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.     

中国育龄妇女生育集中度变化分析——基于“五普”、“六普”数据

新中国成立以来,结束了上千年的封建制度给妇女带来的桎梏,妇女的社会地位有了明显的提升,具体表现在社会活动的参与率有了显著的提高,同时妇女在生育行为方面也发生了巨大的变化。本文利用最近两次中国人口普查数据来分析育龄妇女的生育集中度变化情况,并以此对中国目前TFR很低的现象做了解释,据此推断中国在未来几年的时间,总和生育率在一定程度上会呈上升的变化趋势,但不可能在短期内回升到更替水平。     

南京市失业人口状况分析

根据"五普"南京市人口10%抽样调查数据,对南京市失业人口状况作了统计分析.分析结果表明,失业人口约占"非在业人口"的1/10略多,其中近2/3为"寻求再就业"人员.人口抽样失业率为6.08%,城区失业率较高,老城区人口失业问题更严重.15～25岁初次寻求就业和40～45岁寻求再就业的群体为两个"就业困难年龄段".女性群体在就业上处于明显弱势,其中25～45岁女性失业比例显著高于男性.但在初次寻找工作中,年轻男性碰到的困难大于年轻女性,而在失业后寻求再就业过程中,女性的困难远高于男性.     

Cu~(2+)的柠檬酸配合物与大环配体交换反应的研究

本文在λ=760nm,I=0.5×10~3mol/m~3(KNO_3),T=25℃,[Cu~(2+)]_(tot)=10[CyH]_(tot),和pH为3.30、3.50条件下,测定了大环配体5,5,7,12,12,14-六甲基-1,4,8,11-四氮杂环十四烷-N′-乙酸(简写为CyH)与Cu~(2+)的柠檬酸(LH_3)配合物配体交换反应。用ELORMA等计算程序算出假一级反应的表现速率常数k_(obs)以及双分子反应速率常数k_(Cu)~(CyH)和k_(CuL)~(CyH),且得到了相应的关系式。     

交换——解读马克思价值理论的钥匙

生产伴随着人类社会的从始至终,而交换则是历史的产物。价值是随着商品交换关系的出现而产生的,是商品生产者之间交换商品的关系赋予商品的一种社会属性。正是生产者之间交换产品的社会关系,使产品转化成为商品,并因此具有了价值。     

用Exchange Server构建基于Win NT的邮件系统

通过对ExchangeServer邮件传送方式的分析 ,详细地介绍了用ExchangeServer构造基于WinNT的邮件系统的方法 .     

紫外线对水牛瘤胃真菌致死率的研究

本文采用在4℃冷却处理1—2h后的萌动孢子液经紫外线(Ultraviolet.UV)照射的方法,对水牛瘤胃真菌(Rumen fungi.RF)的诱变育种条件(主要是致死率与处理时间之间的关系)作了初步的研究。其结果为:致死率为100％、94.4％、70％、50％时,其相应的处理时间分别为8 min、3 min、1.67 min、1 min。     

Transitional appreciation of equilibrium exchange rates and the ERM II

A suitable parity for exchange rate fixing can be derived from an analysis of the equilibrium exchange rate. As the equilibrium exchange rates of the new EU 5 countries, the Czech Republic, Hungary, Poland, Slovenia, and the Slovak Republic, tend to exhibit appreciation trends, credibility of the potential commitment to fixed exchange rate parity with respect to the euro can be undermined. In order to investigate this issue, we estimate a behavioral model of real exchange rates for EU 5 countries and derive the respective equilibrium real exchange rates. Using the linear-quadratic filter we estimate permanent equilibrium exchange rates and their stationary points. We find that as of 2004 fixing of the national currencies to the euro should not be undermined by further significant trend appreciation in the equilibrium exchange rates of the EU 5 countries, in aggregate.     

Effects of Remanufacturable Product Design on Market Segmentation and the Environment

Despite documented benefits of remanufacturing, many manufacturers have yet to embrace the idea of tapping into remanufactured‐goods markets. In this article, we explore this dichotomy and analyze the effect of remanufacturable product design on market segmentation and product and trade‐in prices by studying a two‐stage profit‐maximization problem in which a price‐setting manufacturer can choose whether or not to open a remanufactured‐goods market for its product. Our results suggest that it is optimal for a manufacturer to design a remanufacturable product when the value‐added from remanufacturing is relatively high but product durability is relatively low and innovation is nominal. In addition, we find that entering a remanufactured‐goods market in and of itself does not necessarily translate into environmental friendliness. On the one hand, the optimal trade‐in program could result in low return and/or remanufacturing rates. On the other hand, a low price for remanufactured products could attract higher demand and thereby potentially result in more damage to the environment. Meanwhile, external restrictions imposed on total greenhouse gas emissions draw criticism in their own right because they risk stifling growth or reducing overall consumer welfare. Given these trade‐offs, we therefore develop and compare several measures of environmental efficiency and conclude that emissions per revenue can serve as the best proxy for emissions as a metric for measuring overall environmental stewardship.     

D-optimal Factorial Designs under Generalized Linear Models

Generalized linear models (GLMs) have been used widely for modeling the mean response both for discrete and continuous random variables with an emphasis on categorical response. Recently Yang, Mandal and Majumdar (2013 Yang, J., Mandal, A., Majumdar, D. (2013). Optimal designs for 2^k factorial experiments with binary response. Technical Report, Available at: http://arxiv.org/pdf/1109.5320v4.pdf. [Google Scholar]) considered full factorial and fractional factorial locally D-optimal designs for binary response and two-level experimental factors. In this article, we extend their results to a general setup with response belonging to a single-parameter exponential family and for multilevel predictors.