Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias

In the finance literature, statistical inferences for large-scale testing problems usually suffer from data snooping bias. In this paper we extend the "superior predictive ability" (SPA) test of Hansen (2005, JBES) to a stepwise SPA test that can identify predictive models without potential data snooping bias. It is shown analytically and by simulations that the stepwise SPA test is more powerful than the stepwise Reality Check test of Romano and Wolf (2005, Econometrica). We then apply the proposed test to examine the predictive ability of technical trading rules based on the data of growth and emerging market indices and their exchange traded funds (ETFs). It is found that technical trading rules have significant predictive power for these markets, yet such evidence weakens after the ETFs are introduced. © 2009.preprin

Cognitive Profiles and Education of Female Cyber Defence Operators

acceptedVersionpublishedVersio

The role of metacognition in self-critical rumination: an investigation in individuals presenting with low self-esteem

Background: No research, to date, has directly investigated the role of metacognition in self-critical rumination and low self-esteem. Aim: To investigate the presence of metacognitive beliefs about self-critical rumination; the goal of self-critical rumination and its stop signal; and the degree of detachment from intrusive self-critical thoughts. Method: Ten individuals reporting both a self-acknowledged tendency to judge themselves critically and having low self-esteem were assessed using metacognitive profiling, a semi-structured interview. Results: All participants endorsed both positive and negative metacognitive beliefs about self-critical rumination. Positive metacognitive beliefs concerned the usefulness of self-critical rumination as a means of improving cognitive performance and enhancing motivation. Negative metacognitive beliefs concerned the uncontrollability of self-critical rumination and its negative impact on mood, motivation and perception of self-worth. The primary goal of engaging in self-critical rumination was to achieve a better or clearer understanding of a given trigger situation or to feel more motivated to resolve it. However, only four participants were able to identify when this goal had been achieved, which was if the trigger situation were not to occur again. Participants unanimously stated that they were either unable to detach from their self-critical thoughts or could do so some of the time with varying degrees of success. More often than not, though, self-critical thoughts were viewed as facts, would rarely be seen as distorted or biased, and could take hours or days to dissipate. Conclusions: These findings provide preliminary evidence that specific facets of metacognition play a role in the escalation and perseveration of self-critical rumination

Intolerance of uncertainty and mental wellbeing: serial mediation by rumination and fear of COVID-19

The novel coronavirus-2019 (COVID-19) pandemic has become globally widespread with millions of confirmed cases and many countries implementing various levels of quarantine. Therefore, it is important to investigate the psychological consequences of this process, given the unique situation that has been experienced globally. Therefore, the present study examined whether intolerance of uncertainty was related to mental wellbeing and whether this relationship was mediated by rumination and fear of COVID-19. The sample comprised 1772 Turkish individuals (aged between 18 and 73 years) from 79 of 81 cities in Turkey, who completed measures of mental wellbeing, intolerance of uncertainty, rumination, and fear of COVID-19. Results of serial mediation analyses showed that intolerance of uncertainty had a significant direct effect on mental wellbeing. Rumination and fear of COVID-19, in combination, serially mediated the association between intolerance of uncertainty and mental wellbeing. The findings are discussed within the framework of the psychological consequences of the COVID-19 pandemic and related literature

Performance Maximization of Actively Managed Funds

Ratios that indicate the statistical significance of a fund's alpha typically appraise its performance. A growing literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets or trading frequently can significantly enhance performance ratios. This paper derives the performance-maximizing strategy - a variant of buy-write - and the least upper bound on such performance enhancement, thereby showing that if common equity indexes are used as benchmarks, the potential performance enhancement from trading frequently is usually negligible. The enhancement from holding options can be substantial if the implied volatilities of the options are higher than the volatilities of the benchmark returns

Mechanism of the Very Efficient Quenching of Tryptophan Fluorescence in Human γD- and γS-Crystallins: The γ-Crystallin Fold May Have Evolved To Protect Tryptophan Residues from Ultraviolet Photodamage†

