Using Simpson's Paradox to Discover Interesting Patterns in Behavioral Data

We describe a data-driven discovery method that leverages Simpson's paradox to uncover interesting patterns in behavioral data. Our method systematically disaggregates data to identify subgroups within a population whose behavior deviates significantly from the rest of the population. Given an outcome of interest and a set of covariates, the method follows three steps. First, it disaggregates data into subgroups, by conditioning on a particular covariate, so as minimize the variation of the outcome within the subgroups. Next, it models the outcome as a linear function of another covariate, both in the subgroups and in the aggregate data. Finally, it compares trends to identify disaggregations that produce subgroups with different behaviors from the aggregate. We illustrate the method by applying it to three real-world behavioral datasets, including Q\&A site Stack Exchange and online learning platforms Khan Academy and Duolingo.Comment: Proceedings of the 12th International Conference on Web and Social Medi

More than one way to see it: Individual heuristics in avian visual computation

Comparative pattern learning experiments investigate how different species find regularities in sensory input, providing insights into cognitive processing in humans and other animals. Past research has focused either on one species’ ability to process pattern classes or different species’ performance in recognizing the same pattern, with little attention to individual and species-specific heuristics and decision strategies. We trained and tested two bird species, pigeons (Columba livia) and kea (Nestor notabilis, a parrot species), on visual patterns using touch-screen technology. Patterns were composed of several abstract elements and had varying degrees of structural complexity. We developed a model selection paradigm, based on regular expressions, that allowed us to reconstruct the specific decision strategies and cognitive heuristics adopted by a given individual in our task. Individual birds showed considerable differences in the number, type and heterogeneity of heuristic strategies adopted. Birds’ choices also exhibited consistent species-level differences. Kea adopted effective heuristic strategies, based on matching learned bigrams to stimulus edges. Individual pigeons, in contrast, adopted an idiosyncratic mix of strategies that included local transition probabilities and global string similarity. Although performance was above chance and quite high for kea, no individual of either species provided clear evidence of learning exactly the rule used to generate the training stimuli. Our results show that similar behavioral outcomes can be achieved using dramatically different strategies and highlight the dangers of combining multiple individuals in a group analysis. These findings, and our general approach, have implications for the design of future pattern learning experiments, and the interpretation of comparative cognition research more generally

Short-term Overreaction in the Finnish Stock Market

The purpose of the thesis is to find if there is evidence of the directional effect of a short-term overreaction hypothesis in the Finnish stock market. If the effect is found, it is assumed to disappear in a study window of five days as implication of the market efficiency. Data consist of returns of stocks traded in the Large Cap and Mid Cap lists of Helsinki Stock Exchange OMX during years 2002 - 2007. The method is to separate the stocks, with daily return of a ±10 % or over to porfolios of winners and losers and study the price reactions in the first day and in the days 2, 3, 4 and 5 after the initial return of ±10 % or over. The result of the study is, that there is a difference in the behavior of a prior winner portfolio in contrast to a prior loser portfolio: a prior losers become winners in the first day after the initial return and vice versa. This is similar with the overreaction hypothesis. The average return of a day 1 after the -10 % or more return is 1,2 %. The average return of a day 1 after the +10 % return is - 0,5 %. The difference is 1,7 %. Approximately the same difference is found between the losers and winners if the data is smoothed by rejecting 10 pieces of the most extreme findings of both portfolios. During the days 2, 3 ,4 and 5 there cannot be seen a pattern like this in the returns of either loser of winner portfolios. That´s why there cannot be formed a trading strategy based on the results of the study.fi=Opinnäytetyö kokotekstinä PDF-muodossa.|en=Thesis fulltext in PDF format.|sv=Lärdomsprov tillgängligt som fulltext i PDF-format

