Beat the Market II

2018 ◽  
Author(s):  
Gary Smith
Keyword(s):  
Stock Prices ◽  
Black Box ◽  
Computer Algorithms ◽  
Pairs Trading ◽  
Daily Lives ◽  
Trading Systems ◽  
News Stories ◽  
Graph Paper ◽  
Pepperdine University ◽  
A Company

Nowadays, technical analysts are called quants. Being overly impressed by computers, we are overly impressed by quants using computers instead of pencils and graph paper. Quants do not think about whether the patterns they discover make sense. Their mantra is, “Just show me the data.” Indeed, many quants have PhDs in physics or mathematics and only the most rudimentary knowledge of economics or finance. That does not deter them. If anything, their ignorance encourages them to search for patterns in the most unlikely places. The logical conclusion of moving from technical analysts using pencils to quants using computers is to eliminate humans entirely. Just turn the technical analysis over to computers. A 2011 article in the wonderful technology magazine Wired was filled with awe and admiration for computerized stock trading systems. These black-box systems are called algorithmic traders (algos) because the computers decide to buy and sell using computer algorithms in place of human judgment. Humans write the algorithms that guide the computers but, after that, the computers are on their own. Some humans are dumbstruck. After Pepperdine University invested 10 percent of its portfolio in quant funds in 2016, the director of investments argued that, “Finding a company with good prospects makes sense, since we look for under valued things in our daily lives, but quant strategies have nothing to do with our lives.” He thinks that not having the wisdom and common sense acquired by being alive is an argument for computers. He is not alone. Black-box investment algorithms now account for nearly a third of all U.S. stock trades. Some of these systems track stock prices; others look at economic and noneconomic data and dissect news stories. They all look for patterns. A momentum algorithm might notice that when a particular stock trades at a higher price for five straight days, the price is usually higher on the sixth day. A mean-reversion algorithm might notice that when a stock trades at a higher price for eight straight days, the price is usually lower on the ninth day. A pairs-trading algorithm might notice that two stock prices usually move up and down together, suggesting an opportunity when one price moves up and the other doesn’t.

Perancangan dan Pembuatan Aplikasi Pendeteksi Kesalahan Penempelan Barcode pada Kemasan Produk Menggunakan Sistem Arduino Uno dan Sistem Komputasi (Studi Kasus PT. Duta Nichirindo Pratama)

2020 ◽  
Vol 5 (1) ◽  
pp. 78
Author(s):  
Ade Sumaedi ◽  
Makhsun Makhsun ◽  
Achmad Hindasyah
Keyword(s):  
Unified Modeling Language ◽  
Database Design ◽  
Black Box ◽  
Design System ◽  
Modeling Language ◽  
Unified Modeling ◽  
Uml Diagrams ◽  
Arduino Uno ◽  
Menu Design ◽  
A Company

PT. Duta Nichirindo Pratama is a company engaged in the field of Autoparts Manufacture. Barcode is the identity of an item / product on the package. Barcode technology has been used as the identity of goods in a production. Barcodes are used to facilitate the identification of goods produced. Paste the barcode on the packaging of packaging results at PT. Duta Nichirindo Pratama is done manually, but there are often errors attached to the barcode on a similar packaging. This research will design and create a system based on Visual Basic.Net and Arduino to select barcode attachment errors that have the potential to be sent to consumers. The system is designed using Unified Modeling Language (UML) diagrams, database design and interface menu design. The system created will then be tested to detect the black box test. With a computing-based design system that functions to detect barcodes on the packaging automatically, the problem of sticking barcodes on the packaging can be detected.

scholarly journals Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices

Econometrics ◽  
2016 ◽  
Vol 4 (4) ◽  
pp. 14 ◽  
Author(s):  
David Ardia ◽  
Lukasz Gatarek ◽  
Lennart Hoogerheide ◽  
Herman van Dijk
Keyword(s):  
Stock Prices ◽  
Bayesian Procedure ◽  
Pairs Trading ◽  
Simulation Based

