The state of the market and the contrarian strategy: Evidence from China’s stock market

This is the author's accepted manuscript. The final published article is available from the link below. Copyright @ 2012 The Chinese Economic Association.Using the most comprehensive weekly dataset of ‘A’ shares listed on the Chinese stock market, this paper examines short-term contrarian strategies under different market states from 1995–2010. We find statistically significant profits from contrarian strategies, especially during the period after 2007, when China (along with other countries) experienced an economic downturn following the worldwide financial crisis. Our empirical evidence suggests that: (1) no significant profit is generated from either momentum or contrarian strategies in the intermediate horizon; (2) after microstructure effects are adjusted for, contrarian strategies with only four to eight weeks holding periods based on the stocks’ previous four to eight week's performance generate statistically significant profits of around 0.2% per week; (3) the contrarian strategy following a ‘down’ market generates higher profit than those following an ‘up’ market, suggesting that a contrarian strategy could be used as a shelter when the market is in decline. The profits following a ‘down’ market are robust after risk adjustment

Enabling Multi-level Trust in Privacy Preserving Data Mining

Privacy Preserving Data Mining (PPDM) addresses the problem of developing accurate models about aggregated data without access to precise information in individual data record. A widely studied \emph{perturbation-based PPDM} approach introduces random perturbation to individual values to preserve privacy before data is published. Previous solutions of this approach are limited in their tacit assumption of single-level trust on data miners. In this work, we relax this assumption and expand the scope of perturbation-based PPDM to Multi-Level Trust (MLT-PPDM). In our setting, the more trusted a data miner is, the less perturbed copy of the data it can access. Under this setting, a malicious data miner may have access to differently perturbed copies of the same data through various means, and may combine these diverse copies to jointly infer additional information about the original data that the data owner does not intend to release. Preventing such \emph{diversity attacks} is the key challenge of providing MLT-PPDM services. We address this challenge by properly correlating perturbation across copies at different trust levels. We prove that our solution is robust against diversity attacks with respect to our privacy goal. That is, for data miners who have access to an arbitrary collection of the perturbed copies, our solution prevent them from jointly reconstructing the original data more accurately than the best effort using any individual copy in the collection. Our solution allows a data owner to generate perturbed copies of its data for arbitrary trust levels on-demand. This feature offers data owners maximum flexibility.Comment: 20 pages, 5 figures. Accepted for publication in IEEE Transactions on Knowledge and Data Engineerin

Day-ahead probabilistic forecasting for French half-hourly electricity loads and quantiles for curve-to-curve regression

The probabilistic forecasting of electricity loads is crucial for effective scheduling and decision-making in volatile and competitive energy markets with ever-growing uncertainties. We propose a novel approach to construct the probabilistic predictors for curves (PPC) of electricity loads, which leads to properly defined predictive bands and quantiles in the context of curve-to-curve regression. The proposed predictive model provides not only accurate hourly load point forecasts, but also generates well-defined probabilistic bands and day-long trajectories of the loads at any probability level, pre-specified by managers. We also define the predictive quantile curves that exhibit future loads in extreme scenarios and provide insights for hedging risks in the supply management of electricity. When applied to the day-ahead forecasting for French half-hourly electricity loads, the PPC outperform several state-of-the-art time series and machine learning predictive methods with more accurate point forecasts (mean absolute percentage error of 1.10%, compared to 1.36%–4.88% for the alternatives), a higher coverage rate of the day-long trajectory of loads (coverage rate of 95.5%, against 31.9%–90.7% for the alternatives) and a narrower average length of the predictive bands. In a series of numerical experiments, the PPC further demonstrate robust performance and general applicability, achieving accurate coverage probabilities under a variety of data-generating mechanisms