Profitability of contrarian strategies in the Chinese stock market

This paper reexamines the profitability of loser, winner and contrarian portfolios in the Chinese stock market using monthly data of all stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange covering the period from January 1997 to December 2012. We find evidence of short-term and long-term contrarian profitability in the whole sample period when the estimation and holding horizons are 1 month or longer than 12 months and the annualized returns of contrarian portfolios increases with the estimation and holding horizons. We perform subperiod analysis and find that the long-term contrarian effect is significant in both bullish and bearish states while the short-term contrarian effect disappears in bullish states. We compare the performance of contrarian portfolios based on different grouping manners in the estimation period and unveil that decile grouping outperforms quintile grouping and tertile grouping, which is more evident and robust in the long run. Generally, loser portfolios and winner portfolios have positive returns and loser portfolios perform much better than winner portfolios. Both loser and winner portfolios in bullish states perform better than those in the whole sample period. In contrast, loser and winner portfolios have smaller returns in bearish states in which loser portfolio returns are significant only in the long term and winner portfolio returns become insignificant. These results are robust to the one-month skipping between the estimation and holding periods and for the two stock exchanges. Our findings show that the Chinese stock market is not efficient in the weak form. These findings also have obvious practical implications for financial practitioners.Comment: 24 pages (including 4 figures and 9 tables) + 5 supplementary figures + 10 supplementary table

Time-varying return predictability in the Chinese stock market

China's stock market is the largest emerging market all over the world. It is widely accepted that the Chinese stock market is far from efficiency and it possesses possible linear and nonlinear dependence. We study the predictability of returns in the Chinese stock market by employing the wild bootstrap automatic variance ratio test and the generalized spectral test. We find that the return predictability vary over time and significant return predictability is observed around market turmoils. Our findings are consistent with the Adaptive Markets Hypothesis and have practical implications for market participants.Comment: 11 Latex pages including 2 figures and 1 tabl

Locate QCD Critical End Point in a Continuum Model Study

With a modified chemical potential dependent effective model for the gluon propagator, we try to locate the critical end point (CEP) of strongly interacting matter in the framework of Dyson-Schwinger equations (DSE). Beyond the chiral limit, we find that Nambu solution and Wigner solution could coexist in some area. Using the CornwallJackiw-Tomboulis (CJT) effective action, we show that these two phases are connected by a first order phase transition. We then locate CEP as the end point of the first order phase transition line. Meanwhile, based on CJT effective action, we give a direct calculation for the chiral susceptibility and thereby study the crossover.Comment: 9 pages, 7 figures; Version published in JHE

Geometric effects of a quarter of corrugated torus

In the spirit of the thin-layer quantization scheme, we give the effective Shr\"{o}dinger equation for a particle confined to a corrugated torus, in which the geometric potential is substantially changed by corrugation. We find the attractive wells reconstructed by the corrugation not being at identical depths, which is strikingly different from that of a corrugated nanotube, especially in the inner side of the torus. By numerically calculating the transmission probability, we find that the resonant tunneling peaks and the transmission gaps are merged and broadened by the corrugation of the inner side of torus. These results show that the quarter corrugated torus can be used not only to connect two tubes with different radiuses in different directions, but also to filter the particles with particular incident~energies.Comment: 7 pages, 8 figure

Jaeger: A Concatenation-Based Multi-Transformer VQA Model

Document-based Visual Question Answering poses a challenging task between linguistic sense disambiguation and fine-grained multimodal retrieval. Although there has been encouraging progress in document-based question answering due to the utilization of large language and open-world prior models\cite{1}, several challenges persist, including prolonged response times, extended inference durations, and imprecision in matching. In order to overcome these challenges, we propose Jaegar, a concatenation-based multi-transformer VQA model. To derive question features, we leverage the exceptional capabilities of RoBERTa large\cite{2} and GPT2-xl\cite{3} as feature extractors. Subsequently, we subject the outputs from both models to a concatenation process. This operation allows the model to consider information from diverse sources concurrently, strengthening its representational capability. By leveraging pre-trained models for feature extraction, our approach has the potential to amplify the performance of these models through concatenation. After concatenation, we apply dimensionality reduction to the output features, reducing the model's computational effectiveness and inference time. Empirical results demonstrate that our proposed model achieves competitive performance on Task C of the PDF-VQA Dataset. If the user adds any new data, they should make sure to style it as per the instructions provided in previous sections.Comment: This paper is the technical research paper of CIKM 2023 DocIU challenges. The authors received the CIKM 2023 DocIU Winner Award, sponsored by Google, Microsoft, and the Centre for data-driven geoscienc