9,702 research outputs found
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
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