An investigation of Forex market efficiency based on detrended fluctuation analysis: A case study for Iran

The efficient market hypothesis (EMH) states that asset prices fully reflect all available information. As a result, speculators cannot predict the future behavior of asset prices and earn excess profits at least after adjusting for risk. Although initial tests of the EMH were performed on stock market data, the EMH was soon applied to other markets including foreign exchange (FX). This study uses the detrended fluctuation analysis (DFA) technique to test 01:12:2005–18:04:2010 Iranian Rial/US Dollar exchange rate time series data to see if it can be explained by the weak form of the EMH. Moreover, to determine changes in the degree of inefficiency over time, the whole period has been divided into four subperiods. The study shows that the Iranian Forex market (the Rial/Dollar case) is weak-form inefficient over the whole period and in each of the subperiods. However, the degree of inefficiency is not constant over time. The findings suggest that profitable risk-adjusted trades could be made using past data.     

Is the US stock market becoming weakly efficient over time? Evidence from 80-year-long data

We propose a degree of market efficiency in terms of entropy concepts. The relative efficiency for the US stock market varies over time from 1929 to 2012, with a slight decline in the past 10 years.     

2-F-环氧丁烷与几种生物小分子间的赝氢键结构

采用密度泛函B3LYP(Becke,three-parameter,Lee-Yang-PaH)/6-311++G**和HF(Hartree Fock)/6-311++G**方法,从理论上探讨了2-F-环氧丁烷分别与几种常见而重要的生物小分子咪唑(Iminazole)、噻唑(Thiazole)和恶唑(Oxazo1e)等分子间的弱相互作用,发现分子间同时存在N…H常规氢键和C-F…H-C赝氢键结构.弱相互作用能计算表明3个复合物的相对稳定性相当.计算结果表明,在C-F…H-C赝氢键结构中,与电子的直接供体F密切相关的共价键C-F键长增大,伸缩振动的频率红移,而作为电子受体的H-C基团,其C-H键伸缩振动光谱蓝移;另外,电子密度拓扑性质表明C-F…H-C赝氢键的共价性及离子性均与常规氢键相当.     

Temporal electronic structure of non-resonant Raman excited virtual state of P-nitroaniline by 514 nm excitation via bond polarisabilities

We have studied the temporal bond polarisabilities of para-nitroaniline from the Raman intensities by the algorithm proposed by Wu et al.in 1987 (Tian B,Wu G,Liu G 1987 J.Chem.Phys.87 7300).The bond polarisabilities provide much information concerning the electronic structure of the non-resonant Raman excited virtual state.At the initial moment by the 514.5 nm excitation,the tendency of the excited electrons (mapped out by the bond polarisabilities) is to spread to the molecular periphery,and the electronic structure of the Raman virtual state is close to the pseudo-quinonoidic state.When the final stage of relaxation is approached,the bond polarisabilities of those peripheral bonds relax faster than those closer to the molecular core,the phenyl ring.The molecule is in the benzenoidic form as demonstrated by the bond polarisabilities after relaxation.     

高压液态重水的拉曼光谱研究

应用金刚石压腔结合拉曼光谱技术研究了重水在291 K,0.1～800 MPa条件下的拉曼谱图。结果表明：压力增大的过程中,重水的拉曼伸缩振动光谱向低频方向移动,并且频移和压力基本呈线性相关。频移没有突变,没有发生相的转变。将重水的拉曼谱峰分解为代表分子内O—D振动的高频峰和代表分子间氢键振动的低频峰。研究这两种不同类型谱峰的性质,发现代表分子间氢键的低频峰峰面积在不同的压力范围内呈现出不同的变化特征,压力对分子间氢键的影响并不是持续不变的。拉曼峰的峰面积反映的是产生这种拉曼峰的振动的数目,峰面积的变化反映了特征振动数目的变化。由于分子间氢键的强相互作用,水分子总是倾向于形成对称的空间五分子四面体结构,因此最大峰面积代表了最稳定的五分子团簇结构。     

Optical shuttering action in nematic phase of SMHBLC: observation of a ribbon-like texture

In this study, complexes belonging to supramolecular hydrogen-bonded liquid crystal homologous series are synthesized and characterized. Hydrogen bond is formed between p-n-alkyloxy benzoic acids (nBAO, where n?=?5–11) and chlorobenzoic acid (ClBAO), respectively. The isolated homologues are characterized by various techniques such as polarizing optical microscopic (POM) studies, differential scanning calorimetry (DSC), and Fourier transform–infrared spectroscopy. Based on the POM and DSC studies, the phase diagram has been constructed and discussed. A new smectic ordering, labeled as smectic R, has been characterized, which exhibits a ribbon-like texture. This phase is observed in the complexes pertaining to the higher homologous series. Tilt angle in this phase has been experimentally deduced and the results are fitted to the power law which concurs with the mean-field theory predicted value. Optical shuttering action in the homologue has been detected in the nematic phase and the results are also discussed.     

Dielectric response of frustrated water down to a single‐molecule contribution

A theory of dielectric response of water under nanoscale confinement was long overdue. This work addresses the problem by establishing a relation between dielectric response and hydrogen‐bond frustration subsumed in a non‐Debye polarization term. The results hold down to the single‐molecule contribution and are validated vis‐à‐vis experimental measurements on a system where dielectric modulation entails removal of a single water molecule. The frustrated dielectric response down to molecular scales is assessed by contrasting two enantiomeric ligands in association with the same protein, with the complexes differing in the removal of a single interfacial water molecule.

     

The risks and returns of stock investment in a financial market

The risks and returns of stock investment are discussed via numerically simulating the mean escape time and the probability density function of stock price returns in the modified Heston model with time delay. Through analyzing the effects of delay time and initial position on the risks and returns of stock investment, the results indicate that: (i) There is an optimal delay time matching minimal risks of stock investment, maximal average stock price returns and strongest stability of stock price returns for strong elasticity of demand of stocks (EDS), but the opposite results for weak EDS; (ii) The increment of initial position recedes the risks of stock investment, strengthens the average stock price returns and enhances stability of stock price returns. Finally, the probability density function of stock price returns and the probability density function of volatility and the correlation function of stock price returns are compared with other literatures. In addition, good agreements are found between them.     

Bidding strategy with forecast technology based on support vector machine in the electricity market

The participants in the electricity market are concerned very much with the market price evolution. Various technologies have been developed for price forecasting. The SVM (Support Vector Machine) has shown its good performance in market price forecasting. Two approaches for forming the market bidding strategies based on SVM are proposed. One is based on the price forecasting accuracy, with which the rejection risk is defined. The other takes into account the impact of the producer’s own bid. The risks associated with the bidding are controlled by the parameter settings. The proposed approaches have been tested on a numerical example.