Long-only momentum investing in the Helsinki Stock Exchange

This thesis investigates long-only momentum investing in the Helsinki Stock Exchange during the period 2012-2022. Typically, in momentum-related research the performance of losers is evaluated as well, and then short sell these stocks. Momentum has been a popular research topic within the field of finance since the 1990s’ when Jegadeesh and Titman presented their results from the US market. Since then, momentum has been a subject of research in many markets across the globe. The Finnish market has been a subject of research as well, but the amount of research is smaller than in many other market areas. However, the results from the Finnish market indicate that momentum investing can be a profitable strategy. Taking only long positions in the winner stocks may be a more realistic approach to the Finnish market. The Finnish market includes many stocks with small market values and low trading volumes. Therefore, shorting of such stocks may not be possible. Long-only momentum investing has been able to generate returns that have exceeded the index returns for instance in India. This thesis investigates the Finnish stock market between 2012-2022. All the listed stocks are considered when the momentum portfolios are constructed. The stock returns are monitored based on the returns from 2, 5, or 12 months. One month will be excluded. Then the portfolios are held for 3 months or 6 months. The returns are compared to the performance of the OMXH index. The results indicate that certain momentum strategies are more useful than others. Strategies with 5-month measurement periods produce results that should be most interesting for investors. Furthermore, previous academic research indicates that these returns are not entirely random. However, the achieved results are not statistically significant. In addition, the risk-adjusted returns of each long-only momentum strategy are not able to exceed the OMXH index performance.Tämä pro gradu -tutkielma tutkii momentum sijoittamista vain ostamisen näkökulmasta. Usein momentum-sijoittamisessa tarkastellaan myös huonommin suoriutuneiden osakkeiden tuottoja ja myydään näitä osakkeita lyhyeksi. Momentum-sijoittaminen on ollut suosittu tutkimuksen aihe rahoituksen alalla 1990-luvulta lähtien. Jegadeeshin ja Titmanin 1990-luvun alun momentum-tuottoja käsitellyttä tutkimusta on seurannut ilmiön tutkiminen useilla eri markkinoilla ympäri maailmaa. Suomen osakemarkkinoita on tutkittu myös, mutta laajuus on pienempää kuin monien muiden markkinoiden osalta. Tulokset Suomen osakemarkkinoilta ovat silti osoittaneet momentum-sijoittamisen toimivan tuottavana strategiana. Pelkkään voittajaosakkeiden ostamiseen keskittyvää strategiaa voi pitää realistisempana strategiana Suomen markkinoille. Suomen markkinoilla on lukuisia osakkeita, joiden kaupankäyntivolyymit ja markkina-arvot ovat pieniä. Tästä johtuen osakkeiden lyhyeksi myyminen ei välttämättä ole realistista. Vain voittajaosakkeiden ostamiseen keskittyvä strategia on kuitenkin tuottanut indeksisijoittamista paremmin esimerkiksi Intian osakemarkkinoilla. Tämä tutkielma tarkastelee Suomen osakemarkkinaa vuosien 2012 ja 2022 välillä. Kaikkia Helsingin pörssiin listattuja osakkeita tarkastellaan, kun momentum-portfolioita rakennetaan. Osakkeiden tuottoja tarkastellaan edellisen kahden, viiden tai 12 kuukauden perusteella. Yksi kuukausi jätetään huomiotta tarkasteluperiodin jälkeen, jonka jälkeen voittajaosakkeiden parasta desiiliä omistetaan joko kolmen tai kuuden kuukauden ajan. Strategioiden tuottoja verrataan OMXH-indeksin tuottoihin. Tutkimuksen tulokset osoittavat, että osa momentum-strategioista toimii paremmin kuin toiset. viiden kuukauden mittausperiodi tuottaa tuloksia, jotka ovat sijoittajien kannalta mielenkiintoisimpia. Myös aiempi akateeminen tutkimus osoittaa tämän ajanjakson toimivuutta. Toisaalta, tuottojen tilastollinen merkitsevyys on heikkoa. OMXH-indeksin tuotot ovat myös riskikorjattuna paremmat kuin yhdelläkään momentum-strategialla

The indelible power of the intraverbal: Expanding the intraverbal repertoire and utilizing conditioned praise words to decrease problem behaviors of typically developing students in schools

This study tested a disciplinary strategy that aimed at teaching students positive behaviors to decrease (or eliminate) problem behavior at school. In this study, data of five disruptive students from a middle school in South Texas were analyzed to evaluate the outcomes of the disciplinary strategy implemented by a disciplinary program facilitator at the campus. Students were conditioned to be more receptive to particular praise words related to positive thinking, and ten teachers at the campus were trained to deliver the conditioned praise words when the students expressed positive behaviors that corresponded with the conditioned praise words. Positive thinking celerated for all students with differential reinforcement. Moreover, the students engaged in problem behaviors less, and positive behaviors increased after commencing treatment with the conditioned praise words

Construction of time preference: an investigation of the role of elicitation method in experimental elicitation of time preference.

