Modeling and Scaling of the Distribution of Trade Avalanches in a STOCK Market

NASA Astrophysics Data System (ADS)

Kim, Hyun-Joo

We study the trading activity in the Korea Stock Exchange by considering trade avalanches. A series of successive trading with small trade time interval is regarded as a trade avalanche of which the size s is defined as the number of trade in a series of successive trades. We measure the distribution of trade avalanches sizes P(s) and find that it follows the power-law behavior P(s) ~ s-α with the exponent α ≈ 2 for two stocks with the largest number of trades. A simple stochastic model which describes the power-law behavior of the distribution of trade avalanche size is introduced. In the model it is assumed that the some trades induce the accompanying trades, which results in the trade avalanches and we find that the distribution of the trade avalanche size also follows power-law behavior with the exponent α ≈ 2.

Analysis of Realized Volatility in Two Trading Sessionsof the Japanese Stock Market

NASA Astrophysics Data System (ADS)

Takaishi, T.; Chen, T. T.; Zheng, Z.

We analyze realized volatilities constructedusing high-frequency stock data on the Tokyo Stock Exchange. In order to avoid non-trading hours issue in volatility calculations we define two realized volatilities calculated separately in the two trading sessions of the Tokyo Stock Exchange, i.e. morning and afternoon sessions. After calculating the realized volatilities at various sampling frequencies we evaluate the bias from the microstructure noise as a function of sampling frequency. Taking account of the bias to realized volatility we examine returns standardized by realized volatilities and confirm that price returns on the Tokyo Stock Exchange are described approximately by Gaussian time series with time-varying volatility, i.e. consistent with a mixture of distributions hypothesis.

Short-term market reaction after trading halts in Chinese stock market

NASA Astrophysics Data System (ADS)

Xu, Hai-Chuan; Zhang, Wei; Liu, Yi-Fang

2014-05-01

In this paper, we study the dynamics of absolute return, trading volume and bid-ask spread after the trading halts using high-frequency data from the Shanghai Stock Exchange. We deal with all three types of trading halts, namely intraday halts, one-day halts and inter-day halts, of 203 stocks in Shanghai Stock Exchange from August 2009 to 2011. We find that absolute return, trading volume, and in case of bid-ask spread around intraday halts share the same pattern with a sharp peak and a power law relaxation after that. While for different types of trading halts, the peaks’ height and the relaxation exponents are different. From the perspective of halt reasons or halt durations, the relaxation exponents of absolute return after inter-day halts are larger than those after intraday halts and one-day halts, which implies that inter-day halts are most effective. From the perspective of price trends, the relaxation exponents of excess absolute return and excess volume for positive events are larger than those for negative events in case of intraday halts and one-day halts, implying that positive events are more effective than negative events for intraday halts and one-day halts. In contrast, negative events are more effective than positive events for inter-day halts.

Information-driven trade and price-volume relationship in artificial stock markets

NASA Astrophysics Data System (ADS)

Liu, Xinghua; Liu, Xin; Liang, Xiaobei

2015-07-01

The positive relation between stock price changes and trading volume (price-volume relationship) as a stylized fact has attracted significant interest among finance researchers and investment practitioners. However, until now, consensus has not been reached regarding the causes of the relationship based on real market data because extracting valuable variables (such as information-driven trade volume) from real data is difficult. This lack of general consensus motivates us to develop a simple agent-based computational artificial stock market where extracting the necessary variables is easy. Based on this model and its artificial data, our tests have found that the aggressive trading style of informed agents can produce a price-volume relationship. Therefore, the information spreading process is not a necessary condition for producing price-volume relationship.

An Ensemble of Neural Networks for Stock Trading Decision Making

NASA Astrophysics Data System (ADS)

Chang, Pei-Chann; Liu, Chen-Hao; Fan, Chin-Yuan; Lin, Jun-Lin; Lai, Chih-Ming

Stock turning signals detection are very interesting subject arising in numerous financial and economic planning problems. In this paper, Ensemble Neural Network system with Intelligent Piecewise Linear Representation for stock turning points detection is presented. The Intelligent piecewise linear representation method is able to generate numerous stocks turning signals from the historic data base, then Ensemble Neural Network system will be applied to train the pattern and retrieve similar stock price patterns from historic data for training. These turning signals represent short-term and long-term trading signals for selling or buying stocks from the market which are applied to forecast the future turning points from the set of test data. Experimental results demonstrate that the hybrid system can make a significant and constant amount of profit when compared with other approaches using stock data available in the market.

The roles of the trading time risks on stock investment return and risks in stock price crashes

NASA Astrophysics Data System (ADS)

Li, Jiang-Cheng; Dong, Zhi-Wei; Yang, Guo-Hui; Long, Chao

2017-03-01

The roles of the trading time risks (TTRs) on stock investment return and risks are investigated in the condition of stock price crashes with Hushen300 data (CSI300) and Dow Jones Industrial Average (ˆDJI), respectively. In order to describe the TTR, we employ the escape time that the stock price drops from the maximum to minimum value in a data window length (DWL). After theoretical and empirical research on probability density function of return, the results in both ˆDJI and CSI300 indicate that: (i) As increasing DWL, the expectation of returns and its stability are weakened. (ii) An optimal TTR is related to a maximum return and minimum risk of stock investment in stock price crashes.

Market impact and trading profile of hidden orders in stock markets.

PubMed

Moro, Esteban; Vicente, Javier; Moyano, Luis G; Gerig, Austin; Farmer, J Doyne; Vaglica, Gabriella; Lillo, Fabrizio; Mantegna, Rosario N

2009-12-01

We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are statistically reconstructed based on information about market member codes using data from the Spanish Stock Market and the London Stock Exchange. We find that market impact is strongly concave, approximately increasing as the square root of order size. Furthermore, as a given order is executed, the impact grows in time according to a power law; after the order is finished, it reverts to a level of about 0.5-0.7 of its value at its peak. We observe that hidden orders are executed at a rate that more or less matches trading in the overall market, except for small deviations at the beginning and end of the order.

Market impact and trading profile of hidden orders in stock markets

NASA Astrophysics Data System (ADS)

Moro, Esteban; Vicente, Javier; Moyano, Luis G.; Gerig, Austin; Farmer, J. Doyne; Vaglica, Gabriella; Lillo, Fabrizio; Mantegna, Rosario N.

2009-12-01

We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are statistically reconstructed based on information about market member codes using data from the Spanish Stock Market and the London Stock Exchange. We find that market impact is strongly concave, approximately increasing as the square root of order size. Furthermore, as a given order is executed, the impact grows in time according to a power law; after the order is finished, it reverts to a level of about 0.5-0.7 of its value at its peak. We observe that hidden orders are executed at a rate that more or less matches trading in the overall market, except for small deviations at the beginning and end of the order.

Trading Rules on Stock Markets Using Genetic Network Programming with Reinforcement Learning and Importance Index

NASA Astrophysics Data System (ADS)

Mabu, Shingo; Hirasawa, Kotaro; Furuzuki, Takayuki

Genetic Network Programming (GNP) is an evolutionary computation which represents its solutions using graph structures. Since GNP can create quite compact programs and has an implicit memory function, it has been clarified that GNP works well especially in dynamic environments. In addition, a study on creating trading rules on stock markets using GNP with Importance Index (GNP-IMX) has been done. IMX is a new element which is a criterion for decision making. In this paper, we combined GNP-IMX with Actor-Critic (GNP-IMX&AC) and create trading rules on stock markets. Evolution-based methods evolve their programs after enough period of time because they must calculate fitness values, however reinforcement learning can change programs during the period, therefore the trading rules can be created efficiently. In the simulation, the proposed method is trained using the stock prices of 10 brands in 2002 and 2003. Then the generalization ability is tested using the stock prices in 2004. The simulation results show that the proposed method can obtain larger profits than GNP-IMX without AC and Buy&Hold.

Sector Identification in a Set of Stock Return Time Series Traded at the London Stock Exchange

NASA Astrophysics Data System (ADS)

Coronnello, C.; Tumminello, M.; Lillo, F.; Micciche, S.; Mantegna, R. N.

2005-09-01

We compare some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and hierarchical clustering techniques. We apply these methods to a portfolio of stocks traded at the London Stock Exchange. The investigated time series are recorded both at a daily time horizon and at a 5-minute time horizon. The correlation coefficient matrix is very different at different time horizons confirming that more structured correlation coefficient matrices are observed for long time horizons. All the considered methods are able to detect economic information and the presence of clusters characterized by the economic sector of stocks. However, different methods present a different degree of sensitivity with respect to different sectors. Our comparative analysis suggests that the application of just a single method could not be able to extract all the economic information present in the correlation coefficient matrix of a stock portfolio.

What distinguishes individual stocks from the index?

NASA Astrophysics Data System (ADS)

Wagner, F.; Milaković, M.; Alfarano, S.

2010-01-01

Stochastic volatility models decompose the time series of financial returns into the product of a volatility factor and an iid noise factor. Assuming a slow dynamic for the volatility factor, we show via nonparametric tests that both the index as well as its individual stocks share a common volatility factor. While the noise component is Gaussian for the index, individual stock returns turn out to require a leptokurtic noise. Thus we propose a two-component model for stocks, given by the sum of Gaussian noise, which reflects market-wide fluctuations, and Laplacian noise, which incorporates firm-specific factors such as firm profitability or growth performance, both of which are known to be Laplacian distributed. In the case of purely Gaussian noise, the chi-squared probability for the density of individual stock returns is typically on the order of 10-20, while it increases to values of O(1) by adding the Laplace component.

Trade-offs between forest carbon stocks and harvests in a steady state - A multi-criteria analysis.

PubMed

Pingoud, Kim; Ekholm, Tommi; Sievänen, Risto; Huuskonen, Saija; Hynynen, Jari

2018-03-15

This paper provides a perspective for comparing trade-offs between harvested wood flows and forest carbon stocks with different forest management regimes. A constant management regime applied to a forest area with an even age-class distribution leads to a steady state, in which the annual harvest and carbon stocks remain constant over time. As both are desirable - carbon stocks for mitigating climate change and harvests for the economic use of wood and displacing fossil fuels - an ideal strategy should be chosen from a set of management regimes that are Pareto-optimal in the sense of multi-criteria decision-making. When choosing between Pareto-optimal alternatives, the trade-off between carbon stock and harvests is unavoidable. This trade-off can be described e.g. in terms of carbon payback times or carbon returns. As numerical examples, we present steady-state harvest levels and carbon stocks in a Finnish boreal forest region for different rotation periods, thinning intensities and collection patterns for harvest residues. In the set of simulated management practices, harvest residue collection presents the most favorable trade-off with payback times around 30-40 years; while Pareto-optimal changes in rotation or thinnings exhibited payback times over 100 years, or alternatively carbon returns below 1%. By extending the rotation period and using less-intensive thinnings compared to current practices, the steady-state carbon stocks could be increased by half while maintaining current harvest levels. Additional cases with longer rotation periods should be also considered, but were here excluded due to the lack of reliable data on older forest stands. Copyright © 2018 Elsevier Ltd. All rights reserved.

Fractal patterns in Stock Intertrading Times

NASA Astrophysics Data System (ADS)

White, Ainslie; Lee, Youngki; Ivanov, Plamen Ch.

2003-03-01

We study intertrades times (ITT) of stock trades of a range of companies included in the New York Stock Exchange's Trades and Quotes (TAQ) database. The time between transactions is an indicator of the dynamics of the market, and in the field of econometrics, intertrade durations play a key role in the understanding of the market activity and microstructure. Previous work has mainly focused on the properties of price changes of individual company stocks as well as global financial indices (e.g. SP500, DJ etc.). We hypothesize that there is a relation between the dynamics of price change and the trading activity. To investigate this relation we first study the statistical features of ITT data. The TAQ database covers all transactions on the NSE, AMEX, NASDAQ and the US regional exchanges. We have performed a preliminary analysis of 100 company stocks from a range of industries of the US economy selecting predominantly those companies which have large market capitalisations (MC). We focus on companies with large MC, since the dynamics of the price change and trading activity of stocks of such companies has a considerable impact on the market behaviour.

Generating Stock Trading Rules Using Genetic Network Programming with Flag Nodes and Adjustment of Importance Indexes

NASA Astrophysics Data System (ADS)

Mabu, Shingo; Chen, Yan; Hirasawa, Kotaro

Genetic Network Programming (GNP) is an evolutionary algorithm which represents its solutions using graph structures. Since GNP can create quite compact programs and has an implicit memory function, GNP works well especially in dynamic environments. In addition, a study on creating trading rules on stock markets using GNP with Importance Index (GNP-IMX) has been done. IMX is one of the criterions for decision making. However, the values of IMXs must be deteminined by our experience/knowledge. Therefore in this paper, IMXs are adjusted appropriately during the stock trading in order to predict the rise and fall of the stocks. Moreover, newly defined flag nodes are introduced to GNP, which can appropriately judge the current situation of the stock prices, and also contributes to the use of many kinds of nodes in GNP program. In the simulation, programs are evolved using the stock prices of 20 companies. Then the generalization ability is tested and compared with GNP without flag nodes, GNP without IMX adjustment and Buy&Hold.

Network interdependency between social media and stock trading activities: Evidence from China

NASA Astrophysics Data System (ADS)

Lin, Shen; Ren, Da; Zhang, Wei; Zhang, Yongjie; Shen, Dehua

2016-06-01

The emergence of social media accelerates the research on information dissemination and its corresponding influence on trading tendency. Based on empirical study of the dynamic relationship between the ratio of re-post microblog and original microblog (RRO) and average volume per transaction (VPT), we find the following results: (1) In microblog network, stocks with high RRO are often accompanied with low statistical VPT; (2) When the discussion about one stock is quite lively in microblog network (such as the blog postings reach a summit), it does not statistically cause the fluctuations of VPT of the stock; (3) Overall speaking, RRO plays a significant role in inverting u-shaped relationship with VPT.

75 FR 28845 - Self-Regulatory Organizations; National Stock Exchange, Inc.; Notice of Filing of a Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-05-24

... Organizations; National Stock Exchange, Inc.; Notice of Filing of a Proposed Rule Change To Establish a Trading... establish a trading halt for individual stocks contained in the Standard & Poor's 500 Index (``S&P 500... Exchange proposes to add NSX Rule 11.20B to provide for a trading pause for individual securities for which...

Scaling theory of temporal correlations and size-dependent fluctuations in the traded value of stocks

NASA Astrophysics Data System (ADS)

Eisler, Zoltán; Kertész, János

2006-04-01

Records of the traded value fi of stocks display fluctuation scaling, a proportionality between the standard deviation σi and the average ⟨fi⟩ : σi∝⟨fi⟩α , with a strong time scale dependence α(Δt) . The nontrivial (i.e., neither 0.5 nor 1) value of α may have different origins and provides information about the microscopic dynamics. We present a set of stylized facts and then show their connection to such behavior. The functional form α(Δt) originates from two aspects of the dynamics: Stocks of larger companies both tend to be traded in larger packages and also display stronger correlations of traded value. The results are integrated into a general framework that can be applied to a wide range of complex systems.

Neural Correlates of Direct Access Trading in a Real Stock Market: An fMRI Investigation.

PubMed

Raggetti, GianMario; Ceravolo, Maria G; Fattobene, Lucrezia; Di Dio, Cinzia

2017-01-01

Background: While financial decision making has been barely explored, no study has previously investigated the neural correlates of individual decisions made by professional traders involved in real stock market negotiations, using their own financial resources. Aim: We sought to detect how different brain areas are modulated by factors like age, expertise, psychological profile (speculative risk seeking or aversion) and, eventually, size and type (Buy/Sell) of stock negotiations, made through Direct Access Trading (DAT) platforms. Subjects and methods: Twenty male traders underwent fMRI while negotiating in the Italian stock market using their own preferred trading platform. Results: At least 20 decision events were collected during each fMRI session. Risk averse traders performed a lower number of financial transactions with respect to risk seekers, with a lower average economic value, but with a higher rate of filled proposals. Activations were observed in cortical and subcortical areas traditionally involved in decision processes, including the ventrolateral and dorsolateral prefrontal cortex (vlPFC, dlPFC), the posterior parietal cortex (PPC), the nucleus accumbens (NAcc), and dorsal striatum. Regression analysis indicated an important role of age in modulating activation of left NAcc, while traders' expertise was negatively related to activation of vlPFC. High value transactions were associated with a stronger activation of the right PPC when subjects' buy rather than sell. The success of the trading activity, based on a large number of filled transactions, was related with higher activation of vlPFC and dlPFC. Independent of chronological and professional age, traders differed in their attitude to DAT, with distinct brain activity profiles being detectable during fMRI sessions. Those subjects who described themselves as very self-confident, showed a lower or absent activation of both the caudate nucleus and the dlPFC, while more reflexive traders showed

Neural Correlates of Direct Access Trading in a Real Stock Market: An fMRI Investigation

PubMed Central

Raggetti, GianMario; Ceravolo, Maria G.; Fattobene, Lucrezia; Di Dio, Cinzia

2017-01-01

Background: While financial decision making has been barely explored, no study has previously investigated the neural correlates of individual decisions made by professional traders involved in real stock market negotiations, using their own financial resources. Aim: We sought to detect how different brain areas are modulated by factors like age, expertise, psychological profile (speculative risk seeking or aversion) and, eventually, size and type (Buy/Sell) of stock negotiations, made through Direct Access Trading (DAT) platforms. Subjects and methods: Twenty male traders underwent fMRI while negotiating in the Italian stock market using their own preferred trading platform. Results: At least 20 decision events were collected during each fMRI session. Risk averse traders performed a lower number of financial transactions with respect to risk seekers, with a lower average economic value, but with a higher rate of filled proposals. Activations were observed in cortical and subcortical areas traditionally involved in decision processes, including the ventrolateral and dorsolateral prefrontal cortex (vlPFC, dlPFC), the posterior parietal cortex (PPC), the nucleus accumbens (NAcc), and dorsal striatum. Regression analysis indicated an important role of age in modulating activation of left NAcc, while traders' expertise was negatively related to activation of vlPFC. High value transactions were associated with a stronger activation of the right PPC when subjects' buy rather than sell. The success of the trading activity, based on a large number of filled transactions, was related with higher activation of vlPFC and dlPFC. Independent of chronological and professional age, traders differed in their attitude to DAT, with distinct brain activity profiles being detectable during fMRI sessions. Those subjects who described themselves as very self-confident, showed a lower or absent activation of both the caudate nucleus and the dlPFC, while more reflexive traders showed

Random matrix approach to the dynamics of stock inventory variations

NASA Astrophysics Data System (ADS)

Zhou, Wei-Xing; Mu, Guo-Hua; Kertész, János

2012-09-01

It is well accepted that investors can be classified into groups owing to distinct trading strategies, which forms the basic assumption of many agent-based models for financial markets when agents are not zero-intelligent. However, empirical tests of these assumptions are still very rare due to the lack of order flow data. Here we adopt the order flow data of Chinese stocks to tackle this problem by investigating the dynamics of inventory variations for individual and institutional investors that contain rich information about the trading behavior of investors and have a crucial influence on price fluctuations. We find that the distributions of cross-correlation coefficient Cij have power-law forms in the bulk that are followed by exponential tails, and there are more positive coefficients than negative ones. In addition, it is more likely that two individuals or two institutions have a stronger inventory variation correlation than one individual and one institution. We find that the largest and the second largest eigenvalues (λ1 and λ2) of the correlation matrix cannot be explained by random matrix theory and the projections of investors' inventory variations on the first eigenvector u(λ1) are linearly correlated with stock returns, where individual investors play a dominating role. The investors are classified into three categories based on the cross-correlation coefficients CV R between inventory variations and stock returns. A strong Granger causality is unveiled from stock returns to inventory variations, which means that a large proportion of individuals hold the reversing trading strategy and a small part of individuals hold the trending strategy. Our empirical findings have scientific significance in the understanding of investors' trading behavior and in the construction of agent-based models for emerging stock markets.

Financial factor influence on scaling and memory of trading volume in stock market

NASA Astrophysics Data System (ADS)

Li, Wei; Wang, Fengzhong; Havlin, Shlomo; Stanley, H. Eugene

2011-10-01

We study the daily trading volume volatility of 17 197 stocks in the US stock markets during the period 1989-2008 and analyze the time return intervals τ between volume volatilities above a given threshold q. For different thresholds q, the probability density function Pq(τ) scales with mean interval <τ> as Pq(τ)=<τ>-1f(τ/<τ>), and the tails of the scaling function can be well approximated by a power law f(x)˜x-γ. We also study the relation between the form of the distribution function Pq(τ) and several financial factors: stock lifetime, market capitalization, volume, and trading value. We find a systematic tendency of Pq(τ) associated with these factors, suggesting a multiscaling feature in the volume return intervals. We analyze the conditional probability Pq(τ|τ0) for τ following a certain interval τ0, and find that Pq(τ|τ0) depends on τ0 such that immediately following a short (long) return interval a second short (long) return interval tends to occur. We also find indications that there is a long-term correlation in the daily volume volatility. We compare our results to those found earlier for price volatility.

Unveiling correlations between financial variables and topological metrics of trading networks: Evidence from a stock and its warrant

NASA Astrophysics Data System (ADS)

Li, Ming-Xia; Jiang, Zhi-Qiang; Xie, Wen-Jie; Xiong, Xiong; Zhang, Wei; Zhou, Wei-Xing

2015-02-01

Traders develop and adopt different trading strategies attempting to maximize their profits in financial markets. These trading strategies not only result in specific topological structures in trading networks, which connect the traders with the pairwise buy-sell relationships, but also have potential impacts on market dynamics. Here, we present a detailed analysis on how the market behaviors are correlated with the structures of traders in trading networks based on audit trail data for the Baosteel stock and its warrant at the transaction level from 22 August 2005 to 23 August 2006. In our investigation, we divide each trade day into 48 rolling time windows with a length of 5 min, construct a trading network within each window, and obtain a time series of over 11,600 trading networks. We find that there are strongly simultaneous correlations between the topological metrics (including network centralization, assortative index, and average path length) of trading networks that characterize the patterns of order execution and the financial variables (including return, volatility, intertrade duration, and trading volume) for the stock and its warrant. Our analysis may shed new lights on how the microscopic interactions between elements within complex system affect the system's performance.

Coupling detrended fluctuation analysis of Asian stock markets

NASA Astrophysics Data System (ADS)

Wang, Qizhen; Zhu, Yingming; Yang, Liansheng; Mul, Remco A. H.

2017-04-01

This paper uses the coupling detrended fluctuation analysis (CDFA) method to investigate the multifractal characteristics of four Asian stock markets using three stock indices: stock price returns, trading volumes and the composite index. The results show that coupled correlations exist among the four stock markets and the coupled correlations have multifractal characteristics. We then use the chi square (χ2) test to identify the sources of multifractality. For the different stock indices, the contributions of a single series to multifractality are different. In other words, the contributions of each country to coupled correlations are different. The comparative analysis shows that the research on the combine effect of stock price returns and trading volumes may be more comprehensive than on an individual index. By comparing the strength of multifractality for original data with the residual errors of the vector autoregression (VAR) model, we find that the VAR model could not be used to describe the dynamics of the coupled correlations among four financial time series.

Rising trade, declining stocks: The global gugul (Commiphora wightii) trade.

PubMed

Cunningham, A B; Brinckmann, J A; Kulloli, R N; Schippmann, U

2018-09-15

Commiphora wightii is exploited in India and Pakistan for an oleo-resin (gum guggul) traditionally used in Ayurvedic, Siddha and Unani medical systems. Processed C. wightii oleo-resin products are exported from India to 42 countries, including re-export to Pakistan, for anti-inflammatory use and as an anti-inflammatory and an anti-obesity treatment considered to lower cholesterol and lipid levels. The C. wightii export trade has particular relevance to the European Union because Belgium, France, Germany, Hungary, Italy, the Netherlands, and United Kingdom are importing countries. Demand and prices for C. wightii oleo-resin are increasing and wild stocks of C. wightii are in decline. The overexploitation of C. wightii after tapping for its commercially valuable oleo-resin is not a new problem, however, but one that has existed for over 50 years. Lopping and chopping trees to extract C. wightii oleo-resin has had a devastating impact on C. wightii populations since the 1960's. The aim of this study was to review the sustainability of the global trade in C. wightii oleo-resin. This included reviewing studies on resin tapping methods and the impacts of wild harvest on C. wightii populations in India and Pakistan. Firstly, we reviewed studies on impacts of C. wightii oleo-resin harvest and on the policy responses taken in relation to harvest and trade in C. wightii oleo-resin. Secondly, we reviewed studies on C. wightii cultivation. Thirdly, global trade data for C. wightii were analyzed. Destructive harvest to obtain the gum is the major threat facing this species. C. wightii populations are also fragmented by habitat loss through clearing for farming. Cutting and lopping in order to extract the medicinal gum are a major threat to C. wightii populations, as is poor recruitment due to grazing by livestock. As a result of over-exploitation, C. wightii oleo-resin production has declined in India. In Gujarat, a key production area, the decline over a 50-year period has

77 FR 4593 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-01-30

..., other than rights and warrants, when the price of such security moves a percentage specified below... Proposed Rule Change To Extend the Pilot Period of the Trading Pause for NMS Stocks Other Than Rights and... trading pause for individual NMS stocks other than rights and warrants, so that the pilot will now expire...

Statistical properties and pre-hit dynamics of price limit hits in the Chinese stock markets.

PubMed

Wan, Yu-Lei; Xie, Wen-Jie; Gu, Gao-Feng; Jiang, Zhi-Qiang; Chen, Wei; Xiong, Xiong; Zhang, Wei; Zhou, Wei-Xing

2015-01-01

Price limit trading rules are adopted in some stock markets (especially emerging markets) trying to cool off traders' short-term trading mania on individual stocks and increase market efficiency. Under such a microstructure, stocks may hit their up-limits and down-limits from time to time. However, the behaviors of price limit hits are not well studied partially due to the fact that main stock markets such as the US markets and most European markets do not set price limits. Here, we perform detailed analyses of the high-frequency data of all A-share common stocks traded on the Shanghai Stock Exchange and the Shenzhen Stock Exchange from 2000 to 2011 to investigate the statistical properties of price limit hits and the dynamical evolution of several important financial variables before stock price hits its limits. We compare the properties of up-limit hits and down-limit hits. We also divide the whole period into three bullish periods and three bearish periods to unveil possible differences during bullish and bearish market states. To uncover the impacts of stock capitalization on price limit hits, we partition all stocks into six portfolios according to their capitalizations on different trading days. We find that the price limit trading rule has a cooling-off effect (object to the magnet effect), indicating that the rule takes effect in the Chinese stock markets. We find that price continuation is much more likely to occur than price reversal on the next trading day after a limit-hitting day, especially for down-limit hits, which has potential practical values for market practitioners.

76 FR 52028 - Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-08-19

... individual stock trading pause pursuant to the Pause Pilot on the primary listing market and those..., The NASDAQ Stock Market LLC, New York Stock Exchange LLC, NYSE Amex LLC, NYSE Arca, Inc., National...-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing and Immediate Effectiveness of...

Price performance following stock's IPO in different price limit systems

NASA Astrophysics Data System (ADS)

Wu, Ting; Wang, Yue; Li, Ming-Xia

2018-01-01

An IPO burst occurred in China's stock markets in 2015, while price limit trading rules usually help to reduce the short-term trading mania on individual stocks. It is interesting to make clear the function of the price limits after IPOs. We firstly make a statistical analysis based on all the IPO stocks listed from 1990 to 2015. A high dependency exists between the activities in stock's IPO and various market environment. We also focus on the price dynamics in the first 40 trading days after the stock listed. We find that price limit system will delay the price movement, especially for the up-trend movements, which may lead to longer continuous price limit hits. Similar to our previous work, many results such as ;W; shape can be also observed in the future daily return after the price limit open. At last, we find most IPO measures show evident correlations with the following price limit hits. IPO stocks with lower first-day turnover and earning per share will be followed with a longer continuous price limit hits and lower future daily return under the newest trading rules, which give us a good way to estimate the occurrence of price limit hits and the following price dynamics. Our analysis provides a better understanding of the price dynamics after IPO events and offers potential practical values for investors.

Stock price estimation using ensemble Kalman Filter square root method

NASA Astrophysics Data System (ADS)

Karya, D. F.; Katias, P.; Herlambang, T.

2018-04-01

Shares are securities as the possession or equity evidence of an individual or corporation over an enterprise, especially public companies whose activity is stock trading. Investment in stocks trading is most likely to be the option of investors as stocks trading offers attractive profits. In determining a choice of safe investment in the stocks, the investors require a way of assessing the stock prices to buy so as to help optimize their profits. An effective method of analysis which will reduce the risk the investors may bear is by predicting or estimating the stock price. Estimation is carried out as a problem sometimes can be solved by using previous information or data related or relevant to the problem. The contribution of this paper is that the estimates of stock prices in high, low, and close categorycan be utilized as investors’ consideration for decision making in investment. In this paper, stock price estimation was made by using the Ensemble Kalman Filter Square Root method (EnKF-SR) and Ensemble Kalman Filter method (EnKF). The simulation results showed that the resulted estimation by applying EnKF method was more accurate than that by the EnKF-SR, with an estimation error of about 0.2 % by EnKF and an estimation error of 2.6 % by EnKF-SR.

Statistical Properties and Pre-Hit Dynamics of Price Limit Hits in the Chinese Stock Markets

PubMed Central

Wan, Yu-Lei; Xie, Wen-Jie; Gu, Gao-Feng; Jiang, Zhi-Qiang; Chen, Wei; Xiong, Xiong; Zhang, Wei; Zhou, Wei-Xing

2015-01-01

Price limit trading rules are adopted in some stock markets (especially emerging markets) trying to cool off traders’ short-term trading mania on individual stocks and increase market efficiency. Under such a microstructure, stocks may hit their up-limits and down-limits from time to time. However, the behaviors of price limit hits are not well studied partially due to the fact that main stock markets such as the US markets and most European markets do not set price limits. Here, we perform detailed analyses of the high-frequency data of all A-share common stocks traded on the Shanghai Stock Exchange and the Shenzhen Stock Exchange from 2000 to 2011 to investigate the statistical properties of price limit hits and the dynamical evolution of several important financial variables before stock price hits its limits. We compare the properties of up-limit hits and down-limit hits. We also divide the whole period into three bullish periods and three bearish periods to unveil possible differences during bullish and bearish market states. To uncover the impacts of stock capitalization on price limit hits, we partition all stocks into six portfolios according to their capitalizations on different trading days. We find that the price limit trading rule has a cooling-off effect (object to the magnet effect), indicating that the rule takes effect in the Chinese stock markets. We find that price continuation is much more likely to occur than price reversal on the next trading day after a limit-hitting day, especially for down-limit hits, which has potential practical values for market practitioners. PMID:25874716

The synchronicity between the stock and the stock index via information in market

NASA Astrophysics Data System (ADS)

Gao, Hai-Ling; Li, Jiang-Cheng; Guo, Wei; Mei, Dong-Cheng

2018-02-01

The synchronicity between the stock and the stock-index in a market system is investigated. The results show that: (i) the synchronicity between the stock and the stock-index increases with the rising degree of market information capitalized into stock prices in certain range; (ii) the synchronicity decreases for large firm-specific information; (iii) the stock return synchronicity is small compared to the big noise trading, however the variance noise facilitates the synchronization within the tailored realms. These findings may be helpful in understanding the effect of market information on synchronicity, especially for the response of firm-specific information and noise trading to synchronicity.

Trading strategy based on dynamic mode decomposition: Tested in Chinese stock market

NASA Astrophysics Data System (ADS)

Cui, Ling-xiao; Long, Wen

2016-11-01

Dynamic mode decomposition (DMD) is an effective method to capture the intrinsic dynamical modes of complex system. In this work, we adopt DMD method to discover the evolutionary patterns in stock market and apply it to Chinese A-share stock market. We design two strategies based on DMD algorithm. The strategy which considers only timing problem can make reliable profits in a choppy market with no prominent trend while fails to beat the benchmark moving-average strategy in bull market. After considering the spatial information from spatial-temporal coherent structure of DMD modes, we improved the trading strategy remarkably. Then the DMD strategies profitability is quantitatively evaluated by performing SPA test to correct the data-snooping effect. The results further prove that DMD algorithm can model the market patterns well in sideways market.

Has microblogging changed stock market behavior? Evidence from China

NASA Astrophysics Data System (ADS)

Jin, Xi; Shen, Dehua; Zhang, Wei

2016-06-01

This paper examines the stock market behavior for a long-lived subset of firms in Shanghai and Shenzhen CSI 300 Index (CSI 300 Index) both before and after the establishment of firms' Microblogging in Sina Weibo. The empirical results show a significant increase in the relative trading volume as well as the decreases in the daily expected stock return and firm-level volatility in the post-Sina Weibo period. These findings suggest that Sina Weibo as an alternative information interaction channel has changed the information environment for individual stock, enhanced the speed of information diffusion and therefore changed the overall stock market behavior.

Stock price change rate prediction by utilizing social network activities.

PubMed

Deng, Shangkun; Mitsubuchi, Takashi; Sakurai, Akito

2014-01-01

Predicting stock price change rates for providing valuable information to investors is a challenging task. Individual participants may express their opinions in social network service (SNS) before or after their transactions in the market; we hypothesize that stock price change rate is better predicted by a function of social network service activities and technical indicators than by a function of just stock market activities. The hypothesis is tested by accuracy of predictions as well as performance of simulated trading because success or failure of prediction is better measured by profits or losses the investors gain or suffer. In this paper, we propose a hybrid model that combines multiple kernel learning (MKL) and genetic algorithm (GA). MKL is adopted to optimize the stock price change rate prediction models that are expressed in a multiple kernel linear function of different types of features extracted from different sources. GA is used to optimize the trading rules used in the simulated trading by fusing the return predictions and values of three well-known overbought and oversold technical indicators. Accumulated return and Sharpe ratio were used to test the goodness of performance of the simulated trading. Experimental results show that our proposed model performed better than other models including ones using state of the art techniques.

Stock Price Change Rate Prediction by Utilizing Social Network Activities

PubMed Central

Mitsubuchi, Takashi; Sakurai, Akito

2014-01-01

Predicting stock price change rates for providing valuable information to investors is a challenging task. Individual participants may express their opinions in social network service (SNS) before or after their transactions in the market; we hypothesize that stock price change rate is better predicted by a function of social network service activities and technical indicators than by a function of just stock market activities. The hypothesis is tested by accuracy of predictions as well as performance of simulated trading because success or failure of prediction is better measured by profits or losses the investors gain or suffer. In this paper, we propose a hybrid model that combines multiple kernel learning (MKL) and genetic algorithm (GA). MKL is adopted to optimize the stock price change rate prediction models that are expressed in a multiple kernel linear function of different types of features extracted from different sources. GA is used to optimize the trading rules used in the simulated trading by fusing the return predictions and values of three well-known overbought and oversold technical indicators. Accumulated return and Sharpe ratio were used to test the goodness of performance of the simulated trading. Experimental results show that our proposed model performed better than other models including ones using state of the art techniques. PMID:24790586

Memory effects in stock price dynamics: evidences of technical trading

PubMed Central

Garzarelli, Federico; Cristelli, Matthieu; Pompa, Gabriele; Zaccaria, Andrea; Pietronero, Luciano

2014-01-01

Technical trading represents a class of investment strategies for Financial Markets based on the analysis of trends and recurrent patterns in price time series. According standard economical theories these strategies should not be used because they cannot be profitable. On the contrary, it is well-known that technical traders exist and operate on different time scales. In this paper we investigate if technical trading produces detectable signals in price time series and if some kind of memory effects are introduced in the price dynamics. In particular, we focus on a specific figure called supports and resistances. We first develop a criterion to detect the potential values of supports and resistances. Then we show that memory effects in the price dynamics are associated to these selected values. In fact we show that prices more likely re-bounce than cross these values. Such an effect is a quantitative evidence of the so-called self-fulfilling prophecy, that is the self-reinforcement of agents' belief and sentiment about future stock prices' behavior. PMID:24671011

Memory effects in stock price dynamics: evidences of technical trading

NASA Astrophysics Data System (ADS)

Garzarelli, Federico; Cristelli, Matthieu; Pompa, Gabriele; Zaccaria, Andrea; Pietronero, Luciano

2014-03-01

Technical trading represents a class of investment strategies for Financial Markets based on the analysis of trends and recurrent patterns in price time series. According standard economical theories these strategies should not be used because they cannot be profitable. On the contrary, it is well-known that technical traders exist and operate on different time scales. In this paper we investigate if technical trading produces detectable signals in price time series and if some kind of memory effects are introduced in the price dynamics. In particular, we focus on a specific figure called supports and resistances. We first develop a criterion to detect the potential values of supports and resistances. Then we show that memory effects in the price dynamics are associated to these selected values. In fact we show that prices more likely re-bounce than cross these values. Such an effect is a quantitative evidence of the so-called self-fulfilling prophecy, that is the self-reinforcement of agents' belief and sentiment about future stock prices' behavior.

Debiasing the disposition effect by reducing the saliency of information about a stock's purchase price.

PubMed

Frydman, Cary; Rangel, Antonio

2014-11-01

The disposition effect refers to the empirical fact that investors have a higher propensity to sell risky assets with capital gains compared to risky assets with capital losses, and it has been associated with low trading performance. We use a stock trading laboratory experiment to investigate if it is possible to reduce subjects' tendency to exhibit a disposition effect by making information about a stock's purchase price, and thus about capital gains and losses, less salient. We compare two experimental conditions: a high-saliency condition in which the purchase price of a stock is prominently displayed by the trading software, and a low-saliency condition in which it is not displayed at all. We find that individuals exhibit a disposition effect in the high-saliency condition, and that the effect is 25% smaller in the low-saliency condition. This suggests that it is possible to debias the disposition effect by reducing the saliency with which information about a stock's purchase price is displayed on financial statements and online trading platforms.

Scaling and predictability in stock markets: a comparative study.

PubMed

Zhang, Huishu; Wei, Jianrong; Huang, Jiping

2014-01-01

Most people who invest in stock markets want to be rich, thus, many technical methods have been created to beat the market. If one knows the predictability of the price series in different markets, it would be easier for him/her to make the technical analysis, at least to some extent. Here we use one of the most basic sold-and-bought trading strategies to establish the profit landscape, and then calculate the parameters to characterize the strength of predictability. According to the analysis of scaling of the profit landscape, we find that the Chinese individual stocks are harder to predict than US ones, and the individual stocks are harder to predict than indexes in both Chinese stock market and US stock market. Since the Chinese (US) stock market is a representative of emerging (developed) markets, our comparative study on the markets of these two countries is of potential value not only for conducting technical analysis, but also for understanding physical mechanisms of different kinds of markets in terms of scaling.

Scaling and Predictability in Stock Markets: A Comparative Study

PubMed Central

Zhang, Huishu; Wei, Jianrong; Huang, Jiping

2014-01-01

Most people who invest in stock markets want to be rich, thus, many technical methods have been created to beat the market. If one knows the predictability of the price series in different markets, it would be easier for him/her to make the technical analysis, at least to some extent. Here we use one of the most basic sold-and-bought trading strategies to establish the profit landscape, and then calculate the parameters to characterize the strength of predictability. According to the analysis of scaling of the profit landscape, we find that the Chinese individual stocks are harder to predict than US ones, and the individual stocks are harder to predict than indexes in both Chinese stock market and US stock market. Since the Chinese (US) stock market is a representative of emerging (developed) markets, our comparative study on the markets of these two countries is of potential value not only for conducting technical analysis, but also for understanding physical mechanisms of different kinds of markets in terms of scaling. PMID:24632944

The illogicality of stock-brokers: psychological experiments on the effects of prior knowledge and belief biases on logical reasoning in stock trading.

PubMed

Knauff, Markus; Budeck, Claudia; Wolf, Ann G; Hamburger, Kai

2010-10-18

Explanations for the current worldwide financial crisis are primarily provided by economists and politicians. However, in the present work we focus on the psychological-cognitive factors that most likely affect the thinking of people on the economic stage and thus might also have had an effect on the progression of the crises. One of these factors might be the effect of prior beliefs on reasoning and decision-making. So far, this question has been explored only to a limited extent. We report two experiments on logical reasoning competences of nineteen stock-brokers with long-lasting vocational experiences at the stock market. The premises of reasoning problems concerned stock trading and the experiments varied whether or not their conclusions--a proposition which is reached after considering the premises--agreed with the brokers' prior beliefs. Half of the problems had a conclusion that was highly plausible for stock-brokers while the other half had a highly implausible conclusion. The data show a strong belief bias. Stock-brokers were strongly biased by their prior knowledge. Lowest performance was found for inferences in which the problems caused a conflict between logical validity and the experts' belief. In these cases, the stock-brokers tended to make logically invalid inferences rather than give up their existing beliefs. Our findings support the thesis that cognitive factors have an effect on the decision-making on the financial market. In the present study, stock-brokers were guided more by past experience and existing beliefs than by logical thinking and rational decision-making. They had difficulties to disengage themselves from vastly anchored thinking patterns. However, we believe, that it is wrong to accuse the brokers for their "malfunctions", because such hard-wired cognitive principles are difficult to suppress even if the person is aware of them.

Degree-Strength Correlation Reveals Anomalous Trading Behavior

PubMed Central

Sun, Xiao-Qian; Shen, Hua-Wei; Cheng, Xue-Qi; Wang, Zhao-Yang

2012-01-01

Manipulation is an important issue for both developed and emerging stock markets. Many efforts have been made to detect manipulation in stock markets. However, it is still an open problem to identify the fraudulent traders, especially when they collude with each other. In this paper, we focus on the problem of identifying the anomalous traders using the transaction data of eight manipulated stocks and forty-four non-manipulated stocks during a one-year period. By analyzing the trading networks of stocks, we find that the trading networks of manipulated stocks exhibit significantly higher degree-strength correlation than the trading networks of non-manipulated stocks and the randomized trading networks. We further propose a method to detect anomalous traders of manipulated stocks based on statistical significance analysis of degree-strength correlation. Experimental results demonstrate that our method is effective at distinguishing the manipulated stocks from non-manipulated ones. Our method outperforms the traditional weight-threshold method at identifying the anomalous traders in manipulated stocks. More importantly, our method is difficult to be fooled by colluded traders. PMID:23082114

Degree-strength correlation reveals anomalous trading behavior.

PubMed

Sun, Xiao-Qian; Shen, Hua-Wei; Cheng, Xue-Qi; Wang, Zhao-Yang

2012-01-01

Manipulation is an important issue for both developed and emerging stock markets. Many efforts have been made to detect manipulation in stock markets. However, it is still an open problem to identify the fraudulent traders, especially when they collude with each other. In this paper, we focus on the problem of identifying the anomalous traders using the transaction data of eight manipulated stocks and forty-four non-manipulated stocks during a one-year period. By analyzing the trading networks of stocks, we find that the trading networks of manipulated stocks exhibit significantly higher degree-strength correlation than the trading networks of non-manipulated stocks and the randomized trading networks. We further propose a method to detect anomalous traders of manipulated stocks based on statistical significance analysis of degree-strength correlation. Experimental results demonstrate that our method is effective at distinguishing the manipulated stocks from non-manipulated ones. Our method outperforms the traditional weight-threshold method at identifying the anomalous traders in manipulated stocks. More importantly, our method is difficult to be fooled by colluded traders.

Post-hit dynamics of price limit hits in the Chinese stock markets

NASA Astrophysics Data System (ADS)

Wu, Ting; Wang, Yue; Li, Ming-Xia

2017-01-01

Price limit trading rules are useful to cool off traders short-term trading mania on individual stocks. The price dynamics approaching the limit boards are known as the magnet effect. However, the price dynamics after opening price limit hits are not well investigated. Here, we provide a detailed analysis on the price dynamics after the hits of up-limit or down-limit is open based on all A-share stocks traded in the Chinese stock markets. A "W" shape is found in the expected return, which reveals high probability of a continuous price limit hit on the following day. We also find that price dynamics after opening limit hits are dependent on the market trends. The time span of continuously hitting the price limit is found to an influence factor of the expected profit after the limit hit is open. Our analysis provides a better understanding of the price dynamics around the limit boards and contributes potential practical values for investors.

Price-volume multifractal analysis and its application in Chinese stock markets

NASA Astrophysics Data System (ADS)

Yuan, Ying; Zhuang, Xin-tian; Liu, Zhi-ying

2012-06-01

An empirical research on Chinese stock markets is conducted using statistical tools. First, the multifractality of stock price return series, ri(ri=ln(Pt+1)-ln(Pt)) and trading volume variation series, vi(vi=ln(Vt+1)-ln(Vt)) is confirmed using multifractal detrended fluctuation analysis. Furthermore, a multifractal detrended cross-correlation analysis between stock price return and trading volume variation in Chinese stock markets is also conducted. It is shown that the cross relationship between them is also found to be multifractal. Second, the cross-correlation between stock price Pi and trading volume Vi is empirically studied using cross-correlation function and detrended cross-correlation analysis. It is found that both Shanghai stock market and Shenzhen stock market show pronounced long-range cross-correlations between stock price and trading volume. Third, a composite index R based on price and trading volume is introduced. Compared with stock price return series ri and trading volume variation series vi, R variation series not only remain the characteristics of original series but also demonstrate the relative correlation between stock price and trading volume. Finally, we analyze the multifractal characteristics of R variation series before and after three financial events in China (namely, Price Limits, Reform of Non-tradable Shares and financial crisis in 2008) in the whole period of sample to study the changes of stock market fluctuation and financial risk. It is found that the empirical results verified the validity of R.

75 FR 78302 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-12-15

... last-sale price disseminated by a network processor over a five-minute rolling period measured...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Extend the Pilot Period of the Trading Pause for Individual Stocks Contained in the...

