Envelope Word and Gap Sequence in Doubling Sequence

Let $\omega$ be a factor of Doubling sequence $D_\infty=x_1x_2\cdots$, then it occurs in the sequence infinitely many times. Let $\omega_p$ be the $p$-th occurrence of $\omega$ and $G_p(\omega)$ be the gap between $\omega_p$ and $\omega_{p+1}$. In this paper, we discuss the structure of the gap sequence $\{G_p(\omega)\}_{p\geq1}$. We prove that all factors can be divided into two types, one type has exactly two distinct gaps $G_1(\omega)$ and $G_2(\omega)$, the other type has exactly three distinct gaps $G_1(\omega)$, $G_2(\omega)$ and $G_4(\omega)$. We determine the expressions of gaps completely. And also give the substitution of each gap sequence. The main tool in this paper is "envelope word", which is a new notion, denoted by $E_{m,i}$. As an application, we determine the positions of all $\omega_p$, discuss some combinatorial properties of factors, and count the distinct squares beginning in $D_\infty[1,N]$ for $N\geq1$.Comment: 14 pages, 7 figures. arXiv admin note: text overlap with arXiv:1408.372

Do momentum and reversal strategies work in commodity futures? A comprehensive study

Purpose Motivated by the debate on the patterns and sources of commodity futures returns, this paper investigates the performance of three investment trading strategies, namely, the momentum strategy of Jegadeesh and Titman (1993), the 52-week high momentum strategy of George and Hwang (2004) and the pairs trading strategy of Gatev et al. (2006) in the commodity futures market. Design/methodology/approach The three strategies are those given by Jegadeesh and Titman (1993), George and Hwang (2004) and Gatev et al. (2006), respectively. Findings The authors find that there is no significant reversal profit across 189 formation-holding windows for all the three strategies. However, there are statistical and economically significant momentum profits, and the profitability increases with the rising of formation-holding periods. Momentum returns are quite sensitive to market conditions but the crash of momentum returns is partly predictable. Return seasonality, risk and herding also provide partial explanation of the momentum profits. Originality/value The authors are the first to compare the performances of the pairs trading strategy of Gatev et al. (2006), the conventional momentum of Jegadeesh and Titman (1993), and the 52-week high momentum of George and Hwang (2004) under 189 formation-holding windows. Also, the authors are the first to investigate the association between herding behaviour and momentum returns in the commodity futures market

The performance of technical trading rules in Socially Responsible Investments

This study is the first to examine the performance of technical trading in tradeable Socially Responsible Investment (SRI) indices. We employ a number of popular trend-following and mean-reverting technical trading rules and find that trend-following technical trading rules offer very little predictive power or significant returns to investors. However the mean-reverting technical trading rules do offer significant returns, even after controlling for data-snooping, risk, transaction costs and out-of-sample testing. Therefore our results add to the literature by showing that mean-reverting technical trading rules offer substantial predictive power in SRI indices, but traditional trend-following rules offer very little predictive power

Quantitative modelling of UK housing prices

PhD ThesisThis thesis investigates the value of housing which is a specific group of investment assets and a major component of household wealth for the UK, in particular the primary valuation drivers of the UK housing prices, by using quantitative modelling. Understanding the primary valuation drivers of housing prices will make market participants aware of the size of their risk exposure and can help them to detect early signals of the possibility of investment opportunities. Policy-makers can use information about the underlying valuation drivers of the house prices to stabilize the market. This thesis contributes to literature both methodologically and empirically. This thesis proposes a three-step theoretical framework for studying the drivers of housing prices. The rationale is that people make investment decisions by studying the underlying costs and benefits. Additionally, people respond to expectations under the given behaviour rules, which refer to the institutions in place. There are a series of empirical findings. Firstly, the classical fixed parameter models are poor in terms of robustness, especially the regression coefficient changes in both magnitude and sign over samples. The time varying coefficients indicate the possibility of institutional changes and the changes in expectations. Secondly, the thesis supports the bounded rationality expectation hypothesis implying that the UK housing bubbles reflect people’s biased expectations. The UK house prices were undervalued from 1996Q1 to 2002Q4; and thereafter overvalued. As a proportion, the bubble ranges from -52% to 27.4% in log scale. Thirdly, the thesis empirically supports that the UK housing market experiences both fast-moving and slow-moving institutional changes over previous decades. Fourthly, the thesis does not support the feedback theory. Overall, the three-step theoretical framework is empirically supported. Through a series of institutional changes, people’s biased expectations are playing a far more important role in driving the UK house prices than the fundamentals

Is Bitcoin a hedge or safe haven for currencies? An intraday analysis

Bitcoin has attracted a wealth of attention in the media and by investors alike and this paper investigates whether Bitcoin can act as a hedge or safe haven against world currencies. Contrary to previous studies, we assess the relationship between Bitcoin and currencies at the hourly frequency since Bitcoin experiences quite large volatility throughout the day. We employ an ADCC model and find that Bitcoin can be an intraday hedge for the CHF, EUR and GBP, but acts as a diversifier for the AUD, CAD and JPY. We also implement the non-temporal Hansen (2000) test to examine the safe haven properties of Bitcoin and find that Bitcoin is a safe haven during periods of extreme market turmoil for the CAD, CHF and GBP. Therefore our results indicate that Bitcoin does act as an intraday hedge, diversifier and safe haven for certain currencies, which will be of great interest to currency, cryptocurrency and high-frequency investors alike

On the investment value of sell-side analyst recommendation revisions in the UK

This study conducts a comprehensive investigation into the investment value of sell-side analyst recommendation revisions in the UK, using a unique dataset from 1995 to 2013. Our rolling window analysis shows that, on average, upgrades fail to generate any significantly positive abnormal returns in any period of time, even before transaction costs. In addition, although downgrades could generate significantly negative abnormal gross returns over some periods of time, these observed significant returns disappear after accounting for transaction costs. Overall, our bootstrapping simulations confirm sell-side analysts’ lack of skill in making valuable up/downward revisions to cover the size of transaction costs, irrespective of whether these revisions are made by high-ranking brokerage houses or not. However, an industry-based analysis shows that, within two high-tech industry sectors, i.e., Health Care and Technology sectors, sell-side analysts possess certain skill in making valuable downgrades over some periods of time and, in particular, such skill is sufficient to offset transaction costs