer application for Windows, Mac, and Linux that implements PCSI transmission and reception on any KISS compatible hardware or software modem on any band and digital mode.