Comparable Stocks, Boundedly Rational Stock Markets and IPO Entry Rates

PubMed Central

Chok, Jay; Qian, Jifeng

2013-01-01

In this study, we examine how initial public offerings (IPO) entry rates are affected when stock markets are boundedly rational and IPO firms infer information from their counterparts in the market. We hypothesize a curvilinear relationship between the number of comparable stocks and initial public offerings (IPO) entry rates into the NASDAQ Stock Exchange. Furthermore, we argue that trading volume and changes in stock returns partially mediates the relationship between the number of comparable stocks and IPO entry rates. The statistical evidence provides strong support for the hypotheses. PMID:23690924

Comparable stocks, boundedly rational stock markets and IPO entry rates.

PubMed

Chok, Jay; Qian, Jifeng

2013-01-01

In this study, we examine how initial public offerings (IPO) entry rates are affected when stock markets are boundedly rational and IPO firms infer information from their counterparts in the market. We hypothesize a curvilinear relationship between the number of comparable stocks and initial public offerings (IPO) entry rates into the NASDAQ Stock Exchange. Furthermore, we argue that trading volume and changes in stock returns partially mediates the relationship between the number of comparable stocks and IPO entry rates. The statistical evidence provides strong support for the hypotheses.

Market Confidence Predicts Stock Price: Beyond Supply and Demand

PubMed Central

Sun, Xiao-Qian; Shen, Hua-Wei; Cheng, Xue-Qi; Zhang, Yuqing

2016-01-01

Stock price prediction is an important and challenging problem in stock market analysis. Existing prediction methods either exploit autocorrelation of stock price and its correlation with the supply and demand of stock, or explore predictive indictors exogenous to stock market. In this paper, using transaction record of stocks with identifier of traders, we introduce an index to characterize market confidence, i.e., the ratio of the number of traders who is active in two successive trading days to the number of active traders in a certain trading day. Strong Granger causality is found between the index of market confidence and stock price. We further predict stock price by incorporating the index of market confidence into a neural network based on time series of stock price. Experimental results on 50 stocks in two Chinese Stock Exchanges demonstrate that the accuracy of stock price prediction is significantly improved by the inclusion of the market confidence index. This study sheds light on using cross-day trading behavior to characterize market confidence and to predict stock price. PMID:27391816

Market Confidence Predicts Stock Price: Beyond Supply and Demand.

PubMed

Sun, Xiao-Qian; Shen, Hua-Wei; Cheng, Xue-Qi; Zhang, Yuqing

2016-01-01

Stock price prediction is an important and challenging problem in stock market analysis. Existing prediction methods either exploit autocorrelation of stock price and its correlation with the supply and demand of stock, or explore predictive indictors exogenous to stock market. In this paper, using transaction record of stocks with identifier of traders, we introduce an index to characterize market confidence, i.e., the ratio of the number of traders who is active in two successive trading days to the number of active traders in a certain trading day. Strong Granger causality is found between the index of market confidence and stock price. We further predict stock price by incorporating the index of market confidence into a neural network based on time series of stock price. Experimental results on 50 stocks in two Chinese Stock Exchanges demonstrate that the accuracy of stock price prediction is significantly improved by the inclusion of the market confidence index. This study sheds light on using cross-day trading behavior to characterize market confidence and to predict stock price.

Single stock dynamics on high-frequency data: from a compressed coding perspective.

PubMed

Fushing, Hsieh; Chen, Shu-Chun; Hwang, Chii-Ruey

2014-01-01

High-frequency return, trading volume and transaction number are digitally coded via a nonparametric computing algorithm, called hierarchical factor segmentation (HFS), and then are coupled together to reveal a single stock dynamics without global state-space structural assumptions. The base-8 digital coding sequence, which is capable of revealing contrasting aggregation against sparsity of extreme events, is further compressed into a shortened sequence of state transitions. This compressed digital code sequence vividly demonstrates that the aggregation of large absolute returns is the primary driving force for stimulating both the aggregations of large trading volumes and transaction numbers. The state of system-wise synchrony is manifested with very frequent recurrence in the stock dynamics. And this data-driven dynamic mechanism is seen to correspondingly vary as the global market transiting in and out of contraction-expansion cycles. These results not only elaborate the stock dynamics of interest to a fuller extent, but also contradict some classical theories in finance. Overall this version of stock dynamics is potentially more coherent and realistic, especially when the current financial market is increasingly powered by high-frequency trading via computer algorithms, rather than by individual investors.

Single Stock Dynamics on High-Frequency Data: From a Compressed Coding Perspective

PubMed Central

Fushing, Hsieh; Chen, Shu-Chun; Hwang, Chii-Ruey

2014-01-01

High-frequency return, trading volume and transaction number are digitally coded via a nonparametric computing algorithm, called hierarchical factor segmentation (HFS), and then are coupled together to reveal a single stock dynamics without global state-space structural assumptions. The base-8 digital coding sequence, which is capable of revealing contrasting aggregation against sparsity of extreme events, is further compressed into a shortened sequence of state transitions. This compressed digital code sequence vividly demonstrates that the aggregation of large absolute returns is the primary driving force for stimulating both the aggregations of large trading volumes and transaction numbers. The state of system-wise synchrony is manifested with very frequent recurrence in the stock dynamics. And this data-driven dynamic mechanism is seen to correspondingly vary as the global market transiting in and out of contraction-expansion cycles. These results not only elaborate the stock dynamics of interest to a fuller extent, but also contradict some classical theories in finance. Overall this version of stock dynamics is potentially more coherent and realistic, especially when the current financial market is increasingly powered by high-frequency trading via computer algorithms, rather than by individual investors. PMID:24586235

The Stock Market Game: A Simulation of Stock Market Trading. Grades 5-8.

ERIC Educational Resources Information Center

Draze, Dianne

This guide to a unit on a simulation game about the stock market contains an instructional text and two separate simulations. Through directed lessons and reproducible worksheets, the unit teaches students about business ownership, stock exchanges, benchmarks, commissions, why prices change, the logistics of buying and selling stocks, and how to…

The Dynamics of Avian Influenza: Individual-Based Model with Intervention Strategies in Traditional Trade Networks in Phitsanulok Province, Thailand.

PubMed

Wilasang, Chaiwat; Wiratsudakul, Anuwat; Chadsuthi, Sudarat

2016-01-01

Avian influenza virus subtype H5N1 is endemic to Southeast Asia. In Thailand, avian influenza viruses continue to cause large poultry stock losses. The spread of the disease has a serious impact on poultry production especially among rural households with backyard chickens. The movements and activities of chicken traders result in the spread of the disease through traditional trade networks. In this study, we investigate the dynamics of avian influenza in the traditional trade network in Phitsanulok Province, Thailand. We also propose an individual-based model with intervention strategies to control the spread of the disease. We found that the dynamics of the disease mainly depend on the transmission probability and the virus inactivation period. This study also illustrates the appropriate virus disinfection period and the target for intervention strategies on traditional trade network. The results suggest that good hygiene and cleanliness among household traders and trader of trader areas and ensuring that any equipment used is clean can lead to a decrease in transmission and final epidemic size. These results may be useful to epidemiologists, researchers, and relevant authorities in understanding the spread of avian influenza through traditional trade networks.

Network analysis of returns and volume trading in stock markets: The Euro Stoxx case

NASA Astrophysics Data System (ADS)

Brida, Juan Gabriel; Matesanz, David; Seijas, Maria Nela

2016-02-01

This study applies network analysis to analyze the structure of the Euro Stoxx market during the long period from 2002 up to 2014. The paper generalizes previous research on stock market networks by including asset returns and volume trading as the main variables to study the financial market. A multidimensional generalization of the minimal spanning tree (MST) concept is introduced, by adding the role of trading volume to the traditional approach which only includes price returns. Additionally, we use symbolization methods to the raw data to study the behavior of the market structure in different, normal and critical, situations. The hierarchical organization of the network is derived, and the MST for different sub-periods of 2002-2014 is created to illustrate how the structure of the market evolves over time. From the structural topologies of these trees, different clusters of companies are identified and analyzed according to their geographical and economic links. Two important results are achieved. Firstly, as other studies have highlighted, at the time of the financial crisis after 2008 the network becomes a more centralized one. Secondly and most important, during our second period of analysis, 2008-2014, we observe that hierarchy becomes more country-specific where different sub-clusters of stocks belonging to France, Germany, Spain or Italy are found apart from their business sector group. This result may suggest that during this period of time financial investors seem to be worried most about country specific economic circumstances.

Empirical study of recent Chinese stock market

NASA Astrophysics Data System (ADS)

Jiang, J.; Li, W.; Cai, X.; Wang, Qiuping A.

2009-05-01

We investigate the statistical properties of the empirical data taken from the Chinese stock market during the time period from January, 2006 to July, 2007. By using the methods of detrended fluctuation analysis (DFA) and calculating correlation coefficients, we acquire the evidence of strong correlations among different stock types, stock index, stock volume turnover, A share (B share) seat number, and GDP per capita. In addition, we study the behavior of “volatility”, which is now defined as the difference between the new account numbers for two consecutive days. It is shown that the empirical power-law of the number of aftershock events exceeding the selected threshold is analogous to the Omori law originally observed in geophysics. Furthermore, we find that the cumulative distributions of stock return, trade volume and trade number are all exponential-like, which does not belong to the universality class of such distributions found by Xavier Gabaix et al. [Xavier Gabaix, Parameswaran Gopikrishnan, Vasiliki Plerou, H. Eugene Stanley, Nature, 423 (2003)] for major western markets. Through the comparison, we draw a conclusion that regardless of developed stock markets or emerging ones, “cubic law of returns” is valid only in the long-term absolute return, and in the short-term one, the distributions are exponential-like. Specifically, the distributions of both trade volume and trade number display distinct decaying behaviors in two separate regimes. Lastly, the scaling behavior of the relation is analyzed between dispersion and the mean monthly trade value for each administrative area in China.

Algorithmic Trading with Developmental and Linear Genetic Programming

NASA Astrophysics Data System (ADS)

Wilson, Garnett; Banzhaf, Wolfgang

A developmental co-evolutionary genetic programming approach (PAM DGP) and a standard linear genetic programming (LGP) stock trading systemare applied to a number of stocks across market sectors. Both GP techniques were found to be robust to market fluctuations and reactive to opportunities associated with stock price rise and fall, with PAMDGP generating notably greater profit in some stock trend scenarios. Both algorithms were very accurate at buying to achieve profit and selling to protect assets, while exhibiting bothmoderate trading activity and the ability to maximize or minimize investment as appropriate. The content of the trading rules produced by both algorithms are also examined in relation to stock price trend scenarios.

Analysis of Realized Volatility for Nikkei Stock Average on the Tokyo Stock Exchange

NASA Astrophysics Data System (ADS)

Takaishi, Tetsuya; Watanabe, Toshiaki

2016-04-01

We calculate realized volatility of the Nikkei Stock Average (Nikkei225) Index on the Tokyo Stock Exchange and investigate the return dynamics. To avoid the bias on the realized volatility from the non-trading hours issue we calculate realized volatility separately in the two trading sessions, i.e. morning and afternoon, of the Tokyo Stock Exchange and find that the microstructure noise decreases the realized volatility at small sampling frequency. Using realized volatility as a proxy of the integrated volatility we standardize returns in the morning and afternoon sessions and investigate the normality of the standardized returns by calculating variance, kurtosis and 6th moment. We find that variance, kurtosis and 6th moment are consistent with those of the standard normal distribution, which indicates that the return dynamics of the Nikkei Stock Average are well described by a Gaussian random process with time-varying volatility.

75 FR 28831 - Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing of a Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-05-24

... second by comparing each last consolidated sale price of a security (``Trigger Trade'') during the...-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing of a Proposed Rule Change Adding Rule 80C To Provide for a Trading Pause for Individual Securities When the Price Moves 10 Percent or More...

Real Time Updating Genetic Network Programming for Adapting to the Change of Stock Prices

NASA Astrophysics Data System (ADS)

Chen, Yan; Mabu, Shingo; Shimada, Kaoru; Hirasawa, Kotaro

The key in stock trading model is to take the right actions for trading at the right time, primarily based on the accurate forecast of future stock trends. Since an effective trading with given information of stock prices needs an intelligent strategy for the decision making, we applied Genetic Network Programming (GNP) to creating a stock trading model. In this paper, we propose a new method called Real Time Updating Genetic Network Programming (RTU-GNP) for adapting to the change of stock prices. There are three important points in this paper: First, the RTU-GNP method makes a stock trading decision considering both the recommendable information of technical indices and the candlestick charts according to the real time stock prices. Second, we combine RTU-GNP with a Sarsa learning algorithm to create the programs efficiently. Also, sub-nodes are introduced in each judgment and processing node to determine appropriate actions (buying/selling) and to select appropriate stock price information depending on the situation. Third, a Real Time Updating system has been firstly introduced in our paper considering the change of the trend of stock prices. The experimental results on the Japanese stock market show that the trading model with the proposed RTU-GNP method outperforms other models without real time updating. We also compared the experimental results using the proposed method with Buy&Hold method to confirm its effectiveness, and it is clarified that the proposed trading model can obtain much higher profits than Buy&Hold method.

Does the Shanghai-Hong Kong Stock Connect significantly affect the A-H premium of the stocks?

NASA Astrophysics Data System (ADS)

Hui, Eddie C. M.; Chan, Ka Kwan Kevin

2018-02-01

Since the Shanghai-Hong Kong Stock Connect ("the Connect") was launched in late 2014, more and more Mainland investors have invested in Hong Kong listed shares, and vice versa, increasing the transaction volume of the stock market on both sides. However, only a few studies investigated how the Shanghai-Hong Kong Stock Connect affected the pricing dynamics of stocks listed in both Shanghai and Hong Kong. Applying linear regression, this study investigates how the Connect affects the H-share discounts of 12 stocks cross-listed in Shanghai and Hong Kong. A new feature of our model is that we add a dummy variable so as to be the first study to examine the effect of the China financial crisis on the A-H premium of the stocks. We find that the A-H premium of all stocks widens significantly after the Connect is launched, implying immatureness or even inefficiency of China's financial market. Furthermore, the result shows that trading activities in the mainland market affects the A-H premium more significantly than trading activities in the Hong Kong market do. This implies that China's financial market plays a dominant role in the Connect.

Do Earthquakes Shake Stock Markets?

PubMed

Ferreira, Susana; Karali, Berna

2015-01-01

This paper examines how major earthquakes affected the returns and volatility of aggregate stock market indices in thirty-five financial markets over the last twenty years. Results show that global financial markets are resilient to shocks caused by earthquakes even if these are domestic. Our analysis reveals that, in a few instances, some macroeconomic variables and earthquake characteristics (gross domestic product per capita, trade openness, bilateral trade flows, earthquake magnitude, a tsunami indicator, distance to the epicenter, and number of fatalities) mediate the impact of earthquakes on stock market returns, resulting in a zero net effect. However, the influence of these variables is market-specific, indicating no systematic pattern across global capital markets. Results also demonstrate that stock market volatility is unaffected by earthquakes, except for Japan.

Pricing Employee Stock Options (ESOs) with Random Lattice

NASA Astrophysics Data System (ADS)

Chendra, E.; Chin, L.; Sukmana, A.

2018-04-01

Employee Stock Options (ESOs) are stock options granted by companies to their employees. Unlike standard options that can be traded by typical institutional or individual investors, employees cannot sell or transfer their ESOs to other investors. The sale restrictions may induce the ESO’s holder to exercise them earlier. In much cited paper, Hull and White propose a binomial lattice in valuing ESOs which assumes that employees will exercise voluntarily their ESOs if the stock price reaches a horizontal psychological barrier. Due to nonlinearity errors, the numerical pricing results oscillate significantly so they may lead to large pricing errors. In this paper, we use the random lattice method to price the Hull-White ESOs model. This method can reduce the nonlinearity error by aligning a layer of nodes of the random lattice with a psychological barrier.

Physicians and Insider Trading.

PubMed

Kesselheim, Aaron S; Sinha, Michael S; Joffe, Steven

2015-12-01

Although insider trading is illegal, recent high-profile cases have involved physicians and scientists who are part of corporate governance or who have access to information about clinical trials of investigational products. Insider trading occurs when a person in possession of information that might affect the share price of a company's stock uses that information to buy or sell securities--or supplies that information to others who buy or sell--when the person is expected to keep such information confidential. The input that physicians and scientists provide to business leaders can serve legitimate social functions, but insider trading threatens to undermine any positive outcomes of these relationships. We review insider-trading rules and consider approaches to securities fraud in the health care field. Given the magnitude of the potential financial rewards, the ease of concealing illegal conduct, and the absence of identifiable victims, the temptation for physicians and scientists to engage in insider trading will always be present. Minimizing the occurrence of insider trading will require robust education, strictly enforced contractual provisions, and selective prohibitions against high-risk conduct, such as participation in expert consulting networks and online physician forums, by those individuals with access to valuable inside information.

A quantum mechanical model for the relationship between stock price and stock ownership

DOE Office of Scientific and Technical Information (OSTI.GOV)

Cotfas, Liviu-Adrian

2012-11-01

The trade of a fixed stock can be regarded as the basic process that measures its momentary price. The stock price is exactly known only at the time of sale when the stock is between traders, that is, only in the case when the owner is unknown. We show that the stock price can be better described by a function indicating at any moment of time the probabilities for the possible values of price if a transaction takes place. This more general description contains partial information on the stock price, but it also contains partial information on the stock owner.more » By following the analogy with quantum mechanics, we assume that the time evolution of the function describing the stock price can be described by a Schroedinger type equation.« less

Do Earthquakes Shake Stock Markets?

PubMed Central

2015-01-01

This paper examines how major earthquakes affected the returns and volatility of aggregate stock market indices in thirty-five financial markets over the last twenty years. Results show that global financial markets are resilient to shocks caused by earthquakes even if these are domestic. Our analysis reveals that, in a few instances, some macroeconomic variables and earthquake characteristics (gross domestic product per capita, trade openness, bilateral trade flows, earthquake magnitude, a tsunami indicator, distance to the epicenter, and number of fatalities) mediate the impact of earthquakes on stock market returns, resulting in a zero net effect. However, the influence of these variables is market-specific, indicating no systematic pattern across global capital markets. Results also demonstrate that stock market volatility is unaffected by earthquakes, except for Japan. PMID:26197482

Boldness predicts an individual's position along an exploration-exploitation foraging trade-off.

PubMed

Patrick, Samantha C; Pinaud, David; Weimerskirch, Henri

2017-09-01

Individuals do not have complete information about the environment and therefore they face a trade-off between gathering information (exploration) and gathering resources (exploitation). Studies have shown individual differences in components of this trade-off but how stable these strategies are in a population and the intrinsic drivers of these differences is not well understood. Top marine predators are expected to experience a particularly strong trade-off as many species have large foraging ranges and their prey often have a patchy distribution. This environment leads these species to exhibit pronounced exploration and exploitation phases but differences between individuals are poorly resolved. Personality differences are known to be important in foraging behaviour but also in the trade-off between exploration and exploitation. Here we test whether personality predicts an individual exploration-exploitation strategy using wide ranging wandering albatrosses (Diomedea exulans) as a model system. Using GPS tracking data from 276 wandering albatrosses, we extract foraging parameters indicative of exploration (searching) and exploitation (foraging) and show that foraging effort, time in patch and size of patch are strongly correlated, demonstrating these are indicative of an exploration-exploitation (EE) strategy. Furthermore, we show these are consistent within individuals and appear stable in the population, with no reproductive advantage. The searching and foraging behaviour of bolder birds placed them towards the exploration end of the trade-off, whereas shy birds showed greater exploitation. This result provides a mechanism through which individual foraging strategies may emerge. Age and sex affected components of the trade-off, but not the trade-off itself, suggesting these factors may drive behavioural compensation to maintain resource acquisition and this was supported by the evidence that there were no fitness consequence of any EE trait nor the trade

Network formation in a multi-asset artificial stock market

NASA Astrophysics Data System (ADS)

Wu, Songtao; He, Jianmin; Li, Shouwei; Wang, Chao

2018-04-01

A multi-asset artificial stock market is developed. In the market, stocks are assigned to a number of sectors and traded by heterogeneous investors. The mechanism of continuous double auction is employed to clear order book and form daily closed prices. Simulation results of prices at the sector level show an intra-sector similarity and inter-sector distinctiveness, and returns of individual stocks have stylized facts that are ubiquitous in the real-world stock market. We find that the market risk factor has critical impact on both network topology transition and connection formation, and that sector risk factors account for the formation of intra-sector links and sector-based local interaction. In addition, the number of community in threshold-based networks is correlated negatively and positively with the value of correlation coefficients and the ratio of intra-sector links, which are respectively determined by intensity of sector risk factors and the number of sectors.

26 CFR 1.1296-2 - Definition of marketable stock.

Code of Federal Regulations, 2010 CFR

2010-04-01

... 26 Internal Revenue 11 2010-04-01 2010-04-01 true Definition of marketable stock. 1.1296-2 Section... Definition of marketable stock. (a) General rule. For purposes of section 1296, the term marketable stock means— (1) Passive foreign investment company (PFIC) stock that is regularly traded, as defined in...

Impact of Stock Market Structure on Intertrade Time and Price Dynamics

NASA Astrophysics Data System (ADS)

Yuen, Ainslie; Ivanov, Plamen Ch.

2005-08-01

The NYSE and NASDAQ stock markets have very different structures and there is continuing controversy over whether differences in stock price behaviour are due to market structure or company characteristics. As the influence of market structure on stock prices may be obscured by exogenous factors such as demand and supply, we hypothesize that modulation of the flow of transactions due to market operations may carry a stronger imprint of the internal market mechanism. We analyse times between consecutive transactions (ITT) for NYSE and NASDAQ stocks, and we relate the dynamical properties of the ITT with those of the corresponding price fluctuations. We find a robust scale-invariant temporal organisation in the ITT of stocks which is independent of individual company characteristics and industry sector, but which depends on market structure. We find that stocks registered on the NASDAQ exhibit stronger correlations in their transaction timing within a trading day, compared with NYSE stocks. Further, we find that companies that transfer from the NASDAQ to the NYSE show a reduction in the correlation strength of transaction timing within a trading day, after the move, suggesting influences of market structure. Surprisingly, we also observe that stronger power-law correlations in the ITT are coupled with stronger power-law correlations in absolute price returns and higher price volatility, suggesting a strong link between the dynamical properties of ITT and the corresponding price fluctuations over a broad range of time scales. Comparing the NYSE and NASDAQ, we demonstrate that the higher correlations we find in ITT for NASDAQ stocks are matched by higher correlations in absolute price returns and by higher volatility, suggesting that market structure may affect price behaviour through information contained in transaction timing.

[Development and validation of a questionnaire about the main variables affecting the individual investor's behavior in the Stock Exchange].

PubMed

Pascual-Ezama, David; San Martín Castellanos, Rafael; Gil-Gómez de Liaño, Beatriz; Scandroglio, Bárbara

2010-11-01

Development and validation of a questionnaire about the main variables affecting the individual investor's behavior in the Stock Exchange. There is a considerable lack of information about the methodology usually used in most of the studies about individual investor's behavior. The studies reviewed do not show the method used in the selection of the items or the psychometric properties of the questionnaires. Because of the importance of investment in the Stock Exchange nowadays, it seems relevant to obtain a reliable instrument to understand individual investor's behavior in the Stock Exchange. Therefore, the goal of the present work is to validate a questionnaire about the main variables involved in individual investors' behavior in the Stock Exchange. Based on previous studies, we elaborated a questionnaire using the Delphi methodology with a group of experts. The internal consistency (Cronbach alpha=.934) and validity evidence of the questionnaire show that it may be an effective instrument and can be applied with some assurance.

76 FR 61450 - Self-Regulatory Organizations; National Stock Exchange, Inc.; Notice of Filing of Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-10-04

... Methodology for Determining When To Halt Trading in All Stocks Due to Extraordinary Market Volatility... all stocks due to extraordinary market volatility. II. Self-Regulatory Organization's Statement of the... determining when to halt trading in all stocks due to extraordinary market volatility. The Exchange is...

Intraday seasonalities and nonstationarity of trading volume in financial markets: Collective features

PubMed Central

Graczyk, Michelle B.; Duarte Queirós, Sílvio M.

2017-01-01

Employing Random Matrix Theory and Principal Component Analysis techniques, we enlarge our work on the individual and cross-sectional intraday statistical properties of trading volume in financial markets to the study of collective intraday features of that financial observable. Our data consist of the trading volume of the Dow Jones Industrial Average Index components spanning the years between 2003 and 2014. Computing the intraday time dependent correlation matrices and their spectrum of eigenvalues, we show there is a mode ruling the collective behaviour of the trading volume of these stocks whereas the remaining eigenvalues are within the bounds established by random matrix theory, except the second largest eigenvalue which is robustly above the upper bound limit at the opening and slightly above it during the morning-afternoon transition. Taking into account that for price fluctuations it was reported the existence of at least seven significant eigenvalues—and that its autocorrelation function is close to white noise for highly liquid stocks whereas for the trading volume it lasts significantly for more than 2 hours —, our finding goes against any expectation based on those features, even when we take into account the Epps effect. In addition, the weight of the trading volume collective mode is intraday dependent; its value increases as the trading session advances with its eigenversor approaching the uniform vector as well, which corresponds to a soar in the behavioural homogeneity. With respect to the nonstationarity of the collective features of the trading volume we observe that after the financial crisis of 2008 the coherence function shows the emergence of an upset profile with large fluctuations from that year on, a property that concurs with the modification of the average trading volume profile we noted in our previous individual analysis. PMID:28753676

Intraday seasonalities and nonstationarity of trading volume in financial markets: Collective features.

PubMed

Graczyk, Michelle B; Duarte Queirós, Sílvio M

2017-01-01

Employing Random Matrix Theory and Principal Component Analysis techniques, we enlarge our work on the individual and cross-sectional intraday statistical properties of trading volume in financial markets to the study of collective intraday features of that financial observable. Our data consist of the trading volume of the Dow Jones Industrial Average Index components spanning the years between 2003 and 2014. Computing the intraday time dependent correlation matrices and their spectrum of eigenvalues, we show there is a mode ruling the collective behaviour of the trading volume of these stocks whereas the remaining eigenvalues are within the bounds established by random matrix theory, except the second largest eigenvalue which is robustly above the upper bound limit at the opening and slightly above it during the morning-afternoon transition. Taking into account that for price fluctuations it was reported the existence of at least seven significant eigenvalues-and that its autocorrelation function is close to white noise for highly liquid stocks whereas for the trading volume it lasts significantly for more than 2 hours -, our finding goes against any expectation based on those features, even when we take into account the Epps effect. In addition, the weight of the trading volume collective mode is intraday dependent; its value increases as the trading session advances with its eigenversor approaching the uniform vector as well, which corresponds to a soar in the behavioural homogeneity. With respect to the nonstationarity of the collective features of the trading volume we observe that after the financial crisis of 2008 the coherence function shows the emergence of an upset profile with large fluctuations from that year on, a property that concurs with the modification of the average trading volume profile we noted in our previous individual analysis.

Weibo sentiments and stock return: A time-frequency view

PubMed Central

Liu, Zhixin; Zhao, Jichang; Su, Chiwei

2017-01-01

This study provides new insights into the relationships between social media sentiments and the stock market in China. Based on machine learning, we classify microblogs posted on Sina Weibo, a Twitter’s variant in China into five detailed sentiments of anger, disgust, fear, joy, and sadness. Using wavelet analysis, we find close positive linkages between sentiments and the stock return, which have both frequency and time-varying features. Five detailed sentiments are positively related to the stock return for certain periods, particularly since October 2014 at medium to high frequencies of less than ten trading days, when the stock return is undergoing significant fluctuations. Sadness appears to have a closer relationship with the stock return than the other four sentiments. As to the lead-lag relationships, the stock return causes Weibo sentiments rather than reverse for most of the periods with significant linkages. Compared with polarity sentiments (negative vs. positive), detailed sentiments provide more information regarding relationships between Weibo sentiments and the stock market. The stock market exerts positive effects on bullishness and agreement of microblogs. Meanwhile, agreement leads the stock return in-phase at the frequency of approximately 40 trading days, indicating that less disagreement improves certainty about the stock market. PMID:28672026

Weibo sentiments and stock return: A time-frequency view.

PubMed

Xu, Yingying; Liu, Zhixin; Zhao, Jichang; Su, Chiwei

2017-01-01

This study provides new insights into the relationships between social media sentiments and the stock market in China. Based on machine learning, we classify microblogs posted on Sina Weibo, a Twitter's variant in China into five detailed sentiments of anger, disgust, fear, joy, and sadness. Using wavelet analysis, we find close positive linkages between sentiments and the stock return, which have both frequency and time-varying features. Five detailed sentiments are positively related to the stock return for certain periods, particularly since October 2014 at medium to high frequencies of less than ten trading days, when the stock return is undergoing significant fluctuations. Sadness appears to have a closer relationship with the stock return than the other four sentiments. As to the lead-lag relationships, the stock return causes Weibo sentiments rather than reverse for most of the periods with significant linkages. Compared with polarity sentiments (negative vs. positive), detailed sentiments provide more information regarding relationships between Weibo sentiments and the stock market. The stock market exerts positive effects on bullishness and agreement of microblogs. Meanwhile, agreement leads the stock return in-phase at the frequency of approximately 40 trading days, indicating that less disagreement improves certainty about the stock market.

78 FR 10643 - Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-02-14

... Band.\\14\\ Trading for an NMS stock exits a Limit State if, within 15 seconds of entering the Limit... Bid (Offer) is below (above) the Lower (Upper) Price Band and the NMS Stock is not in a Limit State...) Price Band and the NMS Stock is not in a Limit State; and (ii) trading in that NMS Stock deviates from...

Stock markets are not what we think they are: the key roles of cross-ownership and corporate treasury stock

NASA Astrophysics Data System (ADS)

Roehner, Bertrand M.

2005-03-01

We describe, document and statistically test three mechanisms by which corporations can influence or even control stock prices: (i) Parent and holding companies wield control over other publicly traded companies. (ii) Through clever management of treasury stock based on buyback programs and stock issuance, stock price fluctuations can be amplified or curbed. The shock of September 11, 2001 is used to test this effect. (iii) Finally, historical evidence shows that there is a close interdependence between the level of stock prices on the one hand and merger and acquisition activity on the other hand: on average, a 10% increase in the number of mergers brings about a 3% increase in the overall level of stock prices. If one adds up buybacks, initial public offerings and takeover transactions, all of which depend upon strategic decisions taken by corporate management, they represent on average 7.2% of the trade on the New York Stock Exchange over the period 1987-2003 (as much as 12% in specific years such as 1988). This perspective, in which the Boards of Directors of major companies “shepherd” the market, offers a natural interpretation of the so-called “herd behavior” observed in stock markets. The traditional view holds that, by driving profit expectations, corporations have an indirect role in shaping the market. In this paper, we suggest that over the last decades they became more and more the direct moving force of stock markets.

Are Price Limits Effective? An Examination of an Artificial Stock Market.

PubMed

Zhang, Xiaotao; Ping, Jing; Zhu, Tao; Li, Yuelei; Xiong, Xiong

2016-01-01

We investigated the inter-day effects of price limits policies that are employed in agent-based simulations. To isolate the impact of price limits from the impact of other factors, we built an artificial stock market with higher frequency price limits hitting. The trading mechanisms in this market are the same as the trading mechanisms in China's stock market. Then, we designed a series of simulations with and without price limits policy. The results of these simulations demonstrate that both upper and lower price limits can cause a volatility spillover effect and a trading interference effect. The process of price discovery will be delayed if upper price limits are imposed on a stock market; however, this phenomenon does not occur when lower price limits are imposed.

Quantifying the effect of investors' attention on stock market.

PubMed

Yang, Zhen-Hua; Liu, Jian-Guo; Yu, Chang-Rui; Han, Jing-Ti

2017-01-01

The investors' attention has been extensively used to predict the stock market. Different from existing proxies of the investors' attention, such as the Google trends, Baidu index (BI), we argue the collective attention from the stock trading platforms could reflect the investors' attention more closely. By calculated the increments of the attention volume for each stock (IAVS) from the stock trading platforms, we investigate the effect of investors' attention measured by the IAVS on the movement of the stock market. The experimental results for Chinese Securities Index 100 (CSI100) show that the BI is significantly correlated with the returns of CSI100 at 1% significance level only in 2014. However, it should be emphasized that the correlation of the new proposed measure, namely IAVS, is significantly at 1% significance level in 2014 and 2015. It shows that the effect of the measure IAVS on the movement of the stock market is more stable and significant than BI. This study yields important invest implications and better understanding of collective investors' attention.

Quantifying the effect of investors’ attention on stock market

PubMed Central

Yang, Zhen-Hua; Liu, Jian-Guo; Yu, Chang-Rui; Han, Jing-Ti

2017-01-01

The investors’ attention has been extensively used to predict the stock market. Different from existing proxies of the investors’ attention, such as the Google trends, Baidu index (BI), we argue the collective attention from the stock trading platforms could reflect the investors’ attention more closely. By calculated the increments of the attention volume for each stock (IAVS) from the stock trading platforms, we investigate the effect of investors’ attention measured by the IAVS on the movement of the stock market. The experimental results for Chinese Securities Index 100 (CSI100) show that the BI is significantly correlated with the returns of CSI100 at 1% significance level only in 2014. However, it should be emphasized that the correlation of the new proposed measure, namely IAVS, is significantly at 1% significance level in 2014 and 2015. It shows that the effect of the measure IAVS on the movement of the stock market is more stable and significant than BI. This study yields important invest implications and better understanding of collective investors’ attention. PMID:28542216

Effect of market factors on the short-time pricing of stock-exchange metals

NASA Astrophysics Data System (ADS)

Bogdanov, S. V.; Shevelev, I. M.; Chernyi, S. A.

2016-12-01

The open trade on the world market is estimated using information of one-day exchange prices of nonferrous and precious metals, oil, reduced crude, and gasoline and the main world stock indices in the time period from January 1, 2009 to December 31, 2015. It is found that the short-term changes in the prices of nonferrous metals are determined by the prices on the metal market. The changes in the prices of energy carriers and the stock trade on the stock market weakly influence the pricing of nonferrous and precious metals. The prices of metals depend on the situation during trade on commodity exchanges, and the stock market indirectly influences the exchange prices of metals through changes in the share prices of the companies that produce copper, aluminum, and zinc.

Intraday Seasonalities and Nonstationarity of Trading Volume in Financial Markets: Individual and Cross-Sectional Features.

PubMed

Graczyk, Michelle B; Duarte Queirós, Sílvio M

2016-01-01

We study the intraday behaviour of the statistical moments of the trading volume of the blue chip equities that composed the Dow Jones Industrial Average index between 2003 and 2014. By splitting that time interval into semesters, we provide a quantitative account of the nonstationary nature of the intraday statistical properties as well. Explicitly, we prove the well-known ∪-shape exhibited by the average trading volume-as well as the volatility of the price fluctuations-experienced a significant change from 2008 (the year of the "subprime" financial crisis) onwards. That has resulted in a faster relaxation after the market opening and relates to a consistent decrease in the convexity of the average trading volume intraday profile. Simultaneously, the last part of the session has become steeper as well, a modification that is likely to have been triggered by the new short-selling rules that were introduced in 2007 by the Securities and Exchange Commission. The combination of both results reveals that the ∪ has been turning into a ⊔. Additionally, the analysis of higher-order cumulants-namely the skewness and the kurtosis-shows that the morning and the afternoon parts of the trading session are each clearly associated with different statistical features and hence dynamical rules. Concretely, we claim that the large initial trading volume is due to wayward stocks whereas the large volume during the last part of the session hinges on a cohesive increase of the trading volume. That dissimilarity between the two parts of the trading session is stressed in periods of higher uproar in the market.

Tick size and stock returns

NASA Astrophysics Data System (ADS)

Onnela, Jukka-Pekka; Töyli, Juuso; Kaski, Kimmo

2009-02-01

Tick size is an important aspect of the micro-structural level organization of financial markets. It is the smallest institutionally allowed price increment, has a direct bearing on the bid-ask spread, influences the strategy of trading order placement in electronic markets, affects the price formation mechanism, and appears to be related to the long-term memory of volatility clustering. In this paper we investigate the impact of tick size on stock returns. We start with a simple simulation to demonstrate how continuous returns become distorted after confining the price to a discrete grid governed by the tick size. We then move on to a novel experimental set-up that combines decimalization pilot programs and cross-listed stocks in New York and Toronto. This allows us to observe a set of stocks traded simultaneously under two different ticks while holding all security-specific characteristics fixed. We then study the normality of the return distributions and carry out fits to the chosen distribution models. Our empirical findings are somewhat mixed and in some cases appear to challenge the simulation results.

Are Price Limits Effective? An Examination of an Artificial Stock Market

PubMed Central

Zhu, Tao; Li, Yuelei; Xiong, Xiong

2016-01-01

We investigated the inter-day effects of price limits policies that are employed in agent-based simulations. To isolate the impact of price limits from the impact of other factors, we built an artificial stock market with higher frequency price limits hitting. The trading mechanisms in this market are the same as the trading mechanisms in China’s stock market. Then, we designed a series of simulations with and without price limits policy. The results of these simulations demonstrate that both upper and lower price limits can cause a volatility spillover effect and a trading interference effect. The process of price discovery will be delayed if upper price limits are imposed on a stock market; however, this phenomenon does not occur when lower price limits are imposed. PMID:27513330

How stock of origin affects performance of individuals across a meta-ecosystem: an example from sockeye salmon.

PubMed

Griffiths, Jennifer R; Schindler, Daniel E; Seeb, Lisa W

2013-01-01

Connectivity among diverse habitats can buffer populations from adverse environmental conditions, influence the functioning of meta-ecosystems, and ultimately affect the reliability of ecosystem services. This stabilizing effect on populations is proposed to derive from complementarity in growth and survival conditions experienced by individuals in the different habitats that comprise meta-ecosystems. Here we use the fine scale differentiation of salmon populations between diverse lake habitats to assess how rearing habitat and stock of origin affect the body condition of juvenile sockeye salmon. We use genetic markers (single nucleotide polymorphisms) to assign individuals of unknown origin to stock group and in turn characterize ecologically relevant attributes across habitats and stocks. Our analyses show that the body condition of juvenile salmon is related to the productivity of alternative habitats across the watershed, irrespective of their stock of origin. Emigrants and residents with genetic origins in the high productivity lake were also differentiated by their body condition, poor and high respectively. These emigrants represented a substantial proportion of juvenile sockeye salmon rearing in the lower productivity lake habitat. Despite emigrants originating from the more productive lake, they did not differ in body condition from the individuals spawned in the lower productivity, recipient habitat. Genetic tools allowed us to assess the performance of different stocks groups across the diverse habitats comprising their meta-ecosystem. The ability to characterize the ecological consequences of meta-ecosystem connectivity can help develop strategies to protect and restore ecosystems and the services they provide to humans.

How Stock of Origin Affects Performance of Individuals across a Meta-Ecosystem: An Example from Sockeye Salmon

PubMed Central

Griffiths, Jennifer R.; Schindler, Daniel E.; Seeb, Lisa W.

2013-01-01

Connectivity among diverse habitats can buffer populations from adverse environmental conditions, influence the functioning of meta-ecosystems, and ultimately affect the reliability of ecosystem services. This stabilizing effect on populations is proposed to derive from complementarity in growth and survival conditions experienced by individuals in the different habitats that comprise meta-ecosystems. Here we use the fine scale differentiation of salmon populations between diverse lake habitats to assess how rearing habitat and stock of origin affect the body condition of juvenile sockeye salmon. We use genetic markers (single nucleotide polymorphisms) to assign individuals of unknown origin to stock group and in turn characterize ecologically relevant attributes across habitats and stocks. Our analyses show that the body condition of juvenile salmon is related to the productivity of alternative habitats across the watershed, irrespective of their stock of origin. Emigrants and residents with genetic origins in the high productivity lake were also differentiated by their body condition, poor and high respectively. These emigrants represented a substantial proportion of juvenile sockeye salmon rearing in the lower productivity lake habitat. Despite emigrants originating from the more productive lake, they did not differ in body condition from the individuals spawned in the lower productivity, recipient habitat. Genetic tools allowed us to assess the performance of different stocks groups across the diverse habitats comprising their meta-ecosystem. The ability to characterize the ecological consequences of meta-ecosystem connectivity can help develop strategies to protect and restore ecosystems and the services they provide to humans. PMID:23505539

Intraday Seasonalities and Nonstationarity of Trading Volume in Financial Markets: Individual and Cross-Sectional Features

PubMed Central

Graczyk, Michelle B.; Duarte Queirós, Sílvio M.

2016-01-01

We study the intraday behaviour of the statistical moments of the trading volume of the blue chip equities that composed the Dow Jones Industrial Average index between 2003 and 2014. By splitting that time interval into semesters, we provide a quantitative account of the nonstationary nature of the intraday statistical properties as well. Explicitly, we prove the well-known ∪-shape exhibited by the average trading volume—as well as the volatility of the price fluctuations—experienced a significant change from 2008 (the year of the “subprime” financial crisis) onwards. That has resulted in a faster relaxation after the market opening and relates to a consistent decrease in the convexity of the average trading volume intraday profile. Simultaneously, the last part of the session has become steeper as well, a modification that is likely to have been triggered by the new short-selling rules that were introduced in 2007 by the Securities and Exchange Commission. The combination of both results reveals that the ∪ has been turning into a ⊔. Additionally, the analysis of higher-order cumulants—namely the skewness and the kurtosis—shows that the morning and the afternoon parts of the trading session are each clearly associated with different statistical features and hence dynamical rules. Concretely, we claim that the large initial trading volume is due to wayward stocks whereas the large volume during the last part of the session hinges on a cohesive increase of the trading volume. That dissimilarity between the two parts of the trading session is stressed in periods of higher uproar in the market. PMID:27812141

Dynamics of a durable commodity market involving trade at disequilibrium

NASA Astrophysics Data System (ADS)

Panchuk, A.; Puu, T.

2018-05-01

The present work considers a simple model of a durable commodity market involving two agents who trade stocks of two different types. Stock commodities, in contrast to flow commodities, remain on the market from period to period and, consequently, there is neither unique demand function nor unique supply function exists. We also set up exact conditions for trade at disequilibrium, the issue being usually neglected, though a fact of reality. The induced iterative system has infinite number of fixed points and path dependent dynamics. We show that a typical orbit is either attracted to one of the fixed points or eventually sticks at a no-trade point. For the latter the stock distribution always remains the same while the price displays periodic or chaotic oscillations.

Value-at-Risk forecasts by a spatiotemporal model in Chinese stock market

NASA Astrophysics Data System (ADS)

Gong, Pu; Weng, Yingliang

2016-01-01

This paper generalizes a recently proposed spatial autoregressive model and introduces a spatiotemporal model for forecasting stock returns. We support the view that stock returns are affected not only by the absolute values of factors such as firm size, book-to-market ratio and momentum but also by the relative values of factors like trading volume ranking and market capitalization ranking in each period. This article studies a new method for constructing stocks' reference groups; the method is called quartile method. Applying the method empirically to the Shanghai Stock Exchange 50 Index, we compare the daily volatility forecasting performance and the out-of-sample forecasting performance of Value-at-Risk (VaR) estimated by different models. The empirical results show that the spatiotemporal model performs surprisingly well in terms of capturing spatial dependences among individual stocks, and it produces more accurate VaR forecasts than the other three models introduced in the previous literature. Moreover, the findings indicate that both allowing for serial correlation in the disturbances and using time-varying spatial weight matrices can greatly improve the predictive accuracy of a spatial autoregressive model.

Dominating clasp of the financial sector revealed by partial correlation analysis of the stock market.

PubMed

Kenett, Dror Y; Tumminello, Michele; Madi, Asaf; Gur-Gershgoren, Gitit; Mantegna, Rosario N; Ben-Jacob, Eshel

2010-12-20

What are the dominant stocks which drive the correlations present among stocks traded in a stock market? Can a correlation analysis provide an answer to this question? In the past, correlation based networks have been proposed as a tool to uncover the underlying backbone of the market. Correlation based networks represent the stocks and their relationships, which are then investigated using different network theory methodologies. Here we introduce a new concept to tackle the above question--the partial correlation network. Partial correlation is a measure of how the correlation between two variables, e.g., stock returns, is affected by a third variable. By using it we define a proxy of stock influence, which is then used to construct partial correlation networks. The empirical part of this study is performed on a specific financial system, namely the set of 300 highly capitalized stocks traded at the New York Stock Exchange, in the time period 2001-2003. By constructing the partial correlation network, unlike the case of standard correlation based networks, we find that stocks belonging to the financial sector and, in particular, to the investment services sub-sector, are the most influential stocks affecting the correlation profile of the system. Using a moving window analysis, we find that the strong influence of the financial stocks is conserved across time for the investigated trading period. Our findings shed a new light on the underlying mechanisms and driving forces controlling the correlation profile observed in a financial market.

Emerging interdependence between stock values during financial crashes.

PubMed

Rocchi, Jacopo; Tsui, Enoch Yan Lok; Saad, David

2017-01-01

To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures to extract direct influences between multiple time series, we compute the information flow across stock values to identify several different regimes. While small information flows is detected in most of the period, a dramatically different situation occurs in the proximity of global financial crises, where stock values exhibit strong and substantial interdependence for a prolonged period. This behavior is consistent with what one would generally expect from a complex system near criticality in physical systems, showing the long lasting effects of crashes on stock markets.

