Decomposing the predictive performance of the moving average trading rule of technical analysis: the contribution of linear and non-linear dependencies in stock returns

The main purpose of this work is to decompose the predictive performance of the moving average (MA) trading rule and find out the portion that could be attributed to the possible exploitation of linear and non-linear dependencies in stock returns. Data from the General Index of the Athens Stock Exchange, from the Standard and Poor-500 Index of the New York Stock Exchange and from the Austrian Traded Index of the Vienna Stock Exchange are filtered by linear filters so as the resulting simulated ‘returns’ exhibit no serial correlation. Applying MA trading rules to both the original and the simulated indices and using a new statistical testing procedure that takes into account the sensitivity of the performance of the trading rule as a function of the length of the MA it is found that the predictive performance of the trading rule is clearly weakened when applied to the simulated indices indicating that a substantial part of the rule's predictive performance is due to the exploitation of linear dependencies in stock returns. This weakening is uneven; in general the shorter the MA length the more pronounced the attenuation.     

Multiple Time Series Modeling and Extended Sample Cross-Correlations

This article provides an expository account of the multivariate autoregressive moving average models and proposes an extended sample cross-correlation approach for practical model identification. An iterative model building procedure for applying these models to real data is discussed and demonstrated by analyzing the 5-series U.S. Hog Data.     

浅论位移电流

位移电流是普通物理中一个较重要的概念,也是教学中的一个难点.本文从位移电流概念的提出及实验验证,位移电流的物理意义及其与传导电流异同等几方面对其加以阐述,以求对位移电流的教学有所帮助.     

Asymptotic Distributions of Unit-Root Tests When the Process Is Nearly Stationary

Several test criteria are available for testing the hypothesis that the autoregressive polynomial of an autoregressive moving average process has a single unit root. Schwert (1989), using a Monte Carlo study, investigated the performance of some of the available test criteria. He concluded that the actual levels of the test criteria considered in his study are far from the specified levels when the moving average polynomial also has a root close to 1. This article studies the asymptotic null distribution of the test statistics for testing p = 1 in the model Y_t = pY _t-1 + e _t – 0e _t-1 as 0 approaches 1. It is shown that the test statistics differ from one another in their asymptotic properties depending on the rate at which 0 converges to 1.     

摆动滚子从动件圆柱凸轮解析设计式的推导

本文较为全面系统地推导了摆动滚子从动件圆柱凸轮的廓线、压力角及廓线曲率半径方程,并讨论了该种凸轮机构在各种运转情况下与之相适用的方程。这些方程可用于凸轮廓线的计算机辅助设计。     

一种非刚体目标的实时检测与跟踪算法

提出了一种复杂背景下自动、实时地检测和跟踪非刚体目标算法。该算法利用自适应的背景减除方法,在复杂背景条件下提取出运动目标;采用颜色直方图模型为特征的均值平移法作为跟踪算法。试验结果验证了该算法的实时性和有效性。     

COVARIANCE MODELS FOR LATTICE DATA

Given observations on an m × n lattice, approximate maximum likelihood estimates are derived for a family of models including direct covariance, spatial moving average, conditional autoregressive and simultaneous autoregressive models. The approach involves expressing the (approximate) covariance matrix of the observed variables in terms of a linear combination of neighbour relationship matrices, raised to a power. The structure is such that the eigenvectors of the covariance matrix are independent of the parameters of interest. This result leads to a simple Fisher scoring type algorithm for estimating the parameters. The ideas are illustrated by fitting models to some remotely sensed data.     

日本对中国文化的摧残与中国文化重心西移之历史考察

日本帝国主义侵华期间对中国文化进行肆意摧残,为了保存中华民族的文化精华,中国东部地区的重要高等院校、文物国宝、重要报刊等文化机构、文化设施及文化团体,尤其是大批文化名人,纷纷内迁西移,这在实际上形成了中国文化重心西移的历史壮举。它不仅保存了中华民族的文化精华和精英,而且大大改变了西部文化的落后状况,对今天的西部文化大开发也有重要启示和借鉴。     

基于PLC控制的多方位自动刷鞋机

为了实现多方位刷鞋的功能,设计一款刷鞋机,主要对其刷鞋部分的机构进行了创新型设计。利用皮带轮机构 和凸轮机构传动带动毛刷运动,多方位清洗鞋子的内部和外表面,达到刷洗鞋子的目的。整个洗刷过程采用三菱PLC 自动控制。该设计结构巧妙,成本低,体积小,工作稳定,性能可靠,效果良好。     

南朝墓志文体的文学化进程考察

综合传世文献引录与建国以来新出土的南朝墓志资料,系统考察南朝墓志文体的演进过程,可以看出,南朝墓志在其发展定型过程中,逐步形成自身特有的文学品格和审美特征,墓志作品日趋呈现出文学化的创作倾向。如果把这种现象置放于南朝文学与文化的双重背景下去思考,则可以发现,南朝墓志文体之所以呈现出文学化倾向,与南朝葬制的变革、墓志文体承载功能的变化、勋贵与文人的积极参与,以及时代文风的变化等有着重要关系。