Augmenting Tools for Reverse Engineering Methods

2006 ◽  
Author(s):  
Mark Snider ◽  
Sudhakar Teegavarapu ◽  
D. Scott Hesser ◽  
Joshua D. Summers
Keyword(s):  
Reverse Engineering ◽  
Black Box ◽  
House Of Quality ◽  
Engineering Process ◽  
Design Efficiency ◽  
Design For Manufacture ◽  
The Past ◽  
Cad Models ◽  
Product And Process ◽  
A Company

Reverse engineering has gained importance over the past few years due to an intense competitive market aiding in the survivability of a company. This paper examines the reverse engineering process and what, how, and why it can assist in making a better design. Two well known reverse engineering methodologies are explored, the first by Otto and Wood and the second by Ingle. Each methodology is compared and contrasted according to the protocols and tools used. Among some of the reverse engineering tools detailed and illustrated are: Black box, Fishbone, Function Structure, Bill of Material, Exploded CAD models, Morphological Matrix, Subtract and Operate Procedure (SOP), House of Quality matrix, and FMEA. Even though both methodologies have highly valued tools, some of the areas in reverse engineering need additional robust tooling. This paper presents new and expanded tooling to augment the existing methods in hopes of furthering the understanding of the product, and process. Tools like Reverse Failure Mode and Effects Analysis (RFMEA), Connectivity graphs, and inter-relation matrix increase the design efficiency, quality, and the understanding of the reverse engineering process. These tools have been employed in two industry projects and one demonstrative purpose for a Design for Manufacture Class. In both of these scenarios, industry and academic, the users found that the augmented tools were useful in capturing and revealing information not previously realized.

Changes in Market Response to Stock Repurchases during the COVID-19 Crisis

2021 ◽  
Vol 50 (4) ◽  
pp. 411-437
Author(s):  
Kyung Hee Park
Keyword(s):  
Stock Prices ◽  
Market Reaction ◽  
Listed Companies ◽  
Shareholder Wealth ◽  
Stock Repurchases ◽  
Market Response ◽  
Stock Repurchase ◽  
South Korean ◽  
The Impact ◽  
A Company

This study analyzed the impact of COVID-19, which, in 2020, globally increased uncertainty about the stock repurchase of South Korean listed companies. The results suggest that the market reaction to stock repurchases during the COVID-19 period was significantly subdued. In particular, the market reaction to KOSPI companies, on stock repurchase, was positive, while it was negative in the case of KOSDAQ companies. It has also been reported that the market ranks lower on the reliability of the signal after the onset of COVID-19. This means that if a company discloses a stock repurchase in a situation where the value of the market as a whole has declined, it cannot be accepted as an undervalued signal. Furthermore, it was revealed that the market responded more positively to the announcement of repurchases by companies that had actively managed shareholder wealth by repeatedly making stock repurchases before COVID-19. These results suggest that companies should always be aware of this, as the market response to stock repurchases in market shockers such as COVID-19 is weaker. Additionally, managers can manage their stock prices more effectively through stock repurchases during market shockers if they consistently manage their stock prices through stock repurchases when companies are undervalued.

scholarly journals Is There Any Value in the Banks Brand?

2018 ◽  
Vol 13 (12) ◽  
pp. 261
Author(s):  
Emanuel Bagna
Keyword(s):  
Stock Prices ◽  
Banking Sector ◽  
Value Relevance ◽  
Brand Value ◽  
Generation Process ◽  
Business Combinations ◽  
Allocation Process ◽  
Independent Expert ◽  
Brand Values ◽  
A Company

