Cross-Autocorrelation of Dual-Listed Stock Portfolio Returns: Evidence from the Chinese Stock Market

In this paper, we apply a GARCH model to examine the cross-autocorrelation pattern between daily returns of portfolios composed of dual-listed stocks in Chinese stock market, before and after China opened its once foreign-exclusive B-share market. A lead-lag relationship between the A-share and B-share portfolio returns is identified during our sample periods, with the A-share portfolio leading the B-share portfolio. Upon the opening of B-share market, a change from underreaction to overreaction is found in the response pattern of B-share market, producing a rarely seen negative cross-autocorrelation. The results of two additional tests are reported. First, by decomposing the portfolio return into portfolio-specific and market-wide returns, we find that the market-wide information contained in A-share portfolio return is strongly associated with the cross-autocorrelation structure. Second, we document a directional asymmetry in which B-share portfolio shows either slow or over response to bad, but not good, news of A-share portfolio. We conclude that information asymmetry alone is not enough to explain the lead-lag relationship, and investor behavior must be taken into considerationCross-Autocorrelation, Segmented Stock Markets, Dual-Listed Stocks, Market-Wide and Portfolio-Specific Information.

Herd behavior towards the market index: Evidence from 21 financial markets

This paper uses the cross-sectional variance of the betas to study herd behavior towards the market index in major developed and emerging financial markets (categorized as Developed group, Asian group, and Latin American group). We propose a robust regression technique to calculate the betas of the CAPM and those of the Fama-French three-factor model, with to the aim of diminishing the impact of multivariate outliers in return data. Through the estimated values obtained from a state space model, we examine the evolution of herding measures, especially their pattern around sudden events such as the 1997-1998 financial crises. This 1997-1998 turmoil turns out to have formed a turning point for most of the financial markets. We document a higher level of herding in emerging markets than in developed markets. We also find that the correlation of herding is higher between two markets from the same group than between two markets from different groups. This paper sheds light on the calculation of beta and on the financial policy to understand the dynamics of herding in financial markets.Herding; Outlier; Robust Regression; Cycle;

Dynamic analysis of constrained object motion for mechanical transfer of live products

This thesis is motivated by practical problems encountered in handling live products in the poultry processing industry, where live birds are manually transferred by human labors. As the task of handling live products is often unpleasant and hazardous, it is an ideal candidate for automation. To reduce the number of configurations and live birds to be tested, this thesis focuses on developing analytical models based on the Lagrange method to predict the effect of mechanical inversion on the shackled bird. Unlike prior research which focused on the effect of different inversion paths on the joint force/torque of a free-falling shackled bird, this thesis research examines the effect of kinematic constraints (designed to support the bird body) on the shackled bird. Unlike free-falling, the imposed kinematic constraints enable the shackled bird to rotate about its center of mass, and thus minimize wing flapping. In this thesis, birds are geometrically approximated as ellipsoids while the lower extremity is modeled as a pair of multi-joint serial manipulators. With the constraint equations formulated into a set of differential algebraic equations, the equations of motion as well as Lagrange multipliers characterizing kinematical constraints are numerically solved for the bird motion, specifically the position, velocity, and orientation and hence the forces and torques of the joints. The dynamic models are verified by comparing simulation results against those obtained using a finite element method. The outcomes of this thesis will provide some intuitive insights essential to design optimization of a live-bird transfer system.M.S.Committee Chair: Kok-Meng Lee; Committee Member: Bruce Webster; Committee Member: Shreyes Melkot

Tracking by Animation: Unsupervised Learning of Multi-Object Attentive Trackers

Online Multi-Object Tracking (MOT) from videos is a challenging computer vision task which has been extensively studied for decades. Most of the existing MOT algorithms are based on the Tracking-by-Detection (TBD) paradigm combined with popular machine learning approaches which largely reduce the human effort to tune algorithm parameters. However, the commonly used supervised learning approaches require the labeled data (e.g., bounding boxes), which is expensive for videos. Also, the TBD framework is usually suboptimal since it is not end-to-end, i.e., it considers the task as detection and tracking, but not jointly. To achieve both label-free and end-to-end learning of MOT, we propose a Tracking-by-Animation framework, where a differentiable neural model first tracks objects from input frames and then animates these objects into reconstructed frames. Learning is then driven by the reconstruction error through backpropagation. We further propose a Reprioritized Attentive Tracking to improve the robustness of data association. Experiments conducted on both synthetic and real video datasets show the potential of the proposed model. Our project page is publicly available at: https://github.com/zhen-he/tracking-by-animationComment: CVPR 201

Existence and Global Attractivity of Positive Periodic Solutions for a Two-Species Competitive System with Stage Structure and Impulse

A class of nonautonomous two-species competitive system with stage structure and impulse is considered. By using the continuation theorem of coincidence degree theory, we derive a set of easily verifiable sufficient conditions that guarantee the existence of at least a positive periodic solution, and, by constructing a suitable Lyapunov functional, the uniqueness and global attractivity of the positive periodic solution are presented. Finally, an illustrative example is given to demonstrate the correctness of the obtained results

Patterns of de novo metastasis and survival outcomes by age in breast cancer patients: a SEER population-based study

BackgroundThe role of age in metastatic disease, including breast cancer, remains obscure. This study was conducted to determine the role of age in patients with de novo metastatic breast cancer.MethodsBreast cancer patients diagnosed with distant metastases between 2010 and 2019 were retrieved from the Surveillance, Epidemiology, and End Results database. Comparisons were performed between young (aged ≤ 40 years), middle-aged (41–60 years), older (61–80 years), and the oldest old (> 80 years) patients. Adjusted hazard ratios (aHRs) and 95% confidence intervals (CIs) were estimated using multivariate Cox proportional hazard models. Survival analysis was performed by the Kaplan–Meier method.ResultsThis study included 24155 (4.4% of all patients) de novo metastatic breast cancer patients. The number of young, middle-aged, older, and the oldest old patients were 195 (8.3%), 9397 (38.9%), 10224 (42.3%), and 2539 (10.5%), respectively. The 5-year OS rate was highest in the young (42.1%), followed by middle-aged (34.8%), older (28.3%), and the oldest old patients (11.8%). Multivariable Cox regression analysis showed that middle-aged (aHR, 1.18; 95% CI, 1.10–1.27), older (aHR, 1.42; 95% CI, 1.32–1.52), and the oldest old patients (aHR, 2.15; 95% CI, 1.98–2.33) had worse OS than young patients. Consistently, middle-aged (aHR, 1.16; 95% CI, 1.08–1.25), older (aHR, 1.32; 95% CI, 1.23–1.43), and the oldest old patients (aHR, 1.86; 95% CI, 1.71–2.03) had worse BCSS than young patients.ConclusionThis study provided clear evidence that de novo metastatic breast cancer had an age-specific pattern. Age was an independent risk factor for mortality in patients with de novo metastatic breast cancer