The Momentum Gap and Return Predictability

2021 ◽  
Author(s):  
Simon Huang
Keyword(s):  
Standard Deviation ◽  
Real Time ◽  
International Markets ◽  
Return Predictability ◽  
Time Varying ◽  
Standard Deviation Increase ◽  
Momentum Profits ◽  
Return Difference ◽  
The U.S ◽  
Period Return

Abstract The formation period return difference between past winners and losers, which I call the momentum gap, negatively predicts momentum profits. I document this for the U.S. stock market and find consistent results across 21 major international markets. A one-standard-deviation increase in the momentum gap predicts a 1.25$\%$ decrease in the monthly momentum return after controlling for existing predictors. This predictability extends up to 5 years for static momentum portfolios, consistent with time-varying investor biases. Following the simple real-time strategy of investing in momentum only when the momentum gap is below the 80th percentile delivers a Sharpe ratio of 0.78.

scholarly journals Self-Enforcing Trade Agreements: Evidence from Time-Varying Trade Policy

2013 ◽  
Vol 103 (2) ◽  
pp. 1071-1090 ◽  
Author(s):  
Chad P Bown ◽  
Meredith A Crowley
Keyword(s):  
Standard Deviation ◽  
Trade Policy ◽  
Trade Agreements ◽  
Import Demand ◽  
Time Varying ◽  
Standard Deviation Increase ◽  
Supply Elasticity ◽  
The Us ◽  
Export Supply ◽  
Growth Changes

The Bagwell and Staiger (1990) theory of cooperative trade agreements predicts new tariffs (i) increase with imports, (ii) increase with the inverse of the sum of the import demand and export supply elasticities, and (iii) decrease with the variance of imports. We find US import policy during 1997–2006 to be consistent with this theory. A one standard deviation increase in import growth, the inverse of the sum of the import demand and export supply elasticity, and the standard deviation of import growth changes the probability that the US imposes an antidumping tariff by 35 percent, by 88 percent, and by –76 percent, respectively.

scholarly journals PREPRINT: Contact and Psychological Adjustment following Divorce/Separation

2019 ◽  
Author(s):  
Karey O'Hara ◽  
Austin Grinberg ◽  
Allison Mary Tackman ◽  
Matthias R. Mehl ◽  
David Sbarra
Keyword(s):  
Psychological Distress ◽  
Standard Deviation ◽  
Psychological Adjustment ◽  
Time Varying ◽  
Standard Deviation Increase ◽  
Interpersonal Contact ◽  
Person Variable ◽  
Over Time

This study examined the association between naturalistically-observed in-person contact with one’s ex-partner and separation-related psychological distress (SRPD). 122 recently separated adults were assessed using the Electronically Activated Recorder (Mehl, 2017) on three occasions across five months. The association between in-person contact with one’s expartner, as a between-person variable, and concurrent SRPD was not reliably different from zero, nor was the time-varying effect of in-person contact. However, more frequent in-person contact with one’s ex-partner predicted higher SRPD two months later, above and beyond the variance accounted for by oncurrent in-person contact, demographic, relationship, and attachment factors. Follow-up analyses yielded that this effect was only present for people without children; a one standard deviation increase in in-person contact offset and slowed the predicted decline in SRPD over two months by 112%. Our discussion emphasizes new ways to think about the role of interpersonal contact in shaping adults’ psychological adjustment to separation over time.

The U.S. Productivity Figures and Foreign Direct Investment in Japan

2002 ◽  
Vol 05 (01) ◽  
pp. 53-69 ◽  
Author(s):  
Benjamin Adam Abugri ◽  
Gökçe A. Soydemir
Keyword(s):  
Foreign Direct Investment ◽  
Standard Deviation ◽  
Direct Investment ◽  
Var Model ◽  
Standard Deviation Increase ◽  
Vector Autoregressive ◽  
Long Run ◽  
Productivity Increase ◽  
The Impact ◽  
The U.S

