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.     

MANUFACTURING OF LOW-PHOSPHORUS-DETERGENTS

Changes in composition of household washing detergents are reviewed, with emphasis on the importance of STPP

As by law or voluntary agreement the STPP content in detergents has dropped during the last years in some countries, it will be shown that the quality of the used phosphates is of great influence on the quality of the final product

In manufacturing detergents with low phosphate content it is important to use special STPP-types for every process

The process technology of the manufacture of phosphate-containing powdered detergents can be divided into processes in which the individual components are worked up Into agglomeration products (spray mixing plants) and processes In which the individual components are combined to form a slurry of several substances (spray drying plants).     

基于解释结构模型的大学生就业影响因素分析

针对大学生就业率低的问题,构建大学生就业评价指标体系,利用解释结构模型的实用化方法对大学生就业影响因素进行了分析,并构建大学生就业影响因素的解释结构模型.根据解释结构模型层次化处理结果,分析各个因素之间的联系,将大学生就业影响因素分为四个层次,明确大学生就业影响因素的层次结构关系,找出导致大学生就业率低的最直接因素和最根本因素.     

基于组合预测模型在高校招生人数预测中的应用研究

引进诱导有序加权平均算子,建立诱导有序加权平均组合预测模型,借助它对四川省普通高等学校招生人数进行预测.通过两个误差指标值的比较,说明这种方法的合理性,从而为教育部门制定相关的就业体制提供依据.     

The Acceleration Severity Index in the impact of a vehicle against permanent road equipment support structures

The acceleration Severity Index (ASI), described in European Standard EN12767 (The passive safety of support structures for road equipment. Requirements, classification and the test method) is regarded as the most important indicator of impact on the occupants. The requirements for experiments are described, having in mind that the results depend on many factors. One of them is the selection of a vehicle to be used in the crash test. To perform numerical vehicle crash simulation, the finite-element models of permanent road equipment support structures were developed using the LS Dyna software available. To examine the response of the vehicle upon the impact, the acceleration severity index curves were calculated and visualised in Matlab.     

On solitary wave solutions to the nonlinear Schrödinger equations with two parameters

In this paper, we discuss the existence and multiplicity of positive solitary wave solutions for nonlinear Schrödinger equations with two parameters. The proof is based on the method of upper and lower solutions and the fixed point index.     

Naturally derived green bio-additives

During the last few years, special attention has been paid by the lubricant industry towards vegetable oil-based lubricants due to their biodegradability, renewability and excellent tribological properties. But to maintain the biodegradability of the final lubricants, the additive in the lubricants must also be biodegradable. Hence, in our present work, multifunctional lubricating oil additive based on castor oil has been investigated as a less toxic, feasible alternative to traditional petroleum based additives. Homopolymer of castor oil and its copolymer with α-pinene were synthesized by a thermal method using azobisisobutyronitrile as a radical initiator. Characterization of the prepared polymers was performed by spectral analysis and gel permeation chromatography (GPC). Additive performances of each of the prepared polymers as viscosity index improvers/viscosity modifiers and pour point depressants were carefully evaluated. Photo micrographic image was used to study the effectiveness of the additives as pour point depressants. Thermogravimetric analysis (TGA) was conducted to investigate the thermal response of the additives at high temperature. Finally, biodegradability of all the polymers was tested against fungal pathogen by the disc diffusion method and soil burial test. The study illuminated excellent additive performances of the polymers and thus their potential for acting as entirely naturally derived green bio-additives for lube oil.     

Peptide Property Modeling by Cluj Indices

Abstract

The novel Cluj property indices are used for modeling the biological properties of dipeptides: the ACE inhibition activity of a set of 58 dipeptides and the bitter tasting activity of a set of 48 dipeptides, taken from the literature. The results are compared to those reported in some previous works.     

Thermal behaviour of two anti-inflammatory drugs (celecoxib and rofecoxib) and slow relaxation dynamics in their amorphous solid state. Comparison between the dynamic fragility obtained by dielectric spectroscopy and by thermostimulated currents

This study of the thermal behaviour of two glass formers showed that rofecoxib has a good ability to vitrify while celecoxib displays a moderate glass forming ability. On the other hand, celecoxib forms an instable glass while rofecoxib displays moderate glass stability. The α-relaxation of the two amorphous drugs was studied by differential scanning calorimetry (DSC) and thermally stimulated depolarization currents (TSDC). The values of the dynamic fragility obtained by the two techniques are in good mutual agreement and suggest that both drugs are moderately fragile glass formers. These values are however considerably lower than those obtained by dielectric relaxation spectroscopy (DRS) and published in the literature. In the present work we will compare the values of the dynamic fragility obtained by TSDC and DRS for a set of ~30 glass-forming liquids, in order to evaluate their relative suitability for the determination of the m-index. The observed differences are discussed and interpreted. Finally, secondary mobility modes were detected by TSDC in both celecoxib and rofecoxib. The kinetic parameters are identical in both cases and similar to those found by DRS for the slow-b relaxation of celecoxib. These secondary relaxations, that are precursors of the main relaxation on its lower temperature side, are believed to be Johari-Goldstein relaxations.