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.     

应用型本科院校图书馆校企合作新模式研究

介绍了国家对应用型本科毕业生培养的新政策,分析了应用型本科院校图书馆传统服务模式的不足,论述了企业与院校图书馆的相关性,对创建图书馆服务企业的新模式提出了建议,以促进应用型本科院校图书馆在校企合作中发展壮大.     

职业教育校地合作分析与合作路径构建研究

通过分析职业教育与地方的"粘度",剖析当前校地合作存在的"雾区",构建校地合作的路径,指出职业教育校地合作应从战略上实施"学校与政府对接,专业与企业对接,师生与农村家庭对接"宏观、中观、微观三个层面的对接,开发"政府,学校,企业,学生"四方主体的内在驱动,开展"低、小、微"合作。     

清代客家汉番界外合股移垦研究——以台中东势为例

清代以降政府限制台湾汉人进垦番界,在中部近山地区也不意外.在现今台中市石冈区东侧留有乾隆26年（1761）的“土牛界碑”,直到嘉庆20年（1815）官府解除禁令,大规模的汉人从此深入东势角及新社地区垦拓.这个界外的移垦有着合股、宗族合约式的开发形式,间接说明台湾客家地区的一种开发模式.     

基于ANP法的股权激励模式选择研究

本文对企业如何科学合理地选择股权激励模式问题进行研究探讨。不仅考虑到以往研究中的企业特征因素,同时也考虑了激励对象特征因素和外部实施环境因素,建立股权激励模式选择指标体系,并分析各指标间的依存关系,基于此构建了ANP网络结构模型,并选取两个代表性样本企业进行算例验证和应用,最终使得不同企业可根据自身的实际情况选择合适的股权激励模式,验证了该模型的合理性与可行性。     

破除“西部意识”:西部高等教育全面振兴的思路与策略

全面振兴西部高等教育是推进新时代西部大开发的重要方面,是《中国教育现代化2035》重点部署的十大战略任务的重要内容。西部高等教育振兴已取得很大成绩,但全面振兴仍在路上,其面临的真正约束是“西部意识”的思想约束。因此,西部高等教育的全面振兴,需要破除“西部意识”,突破思想约束。要坚持追求卓越,切实提高西部高等教育定位站位,确立西部高等教育志存高远、对标一流的发展意识,激发不懈奋斗、追求卓越的精神动力。要坚持问题导向,深化改革,通过建构信息化时代西部高等教育发展新生态、加快推进西部高等教育思想观念更新、强化西部高等教育振兴的制度供给、增强西部高等教育自主发展能力等举措,全面增强自我“造血”功能,推动西部高等教育全面振兴,加快实现教育现代化。     

Preface

<正>Biophysical chemistry is a relatively new branch of physical chemistry.Wikipedia-the free encyclopedia describes it with the following sentences(http://en.wikipedia.org/wiki/Biophysical_chemistry,cited on November 2,2014):"Biophysical chemistry is a physical science that uses the concepts of physics and physical chemistry for the study of     

Existence and uniqueness of optimal dynamic pricing and advertising controls without concavity

We consider a pricing and advertising dynamic-optimization problem where the goodwill dynamics evolve à la Nerlove–Arrow. The firm maximizes its profit over a finite-planning horizon corresponding to the product’s lifespan, and it turns out that the Hamiltonian is non-concave. We show the existence and uniqueness of an optimal solution under some mild conditions.     

高职院校图书馆开展企业服务的意义及对策

阐述了高职院校图书馆开展企业服务的意义,分析了高职院校图书馆企业服务过程中存在的障碍因素,提出了高职院校图书馆为地方企业服务的对策。     

10 Jahre Ständige Kommission des RGW für die friedliche Anwendung der Atomenergie

0. Einleitwng

1. Reaktorwissenschaft und -technik und Kernenergetik

2. Kerntechnischer Gerätebau

3. Produktion von Isotopenerzeugnissen

4. Strahlenschulz und Schutztechnik

5. Isotopenanwendung

6. Strahlentechnik

7. Zur weiteren Tätigkeit der Ständigen Kommission Atomenergie des RGW