In this paper, we present empirical evidence linking the movements in the U.S. $/Yen exchange rate and the U.S. productivity figures to the U.S. outbound foreign direct investment (FDI) in Japan by constructing a five variable vector autoregressive (VAR) model. Our results show a lagged and statistically significant negative response of the U.S. FDI to a one standard deviation increase in the U.S. productivity figures. We further find that a once and for all appreciation in the U.S. dollar increases the U.S. FDI in Japan which is consistent with the earlier findings in the literature. The U.S. export figures, however, are found to serve as a complement to the U.S. outbound FDI whereas the impact of the U.S. imports from Japan on the U.S. outbound FDI is found to be negative. The results support the view that a productivity increase in the U.S. decreases the amount of the U.S. outbound foreign direct investment in the long run.

scholarly journals Pharmacogenetic Polygenic Risk Score for Bronchodilator Response in Children and Adolescents with Asthma: Proof-of-Concept

2021 ◽  
Vol 11 (4) ◽  
pp. 319
Author(s):  
Joanne E. Sordillo ◽  
Sharon M. Lutz ◽  
Michael J. McGeachie ◽  
Jessica Lasky-Su ◽  
Scott T. Weiss ◽  
...  
Keyword(s):  
Standard Deviation ◽  
Risk Score ◽  
Association Studies ◽  
Polygenic Risk Score ◽  
Genome Wide Association Studies ◽  
Linear Regression Models ◽  
Standard Deviation Increase ◽  
Polygenic Risk ◽  
Bronchodilator Response ◽  
Children With Asthma

Genome-wide association studies (GWAS) of response to asthma medications have primarily focused on Caucasian populations, with findings that may not be generalizable to minority populations. We derived a polygenic risk score (PRS) for response to albuterol as measured by bronchodilator response (BDR), and examined the PRS in a cohort of Hispanic school-aged children with asthma. We leveraged a published GWAS of BDR to identify relevant genetic variants, and ranked the top variants according to their Combined Annotation Dependent Depletion (CADD) scores. Variants with CADD scores greater than 10 were used to compute the PRS. Once we derived the PRS, we determined the association of the PRS with BDR in a cohort of Hispanic children with asthma (the Genetics of Asthma in Costa Rica Study (GACRS)) in adjusted linear regression models. Mean BDR in GACRS participants was5.6% with a standard deviation of 10.2%. We observed a 0.63% decrease in BDR in response to albuterol for a standard deviation increase in the PRS (p = 0.05). We also observed decreased odds of a BDR response at or above the 12% threshold for a one standard deviation increase in the PRS (OR = 0.80 (95% CI 0.67 to 0.95)). Our findings show that combining variants from a pharmacogenetic GWAS into a PRS may be useful for predicting medication response in asthma.

Study on real-time thermal–mechanical–frictional coupling characteristics of ball bearings based on the inverse thermal network method

2021 ◽  
pp. 135065012199356
Author(s):  
Tie-Jun Li ◽  
Meng-Zhuo Wang ◽  
Chun-Yu Zhao
Keyword(s):  
Real Time ◽  
Thermal Contact Resistance ◽  
Thermal Contact ◽  
Time Varying ◽  
Ball Bearings ◽  
The Real ◽  
Thermal Network ◽  
Network Method ◽  
Thermal Network Method ◽  
Coupling Characteristics

The real-time thermal–mechanical–frictional coupling characteristics of bearings are critical to the accuracy, reliability, and life of entire machines. To obtain the real-time dynamic characteristics of ball bearings, a novel model to calculate point contact dynamic friction in mixed lubrication was firstly presented in this work. The model of time-varying thermal contact resistance under fit between the ring and the ball, between the ring and the housing, and between the ring and the shaft was established using the fractal theory and the heat transfer theory. Furthermore, an inverse thermal network method with time-varying thermal contact resistance was presented. Using these models, the real-time thermal–mechanical–frictional coupling characteristics of ball bearings were obtained. The effectiveness of the presented models was verified by experiment and comparison.

