66 research outputs found
Genetic programming optimization for a sentiment feedback strength based trading strategy
This study is motivated by the empirical findings that news and social me-
dia Twitter messages (tweets) exhibit persistent predictive power on financial
market movement. Based on the evidence that tweets are faster than news in
revealing new market information, whereas news is regarded broadly a more
reliable source of information than tweets, we propose a superior trading strat-
egy based on the sentiment feedback strength between the news and tweets
using generic programming optimization method. The key intuition behind
this feedback strength based approach is that the joint momentum of the two
sentiment series leads to significant market signals, which can be exploited to
generate superior trading profits. With the trade-off between information speed
and its reliability, this study aims to develop an optimal trading strategy us-
ing investors' sentiment feedback strength with the objective to maximize risk
adjusted return measured by the Sterling ratio. We find that the sentiment feed-
back based strategies yield superior market returns with low maximum draw-
down over the period from 2012 to 2015. In comparison, the strategies based on
the sentiment feedback indicator generate over 14.7% Sterling ratio compared
with 10.4% and 13.6% from the technical indicator-based strategies and the ba-
sic buy-and-hold strategy respectively. After considering transaction costs, the sentiment indicator based strategy outperforms the technical indicator based
strategy consistently. Backtesting shows that the advantage is statistically significant. The result suggests that the sentiment feedback indicator provides
support in controlling loss with lower maximum drawdown
Influence of charge carriers on corrugation of suspended graphene
Electronic degrees of freedom are predicted to play a significant role in mechanics of two-dimensional crystalline membranes. Here we show that appearance of charge carriers may cause a considerable impact on suspended graphene corrugation, thus leading to additional mechanism resulting in charge carriers mobility variation with their density. This finding may account for some details of suspended graphene conductivity dependence on its doping level and suggests that proper modeling of suspended graphene-based device properties must include the influence of charge carriers on its surface corrugation
GEO-6 assessment for the pan-European region
Through this assessment, the authors and the United Nations Environment Programme (UNEP) secretariat are providing an objective evaluation and analysis of the pan-European environment designed to support environmental decision-making at multiple scales. In this assessment, the judgement of experts is applied to existing knowledge to provide scientifically credible answers to policy-relevant questions. These questions include, but are not limited to the following:• What is happening to the environment in the pan-European region and why?• What are the consequences for the environment and the human population in the pan-European region?• What is being done and how effective is it?• What are the prospects for the environment in the future?• What actions could be taken to achieve a more sustainable future?<br/
Essays on emerging financial markets
The objective of this dissertation is to examine the development of emerging financial markets. The dissertation consists of three essays. The first essay is a theoretical analysis of different trading arrangements in emerging markets. The second essay is an empirical investigation of the Russian foreign exchange market at its high in 1993-1994. Finally, the third essay is a set of actual directions on setting up efficient capital markets in an emerging economy given the economic theory, empirical evidence, and feasible choices
Securities transaction taxes and financial markets
Abstract We consider the impact of transaction taxes on financial markets in the context of four questions. How important is trading? What causes price volatility? How are prices formed? How valuable is the volume of transactions? Drawing on the literature on market microstructure, asset pricing, rational expectations and international finance, we argue that securities transaction taxes "throw sand" not in the wheels, but into the engine of financial markets. We conclude that transaction taxes can have negative effects on price discovery, volatility, and liquidity and lead to a reduction in the informational efficiency of markets
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