Momentum liquidation under partial information

2016 ◽  
Vol 53 (2) ◽  
pp. 341-359
Author(s):  
Erik Ekström ◽  
Martin Vannestål
Keyword(s):  
Change Point ◽  
Optimal Strategy ◽  
Partial Information ◽  
External Shocks ◽  
Momentum Effect ◽  
The Past ◽  
Momentum Trading ◽  
Partially Observable ◽  
Random Change ◽  
Do So

Abstract Momentum is the notion that an asset that has performed well in the past will continue to do so for some period. We study the optimal liquidation strategy for a momentum trade in a setting where the drift of the asset drops from a high value to a smaller one at some random change-point. This change-point is not directly observable for the trader, but it is partially observable in the sense that it coincides with one of the jump times of some exogenous Poisson process representing external shocks, and these jump times are assumed to be observable. Comparisons with existing results for momentum trading under incomplete information show that the assumption that the disappearance of the momentum effect is triggered by observable external shocks significantly improves the optimal strategy.

Imagining Mary Magdalene

2014 ◽  
Vol 7 (1) ◽  
pp. 1-25
Author(s):  
Jodie Eichler-Levine
Keyword(s):  
Comic Books ◽  
Historical Novels ◽  
Religion And Spirituality ◽  
Mary Magdalene ◽  
The Past ◽  
Scholarly Discourse ◽  
Do So

In this article I analyze how Americans draw upon the authority of both ancient, so-called “hidden” texts and the authority of scholarly discourse, even overtly fictional scholarly discourse, in their imaginings of the “re-discovered” figure of Mary Magdalene. Reading recent treatments of Mary Magdalene provides me with an entrance onto three topics: how Americans see and use the past, how Americans understand knowledge itself, and how Americans construct “religion” and “spirituality.” I do so through close studies of contemporary websites of communities that focus on Mary Magdalene, as well as examinations of relevant books, historical novels, reader reviews, and comic books. Focusing on Mary Magdalene alongside tropes of wisdom also uncovers the gendered dynamics at play in constructions of antiquity, knowledge, and religious accessibility.

Pakistan’s Development: Successes, Failures, and Future Tasks (Presidential Remarks)

1997 ◽  
Vol 36 (4I) ◽  
pp. 321-331
Author(s):  
Sarfraz Khan Qureshi
Keyword(s):  
Indian Subcontinent ◽  
General Meeting ◽  
The Past ◽  
Past Half Century ◽  
The Social ◽  
The Subject ◽  
Golden Jubilee ◽  
Freedom Movement ◽  
Past Half ◽  
Do So

It is an honour for me as President of the Pakistan Society of Development Economists to welcome you to the 13th Annual General Meeting and Conference of the Society. I consider it a great privilege to do so as this Meeting coincides with the Golden Jubilee celebrations of the state of Pakistan, a state which emerged on the map of the postwar world as a result of the Muslim freedom movement in the Indian Subcontinent. Fifty years to the date, we have been jubilant about it, and both as citizens of Pakistan and professionals in the social sciences we have also been thoughtful about it. We are trying to see what development has meant in Pakistan in the past half century. As there are so many dimensions that the subject has now come to have since its rather simplistic beginnings, we thought the Golden Jubilee of Pakistan to be an appropriate occasion for such stock-taking.

Other People's Struggles

2019 ◽  
Author(s):  
Nicholas Owen
Keyword(s):  
Social Psychology ◽  
Social Movements ◽  
Political Theory ◽  
Identity Politics ◽  
Global Justice ◽  
British History ◽  
Original Theory ◽  
The Past ◽  
Contemporary Politics ◽  
Do So

Other People’s Struggles is the first attempt in over forty years to explain the place of “conscience constituents” in social movements. Conscience constituents are people who participate in a movement but do not stand to benefit if it succeeds. Why do such people participate when they do not stand to benefit? Why are they sometimes present and sometimes absent in social movements? Why and when is their participation welcome to those who do stand to benefit, and why and when is it not? The work proposes an original theory to answer these questions, crossing discipline boundaries to draw on the findings of social psychology, philosophy, and normative political theory, in search of explanations of why people act altruistically and what it means to others when they do so. The theory is illustrated by examples from British history, including the antislavery movement, the women’s suffrage and liberation movements, labor and socialist movements, anticolonial movements, antipoverty movements, and movements for global justice. Other People’s Struggles also contributes to new debates concerning the rights and wrongs of “speaking for others.” Debates concerning the limits of solidarity—who can be an “ally” and on what terms—have become very topical in contemporary politics, especially in identity politics and in the new “populist” movements. The book provides a theoretical and empirical account of how these questions have been addressed in the past and how they might be framed today.