Traditionally the literature show that public brand value estimates (such as the ones published by Interbrand, Brand Finance or Brand Z), in the context of industrial quoted companies, are incorporated in stock prices, implying that brands significantly contributes to the value generation process in a company. No such study was carried out at the level of the banking sector. This could be due to the attribution of a marginal importance of brands, among other intangible assets, in the banking sector, as highlighted by the literature. In more recent years more and more evidences give evidence of the importance of brands in banking sector; it should be noted that: - many banks, as a result of the Purchase Price Allocation process - PPA (pursuant to IFRS 3 Business Combinations) consequent to banking aggregations (mergers or acquisitions), have booked in their financial statements (separate or consolidated) brand values; - reports published by independent parties such as Brand Finance, publishes brand values specifically for the banking sector. The aim of this article is therefore to assess if the brand contributes to the value generation process in the banking sector. To test our hypothesis we run a regression on a European sample between market capitalization of major banks and their brand value published by independent expert Brand Finance from 2008 to 2017, with a classic value relevance analysis. Our results demonstrate that brand contributes to the value generation process in the banking sector.

scholarly journals Harga Saham Sebelum dan Sesudah Stock Split

2020 ◽  
Vol 3 (2) ◽  
pp. 390-395
Author(s):  
Junita Putri Rajana Harahap ◽  
Murni Dahlena Nasution
Keyword(s):  
Event Study ◽  
Capital Market ◽  
Stock Prices ◽  
Stock Price ◽  
Research Method ◽  
Price Difference ◽  
Significant Difference ◽  
Stock Split ◽  
Before And After ◽  
A Company

The stock split causes the stock price to be cheaper so that it will attract potential investors to buy the stock. This research was conducted to determine when it is time for a company to do a stock split, information available on the capital market can be used by investors for consideration before investors make a decision to invest in shares. The study aims to determine the changes that occur in stock prices before and after the stock split policy by the company. The research method used in this research is event study research with a quantitative approach. This study examines how significant the stock price difference is after a stock split policy. The sample used in this study were all companies that carried out the 2016-2018 stock split policy. The results of research on companies that become samples have shown that the average stock price before the announcement of the stock split policy has no significant difference with the average stock price after the announcement of the stock split policy Keywords : Stock Price, Stock Split

The effect of the imposition of a public reprimand on the stock price of companies in Malaysia

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Emie Famieza Zainudin ◽  
Hafiza Aishah Hashim ◽  
Shahnaz Ismail
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Design Methodology ◽  
Negative Impact ◽  
Abnormal Returns ◽  
Investment Decisions ◽  
Market Model ◽  
Market Reactions ◽  
Content Type ◽  
A Company

Purpose This paper aims to examine the effect of the imposition of public reprimands on the underlying stock prices of companies in Malaysia. Design/methodology/approach Data on 148 companies that received public reprimands during the period from 2007 to 2013 were collected from the Bursa Malaysia website to analyse the market reactions to the imposition of public reprimands. Findings Based on a market model of abnormal returns, the empirical result showed that the imposition of a public reprimand had a negative impact on a company’s stock price. Moreover, when a market model of average abnormal returns (AAR) was used, the result indicated that companies that had received a public reprimand had a negative AAR value. Research limitations/implications The findings from this study have implications for shareholders in making their investment decisions because they can switch their investments to other companies and markets after a company in which they are interested or have made an investment has received a public reprimand. Originality/value There is limited research on the imposition of public reprimands and the effect that it has on companies in developing countries. Hence, this study contributes to research in this area by providing evidence on the effect of public reprimand on stock price reactions in the context of a developing country, namely, Malaysia.

Management of Transpetro’s Corporate Social and Environmental Responsibility in the Midwest of Brazil

2010 ◽  
Author(s):  
Walderes Brito ◽  
Carlos Roberto Bortolon ◽  
Newton Camelo de Castro ◽  
Simone Rodrigues da Silva ◽  
Guilherme Machado Cardoso
Keyword(s):  
Social Responsibility ◽  
Environmental Responsibility ◽  
Daily Lives ◽  
Business Reporting ◽  
Business Units ◽  
Corporate Social ◽  
Social Management ◽  
The Relationship ◽  
A Company ◽  
Public Environment

