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.     

Suzi and Mr. S.: Gender role stereotyping in social workers' court reports in custody and access cases.

This paper analyzes the “gender strategies” of a sample of Israeli women social workers as evidenced in the recommendations that they write for the courts on custody and visiting rights for divorcing couples. Textual analysis of these reports reveals what Hochchild terms a “traditional gender strategy,” manifested in a consistent pattern of gender stereotyping. There are clear differences in the way the social workers present the husband and wife as persons, both separately and in relation to one another, and in the roles that they expect them to fulfill, with the man being assigned the provider role and the woman the parent role. Even the way they collect information about the two parents' relationships with their children is different. The paper concludes with a discussion of the practical implications of the findings.     

‘We’re Civil Servants’: The Status of Trauma-Informed Care in the Community

ABSTRACT

Trauma-informed care (TIC) in social service organizations means that the organizations operate with the understanding that everyone involved has possibly experienced trauma in their lifetime. This qualitative study examined local service organizations’ usage of the 5 main principles of TIC: safety, trustworthiness, collaboration, empowerment, and choice (as developed by Fallot & Harris, 2006). Ten focus groups (n = 69) and 6 individual interviews (n = 6) with employees from administration through management were interviewed such that almost all facets of each agency were represented. The participants were asked about their agencies’ policies and practices for utilizing the 5 principles of TIC. The results suggest that the vast majority of organizations in this study implemented many of the principles of TIC with clients, though they had not labeled their practices as “trauma-informed.” However, although clients were receiving TIC, some of the principles were neglected as they pertain to staff, such as choice and empowerment. The findings of this study suggest that agencies are unaware of the relevance of TIC as it relates to staff. It is recommended that future research examine whether the use of TIC in agencies prevents “burnout,” high turnover rates, and vicarious traumatization of staff.     

Some implementation experiences with just-in-time manufacturing

A case study on the implementation of a just-in-time (JIT) production system by a Canadian manufacturer in the heavy machinery industry is presented. Many hurdles and difficulties were encountered during implementation and the way in which these problems were resolved is reported. While the successful implementation of a JIT system depends on a host of technical and human factors, this study suggests that the people involvement factor is the most crucial. It is seen that the key elements to securing people involvement are institution leadership, company-wide education and training and mutual understanding, trust and respect among employees. The moral of this study is that without employee involvement nothing will happen and no result will be achieved.     

Dependence function for continuous bivariate densities

The notion of cross-product ratio for discrete two-way contingency table is extended to the case of continuous bivariate densities. This results in the “local dependence function” that measues the margin-free dependence between bivariate random variables. Properties and examples of the dependence function are discussed. The bivariate normal density plays a special role since it has constant dependence. Continuous bivariate densities can be constructed by specifying the dependence function along with two marginals in analogy to the construction of two-way contingency tables given marginals and patterns of interaction. The dependence function provides a partial ordering on bivariate dependence.     

A study of DEA models without explicit inputs

In performance evaluations, data without explicit inputs (such as index data, pure output data) are widely used. To directly use such data, this paper presents a study on building DEA models without explicit inputs, so-called DEA-WEI models, which are applicable to the evaluation applications where inputs are not directly considered. We provide an axiom foundation of these kinds of models, and further discuss how to incorporate value judgments of decision makers into these DEA-WEI models. Several such models are derived. Finally, applications of the DEA-WEI models are presented.     

The Trouble With Triumph: Discourses of Governmentality in Mainstream Media Representations of Urban Youth

The Assets Coming Together for Youth project conducted a critical discourse analysis of mainstream media depictions of Jane-Finch to better understand the discursive strategies used to constitute urban youth. Although a substantive body of literature investigates the negative discourses, little analysis interrogates the nominally positive discourses deployed by mainstream media. The findings suggest that the sociopolitical significance of these nominally positive discourses may go uncontested and pose a challenge to communities advocating for policies to support urban youth development. These discourses are examined using governmentality theory to reveal how racialized narratives of individual triumph re/produce troubled communities.