Search results for "Trend."
showing 10 items of 394 documents
Time Series Momentum in the US Stock Market: Empirical Evidence and Theoretical Implications
2020
There is much controversy in the academic literature on the presence of short-term trends in financial markets and the trend-following strategy's profitability. This paper restricts its attention to the study of time-series momentum (TSMOM) in the US stock market. The paper aims to suggest answers to several important questions regarding TSMOM and to explain the existing controversy. Our answer to the question, whether short-term trends exist, is strongly affirmative. For the first time, we suppose that the returns follow a p-order autoregressive process with p>1 and evaluate this process's parameters. Fairly accurate knowledge of the momentum generating process allows us to provide analyti…
One hundred and fifty years of ornithology in Sicily, with an unknown manuscript by Joseph Whitaker
2021
A new complete check-list of Birds of Sicily is presented in this paper, with a comparison with previous lists for a period of one hundred and fifty years. Further, an unknown manuscript by Joseph Whitaker “Birds of Sicily”, dated back to ca. 1920, has been transcribed and is here presented integrally. Thus, lists of birds here presented have been separated as follows: i) Doderlein (1869–1874); ii) Whitaker (1920); iii) Iapichino & Massa (1989), Lo Valvo et al. (1993) iv) Corso (2005), Ientile & Massa (2008); v) 2010–2020: Massa et al. (2015) and personal observations; vi) long-term trend: personal observations. Overall, 437 species are listed. Out of 283 species regularly present i…
Problemi di giurisdizione nel contrasto al traffico di migranti via mare
2018
I trafficanti di esseri umani si avvalgono con sempre più insistenza di ben collaudati protocolli operativi. Questi ultimi consentono loro di sottrarsi alla giurisdizione penale italiana che non si radica qualora – in ossequio ai criteri di cui all’art. 6 c.p.ed in conformità alla Convenzione sull’Alto Mare– l’azione illecita avvenga in acque internazionali.Così, premesse alcune linee concettuali sui limiti spaziali alla efficacia della legge penale, l’indagine si sofferma sulla soluzione ermeneutica offerta dallaCassazione che, apparentemente in modo sbrigativo e per esigenze di effettività della risposta punitiva, ha fatto ricorso alla controversa figura dell’autore mediato per sanzionare condott…
FRACTALITY EVIDENCE AND LONG-RANGE DEPENDENCE ON CAPITAL MARKETS: A HURST EXPONENT EVALUATION
2014
Since the existence of market memory could implicate the rejection of the efficient market hypothesis, the aim of this paper is to find any evidence that selected emergent capital markets (eight European and BRIC markets, namely Hungary, Romania, Estonia, Czech Republic, Brazil, Russia, India and China) evince long-range dependence or the random walk hypothesis. In this paper, the Hurst exponent as calculated by R/S fractal analysis and Detrended Fluctuation Analysis is our measure of long-range dependence in the series. The results reinforce our previous findings and suggest that if stock returns present long-range dependence, the random walk hypothesis is not valid anymore and neither is…
Multi-agent-based Order Book Model of financial markets
2006
We introduce a simple model for simulating financial markets, based on an order book, in which several agents trade one asset at a virtual exchange continuously. For a stationary market the structure of the model, the order flow rates of the different kinds of order types and the used price time priority matching algorithm produce only a diffusive price behavior. We show that a market trend, i.e. an asymmetric order flow of any type, leads to a non-trivial Hurst exponent for the price development, but not to "fat-tailed" return distributions. When one additionally couples the order entry depth to the prevailing trend, also the stylized empirical fact of "fat tails" can be reproduced by our …
Statistical analysis of financial returns for a multiagent order book model of asset trading
2007
We recently introduced a realistic order book model [T. Preis, Europhys. Lett. 75, 510 (2006)] which is able to generate the stylized facts of financial markets. We analyze this model in detail, explain the consequences of the use of different groups of traders, and focus on the foundation of a nontrivial Hurst exponent based on the introduction of a market trend. Our order book model supports the theoretical argument that a nontrivial Hurst exponent implies not necessarily long-term correlations. A coupling of the order placement depth to the market trend can produce fat tails, which can be described by a truncated Lévy distribution.
Ordination analysis and bioindices based on zoobenthos communities used to assess pollution of a lake in southern Finland
1990
The suitability of an ordination method, detrended correspondence analysis (DCA), was tested in assessing the degree of pollution of a large lake on the basis of the zoobenthos communities. Lake Etela-Saimaa, in southern Finland, was originally oligotrophic but is now heavily loaded by effluents from the wood-processing industry. Comparison between areas was complicated by variation in the water depths of the lake sub-basins. A horizontal pollution gradient could, however, easily be detected by means of the DCA in both the profundal and sublittoral zones. The benthic quality index (BQI) based on the composition of the profundal chironomid fauna failed at some stations because the indicator …
Flood pattern changes in the rivers of the Baltic countries
2015
Estimation of both the frequency and variation of spring floods is a key issue for the assessment and management of flood risks. Changes in river floods in Estonia, Latvia and Lithuania have been investigated in few national studies. However, there are no studies of the changes of flood patterns by using a common methodology for the rivers of this region. In this study flood pattern changes in the rivers of the Baltic countries were estimated applying trend and frequency analysis for the periods of 1922–2010, 1922–1960, 1961–2010 and 1991–2010, i.e. for the whole spring flood data sets, periods before and after 1960 (this year was considered as the beginning of the remarkable climate change…
What makes a good study day? An intraindividual study on university students’ time investment by means of time-series analyses
2019
Abstract University students often claim to have problems managing the time required to carry out their study demands successfully, which leads to discontent. The question is how much time do students really invest in their studies, what changes occur in time investment over a full academic term, and finally, how is study time related with students' daily study satisfaction? Daily time-series data taken from 105 university students over 154 days were analyzed by means of process analysis techniques and multilevel analysis. The learning time trajectories show a quadratic trend in independent study time and a linear decrease in lecture time. Students' daily study satisfaction was positively r…
Is Big Brother Watching Us? Google, Investor Sentiment and the Stock Market
2013
International audience; This paper proposes a novel measure of French investor sentiment based on the volume of internet search reported by Google Trends. We find that our sentiment indicator correlates well with alternative sentiment measures often used in the literature. Furthermore, we find that investor sentiment influences the behavior of mutual fund investors. The results also reveal evidence about short-run predictability in return. An increase in our sentiment index leads to short-term return reversal. The reversal pattern is more pronounced for smaller firms than larger firms, consistent with the predictions of noise trader's models.