‘Higher then to her no bookes doe reach’

2018 ◽  
Author(s):  
Martha Vandrei
Keyword(s):  
Early Stage ◽  
Deep Understanding ◽  
Contemporary Philosophy ◽  
James I ◽  
Historical Method ◽  
The Past ◽  
Classical World ◽  
Material Evidence ◽  
Do So

This chapter and the following both draw the reader into seventeenth-century understandings of the past, and of Boudica in particular, and makes clear that in a time before disciplines, writers of ‘history’ were erudite commentators, immersed in political thought, the classical world, and contemporary ideas, as well as in drama, poetry, and the law. Chapter 1 shows the subtleties of Boudica’s place in history at this early stage by giving sustained attention to the work of Edmund Bolton (1574/5–c.1634), the first person to analyse the written and material evidence for Boudica’s deeds, and the last to do so in depth before the later nineteenth century. Bolton’s distaste for contemporary philosophy and his loyalty to James I were highly influential in determining the way the antiquary approached Boudica and her rebellion; but equally important was Bolton’s deep understanding of historical method and the strictures this placed on his interpretive latitude.

The theater of memory: Direct speech in Palestinian oral history

2018 ◽  
Vol 13 (4) ◽  
pp. 633-648
Author(s):  
Kobi Peled
Keyword(s):  
Oral History ◽  
Striking Feature ◽  
Direct Speech ◽  
The Past ◽  
Theatrical Performance ◽  
Main Thing ◽  
Significant Figures ◽  
Arabic Speaking ◽  
Do So

A striking feature of Palestinian oral history projects is the extensive use that interviewees make of direct speech to communicate their memories—especially those born before the 1948 Arab–Israeli war. They do so irrespective of whether or not they participated in or actually heard the dialogues they wish to convey. This article seeks to characterize and explain this phenomenon. In the interviews conducted by the author—an Arabic-speaking Jew—as well as in other projects, this mode of speech is marked by ease of transition from character to character and between different points in time. It clearly gives pleasure to those engaged in the act of remembering, and it grades readily into a theatrical performance in which tone of speech and the quality of the acting become the main thing. This form of discourse sprang up from the soil of a rural oral culture and still flourishes as a prop for supporting memory, a vessel for collecting and disseminating stories, and a technique for expressing identification with significant figures from the past.

Testing for long memory in the presence of a general trend

2001 ◽  
Vol 38 (04) ◽  
pp. 1033-1054 ◽  
Author(s):  
Liudas Giraitis ◽  
Piotr Kokoszka ◽  
Remigijus Leipus
Keyword(s):  
Long Memory ◽  
Change Point ◽  
General Trend ◽  
Quantitative Description ◽  
Stationary Sequence ◽  
Change Points ◽  
Asymptotic Size ◽  
Short Memory ◽  
The Impact ◽  
Do So

The paper studies the impact of a broadly understood trend, which includes a change point in mean and monotonic trends studied by Bhattacharyaet al.(1983), on the asymptotic behaviour of a class of tests designed to detect long memory in a stationary sequence. Our results pertain to a family of tests which are similar to Lo's (1991) modifiedR/Stest. We show that both long memory and nonstationarity (presence of trend or change points) can lead to rejection of the null hypothesis of short memory, so that further testing is needed to discriminate between long memory and some forms of nonstationarity. We provide quantitative description of trends which do or do not fool theR/S-type long memory tests. We show, in particular, that a shift in mean of a magnitude larger thanN-½, whereNis the sample size, affects the asymptotic size of the tests, whereas smaller shifts do not do so.

