Statistical analysis of microscale gas flows and stock price changes

First, recent studies on the information preservation (IP) method, a particle approach for low-speed micro-scale gas flows, are reviewed. The IP method was validated for benchmark issues such as Couette, Poiseuille and Rayleigh flows, compared well with measured data for typical internal flows through micro-channels and external flows past micro flat plates, and combined with the Navier-Stokes equations to be a hybrid scheme for subsonic, rarefied gas flows. Second, the focus is moved to the microscopic characteristic of China stock market, particularly the price correlation between stock deals. A very interesting phenomenon was found that showed a reverse transition behaviour between two neighbouring price changes. This behaviour significantly differs from the transition rules for atomic and molecular energy levels, and it is very helpful to understand the essential difference between stock markets and nature.

Effect of parental stock size on F-1 genetic structure in the bay scallop, Argopecten irradians (Lamarck, 1819)

Three F-1 families of the bay scallop, Argopecten irradians, were produced from one, two and 10 individuals. The genetic changes in these populations, which suffered recent and different levels of bottleneck, were analysed using amplified fragment length polymorphism (AFLP) techniques. In the parental stock, a total of 330 bands were detected using seven AFLP primer pairs, and 70% of the loci were polymorphic. All F-1 groups had a significantly lower proportion of polymorphic loci when compared with the initial stock, and loss of the rare loci and reduction in heterozygosity both occurred. The progeny of the larger population (i.e., N=10) exhibited a lesser amount of genetic differentiation compared with the progeny from N=2, which showed lesser differentiation than progeny from N=1. The effective population sizes (N-e) in N=1, 2 and 10 were estimated as 1.50, 1.61 and 2.49. Based on regression analysis, we recommend that at least 340 individuals be used in hatchery populations to maintain genetic variation.

A comprehensive comparison of fuel options for fuel cell vehicles in China

Fuel cell vehicles (FCVs) offer the potential of ultra-low emissions combined with high efficiency. Proton exchange membrane (PEM) fuel cells being developed for vehicles require hydrogen as a fuel. Due to the various pathways of hydrogen generation, both onboard and off-board, the question about which fuel option is the most competitive for fuel cell vehicles is of great current interest. In this paper, a life-cycle assessment (LCA) model was made to conduct a comprehensive study of the energy, environmental, and economic (3E) impacts of FCVs from well to wheel (WTW). In view of the special energy structure of China and the timeframe, 10 vehicle/fuel systems are chosen as the study projects. The results show that methanol is the most suitable fuel to serve as the ideal hydrogen source for fuel cell vehicles in the timeframe and geographic regions of this study. On the other hand, gasoline and pure hydrogen can also play a role in short-term and regional applications, especially for local demonstrations of FCV fleets. (c) 2004 Elsevier B.V All rights reserved.

The role of payout ratio in the relationship between stock returns and dividend yield

ap Gwilym, Owain, McManus, Ian, and Thomas, Stephen, 'The role of payout ratio in the relationship between stock returns and dividend yield', Journal of Business Finance & Accounting (2004) 31(9-10) pp.1355-1387 RAE2008

The impact of investor sentiment on stock returns in emerging markets. The case of Central European markets

This is an accepted manuscript of an article published by Taylor & Francis in Eastern European Economics on July 2015, available online: http://dx.doi.org/10.1080/00128775.2015.1079139

Things as they are : mission work in southern India / by Amy Wilson-Carmichael ; with preface by Eugene Stock.

http://www.archive.org/details/thingsastheyarem00wilsuoft

The story of the Fuh-Kien mission of the Church missionary society, by Eugene Stock ...

http://www.archive.org/details/thestoryofthefuh00stocuoft

A study of the Hobson and Rogers volatility model

We firstly examine the model of Hobson and Rogers for the volatility of a financial asset such as a stock or share. The main feature of this model is the specification of volatility in terms of past price returns. The volatility process and the underlying price process share the same source of randomness and so the model is said to be complete. Complete models are advantageous as they allow a unique, preference independent price for options on the underlying price process. One of the main objectives of the model is to reproduce the `smiles' and `skews' seen in the market implied volatilities and this model produces the desired effect. In the first main piece of work we numerically calibrate the model of Hobson and Rogers for comparison with existing literature. We also develop parameter estimation methods based on the calibration of a GARCH model. We examine alternative specifications of the volatility and show an improvement of model fit to market data based on these specifications. We also show how to process market data in order to take account of inter-day movements in the volatility surface. In the second piece of work, we extend the Hobson and Rogers model in a way that better reflects market structure. We extend the model to take into account both first and second order effects. We derive and numerically solve the pde which describes the price of options under this extended model. We show that this extension allows for a better fit to the market data. Finally, we analyse the parameters of this extended model in order to understand intuitively the role of these parameters in the volatility surface.

Policy impacts on Vietnam stock markets: a case of anomalies and disequilibria 2000-2006

Vietnam launched its first-ever stock market, named as Ho Chi Minh City Securities Trading Center (HSTC) on July 20, 2000. This is one of pioneering works on HSTC, which finds empirical evidences for the following: Anomalies of the HSTC stock returns through clusters of limit-hits, limit-hit sequences; Strong herd effect toward extreme positive returns of the market portfolio;The specification of ARMA-GARCH helps capture fairly well issues such as serial correlations and fat-tailed for the stabilized period. By using further information and policy dummy variables, it is justifiable that policy decisions on technicalities of trading can have influential impacts on the move of risk level, through conditional variance behaviors of HSTC stock returns. Policies on trading and disclosure practices have had profound impacts on Vietnam Stock Market (VSM). The over-using of policy tools can harm the market and investing mentality. Price limits become increasingly irrelevant and prevent the market from self-adjusting to equilibrium. These results on VSM have not been reported before in the literature on Vietnam’s financial markets. Given the policy implications, we suggest that the Vietnamese authorities re-think the use of price limit and give more freedom to market participants.

New empirical results on anomalies and herd behaviour: Vietnam stock market 2000-2004

info:eu-repo/semantics/published

Some new results on anomalies and herd behavior: Vietnam stock market

info:eu-repo/semantics/published

Empirical Evidence of Conditional Heteroskedasticity in Vietnam’s Stock Returns Time Series

This paper confirms presence of GARCH(1,1) effect on stock return time series of Vietnam’s newborn stock market. We performed tests on four different time series, namely market returns (VN-Index), and return series of the first four individual stocks listed on the Vietnamese exchange (the Ho Chi Minh City Securities Trading Center) since August 2000. The results have been quite relevant to previously reported empirical studies on different markets.

Long-term equity anticipation securities and stock market volatility dynamics

Recent empirical findings suggest that the long-run dependence in U.S. stock market volatility is best described by a slowly mean-reverting fractionally integrated process. The present study complements this existing time-series-based evidence by comparing the risk-neutralized option pricing distributions from various ARCH-type formulations. Utilizing a panel data set consisting of newly created exchange traded long-term equity anticipation securities, or leaps, on the Standard and Poor's 500 stock market index with maturity times ranging up to three years, we find that the degree of mean reversion in the volatility process implicit in these prices is best described by a Fractionally Integrated EGARCH (FIEGARCH) model. © 1999 Elsevier Science S.A. All rights reserved.