Emerging interdependence between stock values during financial crashes

PubMed Central

Tsui, Enoch Yan Lok; Saad, David

2017-01-01

To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures to extract direct influences between multiple time series, we compute the information flow across stock values to identify several different regimes. While small information flows is detected in most of the period, a dramatically different situation occurs in the proximity of global financial crises, where stock values exhibit strong and substantial interdependence for a prolonged period. This behavior is consistent with what one would generally expect from a complex system near criticality in physical systems, showing the long lasting effects of crashes on stock markets. PMID:28542278

Influence of individual rationality on continuous double auction markets with networked traders

NASA Astrophysics Data System (ADS)

Zhang, Junhuan

2018-04-01

This paper investigates the influence of individual rationality of buyers and sellers on continuous double auction market outcomes in terms of the proportion of boundedly-rational buyers and sellers. The individual rationality is discussed in a social network artificial stock market model by embedding network formation and information set. Traders automatically select the most profitable trading strategy based on individual and social learning of the profits and trading strategies of themselves and their neighbors, and submit orders to markets. The results show that (i) a higher proportion of boundedly-rational sellers induces a higher market price, higher sellers' profits and a higher market efficiency; (ii) a higher proportion of boundedly-rational sellers induces a lower number of trades and lower buyers' profits; (iii) a higher proportion of boundedly-rational buyers induces a lower market price, a lower number of trades, and lower sellers' profits; (iv) a higher proportion of boundedly-rational buyers induces higher buyers' profits and a higher market efficiency.

26 CFR 1.1296-2 - Definition of marketable stock.

Code of Federal Regulations, 2011 CFR

2011-04-01

... marketable stock means— (1) Passive foreign investment company (PFIC) stock that is regularly traded, as... income of the foreign corporation for its taxable year is passive income, as defined in section 1297(a)(1... corporation during its taxable year which produce passive income or which are held for the production of...

The overnight effect on the Taiwan stock market

NASA Astrophysics Data System (ADS)

Tsai, Kuo-Ting; Lih, Jiann-Shing; Ko, Jing-Yuan

2012-12-01

This study examines statistical regularities among three components of stocks and indices: daytime (trading hour) return, overnight (off-hour session) return, and total (close-to-close) return. Owing to the fact that the Taiwan Stock Exchange (TWSE) has the longest non-trading periods among major markets, the TWSE is selected to explore the correlation among the three components and compare it with major markets such as the New York Stock Exchange (NYSE) and the National Association of Securities Dealers Automated Quotation (NASDAQ). Analysis results indicate a negative cross correlation between the sign of daytime return and the sign of overnight return; possibly explaining why most stocks feature a negative cross correlation between daytime return and overnight return [F. Wang, S.-J. Shieh, S. Havlin, H.E. Stanley, Statistical analysis of the overnight and daytime return, Phys. Rev. E 79 (2009) 056109]. Additionally, the cross correlation between the magnitude of returns is analyzed. According to those results, a larger magnitude of overnight return implies a higher probability that the sign of the following daytime return is the opposite of the sign of overnight return. Namely, the predictability of daytime return might be improved when a stock undergoes a large magnitude of overnight return. Furthermore, the cross correlations of 29 indices of worldwide markets are discussed.

Model for non-Gaussian intraday stock returns

NASA Astrophysics Data System (ADS)

Gerig, Austin; Vicente, Javier; Fuentes, Miguel A.

2009-12-01

Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape and scaling of the distribution of intraday stock price fluctuations (called intraday returns) and verify the model using a large database for several stocks traded on the London Stock Exchange. We provide evidence that the return distribution for these stocks is non-Gaussian and similar in shape and that the distribution appears stable over intraday time scales. We explain these results by assuming the volatility of returns is constant intraday but varies over longer periods such that its inverse square follows a gamma distribution. This produces returns that are Student distributed for intraday time scales. The predicted results show excellent agreement with the data for all stocks in our study and over all regions of the return distribution.

Anticipating Stock Market Movements with Google and Wikipedia

NASA Astrophysics Data System (ADS)

Moat, Helen Susannah; Curme, Chester; Stanley, H. Eugene; Preis, Tobias

Many of the trading decisions that have led to financial crises are captured by vast, detailed stock market datasets. Here, we summarize two of our recent studies which investigate whether Internet usage data contain traces of attempts to gather information before such trading decisions were taken. By analyzing changes in how often Internet users searched for financially related information on Google (Preis et al., Sci Rep 3:1684, 2013) and Wikipedia (Moat et al., Sci Rep 3:1801, 2013), patterns are found that may be interpreted as "early warning signs" of stock market moves. Our results suggest that online data may allow us to gain new insight into early information gathering stages of economic decision making.

On the emergence of a generalised Gamma distribution. Application to traded volume in financial markets

NASA Astrophysics Data System (ADS)

Duarte Queirós, S. M.

2005-08-01

This letter reports on a stochastic dynamical scenario whose associated stationary probability density function is exactly a generalised form, with a power law instead of exponencial decay, of the ubiquitous Gamma distribution. This generalisation, also known as F-distribution, was empirically proposed for the first time to adjust for high-frequency stock traded volume distributions in financial markets and verified in experiments with granular material. The dynamical assumption presented herein is based on local temporal fluctuations of the average value of the observable under study. This proposal is related to superstatistics and thus to the current nonextensive statistical mechanics framework. For the specific case of stock traded volume, we connect the local fluctuations in the mean stock traded volume with the typical herding behaviour presented by financial traders. Last of all, NASDAQ 1 and 2 minute stock traded volume sequences and probability density functions are numerically reproduced.

27 CFR 6.99 - Stocking, rotation, and pricing service.

Code of Federal Regulations, 2011 CFR

2011-04-01

... 27 Alcohol, Tobacco Products and Firearms 1 2011-04-01 2011-04-01 false Stocking, rotation, and pricing service. 6.99 Section 6.99 Alcohol, Tobacco Products and Firearms ALCOHOL AND TOBACCO TAX AND TRADE BUREAU, DEPARTMENT OF THE TREASURY LIQUORS âTIED-HOUSEâ Exceptions § 6.99 Stocking, rotation, and pricing service. (a) General. Industry member...

Tests of nonuniversality of the stock return distributions in an emerging market

NASA Astrophysics Data System (ADS)

Mu, Guo-Hua; Zhou, Wei-Xing

2010-12-01

There is convincing evidence showing that the probability distributions of stock returns in mature markets exhibit power-law tails and both the positive and negative tails conform to the inverse cubic law. It supports the possibility that the tail exponents are universal at least for mature markets in the sense that they do not depend on stock market, industry sector, and market capitalization. We investigate the distributions of intraday returns at different time scales ( Δt=1 , 5, 15, and 30 min) of all the A-share stocks traded in the Chinese stock market, which is the largest emerging market in the world. We find that the returns can be well fitted by the q -Gaussian distribution and the tails have power-law relaxations with the exponents increasing with Δt and being well outside the Lévy stable regime for individual stocks. We provide statistically significant evidence showing that, at small time scales Δt<15min , the exponents logarithmically decrease with the turnover rate and increase with the market capitalization. When Δt>15min , no conclusive evidence is found for a possible dependence of the tail exponent on the turnover rate or the market capitalization. Our findings indicate that the intraday return distributions at small time scales are not universal in emerging stock markets but might be universal at large time scales.

From Buttonwood to Silicon--A Bicentennial Look at the New York Stock Exchange.

ERIC Educational Resources Information Center

Pahl, Ronald H.

1992-01-01

Introduces a journal issue devoted to the New York Stock Exchange. Describes the formation and development of the stock exchange and Wall Street. Discusses the connection between politics and finance and the economic changes in formerly socialist nations. Suggests that the New York Stock Exchange may have to convert to a computer trading system.…

Corruption and stock market development: A quantitative approach

NASA Astrophysics Data System (ADS)

Bolgorian, Meysam

2011-11-01

Studying the relation between corruption and economic factors and examining its consequences for economic development have attracted many economists and physicists in recent years. The purpose of this paper is to focus on the role of stock market development on corruption. Analyzing a data set of corruption and stock market development measures such as market capitalization and total value of share trading for 46 countries around the world for the period 2007-2009, we examine the dependence of the Corruption Perception Index (CPI) on stock market development. Our findings suggest that there exists a power-law dependence between corruption and stock market development. We also observe a negative relation between level of corruption and financial system improvement.

Simulating tropical carbon stocks and fluxes in a changing world using an individual-based forest model.

NASA Astrophysics Data System (ADS)

Fischer, Rico; Huth, Andreas

2014-05-01

Large areas of tropical forests are disturbed due to climate change and human influence. Experts estimate that the last remaining rainforests could be destroyed in less than 100 years with strong consequences for both developing and industrial countries. Using a modelling approach we analyse how disturbances modify carbon stocks and carbon fluxes of African rainforests. In this study we use the process-based, individual-oriented forest model FORMIND. The main processes of this model are tree growth, mortality, regeneration and competition. The study regions are tropical rainforests in the Kilimanjaro region and Madagascar. Modelling above and below ground carbon stocks, we analyze the impact of disturbances and climate change on forest dynamics and forest carbon stocks. Droughts and fire events change the structure of tropical rainforests. Human influence like logging intensify this effect. With the presented results we could establish new allometric relationships between forest variables and above ground carbon stocks in tropical regions. Using remote sensing techniques, these relationships would offer the possibility for a global monitoring of the above ground carbon stored in the vegetation.

Heterogeneous information-based artificial stock market

NASA Astrophysics Data System (ADS)

Pastore, S.; Ponta, L.; Cincotti, S.

2010-05-01

In this paper, an information-based artificial stock market is considered. The market is populated by heterogeneous agents that are seen as nodes of a sparsely connected graph. Agents trade a risky asset in exchange for cash. Besides the amount of cash and assets owned, each agent is characterized by a sentiment. Moreover, agents share their sentiments by means of interactions that are identified by the graph. Interactions are unidirectional and are supplied with heterogeneous weights. The agent's trading decision is based on sentiment and, consequently, the stock price process depends on the propagation of information among the interacting agents, on budget constraints and on market feedback. A central market maker (clearing house mechanism) determines the price process at the intersection of the demand and supply curves. Both closed- and open-market conditions are considered. The results point out the validity of the proposed model of information exchange among agents and are helpful for understanding the role of information in real markets. Under closed market conditions, the interaction among agents' sentiments yields a price process that reproduces the main stylized facts of real markets, e.g. the fat tails of the returns distributions and the clustering of volatility. Within open-market conditions, i.e. with an external cash inflow that results in asset price inflation, also the unitary root stylized fact is reproduced by the artificial stock market. Finally, the effects of model parameters on the properties of the artificial stock market are also addressed.

76 FR 51447 - Self-Regulatory Organizations; Chicago Stock Exchange, Inc.; Notice of Filing of Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-08-18

... trading pause process during periods of extraordinary market volatility as a pilot in S&P 500 Index stocks... Exchange LLC, The NASDAQ Stock Market LLC, New York Stock Exchange LLC, NYSE Amex LLC, NYSE Arca, Inc... Organizations; Chicago Stock Exchange, Inc.; Notice of Filing of Proposed Rule Change To Amend Article 20, Rule...

Foraging under conditions of short-term exploitative competition: the case of stock traders.

PubMed

Saavedra, Serguei; Malmgren, R Dean; Switanek, Nicholas; Uzzi, Brian

2013-03-22

Theory purports that animal foraging choices evolve to maximize returns, such as net energy intake. Empirical research in both human and non-human animals reveals that individuals often attend to the foraging choices of their competitors while making their own foraging choices. Owing to the complications of gathering field data or constructing experiments, however, broad facts relating theoretically optimal and empirically realized foraging choices are only now emerging. Here, we analyse foraging choices of a cohort of professional day traders who must choose between trading the same stock multiple times in a row--patch exploitation--or switching to a different stock--patch exploration--with potentially higher returns. We measure the difference between a trader's resource intake and the competitors' expected intake within a short period of time--a difference we call short-term comparative returns. We find that traders' choices can be explained by foraging heuristics that maximize their daily short-term comparative returns. However, we find no one-best relationship between different trading choices and net income intake. This suggests that traders' choices can be short-term win oriented and, paradoxically, maybe maladaptive for absolute market returns.

Influence of market factors on the pricing of exchange traded metals in the medium term

NASA Astrophysics Data System (ADS)

Bogdanov, S. V.; Shevelev, I. M.; Chernyi, S. A.

2017-06-01

On the basis of comparison of the influence of the stock exchange factors on the pricing of nonferrous metals for medium term with similar results for short term, it has been established that the main attention should be paid to the changes in the pricing environment on the metal market as a function of the prices of exchange traded metals. The situation on the market of energy carriers (hydrocarbons) and the European, American, and Asian stock exchanges can be based on parity and even significantly influence the variation of the metal prices. In the medium term, constructive development of metal trade should be reasonably promoted by changing the elasticity of supply with regard to prices for exchange traded metals and by applying the stock exchange factors that positively influence the pricing on commodity and stock markets.

Global estimates of shark catches using trade records from commercial markets.

PubMed

Clarke, Shelley C; McAllister, Murdoch K; Milner-Gulland, E J; Kirkwood, G P; Michielsens, Catherine G J; Agnew, David J; Pikitch, Ellen K; Nakano, Hideki; Shivji, Mahmood S

2006-10-01

Despite growing concerns about overexploitation of sharks, lack of accurate, species-specific harvest data often hampers quantitative stock assessment. In such cases, trade studies can provide insights into exploitation unavailable from traditional monitoring. We applied Bayesian statistical methods to trade data in combination with genetic identification to estimate by species, the annual number of globally traded shark fins, the most commercially valuable product from a group of species often unrecorded in harvest statistics. Our results provide the first fishery-independent estimate of the scale of shark catches worldwide and indicate that shark biomass in the fin trade is three to four times higher than shark catch figures reported in the only global data base. Comparison of our estimates to approximated stock assessment reference points for one of the most commonly traded species, blue shark, suggests that current trade volumes in numbers of sharks are close to or possibly exceeding the maximum sustainable yield levels.

Statistical properties of cross-correlation in the Korean stock market

NASA Astrophysics Data System (ADS)

Oh, G.; Eom, C.; Wang, F.; Jung, W.-S.; Stanley, H. E.; Kim, S.

2011-01-01

We investigate the statistical properties of the cross-correlation matrix between individual stocks traded in the Korean stock market using the random matrix theory (RMT) and observe how these affect the portfolio weights in the Markowitz portfolio theory. We find that the distribution of the cross-correlation matrix is positively skewed and changes over time. We find that the eigenvalue distribution of original cross-correlation matrix deviates from the eigenvalues predicted by the RMT, and the largest eigenvalue is 52 times larger than the maximum value among the eigenvalues predicted by the RMT. The β_{473} coefficient, which reflect the largest eigenvalue property, is 0.8, while one of the eigenvalues in the RMT is approximately zero. Notably, we show that the entropy function E(σ) with the portfolio risk σ for the original and filtered cross-correlation matrices are consistent with a power-law function, E( σ) σ^{-γ}, with the exponent γ 2.92 and those for Asian currency crisis decreases significantly.

Who wins? Study of long-run trader survival in an artificial stock market

NASA Astrophysics Data System (ADS)

Cincotti, Silvano; M. Focardi, Sergio; Marchesi, Michele; Raberto, Marco

2003-06-01

We introduce a multi-asset artificial financial market with finite amount of cash and number of stocks. The background trading is characterized by a random trading strategy constrained by the finiteness of resources and by market volatility. Stock price processes exhibit volatility clustering, fat-tailed distribution of returns and reversion to the mean. Three active trading strategies have been introduced and studied in two different market conditions: steady market and growing market with asset inflation. We show that the profitability of each strategy depends both on the periodicity of portfolio reallocation and on the market condition. The best performing strategy is the one that exploits the mean reversion characteristic of asset price processes.

The past and future of food stocks

NASA Astrophysics Data System (ADS)

Laio, Francesco; Ridolfi, Luca; D'Odorico, Paolo

2016-03-01

Human societies rely on food reserves and the importation of agricultural goods as means to cope with crop failures and associated food shortage. While food trade has been the subject of intensive investigations in recent years, food reserves remain poorly quantified. It is unclear how food stocks are changing and whether they are declining. In this study we use food stock records for 92 products to reconstruct 50 years of aggregated food reserves, expressed in caloric equivalent (kcal), at the regional and global scales. A detailed statistical analysis demonstrates that the overall regional and global per-capita food stocks are stationary, challenging a widespread impression that food reserves are shrinking. We develop a statistically-sound stochastic representation of stock dynamics and take the stock-halving probability as a measure of the natural variability of the process. We find that there is a 20% probability that the global per-capita stocks will be halved by 2050. There are, however, some strong regional differences: Western Europe and the region encompassing North Africa and the Middle East have smaller halving probabilities and smaller per-capita stocks, while North America and Oceania have greater halving probabilities and greater per-capita stocks than the global average. Africa exhibits low per-capita stocks and relatively high probability of stock halving by 2050, which reflects a state of higher food insecurity in this continent.

75 FR 18824 - Agency Information Collection Activities: Notice of Intent To Renew Collection 3038-0019, Stocks...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-04-13

... Renew Collection 3038-0019, Stocks of Grain in Licensed Warehouses AGENCY: Commodity Futures Trading...., permitting electronic submission of responses. Stocks of Grain in Licensed Warehouses, OMB Control No. 3038... warehouses regular for delivery to keep records on stocks of commodities and make reports on call by the...

78 FR 16325 - Self-Regulatory Organizations; National Stock Exchange, Inc.; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-03-14

...) Price Band.\\15\\ Trading for an NMS stock exits in a Limit State if, within 15 seconds of entering the...) Price Band and the NMS Stock is not in a Limit State. For example, assume the Lower Price Band for an NMS Stock is $9.50 and the Upper Price Band is $10.50, such NMS stock would be in a Straddle State if...

Volatility measurement with directional change in Chinese stock market: Statistical property and investment strategy

NASA Astrophysics Data System (ADS)

Ma, Junjun; Xiong, Xiong; He, Feng; Zhang, Wei

2017-04-01

The stock price fluctuation is studied in this paper with intrinsic time perspective. The event, directional change (DC) or overshoot, are considered as time scale of price time series. With this directional change law, its corresponding statistical properties and parameter estimation is tested in Chinese stock market. Furthermore, a directional change trading strategy is proposed for invest in the market portfolio in Chinese stock market, and both in-sample and out-of-sample performance are compared among the different method of model parameter estimation. We conclude that DC method can capture important fluctuations in Chinese stock market and gain profit due to the statistical property that average upturn overshoot size is bigger than average downturn directional change size. The optimal parameter of DC method is not fixed and we obtained 1.8% annual excess return with this DC-based trading strategy.

Quantifying stock-price response to demand fluctuations

NASA Astrophysics Data System (ADS)

Plerou, Vasiliki; Gopikrishnan, Parameswaran; Gabaix, Xavier; Stanley, H. Eugene

2002-08-01

We empirically address the question of how stock prices respond to changes in demand. We quantify the relations between price change G over a time interval Δt and two different measures of demand fluctuations: (a) Φ, defined as the difference between the number of buyer-initiated and seller-initiated trades, and (b) Ω, defined as the difference in number of shares traded in buyer- and seller-initiated trades. We find that the conditional expectation functions of price change for a given Φ or Ω, Φ and Ω (``market impact function''), display concave functional forms that seem universal for all stocks. For small Ω, we find a power-law behavior Ω~Ω1/8 with δ depending on Δt (δ~3 for Δt=5 min, δ~3/2 for Δt=15 min and δ~1 for large Δt). We find that large price fluctuations occur when demand is very small-a fact that is reminiscent of large fluctuations that occur at critical points in spin systems, where the divergent nature of the response function leads to large fluctuations.

Company stock prices before and after public announcements related to oncology drugs.

PubMed

Rothenstein, Jeffrey M; Tomlinson, George; Tannock, Ian F; Detsky, Allan S

2011-10-19

Phase III clinical trials and Food and Drug Administration (FDA) regulatory decisions are critical for success of new drugs and can influence a company's market valuation. Knowledge of trial results before they are made public (ie, "inside information") can affect the price of a drug company's stock. We examined the stock prices of companies before and after public announcements regarding experimental anticancer drugs owned by the companies. We identified drugs that were undergoing evaluation in phase III trials or for regulatory approval by the US FDA from January 2000 to January 2009. Stock prices of companies that owned such drugs were analyzed for 120 trading days before and after the first public announcement of 1) results of clinical trials with positive and negative outcomes and 2) positive and negative regulatory decisions. All statistical tests were two-sided. We identified public announcements from 23 positive trials and 36 negative trials and from 41 positive and nine negative FDA regulatory decisions. The mean stock price for the 120 trading days before a phase III clinical trial announcement increased by 13.7% (95% confidence interval = -2.2% to 29.6%) for companies that reported positive trials and decreased by 0.7% (95% confidence interval = -13.8% to 12.3%) for companies that reported negative trials (P = .09). In a post hoc analysis comparing the stock price averaged over 60 trading days before and after day -60 relative to the clinical trial announcement, the mean stock price increased by 9.4% for companies that reported positive trials and decreased by 4.5% for companies that reported negative trials (P = .03). Changes in company stock prices before FDA regulatory decisions did not differ statistically between companies with positive decision and companies with negative decisions. Trends in company stock prices before the first public announcement differ for companies that report positive vs negative trials. This finding has important legal and

Defining trade-offs among conservation, profitability, and food security in the California current bottom-trawl fishery.

PubMed

Hilborn, Ray; Stewart, Ian J; Branch, Trevor A; Jensen, Olaf P

2012-04-01

Although it is recognized that marine wild-capture fisheries are an important source of food for much of the world, the cost of sustainable capture fisheries to species diversity is uncertain, and it is often questioned whether industrial fisheries can be managed sustainably. We evaluated the trade-off among sustainable food production, profitability, and conservation objectives in the groundfish bottom-trawl fishery off the U.S. West Coast, where depletion (i.e., reduction in abundance) of six rockfish species (Sebastes) is of particular concern. Trade-offs are inherent in this multispecies fishery because there is limited capacity to target species individually. From population models and catch of 34 stocks of bottom fish, we calculated the relation between harvest rate, long-term yield (i.e., total weight of fish caught), profit, and depletion of each species. In our models, annual ecosystem-wide yield from all 34 stocks was maximized with an overall 5.4% harvest rate, but profit was maximized at a 2.8% harvest rate. When we reduced harvest rates to the level (2.2% harvest rate) at which no stocks collapsed (<10% of unfished levels), biomass harvested was 76% of the maximum sustainable yield and profit 89% of maximum. A harvest rate under which no stocks fell below the biomass that produced maximum sustainable yield (1% harvest rate), resulted in 45% of potential yield and 67% of potential profit. Major reductions in catch in the late 1990s led to increase in the biomass of the most depleted stocks, but this rebuilding resulted in the loss of >30% of total sustainable yield, whereas yield lost from stock depletion was 3% of total sustainable yield. There are clear conservation benefits to lower harvest rates, but avoiding overfishing of all stocks in a multispecies fishery carries a substantial cost in terms of lost yield and profit. ©2011 Society for Conservation Biology.

The effect of Malaysia general election on stock market returns.

PubMed

Liew, Venus Khim-Sen; Rowland, Racquel

2016-01-01

During the latest episode of general election held in Malaysia, it is observed that the FBMKLCI index was lifted 62.52 points in a day soon after the announcement of election outcome. Moreover, the index registered a highest gain of 96.29 points in the middle of the intra-day trade. This suggests that investors who had got the right direction could make profitable intra-day trading the next trading day of the general election date. Results from statistical analysis uncover significant before-election-effect and after-election-effect from the most recent general elections held in Malaysia. Different subsets of macroeconomic variables are found to have significant role on stock market return depending on the market situation. Remarkably, when there was close fight between the two major political parties during the 2008 and 2013 election years, political uncertainty showed up its negative and significant role in influencing the stock market return. The major implication of these findings is that while investors may seek abnormal returns before and after the next general election, which is around the corner, they will have to pay attention on the influence of macroeconomic variables and political uncertainty on stock market return during the election year.

26 CFR 1.401-1 - Qualified pension, profit-sharing, and stock bonus plans.

Code of Federal Regulations, 2012 CFR

2012-04-01

... employees or their beneficiaries to participate in the profits of the employer's trade or business, or in... 26 Internal Revenue 5 2012-04-01 2011-04-01 true Qualified pension, profit-sharing, and stock... TREASURY (CONTINUED) INCOME TAX (CONTINUED) INCOME TAXES (CONTINUED) Pension, Profit-Sharing, Stock Bonus...

26 CFR 1.401-1 - Qualified pension, profit-sharing, and stock bonus plans.

Code of Federal Regulations, 2011 CFR

2011-04-01

... employees or their beneficiaries to participate in the profits of the employer's trade or business, or in... 26 Internal Revenue 5 2011-04-01 2011-04-01 false Qualified pension, profit-sharing, and stock... TREASURY (CONTINUED) INCOME TAX (CONTINUED) INCOME TAXES (CONTINUED) Pension, Profit-Sharing, Stock Bonus...

26 CFR 1.401-1 - Qualified pension, profit-sharing, and stock bonus plans.

Code of Federal Regulations, 2014 CFR

2014-04-01

... employees or their beneficiaries to participate in the profits of the employer's trade or business, or in... 26 Internal Revenue 5 2014-04-01 2014-04-01 false Qualified pension, profit-sharing, and stock... TREASURY (CONTINUED) INCOME TAX (CONTINUED) INCOME TAXES (CONTINUED) Pension, Profit-Sharing, Stock Bonus...

26 CFR 1.401-1 - Qualified pension, profit-sharing, and stock bonus plans.

Code of Federal Regulations, 2013 CFR

2013-04-01

... employees or their beneficiaries to participate in the profits of the employer's trade or business, or in... 26 Internal Revenue 5 2013-04-01 2013-04-01 false Qualified pension, profit-sharing, and stock... TREASURY (CONTINUED) INCOME TAX (CONTINUED) INCOME TAXES (CONTINUED) Pension, Profit-Sharing, Stock Bonus...

Dependence structure of the commodity and stock markets, and relevant multi-spread strategy

NASA Astrophysics Data System (ADS)

Kim, Min Jae; Kim, Sehyun; Jo, Yong Hwan; Kim, Soo Yong

2011-10-01

Understanding the dependence structure between the commodity and stock markets is a crucial issue in constructing a portfolio. It can also help us to discover new opportunities to implement spread trading using multiple assets classified in the two different markets. This study analyzed the dependence structure of the commodity and stock markets using the random matrix theory technique and network analysis. Our results show that the stock and commodity markets must be handled as completely separated asset classes except for the oil and gold markets, so the performance enhancement of the mean-variance portfolio is significant as expected. In light of the fact that WTI 1 month futures and four oil-related stocks are strongly correlated, they were selected as basic ingredients to complement the multi-spread convergence trading strategy using a machine learning technique called the AdaBoost algorithm. The performance of this strategy for non-myopic investors, who can endure short-term loss, can be enhanced significantly on a risk measurement basis.

Genetic diversity and stock identification of small abalone (Haliotis diversicolor) in Taiwan and Japan

PubMed Central

Hsu, Te-Hua; Gwo, Jin-Chywan

2017-01-01

Small abalone (Haliotis diversicolor) is a commercially valuable species for both fisheries and aquaculture. The production of annual farmed small abalone in Taiwan, once the highest in the world, has dramatically decreased in the past 15 years, and currently, the industry is close to collapse. Understanding the genetic diversity of small abalone and developing stock identification methods will be useful for genetic breeding, restoring collapsed stocks, managing stocks, and preventing illegal trade. We investigated 307 cultured and wild individuals from Taiwan, Japan, and Bali Island (Indonesia) by using the mitochondrial cytochrome c oxidase subunit I (COI) gene. Network analysis of mtDNA COI gene sequences revealed that the individuals collected from Taiwan, Japan, and Indonesia could be identified, and showed significant genetic divergence. In addition, the Indonesian population (Haliotis diversicolor squamata) was significantly different from the other populations and might need to be considered a separate species. We discovered a single nucleotide polymorphism marker in the mtDNA COI gene that can be used to distinguish the Taiwan population from the Japan population. We also developed a polymerase chain reaction-restriction fragment length polymorphism method for rapid detection. Furthermore, we could identify the cultured stocks, wild population, and hybrid stocks by using 6 microsatellites and amplified fragment length polymorphism. This study contributes useful tools for stock identification and the production of high-disease resistant small abalone strains (Japan × Taiwan or Taiwan × Japan). Efforts should be made to avoid unintentional random genetic mixing of the Taiwan population with the Japan population and subsequent breakdown of population differentiation, which impair local adaptation of the Taiwan wild population. Molecular markers revealed a split between the Taiwan and Japan populations, and the existence of a possible barrier to the free

Genetic diversity and stock identification of small abalone (Haliotis diversicolor) in Taiwan and Japan.

PubMed

Hsu, Te-Hua; Gwo, Jin-Chywan

2017-01-01

Small abalone (Haliotis diversicolor) is a commercially valuable species for both fisheries and aquaculture. The production of annual farmed small abalone in Taiwan, once the highest in the world, has dramatically decreased in the past 15 years, and currently, the industry is close to collapse. Understanding the genetic diversity of small abalone and developing stock identification methods will be useful for genetic breeding, restoring collapsed stocks, managing stocks, and preventing illegal trade. We investigated 307 cultured and wild individuals from Taiwan, Japan, and Bali Island (Indonesia) by using the mitochondrial cytochrome c oxidase subunit I (COI) gene. Network analysis of mtDNA COI gene sequences revealed that the individuals collected from Taiwan, Japan, and Indonesia could be identified, and showed significant genetic divergence. In addition, the Indonesian population (Haliotis diversicolor squamata) was significantly different from the other populations and might need to be considered a separate species. We discovered a single nucleotide polymorphism marker in the mtDNA COI gene that can be used to distinguish the Taiwan population from the Japan population. We also developed a polymerase chain reaction-restriction fragment length polymorphism method for rapid detection. Furthermore, we could identify the cultured stocks, wild population, and hybrid stocks by using 6 microsatellites and amplified fragment length polymorphism. This study contributes useful tools for stock identification and the production of high-disease resistant small abalone strains (Japan × Taiwan or Taiwan × Japan). Efforts should be made to avoid unintentional random genetic mixing of the Taiwan population with the Japan population and subsequent breakdown of population differentiation, which impair local adaptation of the Taiwan wild population. Molecular markers revealed a split between the Taiwan and Japan populations, and the existence of a possible barrier to the free

Mood and the market: can press reports of investors' mood predict stock prices?

PubMed

Cohen-Charash, Yochi; Scherbaum, Charles A; Kammeyer-Mueller, John D; Staw, Barry M

2013-01-01

We examined whether press reports on the collective mood of investors can predict changes in stock prices. We collected data on the use of emotion words in newspaper reports on traders' affect, coded these emotion words according to their location on an affective circumplex in terms of pleasantness and activation level, and created indices of collective mood for each trading day. Then, by using time series analyses, we examined whether these mood indices, depicting investors' emotion on a given trading day, could predict the next day's opening price of the stock market. The strongest findings showed that activated pleasant mood predicted increases in NASDAQ prices, while activated unpleasant mood predicted decreases in NASDAQ prices. We conclude that both valence and activation levels of collective mood are important in predicting trend continuation in stock prices.

Stock and option portfolio using fuzzy logic approach

NASA Astrophysics Data System (ADS)

Sumarti, Novriana; Wahyudi, Nanang

2014-03-01

Fuzzy Logic in decision-making process has been widely implemented in various problems in industries. It is the theory of imprecision and uncertainty that was not based on probability theory. Fuzzy Logic adds values of degree between absolute true and absolute false. It starts with and builds on a set of human language rules supplied by the user. The fuzzy systems convert these rules to their mathematical equivalents. This could simplify the job of the system designer and the computer, and results in much more accurate representations of the way systems behave in the real world. In this paper we examine the decision making process of stock and option trading by the usage of MACD (Moving Average Convergence Divergence) technical analysis and Option Pricing with Fuzzy Logic approach. MACD technical analysis is for the prediction of the trends of underlying stock prices, such as bearish (going downward), bullish (going upward), and sideways. By using Fuzzy C-Means technique and Mamdani Fuzzy Inference System, we define the decision output where the value of MACD is high then decision is "Strong Sell", and the value of MACD is Low then the decision is "Strong Buy". We also implement the fuzzification of the Black-Scholes option-pricing formula. The stock and options methods are implemented on a portfolio of one stock and its options. Even though the values of input data, such as interest rates, stock price and its volatility, cannot be obtain accurately, these fuzzy methods can give a belief degree of the calculated the Black-Scholes formula so we can make the decision on option trading. The results show the good capability of the methods in the prediction of stock price trends. The performance of the simulated portfolio for a particular period of time also shows good return.

Impact of stock market structure on intertrade time and price dynamics.

PubMed

Ivanov, Plamen Ch; Yuen, Ainslie; Perakakis, Pandelis

2014-01-01

We analyse times between consecutive transactions for a diverse group of stocks registered on the NYSE and NASDAQ markets, and we relate the dynamical properties of the intertrade times with those of the corresponding price fluctuations. We report that market structure strongly impacts the scale-invariant temporal organisation in the transaction timing of stocks, which we have observed to have long-range power-law correlations. Specifically, we find that, compared to NYSE stocks, stocks registered on the NASDAQ exhibit significantly stronger correlations in their transaction timing on scales within a trading day. Further, we find that companies that transfer from the NASDAQ to the NYSE show a reduction in the correlation strength of transaction timing on scales within a trading day, indicating influences of market structure. We also report a persistent decrease in correlation strength of intertrade times with increasing average intertrade time and with corresponding decrease in companies' market capitalization-a trend which is less pronounced for NASDAQ stocks. Surprisingly, we observe that stronger power-law correlations in intertrade times are coupled with stronger power-law correlations in absolute price returns and higher price volatility, suggesting a strong link between the dynamical properties of intertrade times and the corresponding price fluctuations over a broad range of time scales. Comparing the NYSE and NASDAQ markets, we demonstrate that the stronger correlations we find in intertrade times for NASDAQ stocks are associated with stronger correlations in absolute price returns and with higher volatility, suggesting that market structure may affect price behavior through information contained in transaction timing. These findings do not support the hypothesis of universal scaling behavior in stock dynamics that is independent of company characteristics and stock market structure. Further, our results have implications for utilising transaction timing

Impact of Stock Market Structure on Intertrade Time and Price Dynamics

PubMed Central

Ivanov, Plamen Ch.; Yuen, Ainslie; Perakakis, Pandelis

2014-01-01

We analyse times between consecutive transactions for a diverse group of stocks registered on the NYSE and NASDAQ markets, and we relate the dynamical properties of the intertrade times with those of the corresponding price fluctuations. We report that market structure strongly impacts the scale-invariant temporal organisation in the transaction timing of stocks, which we have observed to have long-range power-law correlations. Specifically, we find that, compared to NYSE stocks, stocks registered on the NASDAQ exhibit significantly stronger correlations in their transaction timing on scales within a trading day. Further, we find that companies that transfer from the NASDAQ to the NYSE show a reduction in the correlation strength of transaction timing on scales within a trading day, indicating influences of market structure. We also report a persistent decrease in correlation strength of intertrade times with increasing average intertrade time and with corresponding decrease in companies' market capitalization–a trend which is less pronounced for NASDAQ stocks. Surprisingly, we observe that stronger power-law correlations in intertrade times are coupled with stronger power-law correlations in absolute price returns and higher price volatility, suggesting a strong link between the dynamical properties of intertrade times and the corresponding price fluctuations over a broad range of time scales. Comparing the NYSE and NASDAQ markets, we demonstrate that the stronger correlations we find in intertrade times for NASDAQ stocks are associated with stronger correlations in absolute price returns and with higher volatility, suggesting that market structure may affect price behavior through information contained in transaction timing. These findings do not support the hypothesis of universal scaling behavior in stock dynamics that is independent of company characteristics and stock market structure. Further, our results have implications for utilising transaction timing

Evolving dynamics of trading behavior based on coordination game in complex networks

NASA Astrophysics Data System (ADS)

Bian, Yue-tang; Xu, Lu; Li, Jin-sheng

2016-05-01

This work concerns the modeling of evolvement of trading behavior in stock markets. Based on the assumption of the investors' limited rationality, the evolution mechanism of trading behavior is modeled according to the investment strategy of coordination game in network, that investors are prone to imitate their neighbors' activity through comprehensive analysis on the risk dominance degree of certain investment behavior, the network topology of their relationship and its heterogeneity. We investigate by mean-field analysis and extensive simulations the evolution of investors' trading behavior in various typical networks under different risk dominance degree of investment behavior. Our results indicate that the evolution of investors' behavior is affected by the network structure of stock market and the effect of risk dominance degree of investment behavior; the stability of equilibrium states of investors' behavior dynamics is directly related with the risk dominance degree of some behavior; connectivity and heterogeneity of the network plays an important role in the evolution of the investment behavior in stock market.

Time-scale effects on the gain-loss asymmetry in stock indices

NASA Astrophysics Data System (ADS)

Sándor, Bulcsú; Simonsen, Ingve; Nagy, Bálint Zsolt; Néda, Zoltán

2016-08-01

The gain-loss asymmetry, observed in the inverse statistics of stock indices is present for logarithmic return levels that are over 2 % , and it is the result of the non-Pearson-type autocorrelations in the index. These non-Pearson-type correlations can be viewed also as functionally dependent daily volatilities, extending for a finite time interval. A generalized time-window shuffling method is used to show the existence of such autocorrelations. Their characteristic time scale proves to be smaller (less than 25 trading days) than what was previously believed. It is also found that this characteristic time scale has decreased with the appearance of program trading in the stock market transactions. Connections with the leverage effect are also established.

Web search queries can predict stock market volumes.

PubMed

Bordino, Ilaria; Battiston, Stefano; Caldarelli, Guido; Cristelli, Matthieu; Ukkonen, Antti; Weber, Ingmar

2012-01-01

We live in a computerized and networked society where many of our actions leave a digital trace and affect other people's actions. This has lead to the emergence of a new data-driven research field: mathematical methods of computer science, statistical physics and sociometry provide insights on a wide range of disciplines ranging from social science to human mobility. A recent important discovery is that search engine traffic (i.e., the number of requests submitted by users to search engines on the www) can be used to track and, in some cases, to anticipate the dynamics of social phenomena. Successful examples include unemployment levels, car and home sales, and epidemics spreading. Few recent works applied this approach to stock prices and market sentiment. However, it remains unclear if trends in financial markets can be anticipated by the collective wisdom of on-line users on the web. Here we show that daily trading volumes of stocks traded in NASDAQ-100 are correlated with daily volumes of queries related to the same stocks. In particular, query volumes anticipate in many cases peaks of trading by one day or more. Our analysis is carried out on a unique dataset of queries, submitted to an important web search engine, which enable us to investigate also the user behavior. We show that the query volume dynamics emerges from the collective but seemingly uncoordinated activity of many users. These findings contribute to the debate on the identification of early warnings of financial systemic risk, based on the activity of users of the www.

Web Search Queries Can Predict Stock Market Volumes

PubMed Central

Bordino, Ilaria; Battiston, Stefano; Caldarelli, Guido; Cristelli, Matthieu; Ukkonen, Antti; Weber, Ingmar

2012-01-01

We live in a computerized and networked society where many of our actions leave a digital trace and affect other people’s actions. This has lead to the emergence of a new data-driven research field: mathematical methods of computer science, statistical physics and sociometry provide insights on a wide range of disciplines ranging from social science to human mobility. A recent important discovery is that search engine traffic (i.e., the number of requests submitted by users to search engines on the www) can be used to track and, in some cases, to anticipate the dynamics of social phenomena. Successful examples include unemployment levels, car and home sales, and epidemics spreading. Few recent works applied this approach to stock prices and market sentiment. However, it remains unclear if trends in financial markets can be anticipated by the collective wisdom of on-line users on the web. Here we show that daily trading volumes of stocks traded in NASDAQ-100 are correlated with daily volumes of queries related to the same stocks. In particular, query volumes anticipate in many cases peaks of trading by one day or more. Our analysis is carried out on a unique dataset of queries, submitted to an important web search engine, which enable us to investigate also the user behavior. We show that the query volume dynamics emerges from the collective but seemingly uncoordinated activity of many users. These findings contribute to the debate on the identification of early warnings of financial systemic risk, based on the activity of users of the www. PMID:22829871

Stock or cash? The trade-offs for buyers and sellers in mergers and acquisitions.

PubMed

Rappaport, A; Sirower, M L

1999-01-01

In 1988, less than 2% of large deals were paid for entirely in stock; by 1998, that number had risen to 50%. The shift has profound ramifications for shareholders of both the acquiring and acquired companies. In this article, the authors provide a framework and two simple tools to guide boards of both companies through the issues they need to consider when making decisions about how to pay for--and whether to accept--a deal. First an acquirer has to decide whether to finance the deal using stock or pay cash. Second, if the acquirer decides to issue stock, it then must decide whether to offer a fixed value of shares or a fixed number of them. Offering cash places all the potential risks and rewards with the acquirer--and sends a strong signal to the markets that it has confidence in the value not only of the deal but in its own stock. By issuing shares, however, an acquirer in essence offers to share the newly merged company with the stockholders of the acquired company--a signal the market often interprets as a lack of confidence in the value of the acquirer's stock. Offering a fixed number of shares reinforces that impression because it requires the selling stockholders to share the risk that the value of the acquirer's stock will decline before the deal goes through. Offering a fixed value of shares sends a more confident signal to the markets, as the acquirer assumes all of that risk. The choice between cash and stock should never be made without full and careful consideration of the potential consequences. The all-too-frequent disappointing returns from stock transactions underscore how important the method of payment truly is.

Mood and the Market: Can Press Reports of Investors' Mood Predict Stock Prices?

PubMed Central

Scherbaum, Charles A.; Kammeyer-Mueller, John D.

2013-01-01

We examined whether press reports on the collective mood of investors can predict changes in stock prices. We collected data on the use of emotion words in newspaper reports on traders' affect, coded these emotion words according to their location on an affective circumplex in terms of pleasantness and activation level, and created indices of collective mood for each trading day. Then, by using time series analyses, we examined whether these mood indices, depicting investors' emotion on a given trading day, could predict the next day's opening price of the stock market. The strongest findings showed that activated pleasant mood predicted increases in NASDAQ prices, while activated unpleasant mood predicted decreases in NASDAQ prices. We conclude that both valence and activation levels of collective mood are important in predicting trend continuation in stock prices. PMID:24015202

17 CFR 240.15g-6 - Account statements for penny stock customers.

Code of Federal Regulations, 2011 CFR

2011-04-01

... 17 Commodity and Securities Exchanges 3 2011-04-01 2011-04-01 false Account statements for penny... § 240.15g-6 Account statements for penny stock customers. (a) Requirement. It shall be unlawful for any... pursuant to 17 CFR 240.15g-1, of any security that is a penny stock on the last trading day of any calendar...

17 CFR 240.15g-6 - Account statements for penny stock customers.

Code of Federal Regulations, 2014 CFR

2014-04-01

... 17 Commodity and Securities Exchanges 4 2014-04-01 2014-04-01 false Account statements for penny... § 240.15g-6 Account statements for penny stock customers. (a) Requirement. It shall be unlawful for any... pursuant to 17 CFR 240.15g-1, of any security that is a penny stock on the last trading day of any calendar...

17 CFR 240.15g-6 - Account statements for penny stock customers.

Code of Federal Regulations, 2012 CFR

2012-04-01

... 17 Commodity and Securities Exchanges 3 2012-04-01 2012-04-01 false Account statements for penny... § 240.15g-6 Account statements for penny stock customers. (a) Requirement. It shall be unlawful for any... pursuant to 17 CFR 240.15g-1, of any security that is a penny stock on the last trading day of any calendar...

17 CFR 240.15g-6 - Account statements for penny stock customers.

Code of Federal Regulations, 2013 CFR

2013-04-01

... 17 Commodity and Securities Exchanges 3 2013-04-01 2013-04-01 false Account statements for penny... § 240.15g-6 Account statements for penny stock customers. (a) Requirement. It shall be unlawful for any... pursuant to 17 CFR 240.15g-1, of any security that is a penny stock on the last trading day of any calendar...

75 FR 39063 - Self-Regulatory Organizations; National Stock Exchange, Inc.; Notice of Filing of a Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-07-07

... products based on that index? If there are trading pauses in an ETF but not in the stocks that underlie that ETF, what consequences might that have for the underlying stocks or other products? What are the potential effects on price discovery for the ETF, the underlying stocks and other products? Are there other...

Exploring Market State and Stock Interactions on the Minute Timescale

PubMed Central

Tan, Lei; Chen, Jun-Jie; Zheng, Bo; Ouyang, Fang-Yan

2016-01-01

A stock market is a non-stationary complex system. The stock interactions are important for understanding the state of the market. However, our knowledge on the stock interactions on the minute timescale is limited. Here we apply the random matrix theory and methods in complex networks to study the stock interactions and sector interactions. Further, we construct a new kind of cross-correlation matrix to investigate the correlation between the stock interactions at different minutes within one trading day. Based on 50 million minute-to-minute price data in the Shanghai stock market, we discover that the market states in the morning and afternoon are significantly different. The differences mainly exist in three aspects, i.e. the co-movement of stock prices, interactions of sectors and correlation between the stock interactions at different minutes. In the afternoon, the component stocks of sectors are more robust and the structure of sectors is firmer. Therefore, the market state in the afternoon is more stable. Furthermore, we reveal that the information of the sector interactions can indicate the financial crisis in the market, and the indicator based on the empirical data in the afternoon is more effective. PMID:26900948

Exploring Market State and Stock Interactions on the Minute Timescale.

PubMed

Tan, Lei; Chen, Jun-Jie; Zheng, Bo; Ouyang, Fang-Yan

2016-01-01

A stock market is a non-stationary complex system. The stock interactions are important for understanding the state of the market. However, our knowledge on the stock interactions on the minute timescale is limited. Here we apply the random matrix theory and methods in complex networks to study the stock interactions and sector interactions. Further, we construct a new kind of cross-correlation matrix to investigate the correlation between the stock interactions at different minutes within one trading day. Based on 50 million minute-to-minute price data in the Shanghai stock market, we discover that the market states in the morning and afternoon are significantly different. The differences mainly exist in three aspects, i.e. the co-movement of stock prices, interactions of sectors and correlation between the stock interactions at different minutes. In the afternoon, the component stocks of sectors are more robust and the structure of sectors is firmer. Therefore, the market state in the afternoon is more stable. Furthermore, we reveal that the information of the sector interactions can indicate the financial crisis in the market, and the indicator based on the empirical data in the afternoon is more effective.