The idea of preference reversal and construction of preference is not new to literature in decision making. Indeed, several theories have been developed to explain it. (Lichtenstein and Slovic, 2006). The present paper considers heuristics activated in different elicitation procedures applied in time preference research. I show that activation of these rules in correspondence with different elicitation methods leads to observation of a particular pattern most frequently reported in time preference literature: hyperbolic discounting. In particular, I analyze two most diffused elicitation procedures, matching task and two variations of choice task in multiple price list format (MPL). In a series of experiments I demonstrate that matching task is characterized by choice of focal amounts and anchoring to previously reported amount. At the same time, choice in MPL format largely depends on the structure of the list from which the choice is made. I study two widely used structures of MPL choice task format: (a) MPL with nominal structure (Green et al, 1997), where choice alternatives correspond to the same nominal amounts that are available at different time horizons; (b) MPL with interest rate structure (Coller and Williams, 1999), in which monetary alternatives at each time horizon in consideration are constructed as increases corresponding to a fixed interest rate. Although these two elicitation structures activate similar decision processes they lead to observation of qualitatively different results that are in large part defined by the underlying structure of the list of alternatives. I show that matching task and MPL with nominal structure lead to observation of hyperbolic evidence, that could be of different kinds depending on the structure of MPL table. At the same time, elicitation with MPL with interest rate structure leads to observation of rather stable time preference that can be well approximated by exponential discounting.decision making; time preference; elicitation procedures

Construction of time preference: an investigation of the role of elicitation method in experimental elicitation of time preference.

The idea of preference reversal and construction of preference is not new to literature in decision making. Indeed, several theories have been developed to explain it. (Lichtenstein and Slovic, 2006). The present paper considers heuristics activated in different elicitation procedures applied in time preference research. I show that activation of these rules in correspondence with different elicitation methods leads to observation of a particular pattern most frequently reported in time preference literature: hyperbolic discounting. In particular, I analyze two most diffused elicitation procedures, matching task and two variations of choice task in multiple price list format (MPL). In a series of experiments I demonstrate that matching task is characterized by choice of focal amounts and anchoring to previously reported amount. At the same time, choice in MPL format largely depends on the structure of the list from which the choice is made. I study two widely used structures of MPL choice task format: (a) MPL with nominal structure (Green et al, 1997), where choice alternatives correspond to the same nominal amounts that are available at different time horizons; (b) MPL with interest rate structure (Coller and Williams, 1999), in which monetary alternatives at each time horizon in consideration are constructed as increases corresponding to a fixed interest rate. Although these two elicitation structures activate similar decision processes they lead to observation of qualitatively different results that are in large part defined by the underlying structure of the list of alternatives. I show that matching task and MPL with nominal structure lead to observation of hyperbolic evidence, that could be of different kinds depending on the structure of MPL table. At the same time, elicitation with MPL with interest rate structure leads to observation of rather stable time preference that can be well approximated by exponential discounting.

Large share price movements, reasons and market reaction

The objective of this paper is to examine the reasons of firm-level one-day share price shocks and post -shock reaction. Positive and negative shocks are defined and detected by using the official news providers, which are required to disclose price-sensitive information. No information that accompanied one-day share price shocks was found. It is suggested that irrational behavior by uninformed investors drives the stock market returns. The reaction to these large price movements has been investigated as part of the overreaction hypothesis and the results were supportive of short-term price reversal in the case of price declines

The effects of information, feedback, and goal-setting on electricity consumption in the home

M.S.C. Michael Yor