Search results for " timing"
showing 10 items of 87 documents
Revisiting the Profitability of Market Timing with Moving Averages
2017
In a recent empirical study by Glabadanidis (“Market Timing with Moving Averages” (2015), International Review of Finance 15(13):387–425), the author reports striking evidence of extraordinarily good performance of the moving average trading strategy. In this paper, we demonstrate that this “too good to be true” reported performance of the moving average strategy is due to simulating trading with look-ahead bias. We perform simulations without look-ahead bias and report the true performance of the moving average strategy. We find that, at best, the performance of the moving average strategy is only marginally better than that of the corresponding buy-and-hold strategy. In statistical terms,…
Dynamic Asset Allocation Strategies Basedon Unexpected Volatility
2014
The author documents that at the aggregate stock market level, unexpected volatility is negatively related to expected future returns, and positively related to future volatility. The author demonstrates how the predictive ability of unexpected volatility can be utilized in dynamic asset allocation strategies that deliver a substantial improvement in terms of risk-adjusted performance as compared to traditional buy-and-hold strategies. In addition, the author shows that active strategies based on unexpected volatility outperform the popular active strategy with a volatility target mechanism, and have some edge over the popular market timing strategy with a 10-month simple moving average rul…
Design and Implementation of an Electronic Control Unit for a CFR Bi-Fuel Spark Ignition Engine
2017
In this work an Electronic Control Unit for the management of a CFR engine will be described. The engine, which is used both for fuel octane rating (both in terms of RON and MON) and for research purpose, is equipped with a double injection system, with the aim to independently operate both with liquid and gaseous fuels. The developed ECU, hence, is able to control the injections of both kind of fuel, together with the spark ignition. Furthermore the system is also able to measure fuel’s consumption, instantaneous engine speed of rotation and air-fuel ratio, showing all the running parameters both on a local LCD display and on a PC based graphical user interface.
Spark ignition feedback control by means of combustion phase indicators on steady and transient operation
2014
In order to reduce fuel cost and CO2 emissions, modern spark ignition (SI) engines need to lower as much as possible fuel consumption. A crucial factor for efficiency improvement is represented by the combustion phase, which in an SI engine is controlled acting on the spark advance. This fundamental engine parameter is currently controlled in an open-loop by means of maps stored in the electronic control unit (ECU) memory: such kind of control, however, does not allow running the engine always at its best performance, since optimal combustion phase depends on many variables, like ambient conditions, fuel quality, engine aging, and wear, etc. A better choice would be represented by a closed-…
Revisiting the Profitability of Market Timing with Moving Averages
2016
In a recent empirical study by Glabadanidis ("Market Timing With Moving Averages" (2015), International Review of Finance, Volume 15, Number 13, Pages 387-425; the paper is also available on the SSRN and has been downloaded more than 7,500 times) the author reports striking evidence of extraordinary good performance of the moving average trading strategy. In this paper we demonstrate that "too good to be true" reported performance of the moving average strategy is due to simulating the trading with look-ahead bias. We perform the simulations without look-ahead bias and report the true performance of the moving average strategy. We find that at best the performance of the moving average stra…
Supercharging the Double-Fueled Spark Ignition Engine: Performance and Efficiency
2017
Internal combustion engine development focuses mainly on two aspects: fuel economy improvement and pollutant emissions reduction. As a consequence, light duty spark ignition (SI) engines have become smaller, supercharged, and equipped with direct injection and advanced valve train control systems. The use of alternative fuels, such as natural gas (NG) and liquefied petroleum gas (LPG), thanks to their lower cost and environmental impact, widely spread in the automotive market, above all in bifuel vehicles, whose spark ignited engines may run either with gasoline or with gaseous fuel. The authors in previous works experimentally tested the strong engine efficiency increment and pollutant emi…
An analytical approach for the evaluation of the optimal combustion phase in spark ignition engines
2009
It is well known that the spark advance is one of the most important parameters influencing the efficiency of a spark ignition engine. A change in this parameter causes a shift in the combustion phase, whose optimal position, with respect to the piston motion, implies the maximum brake mean effective pressure for given operative conditions. The best spark timing is usually estimated by means of experimental trials on the engine test bed or by means of thermodynamic simulations of the engine cycle. In this work, instead, the authors developed, under some simplifying hypothesis, an original theoretical formulation for the estimation of the optimal combustion phase. The most significant parame…
ENDOGENOUS TIMING WITH FREE ENTRY
2006
A free entry model with linear costs is considered where firms first choose their entry time and then compete in the market according to the resulting timing decisions. Multiple equilibria arise allowing for infinitely many industry output configurations encompassing one limit-output dominant firm and the Cournot equilibrium with free entry as extreme cases. Sequential entry is never observed. Both Stackelberg and Cournot-like outcomes are sustainable as equilibria however. When the number of incumbents is given, entry is always prevented, and industry output is sometimes larger than the entry preventing level.
Equity Issues in the Spanish Stock Market: Windows of Opportunity, Earnings Management or Market Timing?
2005
We investigate whether the market sentiment and/or the specific operating performance of firms that conducted an equity issue on the Spanish stock market during the period 1993-2000 are related to the long-run stock-return underperformance in the year following the issue of small and medium firms. Our results reveal that equity issues were conducted by large firms just when the market showed optimistic expectations towards large firms in general. This overoptimism towards large issue firms was related to the 1990s technology boom in the case of initial public offerings (IPO), but we detect earnings management by large firms that conducted a seasoned equity offering (SEO). In this context, s…
Nanoseconds Timing System Based on IEEE 1588 FPGA Implementation
2019
Clock synchronization procedures are mandatory in most physical experiments where event fragments are readout by spatially dislocated sensors and must be glued together to reconstruct key parameters (e.g. energy, interaction vertex etc.) of the process under investigation. These distributed data readout topologies rely on an accurate time information available at the frontend, where raw data are acquired and tagged with a precise timestamp prior to data buffering and central data collecting. This makes the network complexity and latency, between frontend and backend electronics, negligible within upper bounds imposed by the frontend data buffer capability. The proposed research work describ…