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Momentum And Reversal Dynamics
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Book Synopsis Momentum and Reversal Dynamics by : James W. Kolari
Download or read book Momentum and Reversal Dynamics written by James W. Kolari and published by . This book was released on 2019 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the joint dynamics of momentum and reversal strategies in the U.S. stock market. Momentum investors face uncertainty about whether past patterns of price movements will continue (momentum) or reverse, thereby increasing volatilities of momentum returns and occasionally leading to momentum crashes. We find that the forces that drive reversal over momentum tend to be strong if losers' past return is extremely low in the time series or if losers are small and illiquid in the cross section. Consequently, we propose new risk-managed momentum strategies that take into account the behavioral divergence between momentum and reversal. Empirical tests for the U.S. stock markets in the sample period of 1947 to 2015 document that momentum strategies in which investors implement stop-trading rules if losers' past returns are extremely low as well as buy-small-loser rules substantially outperform traditional momentum strategies. Importantly, we find that the outperformance is mainly attributable to the increase in abnormal returns (or alpha) from various factor models.
Book Synopsis Optimality of Momentum and Reversal by : Xuezhong He
Download or read book Optimality of Momentum and Reversal written by Xuezhong He and published by . This book was released on 2016 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a continuous-time asset price model to capture short-run momentum and long-run reversal. By studying a dynamic asset allocation problem, we derive the optimal investment strategy in closed form and show that the combined momentum and reversal strategies are optimal. We then estimate the model to the S&P 500 and demonstrate that, by taking the timing opportunity with respect to trend in return and market volatility, the optimal strategies outperform not only pure momentum and pure mean reversion strategies, but also the market index and time series momentum strategy. Furthermore we show that the optimality also holds for the out-of-sample tests and with short-sale constraints and the outperformance is immune to market states, investor sentiment and market volatility.
Book Synopsis Elements of Quantum Optics by : Pierre Meystre
Download or read book Elements of Quantum Optics written by Pierre Meystre and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the reviews: "This is a book that should be found in any physics library. It is extremely useful for all graduate students, Ph.D. students and researchers interested in the quantum physics of light." Optics & Photonics News
Book Synopsis The Dynamics of Energy by : Horacio Perez-Blanco
Download or read book The Dynamics of Energy written by Horacio Perez-Blanco and published by CRC Press. This book was released on 2009-05-26 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: As mankind searches for energy alternatives with minimal environmental consequences and acceptable cost, it is necessary to identify valid areas of endeavor that can activate favorable energy sources and technological developments. Toward that end, The Dynamics of Energy: Supply, Conversion, and Utilization develops competence in energy matters on
Book Synopsis Momentum Dynamics in U.S. Valuation Ratios by : Ana-Maria Fuertes
Download or read book Momentum Dynamics in U.S. Valuation Ratios written by Ana-Maria Fuertes and published by . This book was released on 2013 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We divide the time series of aggregate valuation into bull and bear market phases to test for momentum and reversal, respectively. Our results are consistent with price-earnings and price-dividends displaying continuation by drifting upwards in bull markets irrespective of fundamentals. Such persistence can be explained by market sentiment but not within a classical framework. However the link to fundamentals is restored in bear markets where valuation ratios exhibit mean reversion toward their long run equilibrium levels and thus overall stationarity. Finally, impulse response functions indicate that shocks to the ratios typically follow an underreaction-overreaction time profile that is more pronounced in bull rather than bear markets.
Book Synopsis The Physics of Time Reversal by : Robert G. Sachs
Download or read book The Physics of Time Reversal written by Robert G. Sachs and published by University of Chicago Press. This book was released on 1987 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: The notion that fundamental equations governing the motions of physical systems are invariant under the time reversal transformation (T) has been an important, but often subliminal, element in the development of theoretical physics. It serves as a powerful and useful tool in analyzing the structure of matter at all scales, from gases and condensed matter to subnuclear physics and the quantum theory of fields. The assumption of invariance under T was called into question, however, by the 1964 discovery that a closely related assumption, that of CP invariance (where C is charge conjugation and P is space inversion), is violated in the decay of neutral K mesons. In The Physics of Time Reversal, Robert G. Sachs comprehensively treats the role of the transformation T, both as a tool for analyzing the structure of matter and as a field of fundamental research relating to CP violation. For this purpose he reformulates the definitions of T, P, and C so as to avoid subliminal assumptions of invariance. He summarizes the standard phenomenology of CP violation in the K-meson system and addresses the question of the mysterious origin of CP violation. Using simple examples based on the standard quark model, Sachs summarizes and illustrates how these phenomenological methods can be extended to analysis of future experiments on heavy mesons. He notes that his reformulated approach to conventional quantum field theory leads to new questions about the meaning of the transformations in the context of recent theoretical developments such as non-Abelian gauge theories, and he suggests ways in which these questions may lead to new directions of research.