Statistical analysis of bankrupting and non-bankrupting stocks

NASA Astrophysics Data System (ADS)

Li, Qian; Wang, Fengzhong; Wei, Jianrong; Liang, Yuan; Huang, Jiping; Stanley, H. Eugene

2012-04-01

The recent financial crisis has caused extensive world-wide economic damage, affecting in particular those who invested in companies that eventually filed for bankruptcy. A better understanding of stocks that become bankrupt would be helpful in reducing risk in future investments. Economists have conducted extensive research on this topic, and here we ask whether statistical physics concepts and approaches may offer insights into pre-bankruptcy stock behavior. To this end, we study all 20092 stocks listed in US stock markets for the 20-year period 1989-2008, including 4223 (21 percent) that became bankrupt during that period. We find that, surprisingly, the distributions of the daily returns of those stocks that become bankrupt differ significantly from those that do not. Moreover, these differences are consistent for the entire period studied. We further study the relation between the distribution of returns and the length of time until bankruptcy, and observe that larger differences of the distribution of returns correlate with shorter time periods preceding bankruptcy. This behavior suggests that sharper fluctuations in the stock price occur when the stock is closer to bankruptcy. We also analyze the cross-correlations between the return and the trading volume, and find that stocks approaching bankruptcy tend to have larger return-volume cross-correlations than stocks that are not. Furthermore, the difference increases as bankruptcy approaches. We conclude that before a firm becomes bankrupt its stock exhibits unusual behavior that is statistically quantifiable.

Spatial optimization of carbon-stocking projects across Africa integrating stocking potential with co-benefits and feasibility.

PubMed

Greve, Michelle; Reyers, Belinda; Mette Lykke, Anne; Svenning, Jens-Christian

2013-01-01

Carbon offset projects through forestation are employed within the emissions trading framework to store carbon. Yet, information about the potential of landscapes to stock carbon, essential to the design of offset projects, is often lacking. Here, based on data on vegetation carbon, climate and soil, we quantify the potential for carbon storage in woody vegetation across tropical Africa. The ability of offset projects to produce co-benefits for ecosystems and people is then quantified. When co-benefits such as biodiversity conservation are considered, the top-ranked sites are sometimes different to sites selected purely for their carbon-stocking potential, although they still possess up to 92% of the latter carbon-stocking potential. This work provides the first continental-scale assessment of which areas may provide the greatest direct and indirect benefits from carbon storage reforestation projects at the smallest costs and risks, providing crucial information for prioritization of investments in carbon storage projects.

75 FR 78781 - Self-Regulatory Organizations; NASDAQ OMX BX; Notice of Filing and Immediate Effectiveness of...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-12-16

... Pilot Period of the Trading Pause for Individual Stocks Contained in the Standard & Poor's 500 Index, Russell 1000 Index, and Specified Exchange Traded Products That Experience a Price Change of 10% or More... the pilot period of the trading pause for individual stocks contained in the Standard & Poor's 500...

Using the Stock Market to Teach Physics

NASA Astrophysics Data System (ADS)

Faux, David A.; Hearn, Stephen

2004-11-01

Students are interested in money. Personal finance is an important issue for most students, especially as they move into university education and take a greater control of their own finances. Many are also interested in stock markets and their ability to allow someone to make, and lose, large sums of money, with their interest fueled by the boom in technology-based stocks of 2000/2001 followed by their subsequent dramatic collapse and the publicizing of so-called "rogue-traders." There is also a much greater ownership of stocks by families following public offerings, stock-based savings products, and the ability to trade stocks online. Consequently, there has been a steady growth of finance and finance-related courses available within degree programs in response to the student demand, with many students motivated by the huge salaries commanded by those with a successful career in the financial sector. We report here details of a joint project between Charterhouse School and the University of Surrey designed to exploit the excitement of finance to teach elements of the high school (age 16-18) curriculum through modeling and simulation.

STOCK Market Differences in Correlation-Based Weighted Network

NASA Astrophysics Data System (ADS)

Youn, Janghyuk; Lee, Junghoon; Chang, Woojin

We examined the sector dynamics of Korean stock market in relation to the market volatility. The daily price data of 360 stocks for 5019 trading days (from January, 1990 to August, 2008) in Korean stock market are used. We performed the weighted network analysis and employed four measures: the average, the variance, the intensity, and the coherence of network weights (absolute values of stock return correlations) to investigate the network structure of Korean stock market. We performed regression analysis using the four measures in the seven major industry sectors and the market (seven sectors combined). We found that the average, the intensity, and the coherence of sector (subnetwork) weights increase as market becomes volatile. Except for the "Financials" sector, the variance of sector weights also grows as market volatility increases. Based on the four measures, we can categorize "Financials," "Information Technology" and "Industrials" sectors into one group, and "Materials" and "Consumer Discretionary" sectors into another group. We investigated the distributions of intrasector and intersector weights for each sector and found the differences in "Financials" sector are most distinct.

Development of stock correlation networks using mutual information and financial big data.

PubMed

Guo, Xue; Zhang, Hu; Tian, Tianhai

2018-01-01

Stock correlation networks use stock price data to explore the relationship between different stocks listed in the stock market. Currently this relationship is dominantly measured by the Pearson correlation coefficient. However, financial data suggest that nonlinear relationships may exist in the stock prices of different shares. To address this issue, this work uses mutual information to characterize the nonlinear relationship between stocks. Using 280 stocks traded at the Shanghai Stocks Exchange in China during the period of 2014-2016, we first compare the effectiveness of the correlation coefficient and mutual information for measuring stock relationships. Based on these two measures, we then develop two stock networks using the Minimum Spanning Tree method and study the topological properties of these networks, including degree, path length and the power-law distribution. The relationship network based on mutual information has a better distribution of the degree and larger value of the power-law distribution than those using the correlation coefficient. Numerical results show that mutual information is a more effective approach than the correlation coefficient to measure the stock relationship in a stock market that may undergo large fluctuations of stock prices.

Development of stock correlation networks using mutual information and financial big data

PubMed Central

Guo, Xue; Zhang, Hu

2018-01-01

Stock correlation networks use stock price data to explore the relationship between different stocks listed in the stock market. Currently this relationship is dominantly measured by the Pearson correlation coefficient. However, financial data suggest that nonlinear relationships may exist in the stock prices of different shares. To address this issue, this work uses mutual information to characterize the nonlinear relationship between stocks. Using 280 stocks traded at the Shanghai Stocks Exchange in China during the period of 2014-2016, we first compare the effectiveness of the correlation coefficient and mutual information for measuring stock relationships. Based on these two measures, we then develop two stock networks using the Minimum Spanning Tree method and study the topological properties of these networks, including degree, path length and the power-law distribution. The relationship network based on mutual information has a better distribution of the degree and larger value of the power-law distribution than those using the correlation coefficient. Numerical results show that mutual information is a more effective approach than the correlation coefficient to measure the stock relationship in a stock market that may undergo large fluctuations of stock prices. PMID:29668715

How High Frequency Trading Affects a Market Index

PubMed Central

Kenett, Dror Y.; Ben-Jacob, Eshel; Stanley, H. Eugene; gur-Gershgoren, Gitit

2013-01-01

The relationship between a market index and its constituent stocks is complicated. While an index is a weighted average of its constituent stocks, when the investigated time scale is one day or longer the index has been found to have a stronger effect on the stocks than vice versa. We explore how this interaction changes in short time scales using high frequency data. Using a correlation-based analysis approach, we find that in short time scales stocks have a stronger influence on the index. These findings have implications for high frequency trading and suggest that the price of an index should be published on shorter time scales, as close as possible to those of the actual transaction time scale. PMID:23817553

78 FR 25329 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-04-30

...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of..., The NASDAQ Stock Market LLC (``NASDAQ'' or the ``Exchange'') filed with the Securities and Exchange..., including the Nasdaq Market Center, the FINRA/NASDAQ Trade Reporting Facility, and FINRA's OTCBB Service...

Fractal Profit Landscape of the Stock Market

PubMed Central

Grönlund, Andreas; Yi, Il Gu; Kim, Beom Jun

2012-01-01

We investigate the structure of the profit landscape obtained from the most basic, fluctuation based, trading strategy applied for the daily stock price data. The strategy is parameterized by only two variables, p and q Stocks are sold and bought if the log return is bigger than p and less than –q, respectively. Repetition of this simple strategy for a long time gives the profit defined in the underlying two-dimensional parameter space of p and q. It is revealed that the local maxima in the profit landscape are spread in the form of a fractal structure. The fractal structure implies that successful strategies are not localized to any region of the profit landscape and are neither spaced evenly throughout the profit landscape, which makes the optimization notoriously hard and hypersensitive for partial or limited information. The concrete implication of this property is demonstrated by showing that optimization of one stock for future values or other stocks renders worse profit than a strategy that ignores fluctuations, i.e., a long-term buy-and-hold strategy. PMID:22558079

Fractal profit landscape of the stock market.

PubMed

Grönlund, Andreas; Yi, Il Gu; Kim, Beom Jun

2012-01-01

We investigate the structure of the profit landscape obtained from the most basic, fluctuation based, trading strategy applied for the daily stock price data. The strategy is parameterized by only two variables, p and q Stocks are sold and bought if the log return is bigger than p and less than -q, respectively. Repetition of this simple strategy for a long time gives the profit defined in the underlying two-dimensional parameter space of p and q. It is revealed that the local maxima in the profit landscape are spread in the form of a fractal structure. The fractal structure implies that successful strategies are not localized to any region of the profit landscape and are neither spaced evenly throughout the profit landscape, which makes the optimization notoriously hard and hypersensitive for partial or limited information. The concrete implication of this property is demonstrated by showing that optimization of one stock for future values or other stocks renders worse profit than a strategy that ignores fluctuations, i.e., a long-term buy-and-hold strategy.

77 FR 8927 - Self-Regulatory Organizations; Chicago Stock Exchange, Inc.; Order Approving a Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-02-15

... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-66366; File No. SR-CHX-2011-34] Self-Regulatory Organizations; Chicago Stock Exchange, Inc.; Order Approving a Proposed Rule Change Regarding Suspension of a Participant's Trading Privileges on the Exchange February 9, 2012. I. Introduction On December 16, 2011, the Chicago Stock Exchange, Inc. ...

Quantifying Wikipedia Usage Patterns Before Stock Market Moves

NASA Astrophysics Data System (ADS)

Moat, Helen Susannah; Curme, Chester; Avakian, Adam; Kenett, Dror Y.; Stanley, H. Eugene; Preis, Tobias

2013-05-01

Financial crises result from a catastrophic combination of actions. Vast stock market datasets offer us a window into some of the actions that have led to these crises. Here, we investigate whether data generated through Internet usage contain traces of attempts to gather information before trading decisions were taken. We present evidence in line with the intriguing suggestion that data on changes in how often financially related Wikipedia pages were viewed may have contained early signs of stock market moves. Our results suggest that online data may allow us to gain new insight into early information gathering stages of decision making.

Quantifying Wikipedia Usage Patterns Before Stock Market Moves

PubMed Central

Moat, Helen Susannah; Curme, Chester; Avakian, Adam; Kenett, Dror Y.; Stanley, H. Eugene; Preis, Tobias

2013-01-01

Financial crises result from a catastrophic combination of actions. Vast stock market datasets offer us a window into some of the actions that have led to these crises. Here, we investigate whether data generated through Internet usage contain traces of attempts to gather information before trading decisions were taken. We present evidence in line with the intriguing suggestion that data on changes in how often financially related Wikipedia pages were viewed may have contained early signs of stock market moves. Our results suggest that online data may allow us to gain new insight into early information gathering stages of decision making.

78 FR 23611 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-04-19

... simultaneously trade different asset classes within the same strategy. Because cash equities and options markets...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of a... April 1, 2013, The NASDAQ Stock Market LLC (``NASDAQ'' or ``Exchange'') filed with the Securities and...

Association between Stock Market Gains and Losses and Google Searches

PubMed Central

Arditi, Eli; Yechiam, Eldad; Zahavi, Gal

2015-01-01

Experimental studies in the area of Psychology and Behavioral Economics have suggested that people change their search pattern in response to positive and negative events. Using Internet search data provided by Google, we investigated the relationship between stock-specific events and related Google searches. We studied daily data from 13 stocks from the Dow-Jones and NASDAQ100 indices, over a period of 4 trading years. Focusing on periods in which stocks were extensively searched (Intensive Search Periods), we found a correlation between the magnitude of stock returns at the beginning of the period and the volume, peak, and duration of search generated during the period. This relation between magnitudes of stock returns and subsequent searches was considerably magnified in periods following negative stock returns. Yet, we did not find that intensive search periods following losses were associated with more Google searches than periods following gains. Thus, rather than increasing search, losses improved the fit between people’s search behavior and the extent of real-world events triggering the search. The findings demonstrate the robustness of the attentional effect of losses. PMID:26513371

The position profiles of order cancellations in an emerging stock market

NASA Astrophysics Data System (ADS)

Gu, Gao-Feng; Xiong, Xiong; Ren, Fei; Zhou, Wei-Xing; Zhang, Wei

2013-04-01

Order submission and cancellation are two constituent actions of stock trading behaviors in order-driven markets. Order submission dynamics has been extensively studied for different markets, while order cancellation dynamics is less understood. There are two positions associated with a cancellation, that is, the price level in the limit-order book (LOB) and the position in the queue at each price level. We study the profiles of these two order cancellation positions through rebuilding the limit-order book using the order flow data of 23 liquid stocks traded on the Shenzhen Stock Exchange in the year 2003. We find that the profiles of relative price levels where cancellations occur obey a log-normal distribution. After normalizing the relative price level by removing the factor of order numbers stored at the price level, we find that the profiles exhibit a power-law scaling behavior on the right tails for both buy and sell orders. When focusing on the order cancellation positions in the queue at each price level, we find that the profiles increase rapidly in the front of the queue, and then fluctuate around a constant value till the end of the queue. These profiles are similar for different stocks. In addition, the profiles of cancellation positions can be fitted by an exponent function for both buy and sell orders. These two kinds of cancellation profiles seem universal for different stocks investigated and exhibit minor asymmetry between buy and sell orders. Our empirical findings shed new light on the order cancellation dynamics and pose constraints on the construction of order-driven stock market models.

Dissecting cross-impact on stock markets: an empirical analysis

NASA Astrophysics Data System (ADS)

Benzaquen, M.; Mastromatteo, I.; Eisler, Z.; Bouchaud, J.-P.

2017-02-01

The vast majority of market impact studies assess each product individually, and the interactions between the different order flows are disregarded. This strong approximation may lead to an underestimation of trading costs and possible contagion effects. Transactions in fact mediate a significant part of the correlation between different instruments. In turn, liquidity shares the sectorial structure of market correlations, which can be encoded as a set of eigenvalues and eigenvectors. We introduce a multivariate linear propagator model that successfully describes such a structure, and accounts for a significant fraction of the covariance of stock returns. We dissect the various dynamical mechanisms that contribute to the joint dynamics of assets. We also define two simplified models with substantially less parameters in order to reduce overfitting, and show that they have superior out-of-sample performance.

Does the Price Multiplier Effect also Hold for Stocks?

NASA Astrophysics Data System (ADS)

Maslov, Sergei; Roehner, Bertrand M.

The price multiplier effect provides precious insight into the behavior of investors during episodes of speculative trading. It tells us that the higher the price of an asset (within a set of similar assets), the more its price is likely to increase during the upgoing phase of a speculative price peak. In short, instead of being risk averse, as is often assumed, investors rather seem to be "risk prone". While this effect is known to hold for several sorts of assets, it has not yet been possible to test it for stocks because the price of one share has no intrinsic significance, which means that one cannot say that stock A is more expensive than stock B on the basis of its price. In this paper we show that the price-dividend ratio gives a good basis for assessing the price of stocks in an intrinsic way. When this alternative measure is used instead, it turns out that the price multiplier effect also holds for stocks, at least if one concentrates on samples of companies which are sufficiently homogeneous.

Universal behaviour in the stock market: Time dynamics of the electronic orderbook

NASA Astrophysics Data System (ADS)

Kızılersü, Ayşe; Kreer, Markus; Thomas, Anthony W.; Feindt, Michael

2016-07-01

A consequence of the digital revolution is that share trading at the stock exchange takes place via electronic order books which are accessed by traders and investors via the internet. Our empirical findings of the London Stock Exchange demonstrate that once ultra-high frequency manipulation on time scales less than around ten milliseconds is excluded, all relevant changes in the order book happen with time differences that are randomly distributed and well described by a left-truncated Weibull distribution with universal shape parameter (independent of time and same for all stocks). The universal shape parameter corresponds to maximum entropy of the distribution.

Individual heterogeneity and offspring sex affect the growth-reproduction trade-off in a mammal with indeterminate growth.

PubMed

Gélin, Uriel; Wilson, Michelle E; Cripps, Jemma; Coulson, Graeme; Festa-Bianchet, Marco

2016-04-01

Reproduction can lead to a trade-off with growth, particularly when individuals reproduce before completing body growth. Kangaroos have indeterminate growth and may always face this trade-off. We combined an experimental manipulation of reproductive effort and multi-year monitoring of a large sample size of marked individuals in two populations of eastern grey kangaroos to test the predictions (1) that reproduction decreases skeletal growth and mass gain and (2) that mass loss leads to reproductive failure. We also tested if sex-allocation strategies influenced these trade-offs. Experimental reproductive suppression revealed negative effects of reproduction on mass gain and leg growth from 1 year to the next. Unmanipulated females, however, showed a positive correlation between number of days lactating and leg growth over periods of 2 years and longer, suggesting that over the long term, reproductive costs were masked by individual heterogeneity in resource acquisition. Mass gain was necessary for reproductive success the subsequent year. Although mothers of daughters generally lost more mass than females nursing sons, mothers in poor condition experienced greater mass gain and arm growth if they had daughters than if they had sons. The strong links between individual mass changes and reproduction suggest that reproductive tactics are strongly resource-dependent.

The use of copula functions for modeling the risk of investment in shares traded on the Warsaw Stock Exchange

NASA Astrophysics Data System (ADS)

Domino, Krzysztof; Błachowicz, Tomasz

2014-11-01

In our work copula functions and the Hurst exponent calculated using the local Detrended Fluctuation Analysis (DFA) were used to investigate the risk of investment made in shares traded on the Warsaw Stock Exchange. The combination of copula functions and the Hurst exponent calculated using local DFA is a new approach. For copula function analysis bivariate variables composed of shares prices of the PEKAO bank (a big bank with high capitalization) and other banks (PKOBP, BZ WBK, MBANK and HANDLOWY in decreasing capitalization order) and companies from other branches (KGHM-mining industry, PKNORLEN-petrol industry as well as ASSECO-software industry) were used. Hurst exponents were calculated for daily shares prices and used to predict high drops of those prices. It appeared to be a valuable indicator in the copula selection procedure, since Hurst exponent’s low values were pointing on heavily tailed copulas e.g. the Clayton one.

78 FR 2312 - Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-01-10

...-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change Amending Its Price List To Adopt a Trading License Fee for Calendar Year 2013 January... 19b-4 thereunder,\\2\\ notice is hereby given that, on December 21, 2012, New York Stock Exchange LLC...

78 FR 48744 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-08-09

...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of a...,\\2\\ notice is hereby given that, on July 26, 2013, The NASDAQ Stock Market LLC (``NASDAQ'' or..., Section 6 (Series of Options Contracts Open for Trading) of the rules of the NASDAQ Options Market (``NOM...

The impact of derivatives on Malaysian stock market

NASA Astrophysics Data System (ADS)

Malim, M. R.; Halim, F. A.; Murad, A.; Maad, H. A.; Annuar, N. F. M.

2017-09-01

The essential of derivatives has been discovered by researchers over recent decade. However, the conclusions made regarding the impact of derivatives on stock market volatility remains debatable. The main objective of this study is to examine the impact of derivatives on Malaysian stock market volatility by exploring FTSE Bursa Malaysia Kuala Lumpur Composite Index Futures (BMD FKLI) using FBM KLCI as the underlying asset. Generalized Autoregressive Conditional Heteroskedasticity (GARCH) (1, 1) model was employed to realize the objective. The results have shown that the introduction of futures trading has decreased the volatility of Malaysian stock market. The volatility increased vigorously during the Asian financial crisis compared to the Global financial crisis. However, the role of futures as a risk transfer is agreed as it could improve the market by decreasing the volatility in the spot market.

Measuring multifractality of stock price fluctuation using multifractal detrended fluctuation analysis

NASA Astrophysics Data System (ADS)

Yuan, Ying; Zhuang, Xin-tian; Jin, Xiu

2009-06-01

Analyzing the Shanghai stock price index daily returns using MF-DFA method, it is found that there are two different types of sources for multifractality in time series, namely, fat-tailed probability distributions and non-linear temporal correlations. Based on that, a sliding window of 240 frequency data in 5 trading days was used to study stock price index fluctuation. It is found that when the stock price index fluctuates sharply, a strong variability is clearly characterized by the generalized Hurst exponents h(q). Therefore, two measures, Δh and σ, based on generalized Hurst exponents were proposed to compare financial risks before and after Price Limits and Reform of Non-tradable Shares. The empirical results verify the validity of the measures, and this has led to a better understanding of complex stock markets.

26 CFR 1.414(c)-1 - Commonly controlled trades or businesses.

Code of Federal Regulations, 2010 CFR

2010-04-01

... 26 Internal Revenue 5 2010-04-01 2010-04-01 false Commonly controlled trades or businesses. 1.414(c)-1 Section 1.414(c)-1 Internal Revenue INTERNAL REVENUE SERVICE, DEPARTMENT OF THE TREASURY (CONTINUED) INCOME TAX (CONTINUED) INCOME TAXES Pension, Profit-Sharing, Stock Bonus Plans, Etc. § 1.414(c)-1 Commonly controlled trades or businesses. For...

Clustering stock market companies via chaotic map synchronization

NASA Astrophysics Data System (ADS)

Basalto, N.; Bellotti, R.; De Carlo, F.; Facchi, P.; Pascazio, S.

2005-01-01

A pairwise clustering approach is applied to the analysis of the Dow Jones index companies, in order to identify similar temporal behavior of the traded stock prices. To this end, the chaotic map clustering algorithm is used, where a map is associated to each company and the correlation coefficients of the financial time series to the coupling strengths between maps. The simulation of a chaotic map dynamics gives rise to a natural partition of the data, as companies belonging to the same industrial branch are often grouped together. The identification of clusters of companies of a given stock market index can be exploited in the portfolio optimization strategies.

76 FR 74111 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-11-30

... that CBSX is not currently the primary listing market for any stocks, and thus, will not be issuing any... Effectiveness of Proposed Rule Change Related to the Individual Stock Trading Pause Pilot Program November 23... Change The Exchange is proposing to amend CBOE Stock Exchange, LLC's (``CBSX'', the CBOE's stock trading...

76 FR 44638 - Self-Regulatory Organizations; Chicago Stock Exchange, Incorporated; Notice of Filing of Proposed...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-07-26

... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-64937; File No. SR-CHX-2011-17] Self-Regulatory Organizations; Chicago Stock Exchange, Incorporated; Notice of Filing of Proposed Rule Change Regarding the Submission by the Exchange of Clearing-Related Information for Trades Executed on the Exchange as Well as for Trades Executed Otherwise Than...

Recurrence interval analysis of trading volumes

NASA Astrophysics Data System (ADS)

Ren, Fei; Zhou, Wei-Xing

2010-06-01

We study the statistical properties of the recurrence intervals τ between successive trading volumes exceeding a certain threshold q . The recurrence interval analysis is carried out for the 20 liquid Chinese stocks covering a period from January 2000 to May 2009, and two Chinese indices from January 2003 to April 2009. Similar to the recurrence interval distribution of the price returns, the tail of the recurrence interval distribution of the trading volumes follows a power-law scaling, and the results are verified by the goodness-of-fit tests using the Kolmogorov-Smirnov (KS) statistic, the weighted KS statistic and the Cramér-von Mises criterion. The measurements of the conditional probability distribution and the detrended fluctuation function show that both short-term and long-term memory effects exist in the recurrence intervals between trading volumes. We further study the relationship between trading volumes and price returns based on the recurrence interval analysis method. It is found that large trading volumes are more likely to occur following large price returns, and the comovement between trading volumes and price returns is more pronounced for large trading volumes.

Recurrence interval analysis of trading volumes.

PubMed

Ren, Fei; Zhou, Wei-Xing

2010-06-01

We study the statistical properties of the recurrence intervals τ between successive trading volumes exceeding a certain threshold q. The recurrence interval analysis is carried out for the 20 liquid Chinese stocks covering a period from January 2000 to May 2009, and two Chinese indices from January 2003 to April 2009. Similar to the recurrence interval distribution of the price returns, the tail of the recurrence interval distribution of the trading volumes follows a power-law scaling, and the results are verified by the goodness-of-fit tests using the Kolmogorov-Smirnov (KS) statistic, the weighted KS statistic and the Cramér-von Mises criterion. The measurements of the conditional probability distribution and the detrended fluctuation function show that both short-term and long-term memory effects exist in the recurrence intervals between trading volumes. We further study the relationship between trading volumes and price returns based on the recurrence interval analysis method. It is found that large trading volumes are more likely to occur following large price returns, and the comovement between trading volumes and price returns is more pronounced for large trading volumes.

Endogenous and exogenous dynamics in the fluctuations of capital fluxes. An empirical analysis of the Chinese stock market

NASA Astrophysics Data System (ADS)

Jiang, Z.-Q.; Guo, L.; Zhou, W.-X.

2007-06-01

A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is carried out on the Chinese stock market using mean-variance analysis, fluctuation analysis, and their generalizations to higher orders. Non-universal dynamics have been found not only in the scaling exponent α, which is different from the universal values 1/2 and 1, but also in the distributions of the ratio η= σexo / σendo of individual stocks. Both the scaling exponent α of fluctuations and the Hurst exponent Hi increase in logarithmic form with the time scale Δt and the mean traded value per minute , respectively. We find that the scaling exponent αendo of the endogenous fluctuations is independent of the time scale. Multiscaling and multifractal features are observed in the data as well. However, the inhomogeneous impact model is not verified.

Machine learning in sentiment reconstruction of the simulated stock market

NASA Astrophysics Data System (ADS)

Goykhman, Mikhail; Teimouri, Ali

2018-02-01

In this paper we continue the study of the simulated stock market framework defined by the driving sentiment processes. We focus on the market environment driven by the buy/sell trading sentiment process of the Markov chain type. We apply the methodology of the Hidden Markov Models and the Recurrent Neural Networks to reconstruct the transition probabilities matrix of the Markov sentiment process and recover the underlying sentiment states from the observed stock price behavior. We demonstrate that the Hidden Markov Model can successfully recover the transition probabilities matrix for the hidden sentiment process of the Markov Chain type. We also demonstrate that the Recurrent Neural Network can successfully recover the hidden sentiment states from the observed simulated stock price time series.

75 FR 16221 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing of Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-03-31

...-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing of Proposed Rule Change To Establish Strike Price Intervals and Trading Hours for Options on Index-Linked Securities March 23, 2010. Pursuant... 19b-4 thereunder,\\2\\ notice is hereby given that on March 11, 2010, The NASDAQ Stock Market LLC...

Time series regression-based pairs trading in the Korean equities market

NASA Astrophysics Data System (ADS)

Kim, Saejoon; Heo, Jun

2017-07-01

Pairs trading is an instance of statistical arbitrage that relies on heavy quantitative data analysis to profit by capitalising low-risk trading opportunities provided by anomalies of related assets. A key element in pairs trading is the rule by which open and close trading triggers are defined. This paper investigates the use of time series regression to define the rule which has previously been identified with fixed threshold-based approaches. Empirical results indicate that our approach may yield significantly increased excess returns compared to ones obtained by previous approaches on large capitalisation stocks in the Korean equities market.

Hot money and China's stock market volatility: Further evidence using the GARCH-MIDAS model

NASA Astrophysics Data System (ADS)

Wei, Yu; Yu, Qianwen; Liu, Jing; Cao, Yang

2018-02-01

This paper investigates the influence of hot money on the return and volatility of the Chinese stock market using a nonlinear Granger causality test and a new GARCH-class model based on mixed data sampling regression (GARCH-MIDAS). The empirical results suggest that no linear or nonlinear causality exists between the growth rate of hot money and the Chinese stock market return, implying that the Chinese stock market is not driven by hot money and vice versa. However, hot money has a significant positive impact on the long-term volatility of the Chinese stock market. Furthermore, the dependence between the long-term volatility caused by hot money and the total volatility of the Chinese stock market is time-variant, indicating that huge volatilities in the stock market are not always triggered by international speculation capital flow and that Chinese authorities should further focus on more systemic reforms in the trading rules and on effectively regulating the stock market.

76 FR 61416 - Self-Regulatory Organizations; The Nasdaq Stock Market LLC; Notice of Filing of Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-10-04

... Methodology for Determining When to Halt Trading Due to Extraordinary Market Volatility September 28, 2011... determining when to halt trading in all stocks due to extraordinary market volatility. The proposal is made in... market volatility. The Exchange is proposing this rule change in consultation with other equity, options...

Herd behaviour experimental testing in laboratory artificial stock market settings. Behavioural foundations of stylised facts of financial returns

NASA Astrophysics Data System (ADS)

Manahov, Viktor; Hudson, Robert

2013-10-01

Many scholars express concerns that herding behaviour causes excess volatility, destabilises financial markets, and increases the likelihood of systemic risk. We use a special form of the Strongly Typed Genetic Programming (STGP) technique to evolve a stock market divided into two groups-a small subset of artificial agents called ‘Best Agents’ and a main cohort of agents named ‘All Agents’. The ‘Best Agents’ perform best in term of the trailing return of a wealth moving average. We then investigate whether herding behaviour can arise when agents trade Dow Jones, General Electric, and IBM financial instruments in four different artificial stock markets. This paper uses real historical quotes of the three financial instruments to analyse the behavioural foundations of stylised facts such as leptokurtosis, non-IIDness, and volatility clustering. We found evidence of more herding in a group of stocks than in individual stocks, but the magnitude of herding does not contribute to the mispricing of assets in the long run. Our findings suggest that the price formation process caused by the collective behaviour of the entire market exhibit less herding and is more efficient than the segmented market populated by a small subset of agents. Hence, greater genetic diversity leads to greater consistency with fundamental values and market efficiency.

27 CFR 46.206 - Articles in a foreign trade zone.

Code of Federal Regulations, 2012 CFR

2012-04-01

... PRODUCTS AND CIGARETTE PAPERS AND TUBES Floor Stocks Tax on Certain Tobacco Products, Cigarette Papers, and Cigarette Tubes Held for Sale on April 1, 2009 Inventories § 46.206 Articles in a foreign trade zone. If...

A fuzzy logic model to forecast stock market momentum in Indonesia's property and real estate sector

NASA Astrophysics Data System (ADS)

Penawar, H. K.; Rustam, Z.

2017-07-01

The Capital market has the important role in Indonesia's economy. The capital market does not only support the economy of Indonesia but also being an indicator Indonesia's economy improvement. Something that has been traded in the capital market is stock (stock market). Nowadays, the stock market is full of uncertainty. That uncertainty values make predicting stock market is all that we have to do before we make a decision in the stock market. One that can be predicted in the stock market is momentum. To forecast stock market momentum, it can use fuzzy logic model. In the process of modeling, it will be used 14 days historical data that consisting the value of open, high, low, and close, to predict the next 5 days momentum categories. There are three momentum categories namely Bullish, Neutral, and Bearish. To illustrate the fuzzy logic model, we will use stocks data from several companies that listed on Indonesia Stock Exchange (IDX) in property and real estate sector.

77 FR 65237 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Order Granting Approval of Proposed...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-10-25

... Relating to the Listing and Trading of Shares of the WisdomTree Global Corporate Bond Fund of the WisdomTree Trust October 19, 2012. I. Introduction On August 15, 2012, The NASDAQ Stock Market LLC (``Nasdaq... proposed rule change to list and trade the shares (``Shares'') of the WisdomTree Global Corporate Bond Fund...

Stock-specific advection of larval walleye (Sander vitreus) in western Lake Erie: Implications for larval growth, mixing, and stock discrimination

USGS Publications Warehouse

Fraker, Michael E.; Anderson, Eric J.; May, Cassandra J.; Chen, Kuan-Yu; Davis, Jeremiah J.; DeVanna, Kristen M.; DuFour, Mark R.; Marschall, Elizabeth A.; Mayer, Christine M.; Miner, Jeffery G.; Pangle, Kevin L.; Pritt, Jeremy J.; Roseman, Edward F.; Tyson, Jeffrey T.; Zhao, Yingming; Ludsin, Stuart A

2015-01-01

Physical processes can generate spatiotemporal heterogeneity in habitat quality for fish and also influence the overlap of pre-recruit individuals (e.g., larvae) with high-quality habitat through hydrodynamic advection. In turn, individuals from different stocks that are produced in different spawning locations or at different times may experience dissimilar habitat conditions, which can underlie within- and among-stock variability in larval growth and survival. While such physically-mediated variation has been shown to be important in driving intra- and inter-annual patterns in recruitment in marine ecosystems, its role in governing larval advection, growth, survival, and recruitment has received less attention in large lake ecosystems such as the Laurentian Great Lakes. Herein, we used a hydrodynamic model linked to a larval walleye (Sander vitreus) individual-based model to explore how the timing and location of larval walleye emergence from several spawning sites in western Lake Erie (Maumee, Sandusky, and Detroit rivers; Ohio reef complex) can influence advection pathways and mixing among these local spawning populations (stocks), and how spatiotemporal variation in thermal habitat can influence stock-specific larval growth. While basin-wide advection patterns were fairly similar during 2011 and 2012, smaller scale advection patterns and the degree of stock mixing varied both within and between years. Additionally, differences in larval growth were evident among stocks and among cohorts within stocks which were attributed to spatiotemporal differences in water temperature. Using these findings, we discuss the value of linked physical–biological models for understanding the recruitment process and addressing fisheries management problems in the world's Great Lakes.

A Tale of Two Stock Markets

ERIC Educational Resources Information Center

Armstrong, Michelle Hine; Piercey, Victor I.; Greene-Hunley, Stephanie

2015-01-01

This article describes two different projects using the stock market as a context for learning. For both projects, students "bought" shares in individual companies, tracked stock prices for a period of time, and then "sold" their shares at a gain or loss. The projects are adaptable for students in late elementary school through…

26 CFR 25.2512-2 - Stocks and bonds.

Code of Federal Regulations, 2010 CFR

2010-04-01

... prices on the date of the gift is the fair market value per share or bond. If there were no sales on the... trading days after (Wednesday, June 20) and on these days the mean sale prices per share were $10 and $15, respectively. The price of $12 is taken as representing the fair market value of a share of stock as of the...

Cluster fusion-fission dynamics in the Singapore stock exchange

NASA Astrophysics Data System (ADS)

Teh, Boon Kin; Cheong, Siew Ann

2015-10-01

In this paper, we investigate how the cross-correlations between stocks in the Singapore stock exchange (SGX) evolve over 2008 and 2009 within overlapping one-month time windows. In particular, we examine how these cross-correlations change before, during, and after the Sep-Oct 2008 Lehman Brothers Crisis. To do this, we extend the complete-linkage hierarchical clustering algorithm, to obtain robust clusters of stocks with stronger intracluster correlations, and weaker intercluster correlations. After we identify the robust clusters in all time windows, we visualize how these change in the form of a fusion-fission diagram. Such a diagram depicts graphically how the cluster sizes evolve, the exchange of stocks between clusters, as well as how strongly the clusters mix. From the fusion-fission diagram, we see a giant cluster growing and disintegrating in the SGX, up till the Lehman Brothers Crisis in September 2008 and the market crashes of October 2008. After the Lehman Brothers Crisis, clusters in the SGX remain small for few months before giant clusters emerge once again. In the aftermath of the crisis, we also find strong mixing of component stocks between clusters. As a result, the correlation between initially strongly-correlated pairs of stocks decay exponentially with average life time of about a month. These observations impact strongly how portfolios and trading strategies should be formulated.

75 FR 39078 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing of...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-07-07

... index? If there are trading pauses in an ETF but not in the stocks that underlie that ETF, what... price discovery for the ETF, the underlying stocks and other products? Are there other market-based... Change Related to Individual Stock Trading Pauses Due to Extraordinary Market Volatility June 30, 2010...

Taylor’s Law of Temporal Fluctuation Scaling in Stock Illiquidity

NASA Astrophysics Data System (ADS)

Cai, Qing; Xu, Hai-Chuan; Zhou, Wei-Xing

2016-08-01

Taylor’s law of temporal fluctuation scaling, variance ˜ a(mean)b, is ubiquitous in natural and social sciences. We report for the first time convincing evidence of a solid temporal fluctuation scaling law in stock illiquidity by investigating the mean-variance relationship of the high-frequency illiquidity of almost all stocks traded on the Shanghai Stock Exchange (SHSE) and the Shenzhen Stock Exchange (SZSE) during the period from 1999 to 2011. Taylor’s law holds for A-share markets (SZSE Main Board, SZSE Small & Mediate Enterprise Board, SZSE Second Board, and SHSE Main Board) and B-share markets (SZSE B-share and SHSE B-share). We find that the scaling exponent b is greater than 2 for the A-share markets and less than 2 for the B-share markets. We further unveil that Taylor’s law holds for stocks in 17 industry categories, in 28 industrial sectors and in 31 provinces and direct-controlled municipalities with the majority of scaling exponents b ∈ (2, 3). We also investigate the Δt-min illiquidity and find that the scaling exponent b(Δt) increases logarithmically for small Δt values and decreases fast to a stable level.

Prediction of stock market characteristics using neural networks

NASA Astrophysics Data System (ADS)

Pandya, Abhijit S.; Kondo, Tadashi; Shah, Trupti U.; Gandhi, Viraf R.

1999-03-01

International stocks trading, currency and derivative contracts play an increasingly important role for many investors. Neural network is playing a dominant role in predicting the trends in stock markets and in currency speculation. In most economic applications, the success rate using neural networks is limited to 70 - 80%. By means of the new approach of GMDH (Group Method of Data Handling) neural network predictions can be improved further by 10 - 15%. It was observed in our study, that using GMDH for short, noisy or inaccurate data sample resulted in the best-simplified model. In the GMDH model accuracy of prediction is higher and the structure is simpler than that of the usual full physical model. As an example, prediction of the activity on the stock exchange in New York was considered. On the basis of observations in the period of Jan '95 to July '98, several variables of the stock market (S&P 500, Small Cap, Dow Jones, etc.) were predicted. A model portfolio using various stocks (Amgen, Merck, Office Depot, etc.) was built and its performance was evaluated based on neural network forecasting of the closing prices. Comparison of results was made with various neural network models such as Multilayer Perceptrons with Back Propagation, and the GMDH neural network. Variations of GMDH were studied and analysis of their performance is reported in the paper.

Analysis of stock investment selection based on CAPM using covariance and genetic algorithm approach

NASA Astrophysics Data System (ADS)

Sukono; Susanti, D.; Najmia, M.; Lesmana, E.; Napitupulu, H.; Supian, S.; Putra, A. S.

2018-03-01

Investment is one of the economic growth factors of countries, especially in Indonesia. Stocks is a form of investment, which is liquid. In determining the stock investment decisions which need to be considered by investors is to choose stocks that can generate maximum returns with a minimum risk level. Therefore, we need to know how to allocate the capital which may give the optimal benefit. This study discusses the issue of stock investment based on CAPM which is estimated using covariance and Genetic Algorithm approach. It is assumed that the stocks analyzed follow the CAPM model. To do the estimation of beta parameter on CAPM equation is done by two approach, first is to be represented by covariance approach, and second with genetic algorithm optimization. As a numerical illustration, in this paper analyzed ten stocks traded on the capital market in Indonesia. The results of the analysis show that estimation of beta parameters using covariance and genetic algorithm approach, give the same decision, that is, six underpriced stocks with buying decision, and four overpriced stocks with a sales decision. Based on the analysis, it can be concluded that the results can be used as a consideration for investors buying six under-priced stocks, and selling four overpriced stocks.

Poisson-process generalization for the trading waiting-time distribution in a double-auction mechanism

NASA Astrophysics Data System (ADS)

Cincotti, Silvano; Ponta, Linda; Raberto, Marco; Scalas, Enrico

2005-05-01

In this paper, empirical analyses and computational experiments are presented on high-frequency data for a double-auction (book) market. Main objective of the paper is to generalize the order waiting time process in order to properly model such empirical evidences. The empirical study is performed on the best bid and best ask data of 7 U.S. financial markets, for 30-stock time series. In particular, statistical properties of trading waiting times have been analyzed and quality of fits is evaluated by suitable statistical tests, i.e., comparing empirical distributions with theoretical models. Starting from the statistical studies on real data, attention has been focused on the reproducibility of such results in an artificial market. The computational experiments have been performed within the Genoa Artificial Stock Market. In the market model, heterogeneous agents trade one risky asset in exchange for cash. Agents have zero intelligence and issue random limit or market orders depending on their budget constraints. The price is cleared by means of a limit order book. The order generation is modelled with a renewal process. Based on empirical trading estimation, the distribution of waiting times between two consecutive orders is modelled by a mixture of exponential processes. Results show that the empirical waiting-time distribution can be considered as a generalization of a Poisson process. Moreover, the renewal process can approximate real data and implementation on the artificial stocks market can reproduce the trading activity in a realistic way.

Assessing Social – Ecological Trade-Offs to Advance Ecosystem-Based Fisheries Management

PubMed Central

Voss, Rudi; Quaas, Martin F.; Schmidt, Jörn O.; Tahvonen, Olli; Lindegren, Martin; Möllmann, Christian

2014-01-01

Modern resource management faces trade-offs in the provision of various ecosystem goods and services to humanity. For fisheries management to develop into an ecosystem-based approach, the goal is not only to maximize economic profits, but to consider equally important conservation and social equity goals. We introduce such a triple-bottom line approach to the management of multi-species fisheries using the Baltic Sea as a case study. We apply a coupled ecological-economic optimization model to address the actual fisheries management challenge of trading-off the recovery of collapsed cod stocks versus the health of ecologically important forage fish populations. Management strategies based on profit maximization would rebuild the cod stock to high levels but may cause the risk of stock collapse for forage species with low market value, such as Baltic sprat (Fig. 1A). Economically efficient conservation efforts to protect sprat would be borne almost exclusively by the forage fishery as sprat fishing effort and profits would strongly be reduced. Unless compensation is paid, this would challenge equity between fishing sectors (Fig. 1B). Optimizing equity while respecting sprat biomass precautionary levels would reduce potential profits of the overall Baltic fishery, but may offer an acceptable balance between overall profits, species conservation and social equity (Fig. 1C). Our case study shows a practical example of how an ecosystem-based fisheries management will be able to offer society options to solve common conflicts between different resource uses. Adding equity considerations to the traditional trade-off between economy and ecology will greatly enhance credibility and hence compliance to management decisions, a further footstep towards healthy fish stocks and sustainable fisheries in the world ocean. PMID:25268117

Emergence and temporal structure of Lead-Lag correlations in collective stock dynamics

NASA Astrophysics Data System (ADS)

Xia, Lisi; You, Daming; Jiang, Xin; Chen, Wei

2018-07-01

Understanding the correlations among stock returns is crucial for reducing the risk of investment in stock markets. As an important stylized correlation, lead-lag effect plays a major role in analyzing market volatility and deriving trading strategies. Here, we explore historical lead-lag relationships among stocks in the Chinese stock market. Strongly positive lagged correlations can be empirically observed. We demonstrate this lead-lag phenomenon is not constant but temporally emerges during certain periods. By introducing moving time window method, we transform the lead-lag dynamics into a series of asymmetric lagged correlation matrices. Dynamic lead-lag structures are uncovered in the form of temporal network structures. We find that the size of lead-lag group experienced a rapid drop during the year 2012, which signaled a re-balance of the stock market. On the daily timescale, we find the lead-lag structure exhibits several persistent patterns, which can be characterized by the Jaccard matrix. We show significant market events can be distinguished in the Jaccard matrix diagram. Taken together, we study an integration of all the temporal networks and identify several leading stock sectors, which are in accordance with the common Chinese economic fundamentals.

Dynamical Analysis of Stock Market Instability by Cross-correlation Matrix

NASA Astrophysics Data System (ADS)

Takaishi, Tetsuya

2016-08-01

We study stock market instability by using cross-correlations constructed from the return time series of 366 stocks traded on the Tokyo Stock Exchange from January 5, 1998 to December 30, 2013. To investigate the dynamical evolution of the cross-correlations, crosscorrelation matrices are calculated with a rolling window of 400 days. To quantify the volatile market stages where the potential risk is high, we apply the principal components analysis and measure the cumulative risk fraction (CRF), which is the system variance associated with the first few principal components. From the CRF, we detected three volatile market stages corresponding to the bankruptcy of Lehman Brothers, the 2011 Tohoku Region Pacific Coast Earthquake, and the FRB QE3 reduction observation in the study period. We further apply the random matrix theory for the risk analysis and find that the first eigenvector is more equally de-localized when the market is volatile.

Modeling Philippine Stock Exchange Composite Index Using Time Series Analysis

NASA Astrophysics Data System (ADS)

Gayo, W. S.; Urrutia, J. D.; Temple, J. M. F.; Sandoval, J. R. D.; Sanglay, J. E. A.

2015-06-01

This study was conducted to develop a time series model of the Philippine Stock Exchange Composite Index and its volatility using the finite mixture of ARIMA model with conditional variance equations such as ARCH, GARCH, EG ARCH, TARCH and PARCH models. Also, the study aimed to find out the reason behind the behaviorof PSEi, that is, which of the economic variables - Consumer Price Index, crude oil price, foreign exchange rate, gold price, interest rate, money supply, price-earnings ratio, Producers’ Price Index and terms of trade - can be used in projecting future values of PSEi and this was examined using Granger Causality Test. The findings showed that the best time series model for Philippine Stock Exchange Composite index is ARIMA(1,1,5) - ARCH(1). Also, Consumer Price Index, crude oil price and foreign exchange rate are factors concluded to Granger cause Philippine Stock Exchange Composite Index.

