Cross-Autocorrelation of Dual-Listed Stock Portfolio Returns: Evidence from the Chinese Stock Market

In this paper, we apply a GARCH model to examine the cross-autocorrelation pattern between daily returns of portfolios composed of dual-listed stocks in Chinese stock market, before and after China opened its once foreign-exclusive B-share market. A lead-lag relationship between the A-share and B-share portfolio returns is identified during our sample periods, with the A-share portfolio leading the B-share portfolio. Upon the opening of B-share market, a change from underreaction to overreaction is found in the response pattern of B-share market, producing a rarely seen negative cross-autocorrelation. The results of two additional tests are reported. First, by decomposing the portfolio return into portfolio-specific and market-wide returns, we find that the market-wide information contained in A-share portfolio return is strongly associated with the cross-autocorrelation structure. Second, we document a directional asymmetry in which B-share portfolio shows either slow or over response to bad, but not good, news of A-share portfolio. We conclude that information asymmetry alone is not enough to explain the lead-lag relationship, and investor behavior must be taken into considerationCross-Autocorrelation, Segmented Stock Markets, Dual-Listed Stocks, Market-Wide and Portfolio-Specific Information.

Herd behavior towards the market index: Evidence from 21 financial markets

This paper uses the cross-sectional variance of the betas to study herd behavior towards the market index in major developed and emerging financial markets (categorized as Developed group, Asian group, and Latin American group). We propose a robust regression technique to calculate the betas of the CAPM and those of the Fama-French three-factor model, with to the aim of diminishing the impact of multivariate outliers in return data. Through the estimated values obtained from a state space model, we examine the evolution of herding measures, especially their pattern around sudden events such as the 1997-1998 financial crises. This 1997-1998 turmoil turns out to have formed a turning point for most of the financial markets. We document a higher level of herding in emerging markets than in developed markets. We also find that the correlation of herding is higher between two markets from the same group than between two markets from different groups. This paper sheds light on the calculation of beta and on the financial policy to understand the dynamics of herding in financial markets.Herding; Outlier; Robust Regression; Cycle;

Dynamic analysis of constrained object motion for mechanical transfer of live products

This thesis is motivated by practical problems encountered in handling live products in the poultry processing industry, where live birds are manually transferred by human labors. As the task of handling live products is often unpleasant and hazardous, it is an ideal candidate for automation. To reduce the number of configurations and live birds to be tested, this thesis focuses on developing analytical models based on the Lagrange method to predict the effect of mechanical inversion on the shackled bird. Unlike prior research which focused on the effect of different inversion paths on the joint force/torque of a free-falling shackled bird, this thesis research examines the effect of kinematic constraints (designed to support the bird body) on the shackled bird. Unlike free-falling, the imposed kinematic constraints enable the shackled bird to rotate about its center of mass, and thus minimize wing flapping. In this thesis, birds are geometrically approximated as ellipsoids while the lower extremity is modeled as a pair of multi-joint serial manipulators. With the constraint equations formulated into a set of differential algebraic equations, the equations of motion as well as Lagrange multipliers characterizing kinematical constraints are numerically solved for the bird motion, specifically the position, velocity, and orientation and hence the forces and torques of the joints. The dynamic models are verified by comparing simulation results against those obtained using a finite element method. The outcomes of this thesis will provide some intuitive insights essential to design optimization of a live-bird transfer system.M.S.Committee Chair: Kok-Meng Lee; Committee Member: Bruce Webster; Committee Member: Shreyes Melkot

Synchronous multimode ultrasound for assessing right-to-left shunt: a prospective clinical study

BackgroundRight-to-left shunt (RLS) is associated with several conditions and causes morbidity. In this study, we aimed to evaluate the effectiveness of synchronous multimode ultrasonography in detecting RLS.MethodsWe prospectively enrolled 423 patients with high clinical suspicion of RLS and divided them into the contrast transcranial Doppler (cTCD) group and synchronous multimode ultrasound group, in which both cTCD and contrast transthoracic echocardiography (cTTE) were performed during the same process of contrast-enhanced ultrasound imaging. The simultaneous test results were compared with those of cTCD alone.ResultsThe positive rates of grade II (22.0%:10.0%) and III (12.7%:10.8%) shunts and the total positive rate (82.1748%) in the synchronous multimode ultrasound group were higher than those in the cTCD alone group. Among patients with RLS grade I in the synchronous multimode ultrasound group, 23 had RLS grade I in cTCD but grade 0 in synchronous cTTE, whereas four had grade I in cTCD but grade 0 in synchronous cTTE. Among patients with RLS grade II in the synchronous multimode ultrasound group, 28 had RLS grade I in cTCD but grade II in synchronous cTTE. Among patients with RLS grade III in the synchronous multimode ultrasound group, four had RLS grade I in cTCD but grade III in synchronous cTTE. Synchronous multimode ultrasound had a sensitivity of 87.5% and specificity of 60.6% in the patent foramen ovale (PFO) diagnosis. Binary logistic regression analyses showed that age (odds ratio [OR] = 1.041) and risk of paradoxical embolism score ≥ 7 (OR = 7.798) were risk factors for stroke recurrence, whereas antiplatelets (OR = 0.590) and PFO closure with antiplatelets (OR = 0.109) were protective factors.ConclusionSynchronous multimodal ultrasound significantly improves the detection rate and test efficiency, quantifies RLS more accurately, and reduces testing risks and medical costs. We conclude that synchronous multimodal ultrasound has significant potential for clinical applications

A New Curb Detection Method for Unmanned Ground Vehicles Using 2D Sequential Laser Data

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Revealing the Hemispherical Shielding Effect of SiO2@Ag Composite Nanospheres to Improve the Surface Enhanced Raman Scattering Performance

Many studies widely used SiO2@Ag composite nanospheres for surface enhanced Raman scattering (SERS), which mainly contributes to electromagnetic enhancement. In addition to experiments, previous simulations mostly adopted a two-dimensional model in SERS research, resulting in the three-dimensional information being folded and masked. In this paper, we adopted the three-dimensional model to simulate the electric field distribution of SiO2@Ag composite nanospheres. It is found that when the Ag nanoparticles are distributed densely on the surface of SiO2 nanospheres, light cannot pass through the upper hemisphere due to the local surface plasmon resonance (LSPR) of the Ag nanoparticles, resulting in the upper hemisphere shielding effect; and if there are no Ag nanoparticles distributed densely on the surface of SiO2 nanospheres, the strong LSPR cannot be formed, so the incident light will be guided downward through the whispering gallery mode of the spherical structure. At the same time, we designed relevant experiments to synthesize SiO2@Ag composite nanosphere as SERS substrate and used Rhodamine 6G as a probe molecule to study its SERS performance. This design achieved a significant SERS effect, and is very consistent with our simulation results