Book Synopsis Risk and Return in Asian Emerging Markets by : N. Cakici
Download or read book Risk and Return in Asian Emerging Markets written by N. Cakici and published by Springer. This book was released on 2014-08-13 with total page 347 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk and Return in Asian Emerging Markets offers readers a firm insight into the risk and return characteristics of leading Asian emerging market participants by comparing and contrasting behavioral model variables with predictive forecasting methods.
Book Synopsis Nonlinear Statistical Models by : A. Ronald Gallant
Download or read book Nonlinear Statistical Models written by A. Ronald Gallant and published by John Wiley & Sons. This book was released on 1987-02-04 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt: Univariate nonlinear regression; Univariate nonlinear regression: special situations; A unified asymptotic theory of nonlinear models with regression structure; Univariate nonlinear regression: asymptotic theory; Multivariate nonlinear regression; Nonlinear simultaneus equations models; A unified asymptotic theory for dynamic nonlinear models.
Book Synopsis Price-Based Investment Strategies by : Adam Zaremba
Download or read book Price-Based Investment Strategies written by Adam Zaremba and published by Springer. This book was released on 2018-07-25 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.
Book Synopsis A Wealth of Common Sense by : Ben Carlson
Download or read book A Wealth of Common Sense written by Ben Carlson and published by John Wiley & Sons. This book was released on 2015-06-22 with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt: A simple guide to a smarter strategy for the individual investor A Wealth of Common Sense sheds a refreshing light on investing, and shows you how a simplicity-based framework can lead to better investment decisions. The financial market is a complex system, but that doesn't mean it requires a complex strategy; in fact, this false premise is the driving force behind many investors' market "mistakes." Information is important, but understanding and perspective are the keys to better decision-making. This book describes the proper way to view the markets and your portfolio, and show you the simple strategies that make investing more profitable, less confusing, and less time-consuming. Without the burden of short-term performance benchmarks, individual investors have the advantage of focusing on the long view, and the freedom to construct the kind of portfolio that will serve their investment goals best. This book proves how complex strategies essentially waste these advantages, and provides an alternative game plan for those ready to simplify. Complexity is often used as a mechanism for talking investors into unnecessary purchases, when all most need is a deeper understanding of conventional options. This book explains which issues you actually should pay attention to, and which ones are simply used for an illusion of intelligence and control. Keep up with—or beat—professional money managers Exploit stock market volatility to your utmost advantage Learn where advisors and consultants fit into smart strategy Build a portfolio that makes sense for your particular situation You don't have to outsmart the market if you can simply outperform it. Cut through the confusion and noise and focus on what actually matters. A Wealth of Common Sense clears the air, and gives you the insight you need to become a smarter, more successful investor.
Book Synopsis Chaotic Dynamics and Transport in Classical and Quantum Systems by : Pierre Collet
Download or read book Chaotic Dynamics and Transport in Classical and Quantum Systems written by Pierre Collet and published by Springer Science & Business Media. This book was released on 2005-07-28 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the 18th to the 30th August 2003 , a NATO Advanced Study Institute (ASI) was held in Cargèse, Corsica, France. Cargèse is a nice small village situated by the mediterranean sea and the Institut d'Etudes Scientifiques de Cargese provides ? a traditional place to organize Theoretical Physics Summer Schools and Workshops * in a closed and well equiped place. The ASI was an International Summer School on "Chaotic Dynamics and Transport in Classical and Quantum Systems". The main goal of the school was to develop the mutual interaction between Physics and Mathematics concerning statistical properties of classical and quantum dynamical systems. Various experimental and numerical observations have shown new phenomena of chaotic and anomalous transport, fractal structures, chaos in physics accelerators and in cooled atoms inside atom-optics billiards, space-time chaos, fluctuations far from equilibrium, quantum decoherence etc. New theoretical methods have been developed in order to modelize and to understand these phenomena (volume preserving and ergodic dynamical systems, non-equilibrium statistical dynamics, fractional kinetics, coupled maps, space-time entropy, quantum dissipative processes etc). The school gathered a team of specialists from several horizons lecturing and discussing on the achievements, perspectives and open problems (both fundamental and applied).
Book Synopsis Driven Rotation, Self-Generated Flow, and Momentum Transport in Tokamak Plasmas by : John Rice
Download or read book Driven Rotation, Self-Generated Flow, and Momentum Transport in Tokamak Plasmas written by John Rice and published by Springer Nature. This book was released on 2022-01-13 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive look at the state of the art of externally driven and self-generated rotation as well as momentum transport in tokamak plasmas. In addition to recent developments, the book includes a review of rotation measurement techniques, measurements of directly and indirectly driven rotation, momentum sinks, self-generated flow, and momentum transport. These results are presented alongside summaries of prevailing theory and are compared to predictions, bringing together both experimental and theoretical perspectives for a broad look at the field. Both researchers and graduate students in the field of plasma physics will find this book to be a useful reference. Although there is an emphasis on tokamaks, a number of the concepts are also relevant to other configurations.
