Statistical inference and modelling of momentum in stock prices

The following results are obtained, (i) It is possible to obtain a time series of market data {y(t)} in which the fluctuations in fundamental value have been compensated for. An objective test of the efficient market hypothesis (EMH), which would predict random correlations about a constant value, is thereby possible, (ii) A time series procedure can be used to determine the extent to which the differences in the data and the moving averages are significant. This provides a model of the form y(t)-y(t-l)=0.5{y(t- l)-y(t-2)}+ε(t)+0.8ε(r-1) where ε(t) is the error at time t, and the coefficients 0.5 and 0.8 are determined from the data. One concludes that today's price is not a random perturbation from yesterday's; rather, yesterday's rate of change is a significant predictor of today's rate of change. This confirms the concept of momentum that is crucial to market participants. (iii) The model provides out-of-sample predictions that can be tested statistically. (iv) The model and coefficients obtained in this way can be used to make predictions on laboratory experiments to establish an objective and quantitative link between the experiments and the market data. These methods circumvent the central difficulty in testing market data, namely, that changes in fundamentals obscure intrinsic trends and autocorrelations. This procedure is implemented by considering the ratio of two similar funds (Germany and Future Germany) with the same manager and performing a set of statistical tests that have excluded fluctuations in fundamental factors. For the entire data of the first 1149 days beginning with the introduction of the latter fund, a standard runs test indicates that the data is 29 standard deviations away from that which would be expected under a hypothesis of random fluctuations about the fundamental value. This and other tests provide strong evidence against the efficient market hypothesis and in favour of autocorrelations in the data. An ARIMA time series finds strong evidence (9.6 and 21.6 standard deviations in the two coefficients) that the data is described by a model that involves the first difference, indicating that momentum is the significant factor. The first quarter's data is used to make out-of-sample predictions for the second quarter with results that are significant to 3 standard deviations. Finally, the ARIMA model and coefficients are used to make predictions on laboratory experiments of Porter and Smith in which the intrinsic value is clear. The model's forecasts are decidedly more accurate than that of the null hypothesis of random fluctuations about the fundamental value.     

Synthesis and Characterization of Hydrophilic Trityl Radical TFO for Biomedical and Biophysical Applications

Tetrathiatriarylmethyl (TAM, trityl) radicals have found wide applications as spin probes/labels for EPR spectroscopy and imaging, and as polarizing agents for dynamic nuclear polarization. The high hydrophilicity of TAM radicals is essential for their biomedical applications. However, the synthesis of hydrophilic TAM radicals (e.g., OX063) is extremely challenging and has only been reported in the patent literature, to date. Herein, an efficient synthesis of a highly water-soluble TAM radical bis(8-carboxyl-2,2,6,6-tetramethylbenzo[1,2-d:4,5-d′]bis([1,3]dithiol-4-yl)-mono-(8-carboxyl-2,2,6,6-tetrakis(2-hydroxyethyl)benzo[1,2-d:4,5-d′]bis([1,3]dithiol-4-yl)methyl (TFO), which contains four additional hydroxylethyl groups, relative to the Finland trityl radical CT-03, is reported. Similar to OX063, TFO exhibits excellent properties, including high water solubility in phosphate buffer, low log P, low pK_a, long relaxation times, and negligible binding with bovine serum albumin. On the other hand, TFO has a sharper EPR line and higher O₂ sensitivity than those of OX063. Therefore, in combination with its facile synthesis, TFO should find wide applications in magnetic resonance related fields and this synthetic approach would shed new light on the synthesis of other hydrophilic TAM radicals.     

Multipod structures of lamellae‐forming diblock copolymers in three‐dimensional confinement spaces: Experimental observation and computer simulation

The three‐dimensional (3D) confinement effect on the microphase‐separated structure of a diblock copolymer was investigated both experimentally and computationally. Block copolymer nanoparticles were prepared by adding a poor solvent into a block copolymer solution and subsequently evaporating the good solvent. The 3D structures of the nanoparticles were quantitatively determined with transmission electron microtomography (TEMT). TEMT observations revealed that various complex structures, including tennis‐ball, mushroom‐like, and multipod structures, were formed in the 3D confinement. Detailed structural analysis, showed that one block of the diblock copolymer slightly prefers to segregate into the particle surface compared with the other block. The observed structures were further elaborated using cell dynamics computer simulation. © 2016 Wiley Periodicals, Inc. J. Polym. Sci., Part B: Polym. Phys. 2016 , 54, 1702–1709     