The Primacy of Politics

1951 ◽  
Vol 45 (1) ◽  
pp. 1-17 ◽  
Author(s):  
James K. Pollock
Keyword(s):  
Political Science ◽  
Presidential Address ◽  
Active Participation ◽  
Political Life ◽  
Full Time ◽  
Important Work ◽  
The Past ◽  
Generous Time ◽  
The Status ◽  
Do So

In presenting my valedictory to this distinguished Association which has honored me by selecting me as its President, I should like to point out by way of introduction what has happened to this office, and therefore to me, during the past year. I have heard of one of my distinguished predecessors some twenty-five years ago who had little else to do as President of this Association than work all year on his presidential address. This was important work and I have no word of criticism of it. But the Association has changed, and today it leaves to the harried wearer of its presidential toga little time to reflect about the status of political science and his own impact, if any, upon it. An active Association life, now happily centered in our new Washington office, is enough to occupy the full time of your President, and universities as well as this Association might well take note. Therefore, in presenting my own reflections to you this evening in accordance with the custom of our Association, I do so without the benefit of the generous time and scholarly leisure which were the privileges of some of my distinguished predecessors.Nevertheless I do base my presidential address today upon my own active participation in the problems of government, as well as upon my scholarly experience. I have extracted it in part from the dynamics of pulsating political life. It has whatever authority I may possess after having been exposed these twenty-five years to the cross-fire of politics, domestic and foreign, as well as to the benign and corrective influences of eager students and charitable colleagues.

International responses to weather modification

1975 ◽  
Vol 29 (3) ◽  
pp. 805-826 ◽  
Author(s):  
Edith Brown Weiss
Keyword(s):  
International Cooperation ◽  
New Technology ◽  
International Community ◽  
Weather Modification ◽  
Weather System ◽  
The Past ◽  
Time Horizons ◽  
Weather And Climate ◽  
Potential Problems ◽  
Do So

In the past few decades we have been improving our understanding of the weather system and exploring ways to modify it. Over sixty countries have experimented with modifying the weather. The new technology of weather and climate modification will raise important political problems which will demand new responses from the international community. Whether states will be able to establish the cooperative measures necessary to develop and manage new technology depends upon whether there are sufficient incentives to do so. This article analyzes the historical patterns of international cooperation in meteorology, and then plots against several time horizons projected developments and capabilities in weather modification technology and the potential problems emerging from using the technology. It derives a tentative picture of the responsibilities demanded, compares the likely responses with those needed, and assesses whether they will be adequate for the problems projected.

Transition and the Pitfalls of Nondemocratic Institutions: A review of Constitutionality in Ethiopia

2021 ◽  
Vol 2021 (1) ◽  
pp. 67-87
Author(s):  
Tadesse Melaku
Keyword(s):  
Case Analysis ◽  
Democratic Governance ◽  
Institutional Reforms ◽  
Constitutional Review ◽  
The Past ◽  
Government Power ◽  
Review Mechanism ◽  
And Control ◽  
Regional Elections ◽  
Do So

Ethiopia has undertaken important political reforms after the fall of authoritarianism in 2018. This article examines the performance of Ethiopia’s constitutional review mechanism amid the ongoing political and institutional reforms in the country. The study focuses on the process and merit of the constitutional ruling to delay the 2020 national and regional elections because of the coronavirus pandemic, thereby extending the government’s tenure. It further unravels the challenges posed by nondemocratic institutions of the past regime in navigating the transition. In doing so, this study draws on legal, documentary and case analysis, and a literature review. While the mandate extension comes as no surprise, the reasoning of the decision to do so was disappointing for many, dashing the hope and sense of a constitutional moment that accompanied the highly publicised constitutional hearing process in June 2020. The judgment reveals an endemic deficiency of the institutional system. Thus, it is imperative for Ethiopia to establish an independent constitutional umpire to check and control the exercise of government power and support the transition to multiparty democratic governance in the country.

scholarly journals Earnings Smoothing, Momentum and Statistical Arbitrage: Global Evidence

2015 ◽  
Vol 5 (2) ◽  
pp. 48
Author(s):  
G. Geoffrey Booth ◽  
Ayfer Gurun
Keyword(s):  
Emerging Economies ◽  
Cross Sectional ◽  
Statistical Arbitrage ◽  
Momentum Profits ◽  
Investor Sophistication ◽  
Earnings Smoothing ◽  
Momentum Trading ◽  
The Relationship ◽  
Global Evidence ◽  
Do So

<p class="ber"><span lang="EN-GB">We employ the notion of statistical arbitrage to investigate the relationship between earnings smoothing and returns from momentum trading of stocks and explore the role that the level of investor sophistication may play in the smoothing-return calculus. To do so, we exploit the observation that both earnings smoothing and momentum profits are related to the cross-sectional variation in returns.  We analyze the relevant data of 25 developed and emerging economies. Our results confirm the proposition that momentum profits as indicated by statistical arbitrage measures are inversely related to earnings smoothing but only in those markets where investors are more sophisticated and are able to take advantage of liquidity traders, who are often uninformed. </span></p>

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