Testing the significance of calendar effects

This paper studies tests of calendar effects in equity returns. It is necessary to control for all possible calendar effects to avoid spurious results. The authors contribute to the calendar effects literature and its significance with a test for calendar-specific anomalies that conditions on the nuisance of possible calendar effects. Thus, their approach to test for calendar effects produces robust data-mining results. Unfortunately, attempts to control for a large number of possible calendar effects have the downside of diminishing the power of the test, making it more difficult to detect actual anomalies. The authors show that our test achieves good power properties because it exploits the correlation structure of (excess) returns specific to the calendar effect being studied. We implement the test with bootstrap methods and apply it to stock indices from Denmark, France, Germany, Hong Kong, Italy, Japan, Norway, Sweden, the United Kingdom, and the United States. Bootstrap p-values reveal that calendar effects are significant for returns in most of these equity markets, but end-of-the-year effects are predominant. It also appears that, beginning in the late 1980s, calendar effects have diminished except in small-cap stock indices.

Model confidence sets for forecasting models

The paper introduces the model confidence set (MCS) and applies it to the selection of forecasting models. An MCS is a set of models that is constructed so that it will contain the “best” forecasting model, given a level of confidence. Thus, an MCS is analogous to a confidence interval for a parameter. The MCS acknowledges the limitations of the data so that uninformative data yield an MCS with many models, whereas informative data yield an MCS with only a few models. We revisit the empirical application in Stock and Watson (1999) and apply the MCS procedure to their set of inflation forecasts. In the first pre-1984 subsample we obtain an MCS that contains only a few models, notably versions of the Solow-Gordon Phillips curve. On the other hand, the second post-1984 subsample contains little information and results in a large MCS. Yet, the random walk forecast is not contained in the MCS for either of the samples. This outcome shows that the random walk forecast is inferior to inflation forecasts based on Phillips curve-like relationships.

Predictors of performance on the Reading the Mind in the Eyes Test

We explored factors associated with performance on the Reading the Mind in the Eyes Test (RMET). 180 undergraduate students completed the human RMET requiring forced-choice mental state judgment; a control human Age Eyes Test (AET) requiring age judgment; a Cat Eyes Test (CET) requiring mental state judgment; and measures of executive function, empathy and psychopathology. Versions of the CET and AET were created that matched the RMET for difficulty (accuracy 71%). RMET and CET performance were strongly correlated after accounting for AET performance. Working memory, schizotypal personality and empathy predicted RMET accuracy but not CET scores. Liking dogs predicted higher accuracy on all eyes tasks, whereas liking cats predicted greater mentalizing but reduced emotional expression. Importantly, we replicated our core findings relating to accuracy and correlations between the CET and RMET in a second sample of 228 students. In conclusion, people can apply similar skills when interpreting cat and human expressions. As RMET and CET performance were found to be differentially affected by executive function and psychopathology, the use of social cognitive measures featuring non-human animals may be of particular use in future clinical research

Resting state morphology predicts the effect of theta burst stimulation in false belief reasoning:ventrolateral prefrontal cortex in false belief reasoning

When required to represent a perspective that conflicts with one's own, functional magnetic resonance imaging (fMRI) suggests that the right ventrolateral prefrontal cortex (rvlPFC) supports the inhibition of that conflicting self-perspective. The present task dissociated inhibition of self-perspective from other executive control processes by contrasting belief reasoning-a cognitive state where the presence of conflicting perspectives was manipulated-with a conative desire state wherein no systematic conflict existed. Linear modeling was used to examine the effect of continuous theta burst stimulation (cTBS) to rvlPFC on participants' reaction times in belief and desire reasoning. It was anticipated that cTBS applied to rvlPFC would affect belief but not desire reasoning, by modulating activity in the Ventral Attention System (VAS). We further anticipated that this effect would be mediated by functional connectivity within this network, which was identified using resting state fMRI and an unbiased model-free approach. Simple reaction-time analysis failed to detect an effect of cTBS. However, by additionally modeling individual measures from within the stimulated network, the hypothesized effect of cTBS to belief (but, importantly, not desire) reasoning was demonstrated. Structural morphology within the stimulated region, rvlPFC, and right temporoparietal junction were demonstrated to underlie this effect. These data provide evidence that inconsistencies found with cTBS can be mediated by the composition of the functional network that is being stimulated. We suggest that the common claim that this network constitutes the VAS explains the effect of cTBS to this network on false belief reasoning. Hum Brain Mapp, 2016. © 2016 Wiley Periodicals, Inc

Molecular Hydrodynamics: Vortex Formation and Sound Wave Propagation

In the present study, quantitative feasibility tests of the hydrodynamic description of a two-dimensional fluid at the molecular level are performed, both with respect to length and time scales. Using high-resolution fluid velocity data obtained from extensive molecular dynamics simulations, we computed the transverse and longitudinal components of the velocity field by the Helmholtz decomposition and compared them with those obtained from the linearized Navier-Stokes (LNS) equations with time-dependent transport coefficients. By investigating the vortex dynamics and the sound wave propagation in terms of these field components, we confirm the validity of the LNS description for times comparable to or larger than several mean collision times. The LNS description still reproduces the transverse velocity field accurately at smaller times, but it fails to predict characteristic patterns of molecular origin visible in the longitudinal velocity field. Based on these observations, we validate the main assumptions of the mode-coupling approach. The assumption that the velocity autocorrelation function can be expressed in terms of the fluid velocity field and the tagged particle distribution is found to be remarkably accurate even for times comparable to or smaller than the mean collision time. This suggests that the hydrodynamic-mode description remains valid down to the molecular scale