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.
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.
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.
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
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.
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
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.
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).
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.
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.
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.
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.
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.
Download or read book Volume Based Portfolio Strategies written by Alexander Brändle and published by Springer Science & Business Media. This book was released on 2010-06-28 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: Alexander Brändle investigates the relationship between different measures of trading volume and returns in the Swiss stock market. He discovers that stocks with unusual trading volume in a given month experience systematically higher subsequent returns.
Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
Download or read book Molecular Reaction Dynamics written by Raphael D. Levine and published by Cambridge University Press. This book was released on 2009-06-04 with total page 574 pages. Available in PDF, EPUB and Kindle. Book excerpt: Molecular reaction dynamics is the study of chemical and physical transformations of matter at the molecular level. The understanding of how chemical reactions occur and how to control them is fundamental to chemists and interdisciplinary areas such as materials and nanoscience, rational drug design, environmental and astrochemistry. This book provides a thorough foundation to this area. The first half is introductory, detailing experimental techniques for initiating and probing reaction dynamics and the essential insights that have been gained. The second part explores key areas including photoselective chemistry, stereochemistry, chemical reactions in real time and chemical reaction dynamics in solutions and interfaces. Typical of the new challenges are molecular machines, enzyme action and molecular control. With problem sets included, this book is suitable for advanced undergraduate and graduate students, as well as being supplementary to chemical kinetics, physical chemistry, biophysics and materials science courses, and as a primer for practising scientists.
Download or read book Fundamentals of Physics I written by R. Shankar and published by Yale University Press. This book was released on 2019-08-20 with total page 523 pages. Available in PDF, EPUB and Kindle. Book excerpt: A beloved introductory physics textbook, now including exercises and an answer key, explains the concepts essential for thorough scientific understanding In this concise book, R. Shankar, a well-known physicist and contagiously enthusiastic educator, explains the essential concepts of Newtonian mechanics, special relativity, waves, fluids, thermodynamics, and statistical mechanics. Now in an expanded edition—complete with problem sets and answers for course use or self-study—this work provides an ideal introduction for college-level students of physics, chemistry, and engineering; for AP Physics students; and for general readers interested in advances in the sciences. The book begins at the simplest level, develops the basics, and reinforces fundamentals, ensuring a solid foundation in the principles and methods of physics.
