scholarly journals Triangle Momentum

2022 ◽  
Author(s):  
◽  
Steven Brasell
Keyword(s):  
Poisson Process ◽  
Confidence Intervals ◽  
Statistical Methods ◽  
Marked Point ◽  
Security Prices ◽  
Short Term ◽  
Arrival Times ◽  
Price Levels ◽  
Over Time ◽  
Naive Model

<p>This research investigates the breakout of security prices from periods of sideways drift known as Triangles. Contributions are made to the existing literature by considering returns conditionally based on Triangles in particular terms of how momentum traders time positions, and by then using alternative statistical methods to more clearly show results. Returns are constructed by scanning for Triangle events, and determining simulated trader returns from predetermined price levels. These are compared with a Naive model consisting of randomly sampled events of comparable measure. Modelling of momentum results is achieved using a marked point Poisson process based approach, used to compare arrival times and profit/losses. These results are confirmed using a set of 10 day return heuristics using bootstrapping to define confidence intervals.  Using these methods applied to CRSP US equity data inclusive from years 1960 to 2017, US equities show a consistent but weak predictable return contribution after Triangle events occur; however, the effect has decreased over time, presumably as the market becomes more efficient. While these observed short term momentum changes in price have likely been compensated to a degree by risk, they do show that such patterns have contained forecastable information about US equities. This shows that prices have likely weakly been affected by past prices, but that currently the effect has reduced to the point that it is of negligible size as of 2017.</p>

scholarly journals Triangle Momentum

2022 ◽  
Author(s):  
◽  
Steven Brasell
Keyword(s):  
Poisson Process ◽  
Confidence Intervals ◽  
Statistical Methods ◽  
Marked Point ◽  
Security Prices ◽  
Short Term ◽  
Arrival Times ◽  
Price Levels ◽  
Over Time ◽  
Naive Model

<p>This research investigates the breakout of security prices from periods of sideways drift known as Triangles. Contributions are made to the existing literature by considering returns conditionally based on Triangles in particular terms of how momentum traders time positions, and by then using alternative statistical methods to more clearly show results. Returns are constructed by scanning for Triangle events, and determining simulated trader returns from predetermined price levels. These are compared with a Naive model consisting of randomly sampled events of comparable measure. Modelling of momentum results is achieved using a marked point Poisson process based approach, used to compare arrival times and profit/losses. These results are confirmed using a set of 10 day return heuristics using bootstrapping to define confidence intervals.  Using these methods applied to CRSP US equity data inclusive from years 1960 to 2017, US equities show a consistent but weak predictable return contribution after Triangle events occur; however, the effect has decreased over time, presumably as the market becomes more efficient. While these observed short term momentum changes in price have likely been compensated to a degree by risk, they do show that such patterns have contained forecastable information about US equities. This shows that prices have likely weakly been affected by past prices, but that currently the effect has reduced to the point that it is of negligible size as of 2017.</p>

The Short-Term and Long-Term Impacts of Sarbanes-Oxley Act on Composition and Characteristics of Corporate Board of Directors

2015 ◽  
Vol 5 (4) ◽  
Author(s):  
Halil Kaya ◽  
Gaurango Banerjee
Keyword(s):  
Board Composition ◽  
Corporate Boards ◽  
Corporate Accountability ◽  
Corporate Board ◽  
Short Term ◽  
Dual Roles ◽  
Board Characteristics ◽  
Sarbanes Oxley ◽  
Over Time

The paper examines the Sarbanes-Oxley (2002) Acts immediate impact on board composition and characteristics as well as possible reversals in its impact over time. Effects on directors age and tenure are analyzed over the 2001-06 sample period. Female participation in corporate boards is also studied in the pre-SOX and post-SOX periods. The dual roles of directors in being a member of the board as well as serving as either CEO, CFO, Chairman, Co-Chair, Founder, or Lead Director of their respective companies is also examined. We observe a short-term impact of SOX on board compositions due to changes seen in board characteristics between 2001 (pre-SOX), and 2003-05 short-term period (post-SOX). Also, we observe a reversal of board characteristics in 2006 to pre-SOX levels implying that the effects of SOX on board composition were short-lived, and needs to be monitored over time to ensure adherence to corporate accountability guidelines over the long-term.

