Portfolio recallocation and exchange rate dynamics

This empirical paper aims to review a previous literature entitles “Portfolio Reallocation and Exchange Rate Dynamics”. The literature stated that including financial market structure can provide a micro-foundation to complement other macro-based models for exchange rate dynamics which typically are meaningful for the medium and long terms but not satisfactory for the short run. The model in the literature offers another way to look at exchange rate dynamics that is significant in the short run and more practical in nature. Undoubtedly, many investors in the financial market, such as traders, dealers, fund managers, and speculators who adjust their portfolio components more frequently relative other investors, are interested in their short-run performance and value any strong models in explaining relationships among different financial variables. Reviewing the previous findings done several years ago is to ensure the validity of the proposed model and is needed as the financial market and economic conditions change from time to time, particularly in the current era. Therefore, this paper tries to replicate the approach adopted in the literature and covers the period subsequent to it. As this is a short empirical paper, however, some of the operations will be cut down and simplified with a few assumptions while maintaining the principal concepts as much as possible

A Short Survey on Data Clustering Algorithms

With rapidly increasing data, clustering algorithms are important tools for data analytics in modern research. They have been successfully applied to a wide range of domains; for instance, bioinformatics, speech recognition, and financial analysis. Formally speaking, given a set of data instances, a clustering algorithm is expected to divide the set of data instances into the subsets which maximize the intra-subset similarity and inter-subset dissimilarity, where a similarity measure is defined beforehand. In this work, the state-of-the-arts clustering algorithms are reviewed from design concept to methodology; Different clustering paradigms are discussed. Advanced clustering algorithms are also discussed. After that, the existing clustering evaluation metrics are reviewed. A summary with future insights is provided at the end

Falling chains

The one-dimensional fall of a folded chain with one end suspended from a rigid support and a chain falling from a resting heap on a table is studied. Because their Lagrangians contain no explicit time dependence, the falling chains are conservative systems. Their equations of motion are shown to contain a term that enforces energy conservation when masses are transferred between subchains. We show that Cayley's 1857 energy nonconserving solution for a chain falling from a resting heap is incorrect because it neglects the energy gained when a transferred link leaves a subchain. The maximum chain tension measured by Calkin and March for the falling folded chain is given a simple if rough interpretation. Other aspects of this falling folded chain are briefly discussed.Comment: 9 pages, 1 figure; the Abstract has been shortened, three paragraphs have been re-written for greater clarity, and textual improvements have been made throughout the paper; to be published by the Am. J. Physic

New Variance Ratio Tests to Identify Random Walk from the General Mean Reversion Model

We develop some properties on the autocorrelation of the k-period returns for the general mean reversion (GMR) process in which the stationary component is not restricted to the AR(l) process but take the form of a general ARMA process. We then derive some properties of the GMR process and three new non-parametric tests comparing the relative variability of returns over different horizons to validate the GMR process as an alternative to random walk. We further examine the asymptotic properties of these tests which can then be applied to identify random walk models from the GMR processes.mean reversion, variance ratio test, random walk, stock price, stock return