Evidence of the weekday effect anomaly in the Chinese stock market

The weekday effect anomaly is considered as a market pricing anomaly which refers to some regularities in the rates of return during the week and thus, is a category of calendar anomalies. This article is focused on the Chinese stock market and its main objective is to assess the presence of the day of the week effect anomaly through examining the SSE and SZSE Composite Indexes. In this study, it is firstly examined whether there are significant differences between Monday and other weekday daily returns using the tests of differences between two means. The following empirical study is focused on the relationship between daily returns and weekdays, which is conducted using binary logistic regression analysis. The overall results indicate that both indexes show the presence of the day of the week effect, and the effect is significantly greater in the Shenzhen stock exchange. In both markets, Thursday daily returns significantly differ from other daily returns, which suggests a specific day of the week effect in the Chinese stock markets

A q-analog of the Seidel generation of Genocchi numbers

A new $q$-analog of Genocchi numbers is introduced through a q-analog of Seidel's triangle associated to Genocchi numbers. It is then shown that these $q$-Genocchi numbers have interesting combinatorial interpretations in the classical models for Genocchi numbers such as alternating pistols, alternating permutations, non intersecting lattice paths and skew Young tableaux.Comment: 17 page

Information Landscape and Flux, Mutual Information Rate Decomposition and Entropy Production

We explore the dynamics of information systems. We show that the driving force for information dynamics is determined by both the information landscape and information flux which determines the equilibrium time reversible and the nonequilibrium time-irreversible behaviours of the system respectively. We further demonstrate that the mutual information rate between the two subsystems can be decomposed into the time-reversible and time-irreversible parts respectively, analogous to the information landscape-flux decomposition for dynamics. Finally, we uncover the intimate relation between the nonequilibrium thermodynamics in terms of the entropy production rates and the time-irreversible part of the mutual information rate. We demonstrate the above features by the dynamics of a bivariate Markov chain.Comment: 16 page

The Financial and Macroeconomic Implications of Banking Frictions and Banking Riskiness

This paper develops a model of banking frictions and banking riskiness, the importance of which is highlighted by the recent Global Financial Crisis (GFC). We propose a model-based approach to decompose the effect of a banking riskiness shock into a pure default effect and a risk effect when risk sharing among the depositors is imperfect. Although the default effect is quantitatively more important, the risk effect is not to be neglected. When the shock generates a bank spread similar in value to the peak during the GFC, the overall effect is a decline in employment by 6:57 percent. The pure default effect leads to a 4:76 percent employment decline by a “within-model” measure, and a 5:05 decline by a “between-model” measure. The remaining is attributed to the risk effect.Banking riskiness shocks; two-sided debt contract; default effects; risk effects; financial crisis.

Extension Of Bertrand's Theorem And Factorization Of The Radial Schr\"odinger Equation

The Bertrand's theorem is extended, i.e. closed orbits still may exist for other central potentials than the power law Coulomb potential and isotropic harmonic oscillator. It is shown that for the combined potential $V(r)=W(r)+b/r^2$ ($W(r)=ar^{\nu}$), when (and only when) $W(r)$ is the Coulomb potential or isotropic harmonic oscillator, closed orbits still exist for suitable angular momentum. The correspondence between the closeness of classical orbits and the existence of raising and lowering operators derived from the factorization of the radial Schr\"odinger equation is investigated.Comment: 4 pages, 1 figug