Proteins exposed to UV radiation are subject to irreversible photodamage through covalent modification of tryptophans (Trps) and other UV-absorbing amino acids. Crystallins, the major protein components of the vertebrate eye lens that maintain lens transparency, are exposed to ambient UV radiation throughout life. The duplicated β-sheet Greek key domains of β- and γ-crystallins in humans and all other vertebrates each have two conserved buried Trps. Experiments and computation showed that the fluorescence of these Trps in human γD-crystallin is very efficiently quenched in the native state by electrostatically enabled electron transfer to a backbone amide [Chen et al. (2006) Biochemistry 45, 11552−11563]. This dispersal of the excited state energy would be expected to minimize protein damage from covalent scission of the excited Trp ring. We report here both experiments and computation showing that the same fast electron transfer mechanism is operating in a different crystallin, human γS-crystallin. Examination of solved structures of other crystallins reveals that the Trp conformation, as well as favorably oriented bound waters, and the proximity of the backbone carbonyl oxygen of the n − 3 residues before the quenched Trps (residue n), are conserved in most crystallins. These results indicate that fast charge transfer quenching is an evolved property of this protein fold, probably protecting it from UV-induced photodamage. This UV resistance may have contributed to the selection of the Greek key fold as the major lens protein in all vertebrates.National Eye Institute (Grant EY 015834

The effects of cognitive-behavioural therapy on mood-related ruminative response style in depressed adolescents

<p>Abstract</p> <p>Background</p> <p>A mood-related ruminative response style increases the risk of onset and persistence of depression. This preliminary study investigated whether, in depressed adolescents, cognitive-behaviour therapy reduces mood-related ruminative response style. Whether specific factors within the rumination scale were differentially affected by CBT is also reported.</p> <p>Methods</p> <p>26 depressed adolescents were randomised to receiving serotonin-specific reuptake inhibitor antidepressants (SSRI) plus psychosocial treatment as usual or SSRI and psychosocial treatment as usual plus CBT. Ruminative response style and depressive symptoms were measured at baseline and after 30 weeks of treatment, with the Responses to Depression Questionnaire and Mood and Feelings Questionnaire.</p> <p>Results</p> <p>There were significantly greater reductions in ruminations in the CBT group compared to the non-CBT group (<it>p </it>= .002). There was no significant difference in the reduction in self-reported depressive symptoms between the groups. Rumination was reduced to levels of never-depressed controls in adolescents who had recovered from depression and received CBT. There were greater falls in the CBT group in the more pathological 'brooding' factor of rumination.</p> <p>Conclusion</p> <p>These findings suggest that adding CBT to SSRI medication in the presence of active clinical care causes a greater reduction in mood-related ruminative response style in depressed adolescents. This may reduce the risk of future relapse.</p> <p>Trial registration</p> <p>Current Controlled Trials ISRCNT83809224.</p

Redirecting research efforts on the diversification-performance linkage: The search for synergy

We review the literature on the diversification-performance (D-P) relationship to a) propose that the time is ripe for a renewed attack on understanding the relationship between diversification and firm performance, and b) outline a new approach to attacking the question. Our paper makes four main contributions. First, through a review of the literature we establish the inherent complexities in the D-P relationship and the methodological challenges confronted by the literature in reaching its current conclusion of a non-linear relationship between diversification and performance. Second, we argue that to better guide managers the literature needs to develop along a complementary path – whereas past research has often focused on answering the big question of does diversification affect firm performance, this second path would focus more on identifying the precise micro-mechanisms through which diversification adds or subtracts value. Third, we outline a new approach to the investigation of this topic, based on (a) identifying the precise underlying mechanisms through which diversification affects performance; (b) identifying performance outcomes that are “proximate” to the mechanism that the researcher is studying, and (c) identifying an appropriate research design that can enable a causal claim. Finally, we outline a set of directions for future research