Book Synopsis Dynamics of Astrophysical Discs by : J. A. Sellwood
Download or read book Dynamics of Astrophysical Discs written by J. A. Sellwood and published by Cambridge University Press. This book was released on 2004-01-22 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Covers recent developments in both theory and observations of discs in a wide variety of astrophysical contexts. The volume is based on a conference held at the University of Manchester in 1988, which brought together an international group of experts in a wide range of fields. The papers cover planetary ring systems, discs in star-forming regions, protoplanetary discs, accretion and galaxy discs--areas related by the remarkable similarity between the dynamical problems posed by each type of disc. This will be a valuable reference work for researchers and postgraduate students in many branches of astronomy.
Book Synopsis Partially Linear Models by : Wolfgang Härdle
Download or read book Partially Linear Models written by Wolfgang Härdle and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last ten years, there has been increasing interest and activity in the general area of partially linear regression smoothing in statistics. Many methods and techniques have been proposed and studied. This monograph hopes to bring an up-to-date presentation of the state of the art of partially linear regression techniques. The emphasis is on methodologies rather than on the theory, with a particular focus on applications of partially linear regression techniques to various statistical problems. These problems include least squares regression, asymptotically efficient estimation, bootstrap resampling, censored data analysis, linear measurement error models, nonlinear measurement models, nonlinear and nonparametric time series models.
Book Synopsis Looking at Time from a Physics Perspective by : Patricio Robles
Download or read book Looking at Time from a Physics Perspective written by Patricio Robles and published by CRC Press. This book was released on 2024-04-23 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt: The subject of time continues to be a subject of extensive research in the development of new theories of physics. This new volume is addressed to students who are starting a graduate program in physics or electrical engineering interested in complementing their studies of relativity theory and quantum physics, applying the knowledge they have acquired about these themes to the analysis of situations where the issue of time measurement is relevant. This is the case, for example, of clock synchronization, transit times of optical signals through dielectric and absorbing media, lifetimes of excited atomic states, among others. These topics, in addition to being of great importance to theoretical physicists, are the basis of many technological developments. For example, global positional systems (GPS) are based on the predictions of relativity theory about time and the effect of gravity over time measurement. Divided into six chapters, the volume discusses how the concept of time is present in the main fields of physics, such as classical mechanics, electrodynamics, quantum mechanics and theory of relativity. Illustrative examples and case studies are included in each chapter. The volume includes an analysis of themes related to time such as causality and the arrows of time, spooky action at distance and Einstein-Podolsky-Rosen Paradox, quantum mechanics and entangled states, apparent superluminal velocity, and time reversal. This book, Looking at Time from a Physics Perspective, will contribute to the understanding of concepts learned in courses on classical mechanics, electrodynamics, quantum mechanics and relativity, reviewing the implications of the time variable for the description of the different physical phenomena at the microscopic and macroscopic level.
Book Synopsis Spin Dynamics in Confined Magnetic Structures II by : Burkard Hillebrands
Download or read book Spin Dynamics in Confined Magnetic Structures II written by Burkard Hillebrands and published by Springer Science & Business Media. This book was released on 2003-03-12 with total page 343 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second volume of the book on spin dynamics in confined magnetic structures covers central aspects of spin dynamic phenomena, so that researchers can find a comprehensive compilation of the current work in the field. Introductory chapters help newcomers to understand the basic concepts, and the more advanced chapters give the current state of the art for most spin dynamic issues in the milliseconds to femtoseconds range. Both experimental techniques and theoretical work are discussed. The comprehensive presentation of these developments makes this volume very timely and valuable for every researcher working in the field of magnetism. It describes the new experimental techniques which have advanced this field very rapidly. Among the techniques covered, particular attention is given to those involving high temporal, elemental and spatial resolution as well as to techniques involving magnetic field pulses with very short rise times and durations.
Book Synopsis High Probability Trading Strategies by : Robert C. Miner
Download or read book High Probability Trading Strategies written by Robert C. Miner and published by John Wiley & Sons. This book was released on 2008-10-20 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt: In High Probability Trading Strategies, author and well-known trading educator Robert Miner skillfully outlines every aspect of a practical trading plan–from entry to exit–that he has developed over the course of his distinguished twenty-plus-year career. The result is a complete approach to trading that will allow you to trade confidently in a variety of markets and time frames. Written with the serious trader in mind, this reliable resource details a proven approach to analyzing market behavior, identifying profitable trade setups, and executing and managing trades–from entry to exit.