Case study: dairies utilizing ultra-high stock density grazing in the northeast

USDA-ARS?s Scientific Manuscript database

Ultra-high stock density (UHSD) grazing (also loosely referred to as ‘mob grazing’) has attracted a lot of attention and press in the forage industry. Numerous anecdotal articles can be found in trade magazines that promote the perceived benefits of UHSD grazing. However, there is little credible re...

Canonical Sectors and Evolution of Firms in the US Stock Markets

NASA Astrophysics Data System (ADS)

Hayden, Lorien; Chachra, Ricky; Alemi, Alexander; Ginsparg, Paul; Sethna, James

2015-03-01

In this work, we show how unsupervised machine learning can provide a more objective and comprehensive broad-level sector decomposition of stocks. Classification of companies into sectors of the economy is important for macroeconomic analysis, and for investments into the sector-specific financial indices and exchange traded funds (ETFs). Historically, these major industrial classification systems and financial indices have been based on expert opinion and developed manually. Our method, in contrast, produces an emergent low-dimensional structure in the space of historical stock price returns. This emergent structure automatically identifies ``canonical sectors'' in the market, and assigns every stock a participation weight into these sectors. Furthermore, by analyzing data from different periods, we show how these weights for listed firms have evolved over time. This work was partially supported by NSF Grants DMR 1312160, OCI 0926550 and DGE-1144153 (LXH).

77 FR 29969 - Marine Mammal Stock Assessment Reports

Federal Register 2010, 2011, 2012, 2013, 2014

2012-05-21

... Mammal Stock Assessment Reports AGENCY: National Marine Fisheries Service (NMFS), National Oceanic and... of marine mammal stock assessment reports (SARs). The 2011 reports are final and available to the... individual reports at the following address: http://www.nmfs.noaa.gov/pr/sars/ . You also may send requests...

Individual variation in foraging behavior reveals a trade-off between flexibility and performance of a top predator

PubMed Central

McGhee, Katie E.; Roche, Daniel P.; Bell, Alison M.

2017-01-01

There is increasing evidence that behavioral flexibility is associated with the ability to adaptively respond to environmental change. Flexibility can be advantageous in some contexts such as exploiting novel resources, but it may come at a cost of accuracy or performance in ecologically relevant tasks, such as foraging. Such trade-offs may, in part, explain why individuals within a species are not equally flexible. Here, we conducted a reversal learning task and predation experiment on a top fish predator, the Northern pike (Esox lucius), to examine individual variation in flexibility and test the hypothesis that an individual’s behavioral flexibility is negatively related with its foraging performance. Pikes were trained to receive a food reward from either a red or blue cup and then the color of the rewarded cup was reversed. We found that pike improved over time in how quickly they oriented to the rewarded cup, but there was a bias toward the color red. Moreover, there was substantial variation among individuals in their ability to overcome this red bias and switch from an unrewarded red cup to the rewarded blue cup, which we interpret as consistent variation among individuals in behavioral flexibility. Furthermore, individual differences in behavioral flexibility were negatively associated with foraging performance on ecologically relevant stickleback prey. Our data indicate that individuals cannot be both behaviorally flexible and efficient predators, suggesting a trade-off between these two traits. PMID:29046598

Cross-Correlation Asymmetries and Causal Relationships between Stock and Market Risk

PubMed Central

Borysov, Stanislav S.; Balatsky, Alexander V.

2014-01-01

We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We consider the cross-correlation functions averaged over all stocks, using 71 stock prices from the Standard & Poor's 500 index for 1994–2013. We focus on the behavior of the cross-correlations at the times of financial crises with significant jumps of market volatility. The observed historical dynamics showed that the dependence between the risks was almost linear during the US stock market downturn of 2002 and after the US housing bubble in 2007, remaining at that level until 2013. Moreover, the averaged cross-correlation function often had an asymmetric shape with respect to zero lag in the periods of high correlation. We develop the analysis by the application of the linear response formalism to study underlying causal relations. The calculated response functions suggest the presence of characteristic regimes near financial crashes, when the volatility of an individual stock follows the market volatility and vice versa. PMID:25162697

Cross-correlation asymmetries and causal relationships between stock and market risk.

PubMed

Borysov, Stanislav S; Balatsky, Alexander V

2014-01-01

We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We consider the cross-correlation functions averaged over all stocks, using 71 stock prices from the Standard & Poor's 500 index for 1994-2013. We focus on the behavior of the cross-correlations at the times of financial crises with significant jumps of market volatility. The observed historical dynamics showed that the dependence between the risks was almost linear during the US stock market downturn of 2002 and after the US housing bubble in 2007, remaining at that level until 2013. Moreover, the averaged cross-correlation function often had an asymmetric shape with respect to zero lag in the periods of high correlation. We develop the analysis by the application of the linear response formalism to study underlying causal relations. The calculated response functions suggest the presence of characteristic regimes near financial crashes, when the volatility of an individual stock follows the market volatility and vice versa.

Profitability of Contrarian Strategies in the Chinese Stock Market.

PubMed

Shi, Huai-Long; Jiang, Zhi-Qiang; Zhou, Wei-Xing

2015-01-01

This paper reexamines the profitability of loser, winner and contrarian portfolios in the Chinese stock market using monthly data of all stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange covering the period from January 1997 to December 2012. We find evidence of short-term and long-term contrarian profitability in the whole sample period when the estimation and holding horizons are 1 month or longer than 12 months and the annualized return of contrarian portfolios increases with the estimation and holding horizons. We perform subperiod analysis and find that the long-term contrarian effect is significant in both bullish and bearish states, while the short-term contrarian effect disappears in bullish states. We compare the performance of contrarian portfolios based on different grouping manners in the estimation period and unveil that decile grouping outperforms quintile grouping and tertile grouping, which is more evident and robust in the long run. Generally, loser portfolios and winner portfolios have positive returns and loser portfolios perform much better than winner portfolios. Both loser and winner portfolios in bullish states perform better than those in the whole sample period. In contrast, loser and winner portfolios have smaller returns in bearish states, in which loser portfolio returns are significant only in the long term and winner portfolio returns become insignificant. These results are robust to the one-month skipping between the estimation and holding periods and for the two stock exchanges. Our findings show that the Chinese stock market is not efficient in the weak form. These findings also have obvious practical implications for financial practitioners.

Problem-solving and learning in Carib grackles: individuals show a consistent speed-accuracy trade-off.

PubMed

Ducatez, S; Audet, J N; Lefebvre, L

2015-03-01

The generation and maintenance of within-population variation in cognitive abilities remain poorly understood. Recent theories propose that this variation might reflect the existence of consistent cognitive strategies distributed along a slow-fast continuum influenced by shyness. The slow-fast continuum might be reflected in the well-known speed-accuracy trade-off, where animals cannot simultaneously maximise the speed and the accuracy with which they perform a task. We test this idea on 49 wild-caught Carib grackles (Quiscalus lugubris), a tame opportunistic generalist Icterid bird in Barbados. Grackles that are fast at solving novel problems involving obstacle removal to reach visible food perform consistently over two different tasks, spend more time per trial attending to both tasks, and are those that show more shyness in a pretest. However, they are also the individuals that make more errors in a colour discrimination task requiring no new motor act. Our data reconcile some of the mixed positive and negative correlations reported in the comparative literature on cognitive tasks, suggesting that a speed-accuracy trade-off could lead to negative correlations between tasks favouring speed and tasks favouring accuracy, but still reveal consistent strategies based on stable individual differences.

Foraging under conditions of short-term exploitative competition: the case of stock traders

PubMed Central

Saavedra, Serguei; Malmgren, R. Dean; Switanek, Nicholas; Uzzi, Brian

2013-01-01

Theory purports that animal foraging choices evolve to maximize returns, such as net energy intake. Empirical research in both human and non-human animals reveals that individuals often attend to the foraging choices of their competitors while making their own foraging choices. Owing to the complications of gathering field data or constructing experiments, however, broad facts relating theoretically optimal and empirically realized foraging choices are only now emerging. Here, we analyse foraging choices of a cohort of professional day traders who must choose between trading the same stock multiple times in a row—patch exploitation—or switching to a different stock—patch exploration—with potentially higher returns. We measure the difference between a trader's resource intake and the competitors' expected intake within a short period of time—a difference we call short-term comparative returns. We find that traders' choices can be explained by foraging heuristics that maximize their daily short-term comparative returns. However, we find no one-best relationship between different trading choices and net income intake. This suggests that traders' choices can be short-term win oriented and, paradoxically, maybe maladaptive for absolute market returns. PMID:23363635

Lead-lag relationships between stock and market risk within linear response theory

NASA Astrophysics Data System (ADS)

Borysov, Stanislav; Balatsky, Alexander

2015-03-01

We study historical correlations and lead-lag relationships between individual stock risks (standard deviation of daily stock returns) and market risk (standard deviation of daily returns of a market-representative portfolio) in the US stock market. We consider the cross-correlation functions averaged over stocks, using historical stock prices from the Standard & Poor's 500 index for 1994-2013. The observed historical dynamics suggests that the dependence between the risks was almost linear during the US stock market downturn of 2002 and after the US housing bubble in 2007, remaining at that level until 2013. Moreover, the averaged cross-correlation function often had an asymmetric shape with respect to zero lag in the periods of high correlation. We develop the analysis by the application of the linear response formalism to study underlying causal relations. The calculated response functions suggest the presence of characteristic regimes near financial crashes, when individual stock risks affect market risk and vice versa. This work was supported by VR 621-2012-2983.

76 FR 2732 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Designation of Longer...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-01-14

.... Introduction On June 18, 2010, The NASDAQ Stock Market LLC (``Nasdaq'' or the ``Exchange'') filed with the... trading on Nasdaq when the price of a security moves quickly over a short period of time, will exacerbate...

Scaling in the distribution of intertrade durations of Chinese stocks

NASA Astrophysics Data System (ADS)

Jiang, Zhi-Qiang; Chen, Wei; Zhou, Wei-Xing

2008-10-01

The distribution of intertrade durations, defined as the waiting times between two consecutive transactions, is investigated based upon the limit order book data of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003. A scaling pattern is observed in the distributions of intertrade durations, where the empirical density functions of the normalized intertrade durations of all 23 stocks collapse onto a single curve. The scaling pattern is also observed in the intertrade duration distributions for filled and partially filled trades and in the conditional distributions. The ensemble distributions for all stocks are modeled by the Weibull and the Tsallis q-exponential distributions. Maximum likelihood estimation shows that the Weibull distribution outperforms the q-exponential for not-too-large intertrade durations which account for more than 98.5% of the data. Alternatively, nonlinear least-squares estimation selects the q-exponential as a better model, in which the optimization is conducted on the distance between empirical and theoretical values of the logarithmic probability densities. The distribution of intertrade durations is Weibull followed by a power-law tail with an asymptotic tail exponent close to 3.

Rational GARCH model: An empirical test for stock returns

NASA Astrophysics Data System (ADS)

Takaishi, Tetsuya

2017-05-01

We propose a new ARCH-type model that uses a rational function to capture the asymmetric response of volatility to returns, known as the "leverage effect". Using 10 individual stocks on the Tokyo Stock Exchange and two stock indices, we compare the new model with several other asymmetric ARCH-type models. We find that according to the deviance information criterion, the new model ranks first for several stocks. Results show that the proposed new model can be used as an alternative asymmetric ARCH-type model in empirical applications.

26 CFR 1.414(c)-2 - Two or more trades or businesses under common control.

Code of Federal Regulations, 2010 CFR

2010-04-01

... 26 Internal Revenue 5 2010-04-01 2010-04-01 false Two or more trades or businesses under common control. 1.414(c)-2 Section 1.414(c)-2 Internal Revenue INTERNAL REVENUE SERVICE, DEPARTMENT OF THE TREASURY (CONTINUED) INCOME TAX (CONTINUED) INCOME TAXES Pension, Profit-Sharing, Stock Bonus Plans, Etc. § 1.414(c)-2 Two or more trades or businesses...

The trading rectangle strategy within book models

NASA Astrophysics Data System (ADS)

Matassini, Lorenzo

2001-12-01

We introduce a model of trading where traders interact through the insertion of orders in the book. This matching mechanism is a collection of the activity of agents: They can trade at the market price or place a limit order. The latter is valid until cancelled by the trader; to this end we introduce a threshold in time after which the probability of the order to be removed is strongly increased. There is essentially no source of randomness and all the traders share a common strategy, what we call trading rectangle. Since there are no fundamentalist rules, it is not so important to identify the right moment to enter in the market. Much more effort is required to decide when to sell. The model is able to reproduce many of the complex phenomena manifested in real stock markets, including the positive correlation between bid/ask spreads and volatility.

Wild-derived mouse stocks: an underappreciated tool for aging research

PubMed Central

2008-01-01

Virtually all biomedical research makes use of a relatively small pool of laboratory-adapted, inbred, isogenic stocks of mice. Although the advantages of these models are many, there are a number of disadvantages as well. When studying a multifaceted process such as aging, the problems associated with using laboratory stocks are greatly inflated. On the other hand, wild-derived mouse stocks, loosely defined here as either wild-caught individuals or the recent progeny of wild-caught individuals, have much to offer to biogerontology research. Hence, the aims of this review are threefold: (1) to (re)acquaint readers with the pros and cons of using a typical inbred laboratory mouse model for aging research; (2) to reintroduce the notion of using wild-derived mouse stocks in aging research as championed by Austad, Miller and others for more than a decade, and (3) to provide an overview of recent advances in biogerontology using wild-derived mouse stocks. PMID:19424863

76 FR 19165 - Self-Regulatory Organizations; Notice of Filing and Immediate Effectiveness of Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-04-06

...\\ Additionally, the Exchange proposes to increase the number of option classes on individual stocks for which the... underlying stock is traded. Currently, Exchange Rule 6.4 at Commentary .03 permits the listing of options... security and meet their investment, trading and risk management requirements. [[Page 19166

Trade-Based Estimation of Bluefin Tuna Catches in the Eastern Atlantic and Mediterranean, 2005–2011

PubMed Central

Gagern, Antonius; van den Bergh, Jeroen; Sumaila, Ussif Rashid

2013-01-01

The Eastern Atlantic and Mediterranean stock of Bluefin tuna Thunnus thynnus (BFTE) has long been considered overfished and at risk of collapse. Although ICCAT quotas for this stock have decreased considerably over the past years, uncertainty exists about the degree of catch beyond this quota. The extent of such catch is an important piece of information in stock assessment models as well as being an indicator of the effectiveness of fisheries management. We present a model using Bluefin tuna trade data to infer actual catches. Basing our calculations on 25 countries involved in BFTE trade, we estimate that between 2005 and 2011, allowable quotas were exceeded by 44 percent. This gap between catch and quotas has slightly increased over past years, leading to estimated excess catches of 57 percent for the period between 2008 and 2011. To improve assessments, preparation and design of BFTE management, we suggest that the estimated total removals reported in this paper be included in stock assessment models for BFTE. An implication of our findings is that ICCAT member states should take stronger measures to monitor and enforce compliance with quotas. PMID:23922870

Statistical properties of share volume traded in financial markets

NASA Astrophysics Data System (ADS)

Gopikrishnan, Parameswaran; Plerou, Vasiliki; Gabaix, Xavier; Stanley, H. Eugene

2000-10-01

We quantitatively investigate the ideas behind the often-expressed adage ``it takes volume to move stock prices,'' and study the statistical properties of the number of shares traded QΔt for a given stock in a fixed time interval Δt. We analyze transaction data for the largest 1000 stocks for the two-year period 1994-95, using a database that records every transaction for all securities in three major US stock markets. We find that the distribution P(QΔt) displays a power-law decay, and that the time correlations in QΔt display long-range persistence. Further, we investigate the relation between QΔt and the number of transactions NΔt in a time interval Δt, and find that the long-range correlations in QΔt are largely due to those of NΔt. Our results are consistent with the interpretation that the large equal-time correlation previously found between QΔt and the absolute value of price change \\|GΔt\\| (related to volatility) are largely due to NΔt.

Stock Market Fluctuations and Self-Harm among Children and Adolescents in Hong Kong.

PubMed

Wong, Wilfred Hing-Sang; Lee, James Chun-Yin; Ho, Frederick Ka-Wing; Li, Tim Man-Ho; Ip, Patrick; Chow, Chun-Bong

2017-06-09

Although a few studies investigated the impact of stock market fluctuations on population health, the question of whether stock market fluctuations have an impact on self-harm in children and adolescents remain unanswered. This study therefore investigated the association between stock market fluctuations and self-harm among children and adolescents in Hong Kong. Daily self-harm attendance records were retrieved from all 18 local Accident and Emergency Departments (AED) from 2001 to 2012. 4931 children and adolescents who committed self-harm were included. The results indicated positive correlation between daily change in stock market index, Hang Seng Index (∇HSI, per 300 points), and daily self-harm incident risk of children and adolescents, without time lag between the two. The incident risk ratio for ∇HSI was 1.09 ( p = 0.0339) in children and 1.06 ( p = 0.0246) in adolescents. Importantly, non-trading days were found to impose significant protective effect in both groups against self-harm risk. Our results showed that stock market fluctuations were related to self-harm behaviors in children and adolescents. Parents and professionals should be educated about the potential harm of stock market fluctuations and the importance of effective parenting in reducing self-harm among children and adolescents.

Profitability of Contrarian Strategies in the Chinese Stock Market

PubMed Central

Shi, Huai-Long; Jiang, Zhi-Qiang; Zhou, Wei-Xing

2015-01-01

This paper reexamines the profitability of loser, winner and contrarian portfolios in the Chinese stock market using monthly data of all stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange covering the period from January 1997 to December 2012. We find evidence of short-term and long-term contrarian profitability in the whole sample period when the estimation and holding horizons are 1 month or longer than 12 months and the annualized return of contrarian portfolios increases with the estimation and holding horizons. We perform subperiod analysis and find that the long-term contrarian effect is significant in both bullish and bearish states, while the short-term contrarian effect disappears in bullish states. We compare the performance of contrarian portfolios based on different grouping manners in the estimation period and unveil that decile grouping outperforms quintile grouping and tertile grouping, which is more evident and robust in the long run. Generally, loser portfolios and winner portfolios have positive returns and loser portfolios perform much better than winner portfolios. Both loser and winner portfolios in bullish states perform better than those in the whole sample period. In contrast, loser and winner portfolios have smaller returns in bearish states, in which loser portfolio returns are significant only in the long term and winner portfolio returns become insignificant. These results are robust to the one-month skipping between the estimation and holding periods and for the two stock exchanges. Our findings show that the Chinese stock market is not efficient in the weak form. These findings also have obvious practical implications for financial practitioners. PMID:26368537

Static and dynamic factors in an information-based multi-asset artificial stock market

NASA Astrophysics Data System (ADS)

Ponta, Linda; Pastore, Stefano; Cincotti, Silvano

2018-02-01

An information-based multi-asset artificial stock market characterized by different types of stocks and populated by heterogeneous agents is presented. In the market, agents trade risky assets in exchange for cash. Beside the amount of cash and of stocks owned, each agent is characterized by sentiments and agents share their sentiments by means of interactions that are determined by sparsely connected networks. A central market maker (clearing house mechanism) determines the price processes for each stock at the intersection of the demand and the supply curves. Single stock price processes exhibit volatility clustering and fat-tailed distribution of returns whereas multivariate price process exhibits both static and dynamic stylized facts, i.e., the presence of static factors and common trends. Static factors are studied making reference to the cross-correlation of returns of different stocks. The common trends are investigated considering the variance-covariance matrix of prices. Results point out that the probability distribution of eigenvalues of the cross-correlation matrix of returns shows the presence of sectors, similar to those observed on real empirical data. As regarding the dynamic factors, the variance-covariance matrix of prices point out a limited number of assets prices series that are independent integrated processes, in close agreement with the empirical evidence of asset price time series of real stock markets. These results remarks the crucial dependence of statistical properties of multi-assets stock market on the agents' interaction structure.

Illegal trade of regulated and protected aquatic species in the Philippines detected by DNA barcoding.

PubMed

Asis, Angelli Marie Jacynth M; Lacsamana, Joanne Krisha M; Santos, Mudjekeewis D

2016-01-01

Illegal trade has greatly affected marine fish stocks, decreasing fish populations worldwide. Despite having a number of aquatic species being regulated, illegal trade still persists through the transport of dried or processed products and juvenile species trafficking. In this regard, accurate species identification of illegally traded marine fish stocks by DNA barcoding is deemed to be a more efficient method in regulating and monitoring trade than by morphological means which is very difficult due to the absence of key morphological characters in juveniles and processed products. Here, live juvenile eels (elvers) and dried products of sharks and rays confiscated for illegal trade were identified. Twenty out of 23 (87%) randomly selected "elvers" were identified as Anguilla bicolor pacifica and 3 (13%) samples as Anguilla marmorata. On the other hand, 4 out of 11 (36%) of the randomly selected dried samples of sharks and rays were Manta birostris. The rest of the samples were identified as Alopias pelagicus, Taeniura meyeni, Carcharhinus falciformis, Himantura fai and Mobula japonica. These results confirm that wild juvenile eels and species of manta rays are still being caught in the country regardless of its protected status under Philippine and international laws. It is evident that the illegal trade of protected aquatic species is happening in the guise of dried or processed products thus the need to put emphasis on strengthening conservation measures. This study aims to underscore the importance of accurate species identification in such cases of illegal trade and the effectivity of DNA barcoding as a tool to do this.

Dynamic evolution of cross-correlations in the Chinese stock market.

PubMed

Ren, Fei; Zhou, Wei-Xing

2014-01-01

The analysis of cross-correlations is extensively applied for the understanding of interconnections in stock markets and the portfolio risk estimation. Current studies of correlations in Chinese market mainly focus on the static correlations between return series, and this calls for an urgent need to investigate their dynamic correlations. Our study aims to reveal the dynamic evolution of cross-correlations in the Chinese stock market, and offer an exact interpretation for the evolution behavior. The correlation matrices constructed from the return series of 367 A-share stocks traded on the Shanghai Stock Exchange from January 4, 1999 to December 30, 2011 are calculated over a moving window with a size of 400 days. The evolutions of the statistical properties of the correlation coefficients, eigenvalues, and eigenvectors of the correlation matrices are carefully analyzed. We find that the stock correlations are significantly increased in the periods of two market crashes in 2001 and 2008, during which only five eigenvalues significantly deviate from the random correlation matrix, and the systemic risk is higher in these volatile periods than calm periods. By investigating the significant contributors of the deviating eigenvectors in different time periods, we observe a dynamic evolution behavior in business sectors such as IT, electronics, and real estate, which lead the rise (drop) before (after) the crashes. Our results provide new perspectives for the understanding of the dynamic evolution of cross-correlations in the Chines stock markets, and the result of risk estimation is valuable for the application of risk management.

Dynamic Evolution of Cross-Correlations in the Chinese Stock Market

PubMed Central

Ren, Fei; Zhou, Wei-Xing

2014-01-01

The analysis of cross-correlations is extensively applied for the understanding of interconnections in stock markets and the portfolio risk estimation. Current studies of correlations in Chinese market mainly focus on the static correlations between return series, and this calls for an urgent need to investigate their dynamic correlations. Our study aims to reveal the dynamic evolution of cross-correlations in the Chinese stock market, and offer an exact interpretation for the evolution behavior. The correlation matrices constructed from the return series of 367 A-share stocks traded on the Shanghai Stock Exchange from January 4, 1999 to December 30, 2011 are calculated over a moving window with a size of 400 days. The evolutions of the statistical properties of the correlation coefficients, eigenvalues, and eigenvectors of the correlation matrices are carefully analyzed. We find that the stock correlations are significantly increased in the periods of two market crashes in 2001 and 2008, during which only five eigenvalues significantly deviate from the random correlation matrix, and the systemic risk is higher in these volatile periods than calm periods. By investigating the significant contributors of the deviating eigenvectors in different time periods, we observe a dynamic evolution behavior in business sectors such as IT, electronics, and real estate, which lead the rise (drop) before (after) the crashes. Our results provide new perspectives for the understanding of the dynamic evolution of cross-correlations in the Chines stock markets, and the result of risk estimation is valuable for the application of risk management. PMID:24867071

Evidence of Large Fluctuations of Stock Return and Financial Crises from Turkey: Using Wavelet Coherency and Varma Modeling to Forecast Stock Return

NASA Astrophysics Data System (ADS)

Oygur, Tunc; Unal, Gazanfer

Shocks, jumps, booms and busts are typical large fluctuation markers which appear in crisis. Models and leading indicators vary according to crisis type in spite of the fact that there are a lot of different models and leading indicators in literature to determine structure of crisis. In this paper, we investigate structure of dynamic correlation of stock return, interest rate, exchange rate and trade balance differences in crisis periods in Turkey over the period between October 1990 and March 2015 by applying wavelet coherency methodologies to determine nature of crises. The time period includes the Turkeys currency and banking crises; US sub-prime mortgage crisis and the European sovereign debt crisis occurred in 1994, 2001, 2008 and 2009, respectively. Empirical results showed that stock return, interest rate, exchange rate and trade balance differences are significantly linked during the financial crises in Turkey. The cross wavelet power, the wavelet coherency, the multiple wavelet coherency and the quadruple wavelet coherency methodologies have been used to examine structure of dynamic correlation. Moreover, in consequence of quadruple and multiple wavelet coherence, strongly correlated large scales indicate linear behavior and, hence VARMA (vector autoregressive moving average) gives better fitting and forecasting performance. In addition, increasing the dimensions of the model for strongly correlated scales leads to more accurate results compared to scalar counterparts.

Long memory of abnormal investor attention and the cross-correlations between abnormal investor attention and trading volume, volatility respectively

NASA Astrophysics Data System (ADS)

Fan, Xiaoqian; Yuan, Ying; Zhuang, Xintian; Jin, Xiu

2017-03-01

Taking Baidu Index as a proxy for abnormal investor attention (AIA), the long memory property in the AIA of Shanghai Stock Exchange (SSE) 50 Index component stocks was empirically investigated using detrended fluctuation analysis (DFA) method. The results show that abnormal investor attention is power-law correlated with Hurst exponents between 0.64 and 0.98. Furthermore, the cross-correlations between abnormal investor attention and trading volume, volatility respectively are studied using detrended cross-correlation analysis (DCCA) and the DCCA cross-correlation coefficient (ρDCCA). The results suggest that there are positive correlations between AIA and trading volume, volatility respectively. In addition, the correlations for trading volume are in general higher than the ones for volatility. By carrying on rescaled range analysis (R/S) and rolling windows analysis, we find that the results mentioned above are effective and significant.

Mapping the global journey of anthropogenic aluminum: a trade-linked multilevel material flow analysis.

PubMed

Liu, Gang; Müller, Daniel B

2013-10-15

Material cycles have become increasingly coupled and interconnected in a globalizing era. While material flow analysis (MFA) has been widely used to characterize stocks and flows along technological life cycle within a specific geographical area, trade networks among individual cycles have remained largely unexplored. Here we developed a trade-linked multilevel MFA model to map the contemporary global journey of anthropogenic aluminum. We demonstrate that the anthropogenic aluminum cycle depends substantially on international trade of aluminum in all forms and becomes highly interconnected in nature. While the Southern hemisphere is the main primary resource supplier, aluminum production and consumption concentrate in the Northern hemisphere, where we also find the largest potential for recycling. The more developed countries tend to have a substantial and increasing presence throughout the stages after bauxite refining and possess highly consumption-based cycles, thus maintaining advantages both economically and environmentally. A small group of countries plays a key role in the global redistribution of aluminum and in the connectivity of the network, which may render some countries vulnerable to supply disruption. The model provides potential insights to inform government and industry policies in resource criticality, supply chain security, value chain management, and cross-boundary environmental impacts mitigation.

Entropy of international trades

NASA Astrophysics Data System (ADS)

Oh, Chang-Young; Lee, D.-S.

2017-05-01

The organization of international trades is highly complex under the collective efforts towards economic profits of participating countries given inhomogeneous resources for production. Considering the trade flux as the probability of exporting a product from a country to another, we evaluate the entropy of the world trades in the period 1950-2000. The trade entropy has increased with time, and we show that it is mainly due to the extension of trade partnership. For a given number of trade partners, the mean trade entropy is about 60% of the maximum possible entropy, independent of time, which can be regarded as a characteristic of the trade fluxes' heterogeneity and is shown to be derived from the scaling and functional behaviors of the universal trade-flux distribution. The correlation and time evolution of the individual countries' gross-domestic products and the number of trade partners show that most countries achieved their economic growth partly by extending their trade relationship.

Simulation of the effects of time and size at stocking on PCB accumulation in lake trout

USGS Publications Warehouse

Madenjian, Charles P.; Carpenter, Stephen R.

1993-01-01

Manipulations of size at stocking and timing of stocking have already been used to improve survival of stocked salmonines in the Great Lakes. It should be possible to stock salmonines into the Great Lakes in a way that reduces the rate of polychlorinated biphenyl (PCB) accumulation in these fishes. An individual-based model (IBM) was used to investigate the effects of size at stocking and timing of stocking on PCB accumulation by lake trout Salvelinus namaycush in Lake Michigan. The individual-based feature of the model allowed lake trout individuals to encounter prey fish individuals and then consume sufficiently small prey fish. The IBM accurately accounted for the variation in PCB concentrations observed within the Lake Michigan lake trout population. Results of the IBM simulations revealed that increasing the average size at stocking from 110 to 160 mm total length led to an increase in the average PCB concentration in the stocked cohort at age 5, after the fish had spent 4 years in the lake, from 2.33 to 2.65 mg/kg; the percentage of lake trout in the cohort at the end of the simulated time period with PCB concentration of 2 mg/kg or more increased from 62% to 79%. Thus, PCB contamination was reduced when the simulated size at stocking was smallest. An overall stocking strategy for lake trout into Lake Michigan should weigh this advantage regarding PCB contamination against the poor survival of lake trout that may occur if the trout are stocked at too small a size.

Local fluctuations of the signed traded volumes and the dependencies of demands: a copula analysis

NASA Astrophysics Data System (ADS)

Wang, Shanshan; Guhr, Thomas

2018-03-01

We investigate how the local fluctuations of the signed traded volumes affect the dependence of demands between stocks. We analyze the empirical dependence of demands using copulas and show that they are well described by a bivariate K copula density function. We find that large local fluctuations strongly increase the positive dependence but lower slightly the negative one in the copula density. This interesting feature is due to cross-correlations of volume imbalances between stocks. Also, we explore the asymmetries of tail dependencies of the copula density, which are moderate for the negative dependencies but strong for the positive ones. For the latter, we reveal that large local fluctuations of the signed traded volumes trigger stronger dependencies of demands than of supplies, probably indicating a bull market with persistent raising of prices.

Geography and distance effect on financial dynamics in the Chinese stock market

NASA Astrophysics Data System (ADS)

Li, Xing; Qiu, Tian; Chen, Guang; Zhong, Li-Xin; Jiang, Xiong-Fei

2016-09-01

Geography effect is investigated for the Chinese stock market including the Shanghai and Shenzhen stock markets, based on the daily data of individual stocks. The stocks in the Shanghai city and the Guangdong province are found to greatly contribute to the Shanghai and Shenzhen markets in the geographical sector, respectively. By investigating a geographical correlation on a geographical parameter, the stock location is found to have an impact on the financial dynamics, except for the financial crisis time of the Shenzhen market. Stock distance effect is further studied, with the probability of the short distance observed to be much greater than that of the long distance. The distance is found to only affect the stock correlation of the Shanghai stock market, but has no effect on the Shenzhen stock market.

78 FR 69900 - Self-Regulatory Organizations; National Stock Exchange, Inc.; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-11-21

... the efficiency and cost-effectiveness of trading on the Exchange. Amended Rebate for Double Play... Organizations; National Stock Exchange, Inc.; Notice of Filing and Immediate Effectiveness of Proposed Rule... to adjust the volume thresholds that must be met before an ETP Holder can be eligible to pay the...

78 FR 72731 - Self-Regulatory Organizations; Chicago Stock Exchange, Inc.; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-12-03

... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-70948; File No. SR-CHX-2013-20] Self-Regulatory Organizations; Chicago Stock Exchange, Inc.; Notice of Filing and Immediate Effectiveness of a Proposed Rule Change To Adopt a Match Trade Prevention Modifier for Limit and Market Orders Submitted to the Exchange...

Targeted stock identification using multilocus genotype 'familyprinting'

USGS Publications Warehouse

Letcher, B.H.; King, T.L.

1999-01-01

We present an approach to stock identification of small, targeted populations that uses multilocus microsatellite genotypes of individual mating adults to uniquely identify first- and second-generation offspring in a mixture. We call the approach 'familyprinting'; unlike DNA fingerprinting where tissue samples of individuals are matched, offspring from various families are assigned to pairs of parents or sets of four grandparents with known genotypes. The basic unit of identification is the family, but families can be nested within a variety of stock units ranging from naturally reproducing groups of fish in a small tributary or pond from which mating adults can be sampled to large or small collections of families produced in hatcheries and stocked in specific locations. We show that, with as few as seven alleles per locus using four loci without error, first-generation offspring can be uniquely assigned to the correct family. For second-generation applications in a hatchery more alleles per locus (10) and loci (10) are required for correct assignment of all offspring to the correct set of grandparents. Using microsatellite DNA variation from an Atlantic salmon (Salmo solar) restoration river (Connecticut River, USA), we also show that this population contains sufficient genetic diversity in sea-run returns for 100% correct first, generation assignment and 97% correct second-generation assignment using 14 loci. We are currently using first- and second-generation familyprinting in this population with the ultimate goal of identifying stocking tributary. In addition to within-river familyprinting, there also appears to be sufficient genetic diversity within and between Atlantic salmon populations for identification of 'familyprinted' fish in a mixture of multiple populations. We also suggest that second-generation familyprinting with multiple populations may also provide a tool for examining stock structure. Familyprinting with microsatellite DNA markers is a viable

Limited hatchery introgression into wild brook trout (Salvelinus fontinalis) populations despite reoccurring stocking

USGS Publications Warehouse

White, Shannon L.; Miller, William L.; Dowell, Stephanie A.; Bartron, Meredith L.; Wagner, Tyler

2018-01-01

Due to increased anthropogenic pressures on many fish populations, supplementing wild populations with captive‐raised individuals has become an increasingly common management practice. Stocking programs can be controversial due to uncertainty about the long‐term fitness effects of genetic introgression on wild populations. In particular, introgression between hatchery and wild individuals can cause declines in wild population fitness, resiliency, and adaptive potential, and contribute to local population extirpation. However, low survival and fitness of captive‐raised individuals can minimize the long‐term genetic consequences of stocking in wild populations, and to date the prevalence of introgression in actively stocked ecosystems has not been rigorously evaluated. We quantified the extent of introgression in 30 populations of wild brook trout (Salvelinus fontinalis) in a Pennsylvania watershed, and examined the correlation between introgression and 11 environmental covariates. Genetic assignment tests were used to determine the origin (wild vs. captive‐raised) for 1742 wild‐caught and 300 hatchery brook trout. To avoid assignment biases, individuals were assigned to two simulated populations that represented the average allele frequencies in wild and hatchery groups. Fish with intermediate probabilities of wild ancestry were classified as introgressed, with threshold values determined through simulation. Even with reoccurring stocking at most sites, over 93% of wild‐caught individuals probabilistically assigned to wild origin, and only 5.6% of wild‐caught fish assigned to introgressed. Models examining environmental drivers of introgression explained less than 3% of the among‐population variability, and all estimated effects were highly uncertain. This was not surprising given overall low introgression observed in this study. Our results suggest that introgression of hatchery‐derived genotypes can occur at low rates, even in actively stocked

Stochastic cellular automata model for stock market dynamics

NASA Astrophysics Data System (ADS)

Bartolozzi, M.; Thomas, A. W.

2004-04-01

In the present work we introduce a stochastic cellular automata model in order to simulate the dynamics of the stock market. A direct percolation method is used to create a hierarchy of clusters of active traders on a two-dimensional grid. Active traders are characterized by the decision to buy, σi (t)=+1 , or sell, σi (t)=-1 , a stock at a certain discrete time step. The remaining cells are inactive, σi (t)=0 . The trading dynamics is then determined by the stochastic interaction between traders belonging to the same cluster. Extreme, intermittent events, such as crashes or bubbles, are triggered by a phase transition in the state of the bigger clusters present on the grid, where almost all the active traders come to share the same spin orientation. Most of the stylized aspects of the financial market time series, including multifractal proprieties, are reproduced by the model. A direct comparison is made with the daily closures of the S&P500 index.

Effects of multiple interacting disturbances and salvage logging on forest carbon stocks

USGS Publications Warehouse

Bradford, J.B.; Fraver, S.; Milo, A.M.; D'Amato, A.W.; Palik, B.; Shinneman, D.J.

2012-01-01

Climate change is anticipated to increase the frequency of disturbances, potentially impacting carbon stocks in terrestrial ecosystems. However, little is known about the implications of either multiple disturbances or post-disturbance forest management activities on ecosystem carbon stocks. This study quantified how forest carbon stocks responded to stand-replacing blowdown and wildfire, both individually and in combination with and without post-disturbance salvage operations, in a sub-boreal jack pine ecosystem. Individually, blowdown or fire caused similar decreases in live carbon and total ecosystem carbon. However, whereas blowdown increased carbon in down woody material and forest floor, fire increased carbon in standing snags, a difference that may have consequences for long-term carbon cycling patterns. Fire after the blowdown caused substantial additional reduction in ecosystem carbon stocks, suggesting that potential increases in multiple disturbance events may represent a challenge for sustaining ecosystem carbon stocks. Salvage logging, as examined here, decreased carbon stored in snags and down woody material but had no significant effect on total ecosystem carbon stocks.

STOCK MARKET CRASH AND EXPECTATIONS OF AMERICAN HOUSEHOLDS*

PubMed Central

HUDOMIET, PÉTER; KÉZDI, GÁBOR; WILLIS, ROBERT J.

2011-01-01

SUMMARY This paper utilizes data on subjective probabilities to study the impact of the stock market crash of 2008 on households’ expectations about the returns on the stock market index. We use data from the Health and Retirement Study that was fielded in February 2008 through February 2009. The effect of the crash is identified from the date of the interview, which is shown to be exogenous to previous stock market expectations. We estimate the effect of the crash on the population average of expected returns, the population average of the uncertainty about returns (subjective standard deviation), and the cross-sectional heterogeneity in expected returns (disagreement). We show estimates from simple reduced-form regressions on probability answers as well as from a more structural model that focuses on the parameters of interest and separates survey noise from relevant heterogeneity. We find a temporary increase in the population average of expectations and uncertainty right after the crash. The effect on cross-sectional heterogeneity is more significant and longer lasting, which implies substantial long-term increase in disagreement. The increase in disagreement is larger among the stockholders, the more informed, and those with higher cognitive capacity, and disagreement co-moves with trading volume and volatility in the market. PMID:21547244

Compression stockings

MedlinePlus

... medical supply store or online. Wash Your Stockings Every Day Keep the stockings clean: Wash the stockings each ... can, have two pairs. Wear one pair each day. Wash and dry the other pair. Replace your stockings every 3 to 6 months so that they maintain ...

76 FR 13001 - Proposed Collection; Comment Request

Federal Register 2010, 2011, 2012, 2013, 2014

2011-03-09

... allow the trading of futures on individual stocks or on narrow-based stock indexes (collectively... submitted electronically.\\2\\ \\1\\ These matters are higher margin levels, fraud or manipulation...

76 FR 29806 - Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing of Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-05-23

... experiences with listed company peers; trading information and market data; and a series of institutional... approximately $20,000 annually, provide stock pricing data, news, institutional ownership information, research... criteria for satisfying the tiers are transparent and quantitative, and they are applied consistently to...

Determining stocking, forest type and stand-size class from forest inventory data

Treesearch

Mark H. Hansen; Jerold T. Hahn

1992-01-01

This paper describes the procedures used by North Central Forest Experiment Station's Forest Inventory and Analysis Work Unit (NCFIA) in determining stocking, forest type, and stand-size class. The stocking procedure assigns a portion of the stocking to individual trees measured on NCFIA 10-point field plots. Stand size and forest type are determined as functions...

26 CFR 1.897-9T - Treatment of certain interest in publicly traded corporations, definition of foreign person, and...

Code of Federal Regulations, 2010 CFR

2010-04-01

... fair market value greater than the fair market value on that date of 5 percent of the regularly traded class of the corporation's stock with the lowest fair market value. However, if a non-regularly traded... if on the date it was acquired by its present holder it had a fair market value greater than the fair...

Decabromodiphenyl Ether (DecaBDE) in Electrical and Electronic Equipment in Japan: Stock, Emission, and Substitution Evaluation.

PubMed

Xue, Mianqiang; Zhou, Liang; Kojima, Naoya; Machimura, Takashi; Tokai, Akihiro

2017-11-21

DecaBDE has been widely used as flame retardant in electrical and electronic equipment (EEE). It has recently been listed in Annex A of the Stockholm Convention. The time series flow, stock, and emission of DecaBDE in EEE in Japan were quantified. On this basis, a risk/risk trade-off analysis of substituting DecaBDE with triphenyl phosphate (TPhP) that is one possible phosphorus-based alternative was conducted. The stock of DecaBDE reached a maximum of ∼42 000 t in 1995. Even though the demand flow was negligible in 2030, the stock was modeled to be still ∼470 t. The outflow of DecaBDE, from the use phase to the disposal phase, peaked at ∼4500 t/yr. in 2001. The DecaBDE emission to atmosphere was mainly derived from the production phase before 1990. The use phase became the largest contributor to the total emission from 1995 to 2000. Whereas the disposal phase dominated the total emission from 2000 onward. In the substitution analysis, a trade-off between human and ecological health effect was revealed in case of replacing DecaBDE with TPhP. This study attempted to give an overall picture of DecaBDE application at national level providing insights into relevant environmental policy making.

77 FR 48570 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Order Approving a Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-08-14

... Underlying Securities) of the NASDAQ Options Market rules.\\11\\ Additionally, the Target Component's and the...\\ Additionally, the Target Component's and the Benchmark Component's trading volume (in all markets in which the...-Regulatory Organizations; The NASDAQ Stock Market LLC; Order Approving a Proposed Rule Change Relating to the...

76 FR 57088 - Self-Regulatory Organizations; Chicago Stock Exchange, Incorporated; Notice of Designation of a...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-09-15

... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-65300; File No. SR-CHX-2011-17] Self-Regulatory Organizations; Chicago Stock Exchange, Incorporated; Notice of Designation of a Longer Period for Commission Action on Proposed Rule Change Regarding the Submission by the Exchange of Clearing-Related Information for Trades Executed on the Exchange...

Valuation of Endowment-Insurance Equity-Linked Contracts for Stocks with Exotic Dynamics

PubMed Central

2014-01-01

We consider the fair martingale prize of insurance contracts with benefit received either at the insurer's demise or at maturity. We show how to modify the dynamics of the underlying so as to incorporate the possibility that the traded stock has a strong support at some level. The resulting dynamics is integrated and the fair prize of several natural endowment-insurance contracts is obtained. PMID:24672305

The influence of trading volume on market efficiency: The DCCA approach

NASA Astrophysics Data System (ADS)

Sukpitak, Jessada; Hengpunya, Varagorn

2016-09-01

For a single market, the cross-correlation between market efficiency and trading volume, which is an indicator of market liquidity, is attentively analysed. The study begins with creating time series of market efficiency by applying time-varying Hurst exponent with one year sliding window to daily closing prices. The time series of trading volume corresponding to the same time period used for the market efficiency is derived from one year moving average of daily trading volume. Subsequently, the detrended cross-correlation coefficient is employed to quantify the degree of cross-correlation between the two time series. It was found that values of cross-correlation coefficient of all considered stock markets are close to 0 and are clearly out of range in which correlation being considered significant in almost every time scale. Obtained results show that the market liquidity in term of trading volume hardly has effect on the market efficiency.

Successful technical trading agents using genetic programming.

DOE Office of Scientific and Technical Information (OSTI.GOV)

Othling, Andrew S.; Kelly, John A.; Pryor, Richard J.

2004-10-01

Genetic programming (GP) has proved to be a highly versatile and useful tool for identifying relationships in data for which a more precise theoretical construct is unavailable. In this project, we use a GP search to develop trading strategies for agent based economic models. These strategies use stock prices and technical indicators, such as the moving average convergence/divergence and various exponentially weighted moving averages, to generate buy and sell signals. We analyze the effect of complexity constraints on the strategies as well as the relative performance of various indicators. We also present innovations in the classical genetic programming algorithm thatmore » appear to improve convergence for this problem. Technical strategies developed by our GP algorithm can be used to control the behavior of agents in economic simulation packages, such as ASPEN-D, adding variety to the current market fundamentals approach. The exploitation of arbitrage opportunities by technical analysts may help increase the efficiency of the simulated stock market, as it does in the real world. By improving the behavior of simulated stock markets, we can better estimate the effects of shocks to the economy due to terrorism or natural disasters.« less

Variable diffusion in stock market fluctuations

NASA Astrophysics Data System (ADS)

Hua, Jia-Chen; Chen, Lijian; Falcon, Liberty; McCauley, Joseph L.; Gunaratne, Gemunu H.

2015-02-01

We analyze intraday fluctuations in several stock indices to investigate the underlying stochastic processes using techniques appropriate for processes with nonstationary increments. The five most actively traded stocks each contains two time intervals during the day where the variance of increments can be fit by power law scaling in time. The fluctuations in return within these intervals follow asymptotic bi-exponential distributions. The autocorrelation function for increments vanishes rapidly, but decays slowly for absolute and squared increments. Based on these results, we propose an intraday stochastic model with linear variable diffusion coefficient as a lowest order approximation to the real dynamics of financial markets, and to test the effects of time averaging techniques typically used for financial time series analysis. We find that our model replicates major stylized facts associated with empirical financial time series. We also find that ensemble averaging techniques can be used to identify the underlying dynamics correctly, whereas time averages fail in this task. Our work indicates that ensemble average approaches will yield new insight into the study of financial markets' dynamics. Our proposed model also provides new insight into the modeling of financial markets dynamics in microscopic time scales.