Evidence of compliance with the corporate policy of social and environmental responsibility of a company is not always fully matched to the daily lives of each of its regional managers or business units. Consolidated information on business reporting often generalizes individual experiments and thus hides the lack of capacity of the company to meet the parameters of social management and environmental responsibility. This article records the experience of the Management of Land and Oil Terminals Transpetro in the Midwest to face the challenge of overcoming this trend by developing mechanisms to regionally monitor performance in various dimensions of environmental responsibility and the relationship with internal public, environment, communities, government and society, among other things. The work was initiated in 2008 with the creation of the Center for Environmental and Social Responsibility, made up of professionals from different sectors of management, whose first task was to make a diagnosis which would position Transpetro Midwestern regarding the fulfillment of general requirements of social responsibility corporately as well as those specific requirements of the gas sector and energy. Compared with the “Corporate Social Responsibility Indicators”, this diagnosis has provided an overview of environmental responsibility actions already undertaken in the management system, and has pointed to those areas that require greater commitment. This allows the business unit to demonstrate why Petrobras is considered a benchmark for social and environmental responsibility in Brazil and the world.

scholarly journals An Evolutionary Method for Financial Forecasting in Microscopic High-Speed Trading Environment

2017 ◽  
Vol 2017 ◽  
pp. 1-18 ◽  
Author(s):  
Chien-Feng Huang ◽  
Hsu-Chih Li
Keyword(s):  
High Speed ◽  
Dynamic Environment ◽  
Computer Algorithms ◽  
Trading Systems ◽  
Financial Applications ◽  
Current State ◽  
Market Driven ◽  
State Of Research ◽  
Intense Activity ◽  
Shed Light

The advancement of information technology in financial applications nowadays have led to fast market-driven events that prompt flash decision-making and actions issued by computer algorithms. As a result, today’s markets experience intense activity in the highly dynamic environment where trading systems respond to others at a much faster pace than before. This new breed of technology involves the implementation of high-speed trading strategies which generate significant portion of activity in the financial markets and present researchers with a wealth of information not available in traditional low-speed trading environments. In this study, we aim at developing feasible computational intelligence methodologies, particularly genetic algorithms (GA), to shed light on high-speed trading research using price data of stocks on the microscopic level. Our empirical results show that the proposed GA-based system is able to improve the accuracy of the prediction significantly for price movement, and we expect this GA-based methodology to advance the current state of research for high-speed trading and other relevant financial applications.

scholarly journals Normal and reverse stock splits in the V4 countries

2016 ◽  
Vol 13 (4) ◽  
pp. 95-105 ◽  
Author(s):  
Manuela Raisová ◽  
Martin Užik ◽  
Christian M. Hoffmeister
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Abnormal Returns ◽  
Stock Splits ◽  
Announcement Date ◽  
Reverse Stock Splits ◽  
Stock Split ◽  
Reverse Stock Split ◽  
A Company

The economic crisis has forced managers of joint stock companies to look for short-term solutions for the sharp changes in stock prices of their companies. Even the companies of the V4 countries are not the exception. The authors have focused on those companies where have been used either reverse stock split or stock split. They analyzed the effects of the reverse stock split or stock splits on the abnormal returns of stocks. In this paper, the authors analyzed a dataset from 1993 until 2015 with 124 reverse stock splits and 184 stock splits in total focused on the stock market in V4. Based on their own research they conclude that when reverse stock splits were used stock returns significantly decreased one day around the announcement date. They conclude that managers of a company might use this instrument to move the stock price back to the optimal trading range outside of the penny stock area. In the case of stock splits, the authors concluded that the use of this tool results in a significant increase in the returns of a stock after the announcement date. However, the results are in contrast to some former studies which found no positive effect on the returns caused by stock splits. The authors conclude that managers of a company might use this instrument to transport information content of future (positive) performance of a company to the traders. Keywords: Vysegrad group countries, normal stock split, reverse stock split, abnormal returns. JEL Classification: G11, G23, G32

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