A BGK‐penalization‐based asymptotic‐preserving scheme for the multispecies Boltzmann equation

An asymptotic‐preserving (AP) scheme is efficient in solving multiscale problems where kinetic and hydrodynamic regimes coexist. In this article, we extend the BGK‐penalization‐based AP scheme, originally introduced by Filbet and Jin for the single species Boltzmann equation (Filbet and Jin, J Comput Phys 229 (2010) 7625–7648), to its multispecies counterpart. For the multispecies Boltzmann equation, the new difficulties arise due to: (1) the breaking down of the conservation laws for each species and (2) different convergence rates to equilibria for different species in disparate masses systems. To resolve these issues, we find a suitable penalty function—the local Maxwellian that is based on the mean velocity and mean temperature and justify various asymptotic properties of this method. This AP scheme does not contain any nonlinear nonlocal implicit solver, yet it can capture the fluid dynamic limit with time step and mesh size independent of the Knudsen number. Numerical examples demonstrate the correct asymptotic‐behavior of the scheme. © 2012 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 2013     

Dynamic modeling of the morphology of latex particles with in situ formation of graft copolymer

Modification of the polymer–polymer interfacial tension is a way to tailor‐make particle morphology of waterborne polymer–polymer hybrids. This allows achieving a broader spectrum of application properties and maximizing the synergy of the positive properties of both polymers, avoiding their drawbacks. In situ formation of graft copolymer during polymerization is an efficient way to modify the polymer–polymer interfacial tension. Currently, no dynamic model is available for polymer–polymer hybrids in which a graft copolymer is generated during polymerization. In this article, a novel model based on stochastic dynamics is developed for predicting the dynamics of the development of particle morphology for composite waterborne systems in which a graft copolymer is produced in situ during the process. © 2012 Wiley Periodicals, Inc. J Polym Sci Part A: Polym Chem, 2012     

Classroom note: The area under x α by geometry

By stretching the area under the curve x ^α it is shown to be of the form x ^{α + 1} p(α). Geometry is then used to prove p(α) = 1/(α + 1).     

Preliminary communication Liquid crystalline cardanyl β-D-glucopyranosides

Two novel aryl glycosides were synthesized, which varied in the extent of unsaturation in the lipophilic part, from plant/crop-based renewable resource materials. Their liquid crystalline properties were characterized by optical polarizing microscopy, differential scanning calorimetry and X-ray diffraction. All the mesophases are identified as lamellar in structure.     

A Pd4Br4 macrocycle trapped by cocrystallization from a highly dynamic equilibrium of η3‐cycloheptatrienide complexes

In the coordination chemistry of palladium, dimers bridged via halides are a common motif. Higher oligomers, however, are still rare. We report the structure of an alternating eight‐membered [Pd₄Br₄]⁴⁻ ring framed by cycloheptatrienide ligands, which was obtained by cocrystallization of dimers and tetramers of the complex salt bromido{η³‐[3‐(2,6‐diisopropylphenyl)imidazolium‐1‐yl]cycloheptatrienido}palladium(II) tetrafluoroborate, namely bis[di‐μ‐bromido‐bis({η³‐[3‐(2,6‐diisopropylphenyl)imidazolium‐1‐yl]cycloheptatrienido}palladium(II))] cyclo‐tetra‐μ‐bromido‐tetrakis({η³‐[3‐(2,6‐diisopropylphenyl)imidazolium‐1‐yl]cycloheptatrienido}palladium(II)) octakis(tetrafluoroborate) dichloromethane octasolvate, [Pd₄Br₄(C₂₂H₂₆N₂)₄][Pd₂Br₂(C₂₂H₂₆N₂)₂]₂(BF₄)₈·8CH₂Cl₂. These dimers and tetramers form a highly dynamic equilibrium in solution which was studied by low‐temperature NMR spectroscopy. In the light of the presented results, tetrameric Pd^II species can be assumed to co‐exist as a second species in many cases where by current knowledge only a dimeric compound would be expected.     

On the Existence Of Consistent Price Systems

We formulate a sufficient condition for the existence of a consistent price system (CPS), which is weaker than the conditional full support condition (CFS). We use the new condition to show the existence of CPSs for certain processes that fail to have the CFS property. In particular this condition gives sufficient conditions, under which a continuous function of a process with CFS admits a CPS, while the CFS property might be lost.