scholarly journals Atrial fibrillation progression risk factors and associated cardiovascular outcome in well-phenotyped patients: data from the AF-RISK study

EP Europace ◽  
2019 ◽  
Vol 22 (3) ◽  
pp. 352-360 ◽  
Author(s):  
Ruben R De With ◽  
Ernaldo G Marcos ◽  
Elton A M P Dudink ◽  
Henri M Spronk ◽  
Harry J G M Crijns ◽  
...  
Keyword(s):  
Atrial Fibrillation ◽  
Standard Deviation ◽  
Left Atrial ◽  
Left Atrial Volume ◽  
Plasminogen Activator Inhibitor 1 ◽  
Atrial Volume ◽  
Standard Deviation Increase ◽  
Recent Onset ◽  
Pai 1

Abstract Aims Atrial fibrillation (AF) is a progressive disease, but identifying patients at risk for AF progression is challenging. We aimed to identify factors associated with AF progression. Methods and results Atrial fibrillation progression was assessed in 392 patients with recent-onset paroxysmal or persistent AF included in the prospective, observational, multicentre identification of a risk profile to guide atrial fibrillation (AF-RISK) study. Progression of AF was assessed by Holter monitoring and 2-week event recorder at baseline and 1-year follow-up. AF progression was defined as: (i) doubling in AF burden at 1 year compared to baseline with a minimum AF burden of 10% in paroxysmal AF; or (ii) transition from paroxysmal to persistent or permanent AF; or (iii) persistent to permanent AF. Age was 60 ± 11 years, 62% were men, and 83% had paroxysmal AF. At 1 year, 52 (13%) had AF progression (11% in paroxysmal; 26% in persistent AF). Multivariable logistic regression showed that left atrial volume [odds ratio (OR) per 10 mL 1.251, 95% confidence interval (CI) 1.078–1.450; P < 0.001], N-terminal pro-B-type natriuretic peptide (NT-proBNP; OR per standard deviation increase 1.583, 95% CI 1.099–2.281; P = 0.014), and plasminogen activator inhibitor-1 (PAI-1; OR per standard deviation increase 0.660, 95% CI 0.472–0.921; P = 0.015) were associated with AF progression. In an additional follow-up of 1.9 (0.9–3.3) years patients with AF progression developed more cardiovascular events and all-cause mortality (12.4%/year vs. 2.3%/year, P < 0.001). Conclusion Atrial fibrillation progression occurred in 13% of patients with recent-onset AF during 1-year follow-up. Left atrial volume, NT-proBNP, and PAI-1 were associated with AF progression. Patients with AF progression had a higher event rate. Trial registration number Clinicaltrials.gov NCT01510210.

A New Method for Phase Difference Estimation Based on Time-Varying Signal Model

2013 ◽  
Vol 333-335 ◽  
pp. 650-655
Author(s):  
Peng Hui Niu ◽  
Yin Lei Qin ◽  
Shun Ping Qu ◽  
Yang Lou
Keyword(s):  
Signal Processing ◽  
Real Time ◽  
Phase Difference ◽  
Time Signal ◽  
Time Interval ◽  
Time Varying ◽  
Signal Model ◽  
Time Frequency ◽  
Mass Flowmeter ◽  
Coriolis Mass Flowmeter

A new signal processing method for phase difference estimation was proposed based on time-varying signal model, whose frequency, amplitude and phase are time-varying. And then be applied Coriolis mass flowmeter signal. First, a bandpass filtering FIR filter was applied to filter the sensor output signal in order to improve SNR. Then, the signal frequency could be calculated based on short-time frequency estimation. Finally, by short window intercepting, the DTFT algorithm with negative frequency contribution was introduced to calculate the real-time phase difference between two enhanced signals. With the frequency and the phase difference obtained, the time interval of two signals was calculated. Simulation results show that the algorithms studied are efficient. Furthermore, the computation of algorithms studied is simple so that it can be applied to real-time signal processing for Coriolis mass flowmeter.

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