Prefrontal connections express individual differences in intrinsic resistance to trading off honesty values against economic benefits

PubMed Central

Dogan, Azade; Morishima, Yosuke; Heise, Felix; Tanner, Carmen; Gibson, Rajna; Wagner, Alexander F.; Tobler, Philippe N.

2016-01-01

Individuals differ profoundly when they decide whether to tell the truth or to be dishonest, particularly in situations where moral motives clash with economic motives, i.e., when truthfulness comes at a monetary cost. These differences should be expressed in the decision network, particularly in prefrontal cortex. However, the interactions between the core players of the decision network during honesty-related decisions involving trade-offs with economic costs remain poorly understood. To investigate brain connectivity patterns associated with individual differences in responding to economic costs of truthfulness, we used functional magnetic resonance imaging and measured brain activations, while participants made decisions concerning honesty. We found that in participants who valued honesty highly, dorsolateral and dorsomedial parts of prefrontal cortex were more tightly coupled with the inferior frontal cortex when economic costs were high compared to when they were low. Finer-grained analysis revealed that information flow from the inferior frontal cortex to the dorsolateral prefrontal cortex and bidirectional information flow between the inferior frontal cortex and dorsomedial prefrontal cortex was associated with a reduced tendency to trade off honesty for economic benefits. Our findings provide a novel account of the neural circuitry that underlies honest decisions in the face of economic temptations. PMID:27646044

Population dynamics and potential of fisheries stock enhancement: practical theory for assessment and policy analysis.

PubMed

Lorenzen, Kai

2005-01-29

The population dynamics of fisheries stock enhancement, and its potential for generating benefits over and above those obtainable from optimal exploitation of wild stocks alone are poorly understood and highly controversial. I review pertinent knowledge of fish population biology, and extend the dynamic pool theory of fishing to stock enhancement by unpacking recruitment, incorporating regulation in the recruited stock, and accounting for biological differences between wild and hatchery fish. I then analyse the dynamics of stock enhancement and its potential role in fisheries management, using the candidate stock of North Sea sole as an example and considering economic as well as biological criteria. Enhancement through release of recruits or advanced juveniles is predicted to increase total yield and stock abundance, but reduce abundance of the naturally recruited stock component through compensatory responses or overfishing. Economic feasibility of enhancement is subject to strong constraints, including trade-offs between the costs of fishing and hatchery releases. Costs of hatchery fish strongly influence optimal policy, which may range from no enhancement at high cost to high levels of stocking and fishing effort at low cost. Release of genetically maladapted fish reduces the effectiveness of enhancement, and is most detrimental overall if fitness of hatchery fish is only moderately compromised. As a temporary measure for the rebuilding of depleted stocks, enhancement cannot substitute for effort limitation, and is advantageous as an auxiliary measure only if the population has been reduced to a very low proportion of its unexploited biomass. Quantitative analysis of population dynamics is central to the responsible use of stock enhancement in fisheries management, and the necessary tools are available.

Trading carbon for food: global comparison of carbon stocks vs. crop yields on agricultural land.

PubMed

West, Paul C; Gibbs, Holly K; Monfreda, Chad; Wagner, John; Barford, Carol C; Carpenter, Stephen R; Foley, Jonathan A

2010-11-16

Expanding croplands to meet the needs of a growing population, changing diets, and biofuel production comes at the cost of reduced carbon stocks in natural vegetation and soils. Here, we present a spatially explicit global analysis of tradeoffs between carbon stocks and current crop yields. The difference among regions is striking. For example, for each unit of land cleared, the tropics lose nearly two times as much carbon (∼120 tons·ha(-1) vs. ∼63 tons·ha(-1)) and produce less than one-half the annual crop yield compared with temperate regions (1.71 tons·ha(-1)·y(-1) vs. 3.84 tons·ha(-1)·y(-1)). Therefore, newly cleared land in the tropics releases nearly 3 tons of carbon for every 1 ton of annual crop yield compared with a similar area cleared in the temperate zone. By factoring crop yield into the analysis, we specify the tradeoff between carbon stocks and crops for all areas where crops are currently grown and thereby, substantially enhance the spatial resolution relative to previous regional estimates. Particularly in the tropics, emphasis should be placed on increasing yields on existing croplands rather than clearing new lands. Our high-resolution approach can be used to determine the net effect of local land use decisions.

The Tail Exponent for Stock Returns in Bursa Malaysia for 2003-2008

NASA Astrophysics Data System (ADS)

Rusli, N. H.; Gopir, G.; Usang, M. D.

2010-07-01

A developed discipline of econophysics that has been introduced is exhibiting the application of mathematical tools that are usually applied to the physical models for the study of financial models. In this study, an analysis of the time series behavior of several blue chip and penny stock companies in Main Market of Bursa Malaysia has been performed. Generally, the basic quantity being used is the relative price changes or is called the stock price returns, contains daily-sampled data from the beginning of 2003 until the end of 2008, containing 1555 trading days recorded. The aim of this paper is to investigate the tail exponent in tails of the distribution for blue chip stocks and penny stocks financial returns in six years period. By using a standard regression method, it is found that the distribution performed double scaling on the log-log plot of the cumulative probability of the normalized returns. Thus we calculate α for a small scale return as well as large scale return. Based on the result obtained, it is found that the power-law behavior for the probability density functions of the stock price absolute returns P(z)˜z-α with values lying inside and outside the Lévy stable regime with values α>2. All the results were discussed in detail.

76 FR 50779 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-08-16

... which a limit up/limit down mechanism to address extraordinary market volatility, if adopted, applies...''), to pause trading during periods of extraordinary market volatility in S&P 500 stocks.\\3\\ The rules... market volatility, if adopted, applies.\\7\\ On June 23, 2011, the Commission approved the expansion of the...

Allometry of individual reproduction and defense in eusocial colonies: A comparative approach to trade-offs in social sponge-dwelling Synalpheus shrimps.

PubMed

Bornbusch, Sarah L; Lefcheck, Jonathan S; Duffy, J Emmett

2018-01-01

Eusociality, one of the most complex forms of social organization, is thought to have evolved in several animal clades in response to competition for resources and reproductive opportunities. Several species of snapping shrimp in the genus Synalpheus, the only marine organisms known to exhibit eusociality, form colonies characterized by high reproductive skew, and aggressive territoriality coupled with cooperative defense. In eusocial Synalpheus colonies, individual reproduction is limited to female 'queens', whose fecundity dictates colony growth. Given that individual reproduction and defense are both energetically costly, individual and colony fitness likely depend on the optimal allocation of resources by these reproducing individuals towards these potentially competing demands. Synalpheus species, however, display varying degrees of eusociality, suggesting that reproducing females have adopted different strategies for allocation among reproduction and defense. Here, we use structural equation modeling to characterize the relationships between the allometry of queen reproductive capacity and defensive weaponry, and colony size in six eusocial Synalpheus species, estimating trade-offs between reproduction and defense. We document strong trade-offs between mass of the fighting claw (defense) and egg number (reproduction) in queens from weakly eusocial species, while the trade-off is reduced or absent in those from strongly eusocial species. These results suggest that in less cooperative species, intra-colony conflict selects for queen retention of weapons that have significant costs to fecundity, while reproducing females from highly eusocial species, i.e., those with a single queen, have been able to reduce the cost of weapons as a result of protection by other colony members.

Trading Zones in Early Modern Europe.

PubMed

Long, Pamela O

2015-12-01

This essay adopts the concept of trading zones first developed for the history of science by Peter Galison and redefines it for the early modern period. The term "trading zones" is used to mean arenas in which substantive and reciprocal communication occurred between individuals who were artisanally trained and learned (university-trained) individuals. Such trading zones proliferated in the sixteenth century. They tended to arise in certain kinds of places and not in others, but their existence must be determined empirically. The author's work on trading zones differs from the ideas of Edgar Zilsel, who emphasized the influence of artisans on the scientific revolution. In contrast, in this essay, the mutual influence of artisans and the learned on each other is stressed, and translation is used as a modality that was important to communication within trading zones.

The Stock Performance of C. Everett Koop Award Winners Compared With the Standard & Poor's 500 Index.

PubMed

Goetzel, Ron Z; Fabius, Raymond; Fabius, Dan; Roemer, Enid C; Thornton, Nicole; Kelly, Rebecca K; Pelletier, Kenneth R

2016-01-01

To explore the link between companies investing in the health and well-being programs of their employees and stock market performance. Stock performance of C. Everett Koop National Health Award winners (n = 26) was measured over time and compared with the average performance of companies comprising the Standard and Poor's (S&P) 500 Index. The Koop Award portfolio outperformed the S&P 500 Index. In the 14-year period tracked (2000-2014), Koop Award winners' stock values appreciated by 325% compared with the market average appreciation of 105%. This study supports prior and ongoing research demonstrating a higher market valuation--an affirmation of business success by Wall Street investors--of socially responsible companies that invest in the health and well-being of their workers when compared with other publicly traded firms.

Fractality of profit landscapes and validation of time series models for stock prices

NASA Astrophysics Data System (ADS)

Yi, Il Gu; Oh, Gabjin; Kim, Beom Jun

2013-08-01

We apply a simple trading strategy for various time series of real and artificial stock prices to understand the origin of fractality observed in the resulting profit landscapes. The strategy contains only two parameters p and q, and the sell (buy) decision is made when the log return is larger (smaller) than p (-q). We discretize the unit square (p,q) ∈ [0,1] × [0,1] into the N × N square grid and the profit Π(p,q) is calculated at the center of each cell. We confirm the previous finding that local maxima in profit landscapes are scattered in a fractal-like fashion: the number M of local maxima follows the power-law form M ˜ Na, but the scaling exponent a is found to differ for different time series. From comparisons of real and artificial stock prices, we find that the fat-tailed return distribution is closely related to the exponent a ≈ 1.6 observed for real stock markets. We suggest that the fractality of profit landscape characterized by a ≈ 1.6 can be a useful measure to validate time series model for stock prices.

An Intelligent Model for Pairs Trading Using Genetic Algorithms

PubMed Central

Hsu, Chi-Jen; Chen, Chi-Chung; Li, Chen-An

2015-01-01

Pairs trading is an important and challenging research area in computational finance, in which pairs of stocks are bought and sold in pair combinations for arbitrage opportunities. Traditional methods that solve this set of problems mostly rely on statistical methods such as regression. In contrast to the statistical approaches, recent advances in computational intelligence (CI) are leading to promising opportunities for solving problems in the financial applications more effectively. In this paper, we present a novel methodology for pairs trading using genetic algorithms (GA). Our results showed that the GA-based models are able to significantly outperform the benchmark and our proposed method is capable of generating robust models to tackle the dynamic characteristics in the financial application studied. Based upon the promising results obtained, we expect this GA-based method to advance the research in computational intelligence for finance and provide an effective solution to pairs trading for investment in practice. PMID:26339236

An Intelligent Model for Pairs Trading Using Genetic Algorithms.

PubMed

Huang, Chien-Feng; Hsu, Chi-Jen; Chen, Chi-Chung; Chang, Bao Rong; Li, Chen-An

2015-01-01

Pairs trading is an important and challenging research area in computational finance, in which pairs of stocks are bought and sold in pair combinations for arbitrage opportunities. Traditional methods that solve this set of problems mostly rely on statistical methods such as regression. In contrast to the statistical approaches, recent advances in computational intelligence (CI) are leading to promising opportunities for solving problems in the financial applications more effectively. In this paper, we present a novel methodology for pairs trading using genetic algorithms (GA). Our results showed that the GA-based models are able to significantly outperform the benchmark and our proposed method is capable of generating robust models to tackle the dynamic characteristics in the financial application studied. Based upon the promising results obtained, we expect this GA-based method to advance the research in computational intelligence for finance and provide an effective solution to pairs trading for investment in practice.

76 FR 61457 - Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing of Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-10-04

... to Extraordinary Market Volatility September 28, 2011. Pursuant to Section 19(b)(1) \\1\\ of the... market volatility. The text of the proposed rule change is available at the Exchange, the Commission's... when to halt trading in all stocks due to extraordinary market volatility. The Exchange is proposing...

77 FR 46543 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-08-03

... pause trading during periods of extraordinary market volatility in S&P 500 stocks.\\3\\ The rules require... extraordinary market volatility, if adopted, applies.\\7\\ On June 23, 2011, the Commission approved the expansion... volatility, and further extended the pilot period, so that the pilot would expire on January 31, 2012.\\9\\ On...

USSR Report. Consumer Goods and Domestic Trade, No. 78.

DTIC Science & Technology

1983-11-10

Supplies (Moscow Domestic Service, 12 Oct 83) 50 Expanding Trade in Collective Farm Markets (M. Malyshenko; SOVETSKAYA TORGOVLYA, No 7 , Jul 83...current concerns of our party is the improvement in the quality of life of the Soviet people . This is clearly evident in the Food Program of the USSR...the agricultural organizations must provide the people with stocks of young animals and fowl. Today the collective and state farms sell to the

Using dynamic mode decomposition to extract cyclic behavior in the stock market

NASA Astrophysics Data System (ADS)

Hua, Jia-Chen; Roy, Sukesh; McCauley, Joseph L.; Gunaratne, Gemunu H.

2016-04-01

The presence of cyclic expansions and contractions in the economy has been known for over a century. The work reported here searches for similar cyclic behavior in stock valuations. The variations are subtle and can only be extracted through analysis of price variations of a large number of stocks. Koopman mode analysis is a natural approach to establish such collective oscillatory behavior. The difficulty is that even non-cyclic and stochastic constituents of a finite data set may be interpreted as a sum of periodic motions. However, deconvolution of these irregular dynamical facets may be expected to be non-robust, i.e., to depend on specific data set. We propose an approach to differentiate robust and non-robust features in a time series; it is based on identifying robust features with reproducible Koopman modes, i.e., those that persist between distinct sub-groupings of the data. Our analysis of stock data discovered four reproducible modes, one of which has period close to the number of trading days/year. To the best of our knowledge these cycles were not reported previously. It is particularly interesting that the cyclic behaviors persisted through the great recession even though phase relationships between stocks within the modes evolved in the intervening period.

Comparative study of stock trend prediction using time delay, recurrent and probabilistic neural networks.

PubMed

Saad, E W; Prokhorov, D V; Wunsch, D C

1998-01-01

Three networks are compared for low false alarm stock trend predictions. Short-term trends, particularly attractive for neural network analysis, can be used profitably in scenarios such as option trading, but only with significant risk. Therefore, we focus on limiting false alarms, which improves the risk/reward ratio by preventing losses. To predict stock trends, we exploit time delay, recurrent, and probabilistic neural networks (TDNN, RNN, and PNN, respectively), utilizing conjugate gradient and multistream extended Kalman filter training for TDNN and RNN. We also discuss different predictability analysis techniques and perform an analysis of predictability based on a history of daily closing price. Our results indicate that all the networks are feasible, the primary preference being one of convenience.

Quantifying the behavior of price dynamics at opening time in stock market

NASA Astrophysics Data System (ADS)

Ochiai, Tomoshiro; Takada, Hideyuki; Nacher, Jose C.

2014-11-01

The availability of huge volume of financial data has offered the possibility for understanding the markets as a complex system characterized by several stylized facts. Here we first show that the time evolution of the Japan’s Nikkei stock average index (Nikkei 225) futures follows the resistance and breaking-acceleration effects when the complete time series data is analyzed. However, in stock markets there are periods where no regular trades occur between the close of the market on one day and the next day’s open. To examine these time gaps we decompose the time series data into opening time and intermediate time. Our analysis indicates that for the intermediate time, both the resistance and the breaking-acceleration effects are still observed. However, for the opening time there are almost no resistance and breaking-acceleration effects, and volatility is always constantly high. These findings highlight unique dynamic differences between stock markets and forex market and suggest that current risk management strategies may need to be revised to address the absence of these dynamic effects at the opening time.

Deep Direct Reinforcement Learning for Financial Signal Representation and Trading.

PubMed

Deng, Yue; Bao, Feng; Kong, Youyong; Ren, Zhiquan; Dai, Qionghai

2017-03-01

Can we train the computer to beat experienced traders for financial assert trading? In this paper, we try to address this challenge by introducing a recurrent deep neural network (NN) for real-time financial signal representation and trading. Our model is inspired by two biological-related learning concepts of deep learning (DL) and reinforcement learning (RL). In the framework, the DL part automatically senses the dynamic market condition for informative feature learning. Then, the RL module interacts with deep representations and makes trading decisions to accumulate the ultimate rewards in an unknown environment. The learning system is implemented in a complex NN that exhibits both the deep and recurrent structures. Hence, we propose a task-aware backpropagation through time method to cope with the gradient vanishing issue in deep training. The robustness of the neural system is verified on both the stock and the commodity future markets under broad testing conditions.

The Stock Performance of C. Everett Koop Award Winners Compared With the Standard & Poor's 500 Index

PubMed Central

Goetzel, Ron Z.; Fabius, Raymond; Fabius, Dan; Roemer, Enid C.; Thornton, Nicole; Kelly, Rebecca K.; Pelletier, Kenneth R.

2016-01-01

Objective: To explore the link between companies investing in the health and well-being programs of their employees and stock market performance. Methods: Stock performance of C. Everett Koop National Health Award winners (n = 26) was measured over time and compared with the average performance of companies comprising the Standard and Poor's (S&P) 500 Index. Results: The Koop Award portfolio outperformed the S&P 500 Index. In the 14-year period tracked (2000–2014), Koop Award winners’ stock values appreciated by 325% compared with the market average appreciation of 105%. Conclusions: This study supports prior and ongoing research demonstrating a higher market valuation—an affirmation of business success by Wall Street investors—of socially responsible companies that invest in the health and well-being of their workers when compared with other publicly traded firms. PMID:26716843

75 FR 81701 - Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-12-28

...-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing and Immediate Effectiveness of... Fee Structure for Certain Bond Trades Executed on the NYSE Bonds System December 21, 2010. Pursuant to...\\ 15 U.S.C. 78s(b)(1). \\2\\ 17 CFR 240.19b-4. I. Self-Regulatory Organization's Statement of the Terms...

75 FR 40004 - Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-07-13

...-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing and Immediate Effectiveness of... Structure for Certain Bond Trades Executed on the NYSE Bonds\\SM\\ System to December 31, 2010 July 6, 2010... interested persons. \\1\\ 15 U.S.C. 78s(b)(1). \\2\\ 17 CFR 240.19b-4. I. Self-Regulatory Organization's...

78 FR 79055 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-12-27

... SECURITIES AND EXCHANGE COMMISSION [Release No. 71158; File No. SR-NASDAQ-2013-158] Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change Relating to Acceptable Trade Range December 20, 2013. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (``Act''),\\1...

An Evolutionary Method for Financial Forecasting in Microscopic High-Speed Trading Environment.

PubMed

Huang, Chien-Feng; Li, Hsu-Chih

2017-01-01

The advancement of information technology in financial applications nowadays have led to fast market-driven events that prompt flash decision-making and actions issued by computer algorithms. As a result, today's markets experience intense activity in the highly dynamic environment where trading systems respond to others at a much faster pace than before. This new breed of technology involves the implementation of high-speed trading strategies which generate significant portion of activity in the financial markets and present researchers with a wealth of information not available in traditional low-speed trading environments. In this study, we aim at developing feasible computational intelligence methodologies, particularly genetic algorithms (GA), to shed light on high-speed trading research using price data of stocks on the microscopic level. Our empirical results show that the proposed GA-based system is able to improve the accuracy of the prediction significantly for price movement, and we expect this GA-based methodology to advance the current state of research for high-speed trading and other relevant financial applications.

An Evolutionary Method for Financial Forecasting in Microscopic High-Speed Trading Environment

PubMed Central

Li, Hsu-Chih

2017-01-01

The advancement of information technology in financial applications nowadays have led to fast market-driven events that prompt flash decision-making and actions issued by computer algorithms. As a result, today's markets experience intense activity in the highly dynamic environment where trading systems respond to others at a much faster pace than before. This new breed of technology involves the implementation of high-speed trading strategies which generate significant portion of activity in the financial markets and present researchers with a wealth of information not available in traditional low-speed trading environments. In this study, we aim at developing feasible computational intelligence methodologies, particularly genetic algorithms (GA), to shed light on high-speed trading research using price data of stocks on the microscopic level. Our empirical results show that the proposed GA-based system is able to improve the accuracy of the prediction significantly for price movement, and we expect this GA-based methodology to advance the current state of research for high-speed trading and other relevant financial applications. PMID:28316618

HIV antiretroviral medication stock-outs in Ghana: contributors and consequences.

PubMed

Poku, Rebecca A; Owusu, Adobea Yaa; Mullen, Patricia Dolan; Markham, Christine; McCurdy, Sheryl A

2017-09-01

Drug stock-outs are an unfortunate yet common reality for patients living in low and middle income countries, particularly in sub-Saharan Africa where trouble with consistent stock of antiretroviral medications (ARVs) continues. Our study takes a snapshot of this problem in Ghana. Although the country launched its antiretroviral therapy (ART) programme in 2003, progress toward realising the full benefit of ART for treated individuals has been limited, in part, because of stock-outs. In Ghana's Greater Accra region, we conducted semi-structured interviews with 40 women living with HIV (WLHIV) and 15 individuals with a history of HIV-related work in government or non-governmental organisations, or healthcare facilities. We used repeated review with coding and mapping techniques to analyse the transcripts and identify common themes. Stock-outs of ARVs result in inconsistent administration of therapy, increased indirect medical costs for WLHIV, and negative labelling of patients. Inefficiencies in drug supply, poor coordination with port authorities, inadequate government funding and dependence on international aid contribute to the stock-outs experienced in Ghana. Although using ARVs produced in-country could reduce supply problems, the domestically-manufactured product currently does not meet World Health Organization (WHO) standards. We recommend focused efforts to produce WHO standard ARVs in Ghana, and a review of current supply chain management to identify and mend pitfalls in the system.

Stock in Trade: The Role of English in International Trade Proceedings.

ERIC Educational Resources Information Center

Cremer, Rolf D.; Willes, Mary J.

1991-01-01

Examines the use of English by merchandisers in Macao, where the required proficiency exceeds that these individuals can be expected to possess. Examples of serious language mistakes are given and contextual and other clues are identified. Possible solutions for these problems are suggested and potential directions of further enquiry are explored.…

15 CFR 29.655 - Individual.

Code of Federal Regulations, 2010 CFR

2010-01-01

... 15 Commerce and Foreign Trade 1 2010-01-01 2010-01-01 false Individual. 29.655 Section 29.655 Commerce and Foreign Trade Office of the Secretary of Commerce GOVERNMENTWIDE REQUIREMENTS FOR DRUG-FREE WORKPLACE (FINANCIAL ASSISTANCE) Definitions § 29.655 Individual. Individual means a natural person. ...

77 FR 29730 - Self-Regulatory Organizations; New York Stock Exchange LLC; NYSE Amex LLC; Notice of Designation...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-05-18

... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-66981; SR-NYSE-2011-56; SR-NYSEAmex-2011-86] Self-Regulatory Organizations; New York Stock Exchange LLC; NYSE Amex LLC; Notice of Designation of Longer Period for Commission Action on Proceedings To Determine Whether to Disapprove Proposed Rule Changes To Codify Certain Traditional Trading Floor...

78 FR 47474 - Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-08-05

... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-70066; File No. SR-NYSE-2013-53] Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change Modifying the Content of the NYSE Trades Digital Media Data Feed July 30, 2013. Pursuant to Section 19(b)(1) \\1\\ of the Securities...

Trading away what kind of jobs? Globalization, trade and tasks in the US economy.

PubMed

Kemeny, Thomas; Rigby, David

2012-04-01

Economists and other social scientists are calling for a reassessment of the impact of international trade on labor markets in developed and developing countries. Classical models of globalization and trade, based upon the international exchange of finished goods, fail to capture the fragmentation of much commodity production and the geographical separation of individual production tasks. This fragmentation, captured in the growing volume of intra-industry trade, prompts investigation of the effects of trade within, rather than between, sectors of the economy. In this paper we examine the relationship between international trade and the task structure of US employment. We link disaggregate US trade data from 1972 to 2006, the NBER manufacturing database, the Decennial Census, and occupational and task data from the Dictionary of Occupational Titles. Within-industry shifts in task characteristics are linked to import competition and technological change. Our results suggest that trade has played a major role in the growth in relative demand for nonroutine tasks, particularly those requiring high levels of interpersonal interaction.

Profitability of simple stationary technical trading rules with high-frequency data of Chinese Index Futures

NASA Astrophysics Data System (ADS)

Chen, Jing-Chao; Zhou, Yu; Wang, Xi

2018-02-01

Technical trading rules have been widely used by practitioners in financial markets for a long time. The profitability remains controversial and few consider the stationarity of technical indicators used in trading rules. We convert MA, KDJ and Bollinger bands into stationary processes and investigate the profitability of these trading rules by using 3 high-frequency data(15s,30s and 60s) of CSI300 Stock Index Futures from January 4th 2012 to December 31st 2016. Several performance and risk measures are adopted to assess the practical value of all trading rules directly while ADF-test is used to verify the stationarity and SPA test to check whether trading rules perform well due to intrinsic superiority or pure luck. The results show that there are several significant combinations of parameters for each indicator when transaction costs are not taken into consideration. Once transaction costs are included, trading profits will be eliminated completely. We also propose a method to reduce the risk of technical trading rules.

Potential environmental effects of pack stock on meadow ecosystems of the Sierra Nevada, USA

USGS Publications Warehouse

Ostoja, Steven M.; Brooks, Matthew L.; Moore, Peggy E.; Berlow, Eric L.; Robert Blank,; Roche, Jim; Chase, Jennifer T.; Sylvia Haultain,

2014-01-01

Pack and saddle stock, including, but not limited to domesticated horses, mules, and burros, are used to support commercial, private and administrative activities in the Sierra Nevada. The use of pack stock has become a contentious and litigious issue for land management agencies in the region inter alia due to concerns over effects on the environment. The potential environmental effects of pack stock on Sierra Nevada meadow ecosystems are reviewed and it is concluded that the use of pack stock has the potential to influence the following: (1) water nutrient dynamics, sedimentation, temperature, and microbial pathogen content; (2) soil chemistry, nutrient cycling, soil compaction and hydrology; (3) plant individuals, populations and community dynamics, non-native invasive species, and encroachment of woody species; and (4) wildlife individuals, populations and communities. It is considered from currently available information that management objectives of pack stock should include the following: minimise bare ground, maximise plant cover, maintain species composition of native plants, minimise trampling, especially on wet soils and stream banks, and minimise direct urination and defecation by pack stock into water. However, incomplete documentation of patterns of pack stock use and limited past research limits current understanding of the effects of pack stock, especially their effects on water, soils and wildlife. To improve management of pack stock in this region, research is needed on linking measurable monitoring variables (e.g. plant cover) with environmental relevancy (e.g. soil erosion processes, wildlife habitat use), and identifying specific environmental thresholds of degradation along gradients of pack stock use in Sierra Nevada meadows.

Agent-Based Model with Asymmetric Trading and Herding for Complex Financial Systems

PubMed Central

Chen, Jun-Jie; Zheng, Bo; Tan, Lei

2013-01-01

Background For complex financial systems, the negative and positive return-volatility correlations, i.e., the so-called leverage and anti-leverage effects, are particularly important for the understanding of the price dynamics. However, the microscopic origination of the leverage and anti-leverage effects is still not understood, and how to produce these effects in agent-based modeling remains open. On the other hand, in constructing microscopic models, it is a promising conception to determine model parameters from empirical data rather than from statistical fitting of the results. Methods To study the microscopic origination of the return-volatility correlation in financial systems, we take into account the individual and collective behaviors of investors in real markets, and construct an agent-based model. The agents are linked with each other and trade in groups, and particularly, two novel microscopic mechanisms, i.e., investors’ asymmetric trading and herding in bull and bear markets, are introduced. Further, we propose effective methods to determine the key parameters in our model from historical market data. Results With the model parameters determined for six representative stock-market indices in the world, respectively, we obtain the corresponding leverage or anti-leverage effect from the simulation, and the effect is in agreement with the empirical one on amplitude and duration. At the same time, our model produces other features of the real markets, such as the fat-tail distribution of returns and the long-term correlation of volatilities. Conclusions We reveal that for the leverage and anti-leverage effects, both the investors’ asymmetric trading and herding are essential generation mechanisms. Among the six markets, however, the investors’ trading is approximately symmetric for the five markets which exhibit the leverage effect, thus contributing very little. These two microscopic mechanisms and the methods for the determination of the key

Agent-based model with asymmetric trading and herding for complex financial systems.

PubMed

Chen, Jun-Jie; Zheng, Bo; Tan, Lei

2013-01-01

For complex financial systems, the negative and positive return-volatility correlations, i.e., the so-called leverage and anti-leverage effects, are particularly important for the understanding of the price dynamics. However, the microscopic origination of the leverage and anti-leverage effects is still not understood, and how to produce these effects in agent-based modeling remains open. On the other hand, in constructing microscopic models, it is a promising conception to determine model parameters from empirical data rather than from statistical fitting of the results. To study the microscopic origination of the return-volatility correlation in financial systems, we take into account the individual and collective behaviors of investors in real markets, and construct an agent-based model. The agents are linked with each other and trade in groups, and particularly, two novel microscopic mechanisms, i.e., investors' asymmetric trading and herding in bull and bear markets, are introduced. Further, we propose effective methods to determine the key parameters in our model from historical market data. With the model parameters determined for six representative stock-market indices in the world, respectively, we obtain the corresponding leverage or anti-leverage effect from the simulation, and the effect is in agreement with the empirical one on amplitude and duration. At the same time, our model produces other features of the real markets, such as the fat-tail distribution of returns and the long-term correlation of volatilities. We reveal that for the leverage and anti-leverage effects, both the investors' asymmetric trading and herding are essential generation mechanisms. Among the six markets, however, the investors' trading is approximately symmetric for the five markets which exhibit the leverage effect, thus contributing very little. These two microscopic mechanisms and the methods for the determination of the key parameters can be applied to other complex

Are stock prices too volatile to be justified by the dividend discount model?

NASA Astrophysics Data System (ADS)

Akdeniz, Levent; Salih, Aslıhan Altay; Ok, Süleyman Tuluğ

2007-03-01

This study investigates excess stock price volatility using the variance bound framework of LeRoy and Porter [The present-value relation: tests based on implied variance bounds, Econometrica 49 (1981) 555-574] and of Shiller [Do stock prices move too much to be justified by subsequent changes in dividends? Am. Econ. Rev. 71 (1981) 421-436.]. The conditional variance bound relationship is examined using cross-sectional data simulated from the general equilibrium asset pricing model of Brock [Asset prices in a production economy, in: J.J. McCall (Ed.), The Economics of Information and Uncertainty, University of Chicago Press, Chicago (for N.B.E.R.), 1982]. Results show that the conditional variance bounds hold, hence, our hypothesis of the validity of the dividend discount model cannot be rejected. Moreover, in our setting, markets are efficient and stock prices are neither affected by herd psychology nor by the outcome of noise trading by naive investors; thus, we are able to control for market efficiency. Consequently, we show that one cannot infer any conclusions about market efficiency from the unconditional variance bounds tests.

Performance trade-offs and ageing in the 'world's greatest athletes'.

PubMed

Careau, Vincent; Wilson, Robbie S

2017-08-16

The mechanistic foundations of performance trade-offs are clear: because body size and shape constrains movement, and muscles vary in strength and fibre type, certain physical traits should act in opposition with others (e.g. sprint versus endurance). Yet performance trade-offs are rarely detected, and traits are often positively correlated. A potential resolution to this conundrum is that within -individual performance trade-offs can be masked by among -individual variation in 'quality'. Although there is a current debate on how to unambiguously define and account for quality, no previous studies have partitioned trait correlations at the within- and among-individual levels. Here, we evaluate performance trade-offs among and within 1369 elite athletes that performed in a total of 6418 combined-events competitions (decathlon and heptathlon). Controlling for age, experience and wind conditions, we detected strong trade-offs between groups of functionally similar events (throwing versus jumping versus running) occurring at the among-individual level. We further modelled individual (co)variation in age-related plasticity of performance and found previously unseen trade-offs in throwing versus running performance that manifest through ageing. Our results verify that human performance is limited by fundamental genetic, environmental and ageing constraints that preclude the simultaneous improvement of performance in multiple dimensions. Identifying these constraints is fundamental to understanding performance trade-offs and predicting the ageing of motor function. © 2017 The Author(s).

76 FR 82011 - Self-Regulatory Organizations; New York Stock Exchange LLC; NYSE Amex LLC; Notice of Designation...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-12-29

... SECURITIES AND EXCHANGE COMMISSION [Release No. 34-66036; File Nos. SR-NYSE-2011-56; SR-NYSEAmex-2011-86] Self-Regulatory Organizations; New York Stock Exchange LLC; NYSE Amex LLC; Notice of Designation of a Longer Period for Commission Action on Proposed Rule Changes To Codify Certain Traditional Trading Floor Functions That May Be Performed by...

The use of the Hurst exponent to predict changes in trends on the Warsaw Stock Exchange

NASA Astrophysics Data System (ADS)

Domino, Krzysztof

2011-01-01

The local properties of the time series of the evolution of share prices of 126 significant companies traded on the Warsaw Stock Exchange during the period between 1991-2008 have been investigated. The analysis was applied to daily financial returns. I have used the local DFA to obtain the Hurst exponent (diffusion coefficient) while searching for negative correlations by which changes of long-term trends would be effected. A certain evidence, proving that after the signature of anti-correlation-the drop in the Hurst exponent-the change in the trend and in the return rate of an investment is probable, was pointed out. Hence after further investigation this method may be useful as a part of an investment strategy. As the Warsaw Stock Exchange is relatively smaller and younger than other significant world Stock Exchanges-and as the developing market is less efficient-the generalization for others markets needs further investigation.

Trading strategies in the overnight money market: Correlations and clustering on the e-MID trading platform

NASA Astrophysics Data System (ADS)

Fricke, Daniel

2012-12-01

We analyze the correlations in patterns of trading for members of the Italian interbank trading platform e-MID. The trading strategy of a particular member institution is defined as the sequence of (intra-) daily net trading volumes within a certain semester. Based on this definition, we show that there are significant and persistent bilateral correlations between institutions’ trading strategies. In most semesters we find two clusters, with positively (negatively) correlated trading strategies within (between) clusters. We show that the two clusters mostly contain continuous net buyers and net sellers of money, respectively, and that cluster memberships of individual banks are highly persistent. Additionally, we highlight some problems related to our definition of trading strategies. Our findings add further evidence on the fact that preferential lending relationships on the micro-level lead to community structure on the macro-level.

26 CFR 1.1244(a)-1 - Loss on small business stock treated as ordinary loss.

Code of Federal Regulations, 2012 CFR

2012-04-01

... 26 Internal Revenue 11 2012-04-01 2012-04-01 false Loss on small business stock treated as... Gains and Losses § 1.1244(a)-1 Loss on small business stock treated as ordinary loss. (a) In general...) An individual sustaining the loss to whom the stock was issued by a small business corporation, or (2...

Genetic stock identification of Russian honey bees.

PubMed

Bourgeois, Lelania; Sheppard, Walter S; Sylvester, H Allen; Rinderer, Thomas E

2010-06-01

A genetic stock certification assay was developed to distinguish Russian honey bees from other European (Apis mellifera L.) stocks that are commercially produced in the United States. In total, 11 microsatellite and five single-nucleotide polymorphism loci were used. Loci were selected for relatively high levels of homogeneity within each group and for differences in allele frequencies between groups. A baseline sample consisted of the 18 lines of Russian honey bees released to the Russian Bee Breeders Association and bees from 34 queen breeders representing commercially produced European honey bee stocks. Suitability tests of the baseline sample pool showed high levels of accuracy. The probability of correct assignment was 94.2% for non-Russian bees and 93.3% for Russian bees. A neighbor-joining phenogram representing genetic distance data showed clear distinction of Russian and non-Russian honey bee stocks. Furthermore, a test of appropriate sample size showed a sample of eight bees per colony maximizes accuracy and consistency of the results. An additional 34 samples were tested as blind samples (origin unknown to those collecting data) to determine accuracy of individual assignment tests. Only one of these samples was incorrectly assigned. The 18 current breeding lines were represented among the 2009 blind sampling, demonstrating temporal stability of the genetic stock identification assay. The certification assay will be used through services provided by a service laboratory, by the Russian Bee Breeders Association to genetically certify their stock. The genetic certification will be used in conjunction with continued selection for favorable traits, such as honey production and varroa and tracheal mite resistance.

The use of environmental DNA in invasive species surveillance of the Great Lakes commercial bait trade.

PubMed

Nathan, Lucas R; Jerde, Christopher L; Budny, Michelle L; Mahon, Andrew R

2015-04-01

Over 180 non-native species have been introduced in the Laurentian Great Lakes region, many posing threats to native species and ecosystem functioning. One potential pathway for introductions is the commercial bait trade; unknowing or unconcerned anglers commonly release unused bait into aquatic systems. Previous surveillance efforts of this pathway relied on visual inspection of bait stocks in retail shops, which can be time and cost prohibitive and requires a trained individual that can rapidly and accurately identify cryptic species. Environmental DNA (eDNA) surveillance, a molecular tool that has been used for surveillance in aquatic environments, can be used to efficiently detect species at low abundances. We collected and analyzed 576 eDNA samples from 525 retail bait shops throughout the Laurentian Great Lake states. We used eDNA techniques to screen samples for multiple aquatic invasive species (AIS) that could be transported in the bait trade, including bighead (Hypophthalmichthys nobilis) and silver carp (H. molitrix), round goby (Neogobius melanostomus), tubenose goby (Proterorhinus marmoratus), Eurasian rudd (Scardinius erythrophthalmus), and goldfish (Carassius auratus). Twenty-seven samples were positive for at least one target species (4.7% of samples), and all target species were found at least once, except bighead carp. Despite current regulations, the bait trade remains a potential pathway for invasive species introductions in the Great Lakes region. Alterations to existing management strategies regarding the collection, transportation, and use of live bait are warranted, including new and updated regulations, to prevent future introductions of invasive species in the Great Lakes via the bait trade. © 2014 Society for Conservation Biology.

The Stock Market: Risk vs. Uncertainty.

ERIC Educational Resources Information Center

Griffitts, Dawn

2002-01-01

This economics education publication focuses on the U.S. stock market and the risk and uncertainty that an individual faces when investing in the market. The material explains that risk and uncertainty relate to the same underlying concept randomness. It defines and discusses both concepts and notes that although risk is quantifiable, uncertainty…

26 CFR 1.958-2 - Constructive ownership of stock.

Code of Federal Regulations, 2010 CFR

2010-04-01

... who is legally separated from the individual under a decree of divorce or separate maintenance); and... in subdivisions (ii) and (iii) of this subparagraph, stock constructively owned by a person by reason... constructively owned by an individual by reason of the application of paragraph (b) of this section shall not be...

76 FR 51453 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing of Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-08-18

...,\\2\\ notice is hereby given that on August 2, 2011, The NASDAQ Stock Market LLC (``NASDAQ'') filed... to solicit comments on the proposed rule change from interested persons. \\1\\ 15 U.S.C. 78s(b)(1). \\2... Acceptable Trade Range is set for $0.05 and the following quotations are posted in all markets: Away Exchange...

Trading away what kind of jobs? Globalization, trade and tasks in the US economy

PubMed Central

Kemeny, Thomas; Rigby, David

2015-01-01

Economists and other social scientists are calling for a reassessment of the impact of international trade on labor markets in developed and developing countries. Classical models of globalization and trade, based upon the international exchange of finished goods, fail to capture the fragmentation of much commodity production and the geographical separation of individual production tasks. This fragmentation, captured in the growing volume of intra-industry trade, prompts investigation of the effects of trade within, rather than between, sectors of the economy. In this paper we examine the relationship between international trade and the task structure of US employment. We link disaggregate US trade data from 1972 to 2006, the NBER manufacturing database, the Decennial Census, and occupational and task data from the Dictionary of Occupational Titles. Within-industry shifts in task characteristics are linked to import competition and technological change. Our results suggest that trade has played a major role in the growth in relative demand for nonroutine tasks, particularly those requiring high levels of interpersonal interaction. PMID:26722134

Trade policy and public health.

PubMed

Friel, Sharon; Hattersley, Libby; Townsend, Ruth

2015-03-18

Twenty-first-century trade policy is complex and affects society and population health in direct and indirect ways. Without doubt, trade policy influences the distribution of power, money, and resources between and within countries, which in turn affects the natural environment; people's daily living conditions; and the local availability, quality, affordability, and desirability of products (e.g., food, tobacco, alcohol, and health care); it also affects individuals' enjoyment of the highest attainable standard of health. In this article, we provide an overview of the modern global trade environment, illustrate the pathways between trade and health, and explore the emerging twenty-first-century trade policy landscape and its implications for health and health equity. We conclude with a call for more interdisciplinary research that embraces complexity theory and systems science as well as the political economy of health and that includes monitoring and evaluation of the impact of trade agreements on health.

17 CFR 19.01 - Reports on stocks and fixed price purchases and sales pertaining to futures positions in wheat...

Code of Federal Regulations, 2013 CFR

2013-04-01

..., soybean meal or cotton. 19.01 Section 19.01 Commodity and Securities Exchanges COMMODITY FUTURES TRADING... MERCHANTS AND DEALERS IN COTTON § 19.01 Reports on stocks and fixed price purchases and sales pertaining to futures positions in wheat, corn, oats, soybeans, soybean oil, soybean meal or cotton. (a) Information...

17 CFR 19.01 - Reports on stocks and fixed price purchases and sales pertaining to futures positions in wheat...

Code of Federal Regulations, 2010 CFR

2010-04-01

..., soybean meal or cotton. 19.01 Section 19.01 Commodity and Securities Exchanges COMMODITY FUTURES TRADING... MERCHANTS AND DEALERS IN COTTON § 19.01 Reports on stocks and fixed price purchases and sales pertaining to futures positions in wheat, corn, oats, soybeans, soybean oil, soybean meal or cotton. (a) Information...

17 CFR 19.01 - Reports on stocks and fixed price purchases and sales pertaining to futures positions in wheat...

Code of Federal Regulations, 2014 CFR

2014-04-01

..., soybean meal or cotton. 19.01 Section 19.01 Commodity and Securities Exchanges COMMODITY FUTURES TRADING... MERCHANTS AND DEALERS IN COTTON § 19.01 Reports on stocks and fixed price purchases and sales pertaining to futures positions in wheat, corn, oats, soybeans, soybean oil, soybean meal or cotton. (a) Information...

17 CFR 19.01 - Reports on stocks and fixed price purchases and sales pertaining to futures positions in wheat...

Code of Federal Regulations, 2011 CFR

2011-04-01

..., soybean meal or cotton. 19.01 Section 19.01 Commodity and Securities Exchanges COMMODITY FUTURES TRADING... MERCHANTS AND DEALERS IN COTTON § 19.01 Reports on stocks and fixed price purchases and sales pertaining to futures positions in wheat, corn, oats, soybeans, soybean oil, soybean meal or cotton. (a) Information...

17 CFR 19.01 - Reports on stocks and fixed price purchases and sales pertaining to futures positions in wheat...

Code of Federal Regulations, 2012 CFR

2012-04-01

..., soybean meal or cotton. 19.01 Section 19.01 Commodity and Securities Exchanges COMMODITY FUTURES TRADING... MERCHANTS AND DEALERS IN COTTON § 19.01 Reports on stocks and fixed price purchases and sales pertaining to futures positions in wheat, corn, oats, soybeans, soybean oil, soybean meal or cotton. (a) Information...

Improved alternatives for estimating in-use material stocks.

PubMed

Chen, Wei-Qiang; Graedel, T E

2015-03-03

Determinations of in-use material stocks are useful for exploring past patterns and future scenarios of materials use, for estimating end-of-life flows of materials, and thereby for guiding policies on recycling and sustainable management of materials. This is especially true when those determinations are conducted for individual products or product groups such as "automobiles" rather than general (and sometimes nebulous) sectors such as "transportation". We propose four alternatives to the existing top-down and bottom-up methods for estimating in-use material stocks, with the choice depending on the focus of the study and on the available data. We illustrate with aluminum use in automobiles the robustness of and consistencies and differences among these four alternatives and demonstrate that a suitable combination of the four methods permits estimation of the in-use stock of a material contained in all products employing that material, or in-use stocks of different materials contained in a particular product. Therefore, we anticipate the estimation in the future of in-use stocks for many materials in many products or product groups, for many regions, and for longer time periods, by taking advantage of methodologies that fully employ the detailed data sets now becoming available.

