Testing The Adaptive Efficiency Of U.S. Stock Markets: A Genetic Programming Approach

Genetic programming is employed to develop trading rules, which are applied to test the efficient market hypothesis. Most previous tests of the efficient market hypothesis were limited to trading rules that returned simple buy-sell signals. The broader approach taken here, developed under a framework consistent with the standard portfolio model, allows use of trading rules that are defined as the proportion of an investor’s total wealth invested into the risky asset (rather than being a simple buy-sell signal). The methodology uses average utility of terminal wealth as the fitness function, as a means of adjusting returns for risk. With data on daily stock prices from 1985 to 2005, the algorithm finds trading rules for 24 individual stocks. These rules then are applied to out-of-sample data to test adaptive efficiency of these markets. Applying more stringent thresholds to choose the trading rules to be applied out-of-sample (an extension of previous research) improves out-of-sample fitness; however, the rules still do not outperform the simple buy-and-hold strategy. These findings therefore imply that the 24 stock markets studied were adaptively efficient during the period under study

An Exact Solution for the Lattice Gas Model in One Dimension

A simple method to obtain a canonical partition function for one dimensional lattice gas model is presented. The simplification is based upon rewriting a sum over all possible configurations to a sum over numbers of clusters in the system.Comment: 6 pages, LaTe

Effects of simulated foliage and root herbivory on growth, reproduction, and insect damage of three annual plant species

Call number: LD2668 .T4 BIOL 1987 S64Master of ScienceBiolog

A demand-driven approach for a multi-agent system in Supply Chain Management

This paper presents the architecture of a multi-agent decision support system for Supply Chain Management (SCM) which has been designed to compete in the TAC SCM game. The behaviour of the system is demand-driven and the agents plan, predict, and react dynamically to changes in the market. The main strength of the system lies in the ability of the Demand agent to predict customer winning bid prices - the highest prices the agent can offer customers and still obtain their orders. This paper investigates the effect of the ability to predict customer order prices on the overall performance of the system. Four strategies are proposed and compared for predicting such prices. The experimental results reveal which strategies are better and show that there is a correlation between the accuracy of the models' predictions and the overall system performance: the more accurate the prediction of customer order prices, the higher the profit. © 2010 Springer-Verlag Berlin Heidelberg

Rapid resilience: Use of discussion circles in the time of covid-19

This paper describes the successful use of Discussion Circles to support student learning and promote continuing student engagement when our previously hybrid delivery MLS program courses were forced to move to entirely online delivery in Spring 2020 due to COVID-19. Although Discussion Circles, or literature circles as they are sometimes called, are not a new pedagogical technique, the use to which we put them in this unique situation is worthy of note, as are the outcomes of their use. Outcomes are described and observations are shared from the perspective of faculty both experienced in and new to hybrid course delivery and the use of Discussion Circles as well as the student experience of Discussion Circles

Orientational Disorder in Sodium Cadmium Trifluoride Trihydrate, NaCdF3·3H2O

Attempts to synthesize the hypothetical anhydrous fluoroperovskite NaCdF3, which has been predicted to be stable, resulted instead in a hydrated fluoride of nominal composition NaCdF3·3H2O. It decomposes to sodium fluoride, cadmium fluoride, and water at 60 °C. Its structure has been determined by single-crystal X-ray diffraction. Na0.92(2)Cd1.08F3.08·2.92H2O crystallizes in the cubic space group with a = 8.2369(4) Å and Z = 4. The structure is based on the NaSbF6-type (an ordered variant of the ReO3-type) and features tilted sodium- and cadmium-centred octahedra that are linked by shared vertices to form a three-dimensional network. Substitutional disorder occurs on the nonmetal site, which is occupied by both F and O atoms, and on one of the metal sites, which is occupied by 92% Na and 8% Cd. A four-fold orientational disorder of the tilted octahedra is manifested as partial occupancy (25%) of the nonmetal site. A scheme to synthesize the anhydrous fluoride is presented