Are Price-Earnings Ratios Mean Reverting? An Empirical Study

Mean reversion in stock prices is a highly studied area in the financial literature with controversial findings. While some economists have found evidence of mean reverting processes in stock prices, many argue in favor of the Efficient Market Hypothesis which states stock prices are random walk processes. This paper seeks to add to the literature on mean reversion but testing for evidence in price-earnings ratios rather than stock prices. The study employs a robust regression model controlling for company-specific and general market factors that influence price-earnings ratio deviations. After correcting for heteroskedasticity, serial correlation, and unit root processes, the results indicate mean reverting behavior does exist in US equities from 2008- 2017 and mean reversion in price-earnings ratios may occur more quickly than mean reversion of stock prices. The outcome of this paper also implies some level of endogeneity in the Three-Factor-Model proposed by Fama and French (1992)

Efficient parameter search for qualitative models of regulatory networks using symbolic model checking

Investigating the relation between the structure and behavior of complex biological networks often involves posing the following two questions: Is a hypothesized structure of a regulatory network consistent with the observed behavior? And can a proposed structure generate a desired behavior? Answering these questions presupposes that we are able to test the compatibility of network structure and behavior. We cast these questions into a parameter search problem for qualitative models of regulatory networks, in particular piecewise-affine differential equation models. We develop a method based on symbolic model checking that avoids enumerating all possible parametrizations, and show that this method performs well on real biological problems, using the IRMA synthetic network and benchmark experimental data sets. We test the consistency between the IRMA network structure and the time-series data, and search for parameter modifications that would improve the robustness of the external control of the system behavior

Heavy-Tailed Features and Empirical Analysis of the Limit Order Book Volume Profiles in Futures Markets

This paper poses a few fundamental questions regarding the attributes of the volume profile of a Limit Order Books stochastic structure by taking into consideration aspects of intraday and interday statistical features, the impact of different exchange features and the impact of market participants in different asset sectors. This paper aims to address the following questions: 1. Is there statistical evidence that heavy-tailed sub-exponential volume profiles occur at different levels of the Limit Order Book on the bid and ask and if so does this happen on intra or interday time scales ? 2.In futures exchanges, are heavy tail features exchange (CBOT, CME, EUREX, SGX and COMEX) or asset class (government bonds, equities and precious metals) dependent and do they happen on ultra-high (<1sec) or mid-range (1sec -10min) high frequency data? 3.Does the presence of stochastic heavy-tailed volume profile features evolve in a manner that would inform or be indicative of market participant behaviors, such as high frequency algorithmic trading, quote stuffing and price discovery intra-daily? 4. Is there statistical evidence for a need to consider dynamic behavior of the parameters of models for Limit Order Book volume profiles on an intra-daily time scale ? Progress on aspects of each question is obtained via statistically rigorous results to verify the empirical findings for an unprecedentedly large set of futures market LOB data. The data comprises several exchanges, several futures asset classes and all trading days of 2010, using market depth (Type II) order book data to 5 levels on the bid and ask