Comparison of vector autoregressive (VAR) and vector error correction models (VECM) for index of ASEAN stock price

NASA Astrophysics Data System (ADS)

Suharsono, Agus; Aziza, Auliya; Pramesti, Wara

2017-12-01

Capital markets can be an indicator of the development of a country's economy. The presence of capital markets also encourages investors to trade; therefore investors need information and knowledge of which shares are better. One way of making decisions for short-term investments is the need for modeling to forecast stock prices in the period to come. Issue of stock market-stock integration ASEAN is very important. The problem is that ASEAN does not have much time to implement one market in the economy, so it would be very interesting if there is evidence whether the capital market in the ASEAN region, especially the countries of Indonesia, Malaysia, Philippines, Singapore and Thailand deserve to be integrated or still segmented. Furthermore, it should also be known and proven What kind of integration is happening: what A capital market affects only the market Other capital, or a capital market only Influenced by other capital markets, or a Capital market as well as affecting as well Influenced by other capital markets in one ASEAN region. In this study, it will compare forecasting of Indonesian share price (IHSG) with neighboring countries (ASEAN) including developed and developing countries such as Malaysia (KLSE), Singapore (SGE), Thailand (SETI), Philippines (PSE) to find out which stock country the most superior and influential. These countries are the founders of ASEAN and share price index owners who have close relations with Indonesia in terms of trade, especially exports and imports. Stock price modeling in this research is using multivariate time series analysis that is VAR (Vector Autoregressive) and VECM (Vector Error Correction Modeling). VAR and VECM models not only predict more than one variable but also can see the interrelations between variables with each other. If the assumption of white noise is not met in the VAR modeling, then the cause can be assumed that there is an outlier. With this modeling will be able to know the pattern of relationship

Effect of Trader Composition on Stock Market

NASA Astrophysics Data System (ADS)

Wang, Mo-Gei; Wang, Xing-Yuan; Liu, Zhen-Zhen

2011-05-01

In this study, we build a double auction market model, which contains two types of agent traders, i.e., the noise traders and fundamentalists, to investigate the effect of the trader composition on the stock market. It is found that, the non-trivial Hurst exponent and the fat-tailed distribution of transaction prices can be observed at any ratio of the noise traders. Analyses on the price variation properties, including the Hurst exponent and the price variation region, show that these properties are stable when the ratio is moderate. However, the non-price variation properties, including the trading volume and the profitability of the two kinds of agents, do not keep stable untrivially in any interval of the ratio of noise traders.

On financial markets trading

NASA Astrophysics Data System (ADS)

Matassini, Lorenzo; Franci, Fabio

2001-01-01

Starting from the observation of the real trading activity, we propose a model of a stockmarket simulating all the typical phases taking place in a stock exchange. We show that there is no need of several classes of agents once one has introduced realistic constraints in order to confine money, time, gain and loss within an appropriate range. The main ingredients are local and global coupling, randomness, Zipf distribution of resources and price formation when inserting an order. The simulation starts with the initial public offer and comprises the broadcasting of news/advertisements and the building of the book, where all the selling and buying orders are stored. The model is able to reproduce fat tails and clustered volatility, the two most significant characteristics of a real stockmarket, being driven by very intuitive parameters.

Effects of fundamentals acquisition and strategy switch on stock price dynamics

NASA Astrophysics Data System (ADS)

Wu, Songtao; He, Jianmin; Li, Shouwei

2018-02-01

An agent-based artificial stock market is developed to simulate trading behavior of investors. In the market, acquisition and employment of information about fundamentals and strategy switch are investigated to explain stock price dynamics. Investors could obtain the information from both market and neighbors resided on their social networks. Depending on information status and performances of different strategies, an informed investor may switch to the strategy of fundamentalist. This in turn affects the information acquisition process, since fundamentalists are more inclined to search and spread the information than chartists. Further investigation into price dynamics generated from three typical networks, i.e. regular lattice, small-world network and random graph, are conducted after general relation between network structures and price dynamics is revealed. In each network, integrated effects of different combinations of information efficiency and switch intensity are investigated. Results have shown that, along with increasing switch intensity, market and social information efficiency play different roles in the formation of price distortion, standard deviation and kurtosis of returns.

Determining the efficacy of microsatellite DNA-based mixed-stock analysis of Lake Michigan’s lake whitefish commercial fishery

USGS Publications Warehouse

VanDeHey, Justin A.; Sloss, Brian L.; Peeters, Paul J.; Sutton, Trent M.

2009-01-01

Management of commercially exploited fish should be conducted at the stock level. If a mixed stock fishery exists, a comprehensive mixed stock analysis is required for stock-based management. The lake whitefish Coregonus clupeaformis comprises the primary commercial fishery across the Great Lakes. Recent research resolved that six genetic stocks of lake whitefish were present in Lake Michigan, and long-term tagging data indicate that Lake Michigan's lake whitefish commercial fishery is a mixed stock fishery. The objective of this research was to determine the usefulness of microsatellite data for conducting comprehensive mixed stock analyses of the Lake Michigan lake whitefish commercial fishery. We used the individual assignment method as implemented in the program ONCOR to determine the accuracy level at which microsatellite data can reliably identify component populations or stocks. Self-assignment of lake whitefish to their population and stock of origin ranged from > 96% to 100%. Evaluation of genetic stock discreteness indicated a moderately high degree of correct assignment (average = 75%); simulations indicated supplementing baseline data by ∼ 50 to 100 individuals could increase accuracy by up to 4.5%. Simulated mixed stock commercial harvests with known stock composition showed a high degree of correct proportional assignment between observed and predicted harvest values. These data suggest that a comprehensive mixed stock analysis of Lake Michigan's lake whitefish commercial fishery is viable and would provide valuable information for improving management.

Measuring Biomass and Carbon Stock in Resprouting Woody Plants

PubMed Central

Matula, Radim; Damborská, Lenka; Nečasová, Monika; Geršl, Milan; Šrámek, Martin

2015-01-01

Resprouting multi-stemmed woody plants form an important component of the woody vegetation in many ecosystems, but a clear methodology for reliable measurement of their size and quick, non-destructive estimation of their woody biomass and carbon stock is lacking. Our goal was to find a minimum number of sprouts, i.e., the most easily obtainable, and sprout parameters that should be measured for accurate sprout biomass and carbon stock estimates. Using data for 5 common temperate woody species, we modelled carbon stock and sprout biomass as a function of an increasing number of sprouts in an interaction with different sprout parameters. The mean basal diameter of only two to five of the thickest sprouts and the basal diameter and DBH of the thickest sprouts per stump proved to be accurate estimators for the total sprout biomass of the individual resprouters and the populations of resprouters, respectively. Carbon stock estimates were strongly correlated with biomass estimates, but relative carbon content varied among species. Our study demonstrated that the size of the resprouters can be easily measured, and their biomass and carbon stock estimated; therefore, resprouters can be simply incorporated into studies of woody vegetation. PMID:25719601

Trade in and Valuation of Virtual Water Impacts in a City: A Case Study Of Flagstaff, Arizona

NASA Astrophysics Data System (ADS)

Rushforth, R.; Ruddell, B. L.

2013-12-01

An increasingly intense component of the global coupled natural and human system (CNH) is the economic trade of various types of resources and the outsourcing of resource impacts between geographically distant economic systems. The human economy's trade arrangements allow specific localities, especially cities, to exceed spatially local resource stock sustainability and footprint constraints, as evidenced in the urban metabolism literature. Each movement or trade of a resource along a network is associated with an embedded or 'virtual' exchange of indirect impacts on the inputs to the production process. The networked trade of embedded resources, therefore, is an essential human adaptation to resource limitations. Using the Embedded Resource Impact Accounting (ERA) framework, we examine the network of embedded water flows created through the trade of goods and services and economic development in Flagstaff, Arizona, and associate these flows with the creation of value in sectors of the economy

78 FR 17452 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-03-21

... compliance with the Plan by preventing trades from occurring outside the price bands during a limit state... requirements that prevent trades in individual NMS Stocks from occurring outside of specified price bands, as... trades or monetary gaps of liquidity). \\3\\ See Securities Exchange Act Release No. 64547 (May 25, 2011...

A spring-block analogy for the dynamics of stock indexes

NASA Astrophysics Data System (ADS)

Sándor, Bulcsú; Néda, Zoltán

2015-06-01

A spring-block chain placed on a running conveyor belt is considered for modeling stylized facts observed in the dynamics of stock indexes. Individual stocks are modeled by the blocks, while the stock-stock correlations are introduced via simple elastic forces acting in the springs. The dragging effect of the moving belt corresponds to the expected economic growth. The spring-block system produces collective behavior and avalanche like phenomena, similar to the ones observed in stock markets. An artificial index is defined for the spring-block chain, and its dynamics is compared with the one measured for the Dow Jones Industrial Average. For certain parameter regions the model reproduces qualitatively well the dynamics of the logarithmic index, the logarithmic returns, the distribution of the logarithmic returns, the avalanche-size distribution and the distribution of the investment horizons. A noticeable success of the model is that it is able to account for the gain-loss asymmetry observed in the inverse statistics. Our approach has mainly a pedagogical value, bridging between a complex socio-economic phenomena and a basic (mechanical) model in physics.

Understanding the complex dynamics of stock markets through cellular automata

NASA Astrophysics Data System (ADS)

Qiu, G.; Kandhai, D.; Sloot, P. M. A.

2007-04-01

We present a cellular automaton (CA) model for simulating the complex dynamics of stock markets. Within this model, a stock market is represented by a two-dimensional lattice, of which each vertex stands for a trader. According to typical trading behavior in real stock markets, agents of only two types are adopted: fundamentalists and imitators. Our CA model is based on local interactions, adopting simple rules for representing the behavior of traders and a simple rule for price updating. This model can reproduce, in a simple and robust manner, the main characteristics observed in empirical financial time series. Heavy-tailed return distributions due to large price variations can be generated through the imitating behavior of agents. In contrast to other microscopic simulation (MS) models, our results suggest that it is not necessary to assume a certain network topology in which agents group together, e.g., a random graph or a percolation network. That is, long-range interactions can emerge from local interactions. Volatility clustering, which also leads to heavy tails, seems to be related to the combined effect of a fast and a slow process: the evolution of the influence of news and the evolution of agents’ activity, respectively. In a general sense, these causes of heavy tails and volatility clustering appear to be common among some notable MS models that can confirm the main characteristics of financial markets.

Managing dynamic epidemiological risks through trade

PubMed Central

Horan, Richard D.; Fenichel, Eli P.; Finnoff, David; Wolf, Christopher A.

2015-01-01

There is growing concern that trade, by connecting geographically isolated regions, unintentionally facilitates the spread of invasive pathogens and pests – forms of biological pollution that pose significant risks to ecosystem and human health. We use a bioeconomic framework to examine whether trade always increases private risks, focusing specifically on pathogen risks from live animal trade. When the pathogens have already established and traders bear some private risk, we find two results that run counter to the conventional wisdom on trade. First, uncertainty about the disease status of individual animals held in inventory may increase the incentives to trade relative to the disease-free case. Second, trade may facilitate reduced long-run disease prevalence among buyers. These results arise because disease risks are endogenous due to dynamic feedback processes involving valuable inventories, and markets facilitate the management of private risks that producers face with or without trade. PMID:25914431

40 CFR 97.86 - Withdrawal from NOX Budget Trading Program.

Code of Federal Regulations, 2011 CFR

2011-07-01

... 40 Protection of Environment 21 2011-07-01 2011-07-01 false Withdrawal from NOX Budget Trading... PROGRAMS (CONTINUED) FEDERAL NOX BUDGET TRADING PROGRAM AND CAIR NOX AND SO2 TRADING PROGRAMS Individual Unit Opt-ins. § 97.86 Withdrawal from NOX Budget Trading Program. (a) Requesting withdrawal. To...

40 CFR 97.86 - Withdrawal from NOX Budget Trading Program.

Code of Federal Regulations, 2010 CFR

2010-07-01

... 40 Protection of Environment 20 2010-07-01 2010-07-01 false Withdrawal from NOX Budget Trading... PROGRAMS (CONTINUED) FEDERAL NOX BUDGET TRADING PROGRAM AND CAIR NOX AND SO2 TRADING PROGRAMS Individual Unit Opt-ins. § 97.86 Withdrawal from NOX Budget Trading Program. (a) Requesting withdrawal. To...

Stock or stroke? Stock market movement and stroke incidence in Taiwan.

PubMed

Chen, Chun-Chih; Chen, Chin-Shyan; Liu, Tsai-Ching; Lin, Ying-Tzu

2012-12-01

This paper investigates the impact of stock market movement on incidences of stroke utilizing population-based aggregate data in Taiwan. Using the daily data from the Taiwan Stock Exchange Capitalization Weighted Stock Index and from the National Health Insurance Research Database during 2001/1/1-2007/12/31, which consist of 2556 observations, we examine the effects of stock market on stroke incidence - the level effect and the daily change effects. In general, we find that both a low stock index level and a daily fall in the stock index are associated with greater incidences of stroke. We further partition the data on sex and age. The level effect is found to be significant for either gender, in the 45-64 and 65 ≥ age groups. In addition, two daily change effects are found to be significant for males and the elderly. Although stockholdings can increase wealth, they can also increase stroke incidence, thereby representing a cost to health. Copyright © 2012 Elsevier Ltd. All rights reserved.

Testing of microsatellite multiplexes for individual identification of Cape Parrots (Poicephalus robustus): paternity testing and monitoring trade

PubMed Central

Coetzer, Willem G.; Downs, Colleen T.; Perrin, Mike R.

2017-01-01

Background Illegal trade in rare wildlife species is a major threat to many parrot species around the world. Wildlife forensics plays an important role in the preservation of endangered or threatened wildlife species. Identification of illegally harvested or traded animals through DNA techniques is one of the many methods used during forensic investigations. Natural populations of the South African endemic Cape Parrot (Poicephalus robustus) are negatively affected by the removal of eggs and chicks for the pet trade. Methods In this study, 16 microsatellite markers specifically designed for the South African endemic Cape Parrot (P. robustus) are assessed for their utility in forensic casework. Using these 16 loci, the genetic diversity of a subset of the captive Cape Parrot population was also assessed and compared to three wild Cape Parrot populations. Results It was determined that the full 16 locus panel has sufficient discriminatory power to be used in parentage analyses and can be used to determine if a bird has been bred in captivity and so can be legally traded or if it has been illegally removed from the wild. In cases where birds have been removed from the wild, this study suggests that a reduced 12 locus microsatellite panel has sufficient power to assign confiscated birds to geographic population of origin. Discussion The level of genetic diversity observed within the captive Cape Parrot population was similar to that observed in the wild populations, which suggests that the captive population is not suffering from decreased levels of genetic diversity. The captive Cape Parrots did however have double the number of private alleles compared to that observed in the most genetically diverse wild population. This is probably due to the presence of rare alleles present in the founder population, which has not been lost due to genetic drift, as many of the individuals tested in this study are F1–F3 wild descendants. The results from this study provide a suit

40 CFR 96.86 - Withdrawal from NOX Budget Trading Program.

Code of Federal Regulations, 2011 CFR

2011-07-01

... 40 Protection of Environment 21 2011-07-01 2011-07-01 false Withdrawal from NOX Budget Trading... PROGRAMS (CONTINUED) NOX BUDGET TRADING PROGRAM AND CAIR NOX AND SO2 TRADING PROGRAMS FOR STATE IMPLEMENTATION PLANS Individual Unit Opt-ins § 96.86 Withdrawal from NOX Budget Trading Program. (a) Requesting...

40 CFR 96.86 - Withdrawal from NOX Budget Trading Program.

Code of Federal Regulations, 2014 CFR

2014-07-01

... 40 Protection of Environment 21 2014-07-01 2014-07-01 false Withdrawal from NOX Budget Trading... PROGRAMS (CONTINUED) NOX BUDGET TRADING PROGRAM AND CAIR NOX AND SO2 TRADING PROGRAMS FOR STATE IMPLEMENTATION PLANS Individual Unit Opt-ins § 96.86 Withdrawal from NOX Budget Trading Program. (a) Requesting...

40 CFR 97.86 - Withdrawal from NOX Budget Trading Program.

Code of Federal Regulations, 2013 CFR

2013-07-01

... 40 Protection of Environment 22 2013-07-01 2013-07-01 false Withdrawal from NOX Budget Trading... PROGRAMS (CONTINUED) FEDERAL NOX BUDGET TRADING PROGRAM AND CAIR NOX AND SO2 TRADING PROGRAMS Individual Unit Opt-ins § 97.86 Withdrawal from NOX Budget Trading Program. (a) Requesting withdrawal. To withdraw...

40 CFR 96.86 - Withdrawal from NOX Budget Trading Program.

Code of Federal Regulations, 2013 CFR

2013-07-01

... 40 Protection of Environment 22 2013-07-01 2013-07-01 false Withdrawal from NOX Budget Trading... PROGRAMS (CONTINUED) NOX BUDGET TRADING PROGRAM AND CAIR NOX AND SO 2 TRADING PROGRAMS FOR STATE IMPLEMENTATION PLANS Individual Unit Opt-ins § 96.86 Withdrawal from NOX Budget Trading Program. (a) Requesting...

40 CFR 97.86 - Withdrawal from NOX Budget Trading Program.

Code of Federal Regulations, 2012 CFR

2012-07-01

... 40 Protection of Environment 22 2012-07-01 2012-07-01 false Withdrawal from NOX Budget Trading... PROGRAMS (CONTINUED) FEDERAL NOX BUDGET TRADING PROGRAM AND CAIR NOX AND SO2 TRADING PROGRAMS Individual Unit Opt-ins § 97.86 Withdrawal from NOX Budget Trading Program. (a) Requesting withdrawal. To withdraw...

40 CFR 97.86 - Withdrawal from NOX Budget Trading Program.

Code of Federal Regulations, 2014 CFR

2014-07-01

... 40 Protection of Environment 21 2014-07-01 2014-07-01 false Withdrawal from NOX Budget Trading... PROGRAMS (CONTINUED) FEDERAL NOX BUDGET TRADING PROGRAM AND CAIR NOX AND SO2 TRADING PROGRAMS Individual Unit Opt-ins § 97.86 Withdrawal from NOX Budget Trading Program. (a) Requesting withdrawal. To withdraw...

40 CFR 96.86 - Withdrawal from NOX Budget Trading Program.

Code of Federal Regulations, 2012 CFR

2012-07-01

... 40 Protection of Environment 22 2012-07-01 2012-07-01 false Withdrawal from NOX Budget Trading... PROGRAMS (CONTINUED) NOX BUDGET TRADING PROGRAM AND CAIR NOX AND SO2 TRADING PROGRAMS FOR STATE IMPLEMENTATION PLANS Individual Unit Opt-ins § 96.86 Withdrawal from NOX Budget Trading Program. (a) Requesting...

40 CFR 96.86 - Withdrawal from NOX Budget Trading Program.

Code of Federal Regulations, 2010 CFR

2010-07-01

... 40 Protection of Environment 20 2010-07-01 2010-07-01 false Withdrawal from NOX Budget Trading... PROGRAMS (CONTINUED) NOX BUDGET TRADING PROGRAM AND CAIR NOX AND SO2 TRADING PROGRAMS FOR STATE IMPLEMENTATION PLANS Individual Unit Opt-ins § 96.86 Withdrawal from NOX Budget Trading Program. (a) Requesting...

A credit policy approach in a two-warehouse inventory model for deteriorating items with price- and stock-dependent demand under partial backlogging

NASA Astrophysics Data System (ADS)

Panda, Gobinda Chandra; Khan, Md. Al-Amin; Shaikh, Ali Akbar

2018-04-01

Advertisement of the product is an important factor in inventory analysis. Also, price and stock have an important role to attract more customers in the competitive business situations. Trade credit policy is another important role in inventory analysis. We have combined these three factors together in a two-warehouse inventory model and represented it mathematically. In addition, we have added deteriorating factor of our proposed problem with price- and stock-dependent demand under partial backlogged shortage and solved. The frequency of advertisement is considered constant for a year in this paper. The proposed model is highly nonlinear in nature. Due to highly nonlinearity, we could not find the closed form solution. In this paper, trade credit facility is taken in the perspective of retailer, and all the possible cases and subcases of the model are discussed and solved using lingo 10.0 software. The results of sensitivity analysis prove the effectiveness of the proposed model.

Optimal execution in high-frequency trading with Bayesian learning

NASA Astrophysics Data System (ADS)

Du, Bian; Zhu, Hongliang; Zhao, Jingdong

2016-11-01

We consider optimal trading strategies in which traders submit bid and ask quotes to maximize the expected quadratic utility of total terminal wealth in a limit order book. The trader's bid and ask quotes will be changed by the Poisson arrival of market orders. Meanwhile, the trader may update his estimate of other traders' target sizes and directions by Bayesian learning. The solution of optimal execution in the limit order book is a two-step procedure. First, we model an inactive trading with no limit order in the market. The dealer simply holds dollars and shares of stocks until terminal time. Second, he calibrates his bid and ask quotes to the limit order book. The optimal solutions are given by dynamic programming and in fact they are globally optimal. We also give numerical simulation to the value function and optimal quotes at the last part of the article.

Of Uberfleas and Krakens: Detecting Trade-offs Using Mixed Models.

PubMed

Careau, Vincent; Wilson, Robbie S

2017-08-01

All animals experience performance trade-offs as they complete tasks such as capturing prey, defending territories, acquiring mates, and escaping predators. Why then, is it so hard to detect performance trade-offs at the whole-organismal level? Why do we sometimes even obtain positive correlations between two performance traits that are predicted to be negatively associated? Here we explore two plausible explanations. First, most analyses are based on individual maximal values (i.e., personal best), which could introduce a bias in the correlation estimates. Second, phenotypic correlations alone may be poor indicators of a trade-off when contrasting processes occur at the among- versus within-individual levels. One such scenario is the "big houses big cars" model developed in life-history theory to explain the existence of "uberfleas" that are superior in all regards (because they acquire more resources than others). We highlight that the exact opposite scenario might occur for performance trade-offs, where among-individual trade-offs may be masked by within-individual changes in physical condition. One of the best ways to test among these alternative scenarios is to collect repeated pairs of performance traits and analyze them using multivariate mixed models (MMMs). MMMs allow straightforward and simultaneous examination of trait correlations at the among- and within-individual levels. We use a simple simulation tool (SQuID package in R) to create a population of Krakens, a mythical giant squid-like sea creature whose morphology generates a performance trade-off between swimming speed and strength or ability to sink ships. The simulations showed that using individual maximum values introduces a bias that is particularly severe when individuals differ in the number of repeated samples (ntrial). Finally, we show how MMMs can help detect performance (or any other type of) trade-offs and offer additional insights (e.g., help detect plasticity integration). We hope

Market impact and structure dynamics of the Chinese stock market based on partial correlation analysis

NASA Astrophysics Data System (ADS)

Li, Xing; Qiu, Tian; Chen, Guang; Zhong, Li-Xin; Wu, Xiao-Run

2017-04-01

Partial correlation analysis is employed to study the market impact on the Chinese stock market from both the native and external markets. Whereas the native market index is observed to have a great impact on the market correlations for both the Shanghai and Shenzhen stock markets, some external stock indices of the United States, European and Asian stock markets show a slight influence on the Chinese market. The individual stock can be affected by different economic sectors, but the dominant influence is from the sector the stock itself belongs to or closely related to, and the finance and insurance sector shows a weaker correlation with other economic sectors. Moreover, the market structure similarity exhibits a negative correlation with the price return in most time, and the structure similarity decays with the time interval.

C-Lines of Stocking for Southern Bottomland Hardwoods: A Guide to Identifying Insuffiecient Stocking

Treesearch

J.C.G. Goelz

1997-01-01

A B-line on a stocking chart represents suggested residual stocking after thinning, or minimum full stocking. A stand at the C-line on a stocking chart will achieve the B-line after a period of growth usually specified as 10 years. Four C-lines that reflect insufficient stocking of southern bottomland hardwoods are presented. These C-lines represent 10,15,20, and 25...

An analysis of the sectorial influence of CSI300 stocks within the directed network

NASA Astrophysics Data System (ADS)

Mai, Yong; Chen, Huan; Meng, Lei

2014-02-01

This paper uses the Partial Correlation Planar maximally filtered Graph (PCPG) method to construct a directed network for the constituent stocks underlying the China Securities Index 300 (CSI300). We also analyse the impact of individual stocks. We find that the CSI300 market is a scale-free network with a relatively small power law exponent. The volatility of the stock prices has significant impact on other stocks. In the sectorial network, the industrial sector is the most influential one over other sectors, the financial sector only has a modest influence, while the telecommunication services sector’s influence is marginal. In addition, such inter-sector influence displays quarterly stability.

Stock Market Project.

ERIC Educational Resources Information Center

Distel, Brenda D.

This project is designed to teach students the process of buying stocks and to tracking their investments over the course of a semester. The goals of the course are to teach students about the relationships between conditions in the economy and the stock market; to predict the effect of an economic event on a specific stock or industry; to relate…

12 CFR 563b.505 - May my directors, officers, and their associates freely trade shares?

Code of Federal Regulations, 2011 CFR

2011-01-01

... 12 Banks and Banking 5 2011-01-01 2011-01-01 false May my directors, officers, and their associates freely trade shares? 563b.505 Section 563b.505 Banks and Banking OFFICE OF THRIFT SUPERVISION, DEPARTMENT OF THE TREASURY CONVERSIONS FROM MUTUAL TO STOCK FORM Standard Conversions Post-Conversion § 563b.505 May my directors, officers, and their...

12 CFR 563b.505 - May my directors, officers, and their associates freely trade shares?

Code of Federal Regulations, 2012 CFR

2012-01-01

... 12 Banks and Banking 6 2012-01-01 2012-01-01 false May my directors, officers, and their associates freely trade shares? 563b.505 Section 563b.505 Banks and Banking OFFICE OF THRIFT SUPERVISION, DEPARTMENT OF THE TREASURY CONVERSIONS FROM MUTUAL TO STOCK FORM Standard Conversions Post-Conversion § 563b.505 May my directors, officers, and their...

A Technical Analysis Information Fusion Approach for Stock Price Analysis and Modeling

NASA Astrophysics Data System (ADS)

Lahmiri, Salim

In this paper, we address the problem of technical analysis information fusion in improving stock market index-level prediction. We present an approach for analyzing stock market price behavior based on different categories of technical analysis metrics and a multiple predictive system. Each category of technical analysis measures is used to characterize stock market price movements. The presented predictive system is based on an ensemble of neural networks (NN) coupled with particle swarm intelligence for parameter optimization where each single neural network is trained with a specific category of technical analysis measures. The experimental evaluation on three international stock market indices and three individual stocks show that the presented ensemble-based technical indicators fusion system significantly improves forecasting accuracy in comparison with single NN. Also, it outperforms the classical neural network trained with index-level lagged values and NN trained with stationary wavelet transform details and approximation coefficients. As a result, technical information fusion in NN ensemble architecture helps improving prediction accuracy.

77 FR 58429 - Self-Regulatory Organizations; NYSE MKT LLC; Notice of Filing of Proposed Rule Change Amending...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-09-20

... series of individual stock options and Exchange-Traded Fund Shares until the beginning of the month in... participants' risk management needs in a stock. In these situations, the Exchange has the ability to add... tailor their investment decisions and hedging decisions prior to expiration. The Exchange also believes...

Fishing and temperature effects on the size structure of exploited fish stocks.

PubMed

Tu, Chen-Yi; Chen, Kuan-Ting; Hsieh, Chih-Hao

2018-05-08

Size structure of fish stock plays an important role in maintaining sustainability of the population. Size distribution of an exploited stock is predicted to shift toward small individuals caused by size-selective fishing and/or warming; however, their relative contribution remains relatively unexplored. In addition, existing analyses on size structure have focused on univariate size-based indicators (SBIs), such as mean length, evenness of size classes, or the upper 95-percentile of the length frequency distribution; these approaches may not capture full information of size structure. To bridge the gap, we used the variation partitioning approach to examine how the size structure (composition of size classes) responded to fishing, warming and the interaction. We analyzed 28 exploited stocks in the West US, Alaska and North Sea. Our result shows fishing has the most prominent effect on the size structure of the exploited stocks. In addition, the fish stocks experienced higher variability in fishing is more responsive to the temperature effect in their size structure, suggesting that fishing may elevate the sensitivity of exploited stocks in responding to environmental effects. The variation partitioning approach provides complementary information to univariate SBIs in analyzing size structure.

26 CFR 1.1402(c)-1 - Trade or business.

Code of Federal Regulations, 2011 CFR

2011-04-01

... 26 Internal Revenue 12 2011-04-01 2011-04-01 false Trade or business. 1.1402(c)-1 Section 1.1402(c... (CONTINUED) INCOME TAXES (CONTINUED) Tax on Self-Employment Income § 1.1402(c)-1 Trade or business. In order for an individual to have net earnings from self-employment, he must carry on a trade or business...

26 CFR 1.1402(c)-1 - Trade or business.

Code of Federal Regulations, 2014 CFR

2014-04-01

... 26 Internal Revenue 12 2014-04-01 2014-04-01 false Trade or business. 1.1402(c)-1 Section 1.1402(c... (CONTINUED) INCOME TAXES (CONTINUED) Tax on Self-Employment Income § 1.1402(c)-1 Trade or business. In order for an individual to have net earnings from self-employment, he must carry on a trade or business...

26 CFR 1.1402(c)-1 - Trade or business.

Code of Federal Regulations, 2013 CFR

2013-04-01

... 26 Internal Revenue 12 2013-04-01 2013-04-01 false Trade or business. 1.1402(c)-1 Section 1.1402(c... (CONTINUED) INCOME TAXES (CONTINUED) Tax on Self-Employment Income § 1.1402(c)-1 Trade or business. In order for an individual to have net earnings from self-employment, he must carry on a trade or business...

26 CFR 1.1402(c)-1 - Trade or business.

Code of Federal Regulations, 2012 CFR

2012-04-01

... 26 Internal Revenue 12 2012-04-01 2012-04-01 false Trade or business. 1.1402(c)-1 Section 1.1402(c... (CONTINUED) INCOME TAXES (CONTINUED) Tax on Self-Employment Income § 1.1402(c)-1 Trade or business. In order for an individual to have net earnings from self-employment, he must carry on a trade or business...

Greed, fear and stock market dynamics

NASA Astrophysics Data System (ADS)

Westerhoff, Frank H.

2004-11-01

We present a behavioral stock market model in which traders are driven by greed and fear. In general, the agents optimistically believe in rising markets and thus buy stocks. But if stock prices change too abruptly, they panic and sell stocks. Our model mimics some stylized facts of stock market dynamics: (1) stock prices increase over time, (2) stock markets sometimes crash, (3) stock prices show little pair correlation between successive daily changes, and (4) periods of low volatility alternate with periods of high volatility. A strong feature of the model is that stock prices completely evolve according to a deterministic low-dimensional nonlinear law of motion.

Multifractal in Volatility of Family Business Stocks Listed on Casablanca STOCK Exchange

NASA Astrophysics Data System (ADS)

Lahmiri, Salim

In this paper, we check for existence of multifractal in volatility of Moroccan family business stock returns and in volatility of Casablanca market index returns based on multifractal detrended fluctuation analysis (MF-DFA) technique. Empirical results show strong evidence of multifractal characteristics in volatility series of both family business stocks and market index. In addition, it is found that small variations in volatility of family business stocks are persistent, whilst small variations in volatility of market index are anti-persistent. However, large variations in family business volatility and market index volatility are both anti-persistent. Furthermore, multifractal spectral analysis based results show strong evidence that volatility in Moroccan family business companies exhibits more multifractality than volatility in the main stock market. These results may provide insightful information for risk managers concerned with family business stocks.

Understanding Canada's International Trade Policy. "Understanding Economics" Series No. 4.

ERIC Educational Resources Information Center

Cornell, Peter M.

Written for secondary school Canadian students, the document examines Canada's international trade policy. It is arranged in three sections. Part I discusses the affect of Canada's trade policy on the individual citizen. Tariffs and non-tariff barriers to trade such as import licenses, preferential purchasing agreements, health and safety…

Blue Collar & Beyond: Resumes for Skilled Trades & Services.

ERIC Educational Resources Information Center

Parker, Yana

This book, which is designed for individuals in skilled trades and service occupations, contains 132 sample resumes for occupations in the following occupational categories: automotive and heavy equipment; construction and maintenance; customer service; hotel, restaurant, and food service; office; trades; warehouse, manufacturing, and electronics;…

Monosodium glutamate in chicken and beef stock cubes using high-performance liquid chromatography.

PubMed

Demirhan, Buket Er; Demirhan, Burak; Sönmez, Ceren; Torul, Hilal; Tamer, Uğur; Yentür, Gülderen

2015-01-01

In this survey monosodium glutamate (MSG) levels in chicken and beef stock cube samples were determined. A total number of 122 stock cube samples (from brands A, B, C, D) were collected from local markets in Ankara, Turkey. High-performance liquid chromatography with diode array detection (HPLC-DAD) was used for quantitative MSG determination. Mean MSG levels (±SE) in samples of A, B, C and D brands were 14.6 ± 0.2 g kg⁻¹, 11.9 ± 0.3 g kg⁻¹, 9.7 ± 0.1 g kg⁻¹ and 7.2 ± 0.1 g kg⁻¹, respectively. Differences between mean levels of brands were significant. Also, mean levels of chicken stock cube samples were lower than in beef stock cubes. Maximum limits for MSG in stock cubes are not specified in the Turkish Food Codex (TFC). Generally the limit for MSG in foods (except some foods) is established as 10 g kg⁻¹ (individually or in combination).

Social networks and trade of services: modelling interregional flows with spatial and network autocorrelation effects

NASA Astrophysics Data System (ADS)

de la Mata, Tamara; Llano, Carlos

2013-07-01

Recent literature on border effect has fostered research on informal barriers to trade and the role played by network dependencies. In relation to social networks, it has been shown that intensity of trade in goods is positively correlated with migration flows between pairs of countries/regions. In this article, we investigate whether such a relation also holds for interregional trade of services. We also consider whether interregional trade flows in services linked with tourism exhibit spatial and/or social network dependence. Conventional empirical gravity models assume the magnitude of bilateral flows between regions is independent of flows to/from regions located nearby in space, or flows to/from regions related through social/cultural/ethic network connections. With this aim, we provide estimates from a set of gravity models showing evidence of statistically significant spatial and network (demographic) dependence in the bilateral flows of the trade of services considered. The analysis has been applied to the Spanish intra- and interregional monetary flows of services from the accommodation, restaurants and travel agencies for the period 2000-2009, using alternative datasets for the migration stocks and definitions of network effects.

26 CFR 1.1402(c)-1 - Trade or business.

Code of Federal Regulations, 2010 CFR

2010-04-01

... 26 Internal Revenue 12 2010-04-01 2010-04-01 false Trade or business. 1.1402(c)-1 Section 1.1402(c... (CONTINUED) INCOME TAXES Tax on Self-Employment Income § 1.1402(c)-1 Trade or business. In order for an individual to have net earnings from self-employment, he must carry on a trade or business, either as an...

Temporal structure and gain-loss asymmetry for real and artificial stock indices

NASA Astrophysics Data System (ADS)

Siven, Johannes Vitalis; Lins, Jeffrey Todd

2009-11-01

Previous research has shown that for stock indices, the most likely time until a return of a particular size has been observed is longer for gains than for losses. We demonstrate that this so-called gain-loss asymmetry vanishes if the temporal dependence structure is destroyed by scrambling the time series. We also show that an artificial index constructed by a simple average of a number of individual stocks display gain-loss asymmetry—this allows us to explicitly analyze the dependence between the index constituents. We consider mutual information and correlation-based measures and show that the stock returns indeed have a higher degree of dependence in times of market downturns than upturns.

Distribution characteristics of stock market liquidity

NASA Astrophysics Data System (ADS)

Luo, Jiawen; Chen, Langnan; Liu, Hao

2013-12-01

We examine the distribution characteristics of stock market liquidity by employing the generalized additive models for location, scale and shape (GAMLSS) model and three-minute frequency data from Chinese stock markets. We find that the BCPE distribution within the GAMLSS framework fits the distributions of stock market liquidity well with the diagnosis test. We also find that the stock market index exhibits a significant impact on the distributions of stock market liquidity. The stock market liquidity usually exhibits a positive skewness, but a normal distribution at a low level of stock market index and a high-peak and fat-tail shape at a high level of stock market index.

Forecasting volatility of SSEC in Chinese stock market using multifractal analysis

NASA Astrophysics Data System (ADS)

Wei, Yu; Wang, Peng

2008-03-01

In this paper, taking about 7 years’ high-frequency data of the Shanghai Stock Exchange Composite Index (SSEC) as an example, we propose a daily volatility measure based on the multifractal spectrum of the high-frequency price variability within a trading day. An ARFIMA model is used to depict the dynamics of this multifractal volatility (MFV) measures. The one-day ahead volatility forecasting performances of the MFV model and some other existing volatility models, such as the realized volatility model, stochastic volatility model and GARCH, are evaluated by the superior prediction ability (SPA) test. The empirical results show that under several loss functions, the MFV model obtains the best forecasting accuracy.

The Dow is Killing Me: Risky Health Behaviors and the Stock Market.

PubMed

Cotti, Chad; Dunn, Richard A; Tefft, Nathan

2015-07-01

We investigate how risky health behaviors and self-reported health vary with the Dow Jones Industrial Average (DJIA) and during stock market crashes. Because stock market indices are leading indicators of economic performance, this research contributes to our understanding of the macroeconomic determinants of health. Existing studies typically rely on the unemployment rate to proxy for economic performance, but this measure captures only one of many channels through which the economic environment may influence individual health decisions. We find that large, negative monthly DJIA returns, decreases in the level of the DJIA, and stock market crashes are widely associated with worsening self-reported mental health and more cigarette smoking, binge drinking, and fatal car accidents involving alcohol. These results are consistent with predictions from rational addiction models and have implications for research on the association between consumption and stock prices. Copyright © 2014 John Wiley & Sons, Ltd.

The Interactive Influence of Perceived Ownership and Perceived Choosership of Stocks on Brain Response to Stock Outcomes

PubMed Central

Shang, Zhe; Wang, Lei; Wu, Han

2017-01-01

The present research examined the influence of perceived ownership (self/other) and perceived chooser (self/other) of stocks on brain activity, and investigated whether differential brain responses to stock outcomes as a result of perceived differences in ownership of stock would be modulated by perceived chooser of stock. We used a 2 (stock chooser: self, other) × 2 (stock owner: self, other) within-subject design to represent four types of chooser-owner relationships. Brain potentials were recorded while participants observed increasing and decreasing stock prices. Results showed that observations of stock outcomes among four types of chooser-owner relationships elicited differentiated feedback-related negativity (d-FRN: differences in FRN waves between losses and gains, reflecting violations of expectancy to stock outcomes): (1) Self-chosen-other-owned stocks evoked significantly larger d-FRN discrepancies than self-chosen-self-owned stocks, indicating a greater expectancy violation to others' losses than to one's own, demonstrating a reversed ownership effect. Moreover, people high in conscientiousness showed an increase in this trend, suggesting a stronger other-consideration; (2) Self-chosen-self-owned stocks and other-chosen-self-owned stocks revealed no significant d-FRN discrepancy, showing no choosership effect beyond the ownership effect; (3) Other-chosen-self-owned stocks evoked a significantly stronger d-FRN discrepancy than other-chosen-other-owned stocks, demonstrating an ownership effect; (4) Self-chosen-other-owned stocks evoked a significantly stronger d-FRN discrepancy than other-chosen-other-owned stocks, revealing a choosership effect. These findings suggest that the ownership effect could be reversed by conscientiousness induced by perceived choosership in the agency relationship, while the choosership effect is attenuated and even disappears under the influence of perceived ownership. PMID:28194118

26 CFR 1.318-1 - Constructive ownership of stock; introduction.

Code of Federal Regulations, 2010 CFR

2010-04-01

... individual under a decree of divorce or separate maintenance), and by or for his children, grandchildren, and... corporation shall not be considered to own its own stock by reason of section 318(a)(3)(C); (2) In any case in...

"Price-quakes" shaking the world's stock exchanges.

PubMed

Andersen, Jørgen Vitting; Nowak, Andrzej; Rotundo, Giulia; Parrott, Lael; Martinez, Sebastian

2011-01-01

Systemic risk has received much more awareness after the excessive risk taking by major financial instituations pushed the world's financial system into what many considered a state of near systemic failure in 2008. The IMF for example in its yearly 2009 Global Financial Stability Report acknowledged the lack of proper tools and research on the topic. Understanding how disruptions can propagate across financial markets is therefore of utmost importance. Here, we use empirical data to show that the world's markets have a non-linear threshold response to events, consistent with the hypothesis that traders exhibit change blindness. Change blindness is the tendency of humans to ignore small changes and to react disproportionately to large events. As we show, this may be responsible for generating cascading events--pricequakes--in the world's markets. We propose a network model of the world's stock exchanges that predicts how an individual stock exchange should be priced in terms of the performance of the global market of exchanges, but with change blindness included in the pricing. The model has a direct correspondence to models of earth tectonic plate movements developed in physics to describe the slip-stick movement of blocks linked via spring forces. We have shown how the price dynamics of the world's stock exchanges follows a dynamics of build-up and release of stress, similar to earthquakes. The nonlinear response allows us to classify price movements of a given stock index as either being generated internally, due to specific economic news for the country in question, or externally, by the ensemble of the world's stock exchanges reacting together like a complex system. The model may provide new insight into the origins and thereby also prevent systemic risks in the global financial network.

26 CFR 1.1081-3 - Exchanges of stock or securities solely for stock or securities.

Code of Federal Regulations, 2010 CFR

2010-04-01

... 26 Internal Revenue 11 2010-04-01 2010-04-01 true Exchanges of stock or securities solely for stock or securities. 1.1081-3 Section 1.1081-3 Internal Revenue INTERNAL REVENUE SERVICE, DEPARTMENT OF... § 1.1081-3 Exchanges of stock or securities solely for stock or securities. The exchange, without the...

Stock-specific migration timing of adult spring-summer Chinook salmon in the Columbia River basin

USGS Publications Warehouse

Keefer, M.L.; Peery, C.A.; Jepson, M.A.; Tolotti, K.R.; Bjornn, T.C.; Stuehrenberg, L.C.

2004-01-01

An understanding of the migration timing patterns of Pacific salmon Oncorhynchus spp. and steelhead O. mykiss is important for managing complex mixed-stock fisheries and preserving genetic and life history diversity. We examined adult return timing for 3,317 radio-tagged fish from 38 stocks of Columbia River basin spring-summer Chinook salmon O. tshawytscha over 5 years. Stock composition varied widely within and between years depending on the strength of influential populations. Most individual stocks migrated at similar times each year relative to overall runs, supporting the hypotheses that run timing is predictable, is at least partially due to genetic adaptation, and can be used to differentiate between some conspecific populations. Arrival timing of both aggregated radio-tagged stocks and annual runs was strongly correlated with river discharge; stocks arrived earlier at Bonneville Dam and at upstream dams in years with low discharge. Migration timing analyses identified many between-stock and between-year differences in anadromous salmonid return behavior and should and managers interested in protection and recovery of evolutionary significant populations.

Market dynamics immediately before and after financial shocks: Quantifying the Omori, productivity, and Bath laws

NASA Astrophysics Data System (ADS)

Petersen, Alexander M.; Wang, Fengzhong; Havlin, Shlomo; Stanley, H. Eugene

2010-09-01

We study the cascading dynamics immediately before and immediately after 219 market shocks. We define the time of a market shock Tc to be the time for which the market volatility V(Tc) has a peak that exceeds a predetermined threshold. The cascade of high volatility “aftershocks” triggered by the “main shock” is quantitatively similar to earthquakes and solar flares, which have been described by three empirical laws—the Omori law, the productivity law, and the Bath law. We analyze the most traded 531 stocks in U.S. markets during the 2 yr period of 2001-2002 at the 1 min time resolution. We find quantitative relations between the main shock magnitude M≡log10V(Tc) and the parameters quantifying the decay of volatility aftershocks as well as the volatility preshocks. We also find that stocks with larger trading activity react more strongly and more quickly to market shocks than stocks with smaller trading activity. Our findings characterize the typical volatility response conditional on M , both at the market and the individual stock scale. We argue that there is potential utility in these three statistical quantitative relations with applications in option pricing and volatility trading.

Collective Behavior of Market Participants during Abrupt Stock Price Changes

PubMed Central

Maskawa, Jun-ichi

2016-01-01

Under uncertainty, human and animal collectives often respond stochastically to events they encounter. Human or animal individuals behave depending on others’ actions, and sometimes follow choices that are sub-optimal for individuals. Such mimetic behaviors are enhanced during emergencies, creating collective behavior of a group. A stock market that is about to crash, as markets did immediately after the Lehman Brothers bankruptcy, provides illustrative examples of such behaviors. We provide empirical evidence proving the existence of collective behavior among stock market participants in emergent situations. We investigated the resolution of extreme supply-and-demand order imbalances by increased balancing counter orders: buy and sell orders for excess supply and demand respectively, during times of price adjustment, so-called special quotes on the Tokyo Stock Exchange. Counter orders increase positively depending on the quantity of revealed counter orders: the accumulated orders in the book until then. Statistics of the coming counter order are well described using a logistic regression model with the ratio of revealed orders until then to the finally revealed orders as the explanatory variable. Results given here show that the market participants make Bayesian estimations of optimal choices to ascertain whether to order using information about orders of other participants. PMID:27513335

Collective Behavior of Market Participants during Abrupt Stock Price Changes.

PubMed

Maskawa, Jun-Ichi

2016-01-01

Under uncertainty, human and animal collectives often respond stochastically to events they encounter. Human or animal individuals behave depending on others' actions, and sometimes follow choices that are sub-optimal for individuals. Such mimetic behaviors are enhanced during emergencies, creating collective behavior of a group. A stock market that is about to crash, as markets did immediately after the Lehman Brothers bankruptcy, provides illustrative examples of such behaviors. We provide empirical evidence proving the existence of collective behavior among stock market participants in emergent situations. We investigated the resolution of extreme supply-and-demand order imbalances by increased balancing counter orders: buy and sell orders for excess supply and demand respectively, during times of price adjustment, so-called special quotes on the Tokyo Stock Exchange. Counter orders increase positively depending on the quantity of revealed counter orders: the accumulated orders in the book until then. Statistics of the coming counter order are well described using a logistic regression model with the ratio of revealed orders until then to the finally revealed orders as the explanatory variable. Results given here show that the market participants make Bayesian estimations of optimal choices to ascertain whether to order using information about orders of other participants.

Evolution of worldwide stock markets, correlation structure, and correlation-based graphs

NASA Astrophysics Data System (ADS)

Song, Dong-Ming; Tumminello, Michele; Zhou, Wei-Xing; Mantegna, Rosario N.

2011-08-01

We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period January 1996 to July 2009. We discover that the correlation among market indices presents both a fast and a slow dynamics. The slow dynamics reflects the development and consolidation of globalization. The fast dynamics is associated with critical events that originate in a specific country or region of the world and rapidly affect the global system. We provide evidence that the short term time scale of correlation among market indices is less than 3 trading months (about 60 trading days). The average values of the nondiagonal elements of the correlation matrix, correlation-based graphs, and the spectral properties of the largest eigenvalues and eigenvectors of the correlation matrix are carrying information about the fast and slow dynamics of the correlation of market indices. We introduce a measure of mutual information based on link co-occurrence in networks in order to detect the fast dynamics of successive changes of correlation-based graphs in a quantitative way.

How Random is the Walk: Efficiency of Indian Stock and Futures Markets

NASA Astrophysics Data System (ADS)

Basu, Udayan Kumar

Time series of prices of stock and its rates of return has been one of the major areas of study in Econophysics. The price of a stock depends on a number of factors as well as information related thereto, and how quickly and effectively the price of a stock assimilates all such information decides the efficiency of the stock market. Instead of individual stocks, people often study the behaviour of stock indices to get a feel of the market as a whole, and the outcomes of such studies for the Dow Jones Industrial Average (DJIA), the Nasdaq Index and the S & P 500 Index have been listed in a number of articles. In this context, it has also been argued that for a market to be considered sufficiently liquid, correlation between successive price movements and rates of return should be insignificant, because any significant correlation would lead to an arbitrage opportunity that is expected to be rapidly exploited and thus washed out. The residual correlations are those little enough not to be profitable for strategies due to imperfect market conditions. Unless transaction costs or slippages or any other impediment exists, leading to some transactional inefficiency, arbitrages would take place to bring back the markets to a stage of insignifficant correlations [1, 2].

12 CFR 925.20 - Stock purchase.

Code of Federal Regulations, 2010 CFR

2010-01-01

... 12 Banks and Banking 7 2010-01-01 2010-01-01 false Stock purchase. 925.20 Section 925.20 Banks and... BANKS Stock Requirements § 925.20 Stock purchase. (a) Minimum stock purchase. Each member shall purchase... outstanding advances. (b) Timing of minimum stock purchase. (1) Within 60 calendar days after an institution...

Impact of information cost and switching of trading strategies in an artificial stock market

NASA Astrophysics Data System (ADS)

Liu, Yi-Fang; Zhang, Wei; Xu, Chao; Vitting Andersen, Jørgen; Xu, Hai-Chuan

2014-08-01

This paper studies the switching of trading strategies and its effect on the market volatility in a continuous double auction market. We describe the behavior when some uninformed agents, who we call switchers, decide whether or not to pay for information before they trade. By paying for the information they behave as informed traders. First we verify that our model is able to reproduce some of the stylized facts in real financial markets. Next we consider the relationship between switching and the market volatility under different structures of investors. We find that there exists a positive relationship between the market volatility and the percentage of switchers. We therefore conclude that the switchers are a destabilizing factor in the market. However, for a given fixed percentage of switchers, the proportion of switchers that decide to buy information at a given moment of time is negatively related to the current market volatility. In other words, if more agents pay for information to know the fundamental value at some time, the market volatility will be lower. This is because the market price is closer to the fundamental value due to information diffusion between switchers.

Simulating carbon stocks and fluxes of an African tropical montane forest with an individual-based forest model.

PubMed

Fischer, Rico; Ensslin, Andreas; Rutten, Gemma; Fischer, Markus; Schellenberger Costa, David; Kleyer, Michael; Hemp, Andreas; Paulick, Sebastian; Huth, Andreas

2015-01-01

Tropical forests are carbon-dense and highly productive ecosystems. Consequently, they play an important role in the global carbon cycle. In the present study we used an individual-based forest model (FORMIND) to analyze the carbon balances of a tropical forest. The main processes of this model are tree growth, mortality, regeneration, and competition. Model parameters were calibrated using forest inventory data from a tropical forest at Mt. Kilimanjaro. The simulation results showed that the model successfully reproduces important characteristics of tropical forests (aboveground biomass, stem size distribution and leaf area index). The estimated aboveground biomass (385 t/ha) is comparable to biomass values in the Amazon and other tropical forests in Africa. The simulated forest reveals a gross primary production of 24 tcha(-1) yr(-1). Modeling above- and belowground carbon stocks, we analyzed the carbon balance of the investigated tropical forest. The simulated carbon balance of this old-growth forest is zero on average. This study provides an example of how forest models can be used in combination with forest inventory data to investigate forest structure and local carbon balances.

26 CFR 1.943-1 - Withholding by a China Trade Act corporation.

Code of Federal Regulations, 2010 CFR

2010-04-01

... 26 Internal Revenue 10 2010-04-01 2010-04-01 false Withholding by a China Trade Act corporation. 1...) INCOME TAX (CONTINUED) INCOME TAXES China Trade Act Corporations § 1.943-1 Withholding by a China Trade Act corporation. Dividends paid by a China Trade Act corporation to a nonresident alien individual...

Predicting economic growth with stock networks

NASA Astrophysics Data System (ADS)

Heiberger, Raphael H.

2018-01-01

Networks derived from stock prices are often used to model developments on financial markets and are tightly intertwined with crises. Yet, the influence of changing market topologies on the broader economy (i.e. GDP) is unclear. In this paper, we propose a Bayesian approach that utilizes individual-level network measures of companies as lagged probabilistic features to predict national economic growth. We use a comprehensive data set consisting of Standard and Poor's 500 corporations from January 1988 until October 2016. The final model forecasts correctly all major recession and prosperity phases of the U.S. economy up to one year ahead. By employing different network measures on the level of corporations, we can also identify which companies' stocks possess a key role in a changing economic environment and may be used as indication of critical (and prosperous) developments. More generally, the proposed approach allows to predict probabilities for different overall states of social entities by using local network positions and could be applied on various phenomena.

Market Reactions to Publicly Announced Privacy and Security Breaches Suffered by Companies Listed on the United States Stock Exchanges: A Comparative Empirical Investigation

ERIC Educational Resources Information Center

Coronado, Adolfo S.

2012-01-01

Using a sample of security and privacy breaches the present research examines the comparative announcement impact between the two types of events. The first part of the dissertation analyzes the impact of publicly announced security and privacy breaches on abnormal stock returns, the change in firm risk, and abnormal trading volume are measured.…

Persistent collective trend in stock markets

NASA Astrophysics Data System (ADS)

Balogh, Emeric; Simonsen, Ingve; Nagy, Bálint Zs.; Néda, Zoltán

2010-12-01

Empirical evidence is given for a significant difference in the collective trend of the share prices during the stock index rising and falling periods. Data on the Dow Jones Industrial Average and its stock components are studied between 1991 and 2008. Pearson-type correlations are computed between the stocks and averaged over stock pairs and time. The results indicate a general trend: whenever the stock index is falling the stock prices are changing in a more correlated manner than in case the stock index is ascending. A thorough statistical analysis of the data shows that the observed difference is significant, suggesting a constant fear factor among stockholders.

Stock Market Expectations of Dutch Households

PubMed Central

Hurd, Michael; van Rooij, Maarten; Winter, Joachim

2013-01-01

Despite its importance for the analysis of life-cycle behavior and, in particular, retirement planning, stock ownership by private households is poorly understood. Among other approaches to investigate this puzzle, recent research has started to elicit private households’ expectations of stock market returns. This paper reports findings from a study that collected data over a two-year period both on households’ stock market expectations (subjective probabilities of gains or losses) and on whether they own stocks. We document substantial heterogeneity in financial market expectations. Expectations are correlated with stock ownership. Over the two years of our data, stock market prices increased, and expectations of future stock market price changes also increased, lending support to the view that expectations are influenced by recent stock gains or losses. PMID:23997423

Impact of monetary policy changes on the Chinese monetary and stock markets

NASA Astrophysics Data System (ADS)

Tang, Yong; Luo, Yong; Xiong, Jie; Zhao, Fei; Zhang, Yi-Cheng

2013-10-01

The impact of monetary policy changes on the monetary market and stock market in China is investigated in this study. The changes of two major monetary policies, the interest rate and required reserve ratio, are analyzed in a study period covering seven years on the interbank monetary market and Shanghai stock market. We find that the monetary market is related to the macro economy trend and we also find that the monetary change surprises both of lowering and raising bring significant impacts to the two markets and the two markets respond to the changes differently. The results suggest that the impact of fluctuations is much larger for raising policy changes than lowering changes in the monetary market on policy announcing and effective dates. This is consistent with the “sign effect”, i.e. bad news brings a greater impact than good news. By studying the event window of each policy change, we also find that the “sign effect” still exists before and after each change in the monetary market. A relatively larger fluctuation is observed before the event date, which indicates that the monetary market might have a certain ability to predict a potential monetary change, while it is kept secret by the central bank before official announcement. In the stock market, we investigate how the returns and spreads of the Shanghai stock market index respond to the monetary changes. Evidences suggest the stock market is influenced but in a different way than the monetary market. The climbing of returns after the event dates for the lowering policy agrees with the theory that lowering changes can provide a monetary supply to boost the market and drive the stock returns higher but with a delay of 2 to 3 trading days on average. While in the bear market, the lowering policy brings larger volatility to the market on average than the raising ones. These empirical findings are useful for policymakers to understand how monetary policy changes impact the monetary and stock markets

12 CFR 925.23 - Excess stock.

Code of Federal Regulations, 2010 CFR

2010-01-01

... the form of additional shares of Bank stock or otherwise issue any excess stock. A Bank shall not issue excess stock, as a dividend or otherwise, if after the issuance, the outstanding excess stock at...

Ocean acidification may aggravate social-ecological trade-offs in coastal fisheries.

PubMed

Voss, Rudi; Quaas, Martin F; Schmidt, Jörn O; Kapaun, Ute

2015-01-01

Ocean Acidification (OA) will influence marine ecosystems by changing species abundance and composition. Major effects are described for calcifying organisms, which are significantly impacted by decreasing pH values. Direct effects on commercially important fish are less well studied. The early life stages of fish populations often lack internal regulatory mechanisms to withstand the effects of abnormal pH. Negative effects can be expected on growth, survival, and recruitment success. Here we study Norwegian coastal cod, one of the few stocks where such a negative effect was experimentally quantified, and develop a framework for coupling experimental data on OA effects to ecological-economic fisheries models. In this paper, we scale the observed physiological responses to the population level by using the experimentally determined mortality rates as part of the stock-recruitment relationship. We then use an ecological-economic optimization model, to explore the potential effect of rising CO2 concentration on ecological (stock size), economic (profits), consumer-related (harvest) and social (employment) indicators, with scenarios ranging from present day conditions up to extreme acidification. Under the assumptions of our model, yields and profits could largely be maintained under moderate OA by adapting future fishing mortality (and related effort) to changes owing to altered pH. This adaptation comes at the costs of reduced stock size and employment, however. Explicitly visualizing these ecological, economic and social tradeoffs will help in defining realistic future objectives. Our results can be generalized to any stressor (or stressor combination), which is decreasing recruitment success. The main findings of an aggravation of trade-offs will remain valid. This seems to be of special relevance for coastal stocks with limited options for migration to avoid unfavorable future conditions and subsequently for coastal fisheries, which are often small scale local

26 CFR 1.897-9T - Treatment of certain interest in publicly traded corporations, definition of foreign person, and...

Code of Federal Regulations, 2011 CFR

2011-04-01

... regulation that, if and when adopted as a final regulation will be added as new paragraphs (c)(2)(iii)(B), (k... had a fair market value greater than the fair market value on that date of 5 percent of the regularly traded class of the corporation's stock with the lowest fair market value. However, if a non-regularly...

26 CFR 1.897-9T - Treatment of certain interest in publicly traded corporations, definition of foreign person, and...

Code of Federal Regulations, 2013 CFR

2013-04-01

... dealers making a market in such interests. A broker or dealer makes a market in a class of interests only... had a fair market value greater than the fair market value on that date of 5 percent of the regularly traded class of the corporation's stock with the lowest fair market value. However, if a non-regularly...

26 CFR 1.897-9T - Treatment of certain interest in publicly traded corporations, definition of foreign person, and...

Code of Federal Regulations, 2014 CFR

2014-04-01

... dealers making a market in such interests. A broker or dealer makes a market in a class of interests only... had a fair market value greater than the fair market value on that date of 5 percent of the regularly traded class of the corporation's stock with the lowest fair market value. However, if a non-regularly...

26 CFR 1.897-9T - Treatment of certain interest in publicly traded corporations, definition of foreign person, and...

Code of Federal Regulations, 2012 CFR

2012-04-01

... dealers making a market in such interests. A broker or dealer makes a market in a class of interests only... had a fair market value greater than the fair market value on that date of 5 percent of the regularly traded class of the corporation's stock with the lowest fair market value. However, if a non-regularly...

Converting partially-stocked aspen stands to fully-stocked stands in the Lake States: an economic analysis.

Treesearch

Jeffrey T. Olson; Allen L. Lundgren

1978-01-01

The 1968 Wisconsin Forest Survey showed large areas of aspen type that are not considered fully stocked. The economic feasibility of converting partially-stocked stands to full stocking is examined, and a rule presented for determining when a partially-stocked stand should be harvested to maximize its present value.

Quantifying Trading Behavior in Financial Markets Using Google Trends

PubMed Central

Preis, Tobias; Moat, Helen Susannah; Stanley, H. Eugene

2013-01-01

Crises in financial markets affect humans worldwide. Detailed market data on trading decisions reflect some of the complex human behavior that has led to these crises. We suggest that massive new data sources resulting from human interaction with the Internet may offer a new perspective on the behavior of market participants in periods of large market movements. By analyzing changes in Google query volumes for search terms related to finance, we find patterns that may be interpreted as “early warning signs” of stock market moves. Our results illustrate the potential that combining extensive behavioral data sets offers for a better understanding of collective human behavior. PMID:23619126

Quantifying Trading Behavior in Financial Markets Using Google Trends

NASA Astrophysics Data System (ADS)

Preis, Tobias; Moat, Helen Susannah; Stanley, H. Eugene

2013-04-01

Crises in financial markets affect humans worldwide. Detailed market data on trading decisions reflect some of the complex human behavior that has led to these crises. We suggest that massive new data sources resulting from human interaction with the Internet may offer a new perspective on the behavior of market participants in periods of large market movements. By analyzing changes in Google query volumes for search terms related to finance, we find patterns that may be interpreted as ``early warning signs'' of stock market moves. Our results illustrate the potential that combining extensive behavioral data sets offers for a better understanding of collective human behavior.

Which stocks are profitable? A network method to investigate the effects of network structure on stock returns

NASA Astrophysics Data System (ADS)

Chen, Kun; Luo, Peng; Sun, Bianxia; Wang, Huaiqing

2015-10-01

According to asset pricing theory, a stock's expected returns are determined by its exposure to systematic risk. In this paper, we propose a new method for analyzing the interaction effects among industries and stocks on stock returns. We construct a complex network based on correlations of abnormal stock returns and use centrality and modularity, two popular measures in social science, to determine the effect of interconnections on industry and stock returns. Supported by previous studies, our findings indicate that a relationship exists between inter-industry closeness and industry returns and between stock centrality and stock returns. The theoretical and practical contributions of these findings are discussed.

Investors’ risk attitudes and stock price fluctuation asymmetry

NASA Astrophysics Data System (ADS)

Zhang, Yu; Li, Honggang

2011-05-01

Price rise/fall asymmetry, which indicates enduring but modest rises and sudden short-term falls, is a ubiquitous phenomenon in stock markets throughout the world. Instead of the widely used time series method, we adopt inverse statistics from turbulence to analyze this asymmetry. To explore its underlying mechanism, we build a multi-agent model with two kinds of investors, which are specifically referred to as fundamentalists and chartists. Inspired by Kahneman and Tversky’s claim regarding peoples’ asymmetric psychological responses to the equivalent levels of gains and losses, we assume that investors take different risk attitudes to gains and losses and adopt different trading strategies. The simulation results of the model developed herein are consistent with empirical work, which may support our conjecture that investors’ asymmetric risk attitudes might be one origin of rise/fall asymmetry.

Metal Trades Modules. Vocational Behavioral Objectives: A Guide for Individualizing Instruction.

ERIC Educational Resources Information Center

Westinghouse Learning Corp., New York, NY.

The curriculum guide focuses on the metal trades area at the secondary level of vocational education and industrial arts. It addresses the subject in behavioral terms, as prominent components of the career education concept. Presenting two skill modules, sheetmetal working and welding, the objectives presented are designed to be compatible with…

Evolutionary model of stock markets

NASA Astrophysics Data System (ADS)

Kaldasch, Joachim

2014-12-01

The paper presents an evolutionary economic model for the price evolution of stocks. Treating a stock market as a self-organized system governed by a fast purchase process and slow variations of demand and supply the model suggests that the short term price distribution has the form a logistic (Laplace) distribution. The long term return can be described by Laplace-Gaussian mixture distributions. The long term mean price evolution is governed by a Walrus equation, which can be transformed into a replicator equation. This allows quantifying the evolutionary price competition between stocks. The theory suggests that stock prices scaled by the price over all stocks can be used to investigate long-term trends in a Fisher-Pry plot. The price competition that follows from the model is illustrated by examining the empirical long-term price trends of two stocks.

English for International Trade: China Enters the WTO.

ERIC Educational Resources Information Center

Pang, Jixian; Zhou, Xing; Fu, Zheng

2002-01-01

Reports on a survey into the impact of China's entry into the World Trade Organization (WTO) on business professionals and college English instruction. Individuals in business and trading companies from the five cities in Ahejiang province were polled on issues related to the learning and teaching of English with reference to China's entry into…

78 FR 16351 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing of...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-03-14

..., ``Certain Types of Orders Defined,'' Rule 6.53C, ``Complex Orders on the Hybrid System,'' Rule 8.7... trades in individual NMS Stocks from occurring outside of specified price bands, as defined in Section I(N) of the Plan. These requirements would be coupled with trading pauses, as defined in Section I(Y...

International trade drives biodiversity threats in developing nations.

PubMed

Lenzen, M; Moran, D; Kanemoto, K; Foran, B; Lobefaro, L; Geschke, A

2012-06-06

Human activities are causing Earth's sixth major extinction event-an accelerating decline of the world's stocks of biological diversity at rates 100 to 1,000 times pre-human levels. Historically, low-impact intrusion into species habitats arose from local demands for food, fuel and living space. However, in today's increasingly globalized economy, international trade chains accelerate habitat degradation far removed from the place of consumption. Although adverse effects of economic prosperity and economic inequality have been confirmed, the importance of international trade as a driver of threats to species is poorly understood. Here we show that a significant number of species are threatened as a result of international trade along complex routes, and that, in particular, consumers in developed countries cause threats to species through their demand of commodities that are ultimately produced in developing countries. We linked 25,000 Animalia species threat records from the International Union for Conservation of Nature Red List to more than 15,000 commodities produced in 187 countries and evaluated more than 5 billion supply chains in terms of their biodiversity impacts. Excluding invasive species, we found that 30% of global species threats are due to international trade. In many developed countries, the consumption of imported coffee, tea, sugar, textiles, fish and other manufactured items causes a biodiversity footprint that is larger abroad than at home. Our results emphasize the importance of examining biodiversity loss as a global systemic phenomenon, instead of looking at the degrading or polluting producers in isolation. We anticipate that our findings will facilitate better regulation, sustainable supply-chain certification and consumer product labelling.

Comparison between global financial crisis and local stock disaster on top of Chinese stock network

NASA Astrophysics Data System (ADS)

Xia, Lisi; You, Daming; Jiang, Xin; Guo, Quantong

2018-01-01

The science of complex network theory can be usefully applied in many important fields, one of which is the finance. In these practical cases, a massive dataset can be represented as a very large network with certain attributes associated with its nodes and edges. As one of the most important components of financial market, stock market has been attracting more and more attention. In this paper, we propose a threshold model to build Chinese stock market networks and study the topological properties of these networks. To be specific, we compare the effects of different crises, namely the 2008 global crisis and the stock market disaster in 2015, on the threshold networks. Prices of the stocks belonging to the Shanghai and Shenzhen 300 index are considered for three periods: the global crisis, common period and the stock market disaster. We find the probability distribution of the cross-correlations of the stocks during the stock market disaster is fatter than that of others. Besides, the thresholds of cross-correlations are assigned to obtain the threshold networks and the power-law of degree distribution in these networks are observed in a certain range of threshold values. The networks during the stock market disaster also appear to have larger mean degree and modularity, which reveals the strong correlations among these stock prices. Our findings to some extent crosscheck the liquidity shortage reason which is believed to result in the outbreak of the stock market disaster. Moreover, we hope that this paper could give us a deeper understanding of the market's behavior and also lead to interesting future research about the problems of modern finance theory.

Forecasting the realized volatility of the Chinese stock market: Do the G7 stock markets help?

NASA Astrophysics Data System (ADS)

Peng, Huan; Chen, Ruoxun; Mei, Dexiang; Diao, Xiaohua

2018-07-01

In this paper, we use a comprehensive look to investigate whether the G7 stock markets can contain predictive information to help in forecasting the Chinese stock market volatility. Our out-of-sample empirical results indicate the kitchen sink (HAR-RV-SK) model is able to attain better performance than the benchmark model (HAR-RV) and other models, implying that the G7 stock markets can help in predicting the one-day volatility of the Chinese stock market. Moreover, the kitchen sink strategy can beat the strategy of the simple combination forecasts. Finally, the G7 stock markets can indeed contain useful information, which can increase the accuracy forecasts of the Chinese stock market.

17 CFR 240.15g-2 - Penny stock disclosure document relating to the penny stock market.

Code of Federal Regulations, 2013 CFR

2013-04-01

... 17 Commodity and Securities Exchanges 3 2013-04-01 2013-04-01 false Penny stock disclosure document relating to the penny stock market. 240.15g-2 Section 240.15g-2 Commodity and Securities Exchanges... Section 15(d) of the Act § 240.15g-2 Penny stock disclosure document relating to the penny stock market...

17 CFR 240.15g-2 - Penny stock disclosure document relating to the penny stock market.

Code of Federal Regulations, 2011 CFR

2011-04-01

... 17 Commodity and Securities Exchanges 3 2011-04-01 2011-04-01 false Penny stock disclosure document relating to the penny stock market. 240.15g-2 Section 240.15g-2 Commodity and Securities Exchanges... Section 15(d) of the Act § 240.15g-2 Penny stock disclosure document relating to the penny stock market...

17 CFR 240.15g-2 - Penny stock disclosure document relating to the penny stock market.

Code of Federal Regulations, 2014 CFR

2014-04-01

... 17 Commodity and Securities Exchanges 4 2014-04-01 2014-04-01 false Penny stock disclosure document relating to the penny stock market. 240.15g-2 Section 240.15g-2 Commodity and Securities Exchanges... Section 15(d) of the Act § 240.15g-2 Penny stock disclosure document relating to the penny stock market...

17 CFR 240.15g-2 - Penny stock disclosure document relating to the penny stock market.

Code of Federal Regulations, 2012 CFR

2012-04-01

... 17 Commodity and Securities Exchanges 3 2012-04-01 2012-04-01 false Penny stock disclosure document relating to the penny stock market. 240.15g-2 Section 240.15g-2 Commodity and Securities Exchanges... Section 15(d) of the Act § 240.15g-2 Penny stock disclosure document relating to the penny stock market...

An Assessment of Future Employment Opportunities for Individuals Trained in the Automotive Trades. Working Paper.

ERIC Educational Resources Information Center

California State Dept. of Employment Development, Sacramento.

The California Youth Authority (CYA) planned to offer a training program covering all aspects of the automotive trades to wards during their incarceration. Through analysis, it showed future job opportunities exist, due to increased job numbers and high turnover rate, for persons trained in the automotive trades in California over a 10-year period…

26 CFR 1.883-4 - Qualified shareholder stock ownership test.

Code of Federal Regulations, 2010 CFR

2010-04-01

... proportionate interest rules of this paragraph (c) shall apply successively upward through a chain of ownership... (including mere legal owners or recordholders acting as nominees), each intermediary in the chain of... chain of ownership through which the individual owns stock in the corporation seeking qualified foreign...

Leverage effect and its causality in the Korea composite stock price index

NASA Astrophysics Data System (ADS)

Lee, Chang-Yong

2012-02-01

In this paper, we investigate the leverage effect and its causality in the time series of the Korea Composite Stock Price Index from November of 1997 to September of 2010. The leverage effect, which can be quantitatively expressed as a negative correlation between past return and future volatility, is measured by using the cross-correlation coefficient of different time lags between the two time series of the return and the volatility. We find that past return and future volatility are negatively correlated and that the cross correlation is moderate and decays over 60 trading days. We also carry out a partial correlation analysis in order to confirm that the negative correlation between past return and future volatility is neither an artifact nor influenced by the traded volume. To determine the causality of the leverage effect within the decay time, we additionally estimate the cross correlation between past volatility and future return. With the estimate, we perform a statistical hypothesis test to demonstrate that the causal relation is in favor of the return influencing the volatility rather than the other way around.

Genetic Network Programming with Reconstructed Individuals

NASA Astrophysics Data System (ADS)

Ye, Fengming; Mabu, Shingo; Wang, Lutao; Eto, Shinji; Hirasawa, Kotaro

A lot of research on evolutionary computation has been done and some significant classical methods such as Genetic Algorithm (GA), Genetic Programming (GP), Evolutionary Programming (EP), and Evolution Strategies (ES) have been studied. Recently, a new approach named Genetic Network Programming (GNP) has been proposed. GNP can evolve itself and find the optimal solution. It is based on the idea of Genetic Algorithm and uses the data structure of directed graphs. Many papers have demonstrated that GNP can deal with complex problems in the dynamic environments very efficiently and effectively. As a result, recently, GNP is getting more and more attentions and is used in many different areas such as data mining, extracting trading rules of stock markets, elevator supervised control systems, etc., and GNP has obtained some outstanding results. Focusing on the GNP's distinguished expression ability of the graph structure, this paper proposes a method named Genetic Network Programming with Reconstructed Individuals (GNP-RI). The aim of GNP-RI is to balance the exploitation and exploration of GNP, that is, to strengthen the exploitation ability by using the exploited information extensively during the evolution process of GNP and finally obtain better performances than that of GNP. In the proposed method, the worse individuals are reconstructed and enhanced by the elite information before undergoing genetic operations (mutation and crossover). The enhancement of worse individuals mimics the maturing phenomenon in nature, where bad individuals can become smarter after receiving a good education. In this paper, GNP-RI is applied to the tile-world problem which is an excellent bench mark for evaluating the proposed architecture. The performance of GNP-RI is compared with that of the conventional GNP. The simulation results show some advantages of GNP-RI demonstrating its superiority over the conventional GNPs.

Trade and health: an agenda for action.

PubMed

Smith, Richard D; Lee, Kelley; Drager, Nick

2009-02-28

The processes of contemporary globalisation are creating ever-closer ties between individuals and populations across different countries. The health of a population, and the systems in place to deliver health care, are affected increasingly by factors beyond the population and health system. The Lancet's Series on trade and health has provided an overview of these links between international trade, trade liberalisation, and health, and raised the key issues that face the health community. In this final paper in the Series, we call for a substantial and sustained effort by those within the health profession to engage with issues of trade, to strengthen institutional capacity in this area, and to place health higher on the agenda of trade negotiations. The rapid rise of trade agreements and treaties, as well as trade that occurs beyond these institutional boundaries, means that further action is required by a range of actors, including WHO, the World Bank, the World Trade Organization (WTO), regional agencies, foundations, national governments, civil society, non-governmental organisations, and academics. The stewardship of a domestic health system in the 21st century requires a sophisticated understanding of how trade affects, and will affect, a country's health system and policy, to optimise opportunities to benefit health and health care while minimising the risks posed though the assertion of health goals in trade policy. To acheive this will place a premium on all those engaged in health to understand the importance of trade and to engage with their counterparts involved in trade and trade policy. We hope that this Series has prompted the reader to become involved in these efforts.

Trade and health: an agenda for action

PubMed Central

Smith, Richard D; Lee, Kelley; Drager, Nick

2009-01-01

The processes of contemporary globalisation are creating ever-closer ties between individuals and populations across different countries. The health of a population, and the systems in place to deliver health care, are affected increasingly by factors beyond the population and health system. The Lancet’s Series on trade and health has provided an overview of these links between international trade, trade liberalisation, and health, and raised the key issues that face the health community. In this final paper in the Series, we call for a substantial and sustained effort by those within the health profession to engage with issues of trade, to strengthen institutional capacity in this area, and to place health higher on the agenda of trade negotiations. The rapid rise of trade agreements and treaties, as well as trade that occurs beyond these institutional boundaries, means that further action is required by a range of actors, including WHO, the World Bank, the World Trade Organization (WTO), regional agencies, foundations, national governments, civil society, non-governmental organisations, and academics. The stewardship of a domestic health system in the 21st century requires a sophisticated understanding of how trade affects, and will affect, a country’s health system and policy, to optimise opportunities to benefit health and health care while minimising the risks posed though the assertion of health goals in trade policy. To acheive this will place a premium on all those engaged in health to understand the importance of trade and to engage with their counterparts involved in trade and trade policy. We hope that this Series has prompted the reader to become involved in these efforts. PMID:19167056

Expanding our understanding of the trade in marine aquarium animals.

PubMed

Rhyne, Andrew L; Tlusty, Michael F; Szczebak, Joseph T; Holmberg, Robert J

2017-01-01

The trade of live marine animals for home and public aquaria has grown into a major global industry. Millions of marine fishes and invertebrates are removed from coral reefs and associated habitats each year. The majority are imported into the United States, with the remainder sent to Europe, Japan, and a handful of other countries. Despite the recent growth and diversification of the aquarium trade, to date, data collection is not mandatory, and hence comprehensive information on species volume and diversity is lacking. This lack of information makes it impossible to study trade pathways. Without species-specific volume and diversity data, it is unclear how importing and exporting governments can oversee this industry effectively or how sustainability should be encouraged. To expand our knowledge and understanding of the trade, and to effectively communicate this new understanding, we introduce the publically-available Marine Aquarium Biodiversity and Trade Flow online database (https://www.aquariumtradedata.org/). This tool was created to communicate the volume and diversity of marine fishes and/or invertebrates imported into the US over three complete years (2008, 2009, and 2011) and three partial years (2000, 2004, 2005). To create this tool, invoices pertaining to shipments of live marine fishes and invertebrates were scanned and analyzed for species name, species quantities, country of origin, port of entry, and city of import destination. Here we focus on the analysis of the later three years of data and also produce an estimate for the entirety of 2000, 2004, and 2005. The three-year aggregate totals (2008, 2009, 2011) indicate that just under 2,300 fish and 725 invertebrate species were imported into the US cumulatively, although just under 1,800 fish and 550 invertebrate species were traded annually. Overall, the total number of live marine animals decreased between 2008 and 2011. In 2008, 2009, and 2011, the total number of individual fish (8.2, 7.3, and

Expanding our understanding of the trade in marine aquarium animals

PubMed Central

Tlusty, Michael F.; Szczebak, Joseph T.; Holmberg, Robert J.

2017-01-01

The trade of live marine animals for home and public aquaria has grown into a major global industry. Millions of marine fishes and invertebrates are removed from coral reefs and associated habitats each year. The majority are imported into the United States, with the remainder sent to Europe, Japan, and a handful of other countries. Despite the recent growth and diversification of the aquarium trade, to date, data collection is not mandatory, and hence comprehensive information on species volume and diversity is lacking. This lack of information makes it impossible to study trade pathways. Without species-specific volume and diversity data, it is unclear how importing and exporting governments can oversee this industry effectively or how sustainability should be encouraged. To expand our knowledge and understanding of the trade, and to effectively communicate this new understanding, we introduce the publically-available Marine Aquarium Biodiversity and Trade Flow online database (https://www.aquariumtradedata.org/). This tool was created to communicate the volume and diversity of marine fishes and/or invertebrates imported into the US over three complete years (2008, 2009, and 2011) and three partial years (2000, 2004, 2005). To create this tool, invoices pertaining to shipments of live marine fishes and invertebrates were scanned and analyzed for species name, species quantities, country of origin, port of entry, and city of import destination. Here we focus on the analysis of the later three years of data and also produce an estimate for the entirety of 2000, 2004, and 2005. The three-year aggregate totals (2008, 2009, 2011) indicate that just under 2,300 fish and 725 invertebrate species were imported into the US cumulatively, although just under 1,800 fish and 550 invertebrate species were traded annually. Overall, the total number of live marine animals decreased between 2008 and 2011. In 2008, 2009, and 2011, the total number of individual fish (8.2, 7.3, and

Detecting anomalous traders using multi-slice network analysis

NASA Astrophysics Data System (ADS)

Sun, Xiao-Qian; Shen, Hua-Wei; Cheng, Xue-Qi; Zhang, Yuqing

2017-05-01

Manipulation is an important issue for both developed and emerging stock markets. Many efforts have been made to detect manipulation in stock market. However, it is still an open problem to identify the fraudulent traders, especially when they collude with each other. In this paper, we focus on the problem of identifying anomalous traders using the transaction data of 8 manipulated stocks and 42 non-manipulated stocks during a one-year period. For each stock, we construct a multi-slice trading network to characterize the daily trading behavior and the cross-day participation of each trader. Comparing the multi-slice trading network of manipulated stocks and non-manipulated stocks with their randomized version, we find that manipulated stocks exhibit high number of trader pairs that trade with each other in multiple days and high deviation from randomized network at correlation between trading frequency and trading activity. These findings are effective at distinguishing manipulated stocks from non-manipulated ones and at identifying anomalous traders.

A hybrid neurogenetic approach for stock forecasting.

PubMed

Kwon, Yung-Keun; Moon, Byung-Ro

2007-05-01

In this paper, we propose a hybrid neurogenetic system for stock trading. A recurrent neural network (NN) having one hidden layer is used for the prediction model. The input features are generated from a number of technical indicators being used by financial experts. The genetic algorithm (GA) optimizes the NN's weights under a 2-D encoding and crossover. We devised a context-based ensemble method of NNs which dynamically changes on the basis of the test day's context. To reduce the time in processing mass data, we parallelized the GA on a Linux cluster system using message passing interface. We tested the proposed method with 36 companies in NYSE and NASDAQ for 13 years from 1992 to 2004. The neurogenetic hybrid showed notable improvement on the average over the buy-and-hold strategy and the context-based ensemble further improved the results. We also observed that some companies were more predictable than others, which implies that the proposed neurogenetic hybrid can be used for financial portfolio construction.

Managing the marine aquarium trade: revealing the data gaps using ornamental polychaetes.

PubMed

Murray, Joanna M; Watson, Gordon J; Giangrande, Adriana; Licciano, Margherita; Bentley, Matt G

2012-01-01

The marine aquarium industry has great potential to generate jobs in low-income coastal communities creating incentives for the maintenance of a healthy coral reef, if effectively managed. In the absence of current monitoring or legislation to govern the trade, baseline information regarding the species, number and source location of animals traded is missing despite being critical for its successful management and sustainability. An industry assessment to establish the number and provenance of species of ornamental polychaetes (sabellids and serpulids) traded was undertaken across UK wholesalers and retailers. Six geographical regions exporting fan worms were identified. Singapore contributed the highest percentage of imports, but of only one worm "type" whereas Bali, the second largest source, supplied five different worm "types". Over 50% of UK retailers were supplied by one wholesaler while the remainder were stocked by a mixture of one other wholesaler and/or direct imports from the source country. We estimate that up to 18,500 ornamental polychaetes (16,980 sabellids and 1,018 serpulids) are sold annually in the UK revealing a drastic underestimation of currently accepted trade figures. Incorrect identification (based on exporting region or visual characteristics) of traded animals exacerbates the inaccuracy in market quantification, although identification of preserved sabellids using published keys proved just as inconclusive with high within-species variability and the potential for new or cryptic species. A re-description of the polychaete groups traded using a combination of molecular and morphological techniques is necessary for effective identification and market quantification. This study provides the first assessment of ornamental polychaetes but more importantly highlights the issues surrounding the collection of baseline information necessary to manage the aquarium trade. We recommend that future management should be community based and site

Regional-Scale Declines in Productivity of Pink and Chum Salmon Stocks in Western North America

PubMed Central

Malick, Michael J.; Cox, Sean P.

2016-01-01

Sockeye salmon (Oncorhynchus nerka) stocks throughout the southern part of their North American range have experienced declines in productivity over the past two decades. In this study, we tested the hypothesis that pink (O. gorbuscha) and chum (O. keta) salmon stocks have also experienced recent declines in productivity by investigating temporal and spatial trends in productivity of 99 wild North American pink and chum salmon stocks. We used a combination of population dynamics and time series models to quantify individual stock trends as well as common temporal trends in pink and chum salmon productivity across local, regional, and continental spatial scales. Our results indicated widespread declines in productivity of wild chum salmon stocks throughout Washington (WA) and British Columbia (BC) with 81% of stocks showing recent declines in productivity, although the exact form of the trends varied among regions. For pink salmon, the majority of stocks in WA and BC (65%) did not have strong temporal trends in productivity; however, all stocks that did have trends in productivity showed declining productivity since at least brood year 1996. We found weaker evidence of widespread declines in productivity for Alaska pink and chum salmon, with some regions and stocks showing declines in productivity (e.g., Kodiak chum salmon stocks) and others showing increases (e.g., Alaska Peninsula pink salmon stocks). We also found strong positive covariation between stock productivity series at the regional spatial scale for both pink and chum salmon, along with evidence that this regional-scale positive covariation has become stronger since the early 1990s in WA and BC. In general, our results suggest that common processes operating at the regional or multi-regional spatial scales drive productivity of pink and chum salmon stocks in western North America and that the effects of these process on productivity may change over time. PMID:26760510

“Price-Quakes” Shaking the World's Stock Exchanges

PubMed Central

Andersen, Jørgen Vitting; Nowak, Andrzej; Rotundo, Giulia; Parrott, Lael; Martinez, Sebastian

2011-01-01

Background Systemic risk has received much more awareness after the excessive risk taking by major financial instituations pushed the world's financial system into what many considered a state of near systemic failure in 2008. The IMF for example in its yearly 2009 Global Financial Stability Report acknowledged the lack of proper tools and research on the topic. Understanding how disruptions can propagate across financial markets is therefore of utmost importance. Methodology/Principal Findings Here, we use empirical data to show that the world's markets have a non-linear threshold response to events, consistent with the hypothesis that traders exhibit change blindness. Change blindness is the tendency of humans to ignore small changes and to react disproportionately to large events. As we show, this may be responsible for generating cascading events—pricequakes—in the world's markets. We propose a network model of the world's stock exchanges that predicts how an individual stock exchange should be priced in terms of the performance of the global market of exchanges, but with change blindness included in the pricing. The model has a direct correspondence to models of earth tectonic plate movements developed in physics to describe the slip-stick movement of blocks linked via spring forces. Conclusions/Significance We have shown how the price dynamics of the world's stock exchanges follows a dynamics of build-up and release of stress, similar to earthquakes. The nonlinear response allows us to classify price movements of a given stock index as either being generated internally, due to specific economic news for the country in question, or externally, by the ensemble of the world's stock exchanges reacting together like a complex system. The model may provide new insight into the origins and thereby also prevent systemic risks in the global financial network. PMID:22073168

The History of Makassan Trepang Fishing and Trade

PubMed Central

Schwerdtner Máñez, Kathleen; Ferse, Sebastian C. A.

2010-01-01

The Malayan term trepang describes a variety of edible holothurians commonly known as sea cucumbers. Although found in temperate and tropical marine waters all over the world, the centre of species diversity and abundance are the shallow coastal waters of Island Southeast Asia. For at least 300 years, trepang has been a highly priced commodity in the Chinese market. Originally, its fishing and trade was a specialized business, centred on the town of Makassar in South Sulawesi (Indonesia). The rise of trepang fishing in the 17th century added valuable export merchandize to the rich shallow seas surrounding the islands of Southeast Asia. This enabled local communities to become part of large trading networks and greatly supported their economic development. In this article, we follow Makassan trepang fishing and trading from its beginning until the industrialization of the fishery and worldwide depletion of sea cucumbers in the 20th century. Thereby, we identify a number of characteristics which trepang fishing shares with the exploitation of other marine resources, including (1) a strong influence of international markets, (2) the role of patron-client relationships which heavily influence the resource selection, and (3) the roving-bandit-syndrome, where fishermen exploit local stocks of valuable resources until they are depleted, and then move to another area. We suggest that understanding the similarities and differences between historical and recent exploitation of marine resources is an important step towards effective management solutions. PMID:20613871

The history of Makassan trepang fishing and trade.

PubMed

Schwerdtner Máñez, Kathleen; Ferse, Sebastian C A

2010-06-29

The Malayan term trepang describes a variety of edible holothurians commonly known as sea cucumbers. Although found in temperate and tropical marine waters all over the world, the centre of species diversity and abundance are the shallow coastal waters of Island Southeast Asia. For at least 300 years, trepang has been a highly priced commodity in the Chinese market. Originally, its fishing and trade was a specialized business, centred on the town of Makassar in South Sulawesi (Indonesia). The rise of trepang fishing in the 17(th) century added valuable export merchandize to the rich shallow seas surrounding the islands of Southeast Asia. This enabled local communities to become part of large trading networks and greatly supported their economic development. In this article, we follow Makassan trepang fishing and trading from its beginning until the industrialization of the fishery and worldwide depletion of sea cucumbers in the 20(th) century. Thereby, we identify a number of characteristics which trepang fishing shares with the exploitation of other marine resources, including (1) a strong influence of international markets, (2) the role of patron-client relationships which heavily influence the resource selection, and (3) the roving-bandit-syndrome, where fishermen exploit local stocks of valuable resources until they are depleted, and then move to another area. We suggest that understanding the similarities and differences between historical and recent exploitation of marine resources is an important step towards effective management solutions.

Can investor sentiment be used to predict the stock price? Dynamic analysis based on China stock market

NASA Astrophysics Data System (ADS)

Guo, Kun; Sun, Yi; Qian, Xin

2017-03-01

With the development of the social network, the interaction between investors in stock market became more fast and convenient. Thus, investor sentiment which can influence their investment decisions may be quickly spread and magnified through the network, and to a certain extent the stock market can be affected. This paper collected the user comments data from a popular professional social networking site of China stock market called Xueqiu, then the investor sentiment data can be obtained through semantic analysis. The dynamic analysis on relationship between investor sentiment and stock market is proposed based on Thermal Optimal Path (TOP) method. The results show that the sentiment data was not always leading over stock market price, and it can be used to predict the stock price only when the stock has high investor attention.

12 CFR 225.103 - Bank holding company acquiring stock by dividends, stock splits or exercise of rights.

Code of Federal Regulations, 2011 CFR

2011-01-01

... dividends, stock splits or exercise of rights. 225.103 Section 225.103 Banks and Banking FEDERAL RESERVE... holding company acquiring stock by dividends, stock splits or exercise of rights. (a) The Board of... bank stock splits without the Board's prior approval, and whether such a company may exercise, without...

12 CFR 225.103 - Bank holding company acquiring stock by dividends, stock splits or exercise of rights.

Code of Federal Regulations, 2012 CFR

2012-01-01

... dividends, stock splits or exercise of rights. 225.103 Section 225.103 Banks and Banking FEDERAL RESERVE... holding company acquiring stock by dividends, stock splits or exercise of rights. (a) The Board of... bank stock splits without the Board's prior approval, and whether such a company may exercise, without...

12 CFR 225.103 - Bank holding company acquiring stock by dividends, stock splits or exercise of rights.

Code of Federal Regulations, 2010 CFR

2010-01-01

... dividends, stock splits or exercise of rights. 225.103 Section 225.103 Banks and Banking FEDERAL RESERVE... holding company acquiring stock by dividends, stock splits or exercise of rights. (a) The Board of... bank stock splits without the Board's prior approval, and whether such a company may exercise, without...

Power-law tails in the distribution of order imbalance

NASA Astrophysics Data System (ADS)

Zhang, Ting; Gu, Gao-Feng; Xu, Hai-Chuan; Xiong, Xiong; Chen, Wei; Zhou, Wei-Xing

2017-10-01

We investigate the probability distribution of order imbalance calculated from the order flow data of 43 Chinese stocks traded on the Shenzhen Stock Exchange. Two definitions of order imbalance are considered based on the order number and the order size. We find that the order imbalance distributions of individual stocks have power-law tails. However, the tail index fluctuates remarkably from stock to stock. We also investigate the distributions of aggregated order imbalance of all stocks at different timescales Δt. We find no clear trend in the tail index with respect Δt. All the analyses suggest that the distributions of order imbalance are asymmetric.

Do stock prices drive people crazy?

PubMed

Lin, Chung-Liang; Chen, Chin-Shyan; Liu, Tsai-Ching

2015-03-01

This is the first research to examine a potential relation between stock market volatility and mental disorders. Using data on daily incidences of mental disorders in Taiwan over 4000 days from 1998 through 2009 to assess the time-series relation between stock price movements and mental disorders, we observe that stock price fluctuation clearly affects the hospitalization of mental disorders. We find that during a 12-year follow-up period, a low stock price index, a daily fall in the stock price index and consecutive daily falls in the stock price index are all associated with greater of mental disorders hospitalizations. A 1000-point fall in the TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) increases the number of daily mental disorders hospitalizations by 4.71%. A 1% fall in the TAIEX in one single day increases daily hospitalizations for mental disorders by 0.36%. When the stock price index falls one consecutive day, it causes a daily increase of approximately 0.32% hospitalizations due to mental disorders on that day. Stock price index is found to be significant for both gender and all age groups. In addition, daily change is significant for both gender and middle-age groups, whereas accumulated change is significant for males and people aged 45-64. Stockholdings can help people accumulate wealth, but they can also increase mental disorders hospitalizations. In other words, stock price fluctuations do drive people crazy. Published by Oxford University Press in association with The London School of Hygiene and Tropical Medicine © The Author 2014; all rights reserved.

Growth and contribution of stocked channel catfish, Ictalurus punctatus (Rafinesque, 1818): the importance of measuring post-stocking performance

USGS Publications Warehouse