scholarly journals Personality dynamics at work: The effects of form, time, and context of variability

2021 ◽  
pp. 089020702110173
Author(s):  
Nadin Beckmann ◽  
Damian P Birney ◽  
Amirali Minbashian ◽  
Jens F Beckmann
Keyword(s):  
Individual Differences ◽  
Cognitive Ability ◽  
Temporal Stability ◽  
Limited Evidence ◽  
Short Term ◽  
State Data ◽  
The Status ◽  
Over Time ◽  
Trait Variability

The study aimed to investigate the status of within-person state variability in neuroticism and conscientiousness as individual differences constructs by exploring their (a) temporal stability, (b) cross-context consistency, (c) empirical links to selected antecedents, and (d) empirical links to longer term trait variability. Employing a sample of professionals ( N = 346) from Australian organisations, personality state data together with situation appraisals were collected using experience sampling methodology in field and repeatedly in lab-like settings. Data on personality traits, cognitive ability, and motivational mindsets were collected at baseline and after two years. Contingent (situation contingencies) and non-contingent (relative SD) state variability indices were relatively stable over time and across contexts. Only a small number of predictive effects of state variability were observed, and these differed across contexts. Cognitive ability appeared to be associated with state variability under lab-like conditions. There was limited evidence of links between short-term state and long-term trait variability, except for a small effect for neuroticism. Some evidence of positive manifold was found for non-contingent variability. Systematic efforts are required to further elucidate the complex pattern of results regarding the antecedents, correlates and outcomes of individual differences in state variability.

scholarly journals Leaching Rate of Polychlorinated Biphenyls (PCBs) from Marine Paint Chips

2021 ◽  
Author(s):  
Allen D. Uhler ◽  
Jeffery H. Hardenstine ◽  
Deborah A. Edwards ◽  
Guilherme R. Lotufo
Keyword(s):  
Polychlorinated Biphenyls ◽  
Surface Waters ◽  
Leaching Rate ◽  
Short Term ◽  
Aroclor 1254 ◽  
Maintenance And Repair ◽  
Potential Source ◽  
Vessel Bottom ◽  
Dissolved Phase ◽  
Over Time

AbstractPolychlorinated biphenyls (PCBs) were added to certain marine vessel bottom paints as a plasticizer to improve the adhesion and durability of the paint. The most common PCB formulation used to amend such paints was Aroclor 1254. Fugitive Aroclor-containing paint chips generated from vessel maintenance and repair operations represent a potential source of PCB contamination to sediments. Limited published studies indicate that Aroclor-containing paint is largely inert and exhibits low PCB leaching into water; however, the rate and degree of leaching of PCBs from paint chips have not been directly studied. This laboratory-based study evaluated the rate and extent of leaching of PCBs from paint chips into freshwater. The results of this investigation demonstrate that the rate of PCB dissolution from paint chips decreased rapidly and exponentially over time. Based on this study, it is estimated that the rate of leaching of PCBs from paint chips would cease after approximately 3 years of exposure to water. When all leachable PCBs were exhausted, it is estimated that less than 1% of the mass of PCBs in the paint chips was amenable to dissolution. The results of this experiment suggest that Aroclor-containing paint chips found in sediments are likely short-term sources of dissolved-phase PCB to pore or surface waters and that the majority of the PCBs in paint chips remain in the paint matrix and unavailable for partitioning into water. Graphic Abstract

scholarly journals Investigating the Broken-Heart Effect: a Model for Short-Term Dependence between the Remaining Lifetimes of Joint Lives

2012 ◽  
Vol 7 (2) ◽  
pp. 236-257 ◽  
Author(s):  
Jaap Spreeuw ◽  
Iqbal Owadally
Keyword(s):  
Mortality Rates ◽  
Short Term ◽  
Numerical Work ◽  
Data Set ◽  
Multiple State ◽  
Multiple State Model ◽  
Insurance Data ◽  
Over Time ◽  
Assurance Contracts

AbstractWe analyze the mortality of couples by fitting a multiple state model to a large insurance data set. We find evidence that mortality rates increase after the death of a partner and, in addition, that this phenomenon diminishes over time. This is popularly known as a “broken-heart” effect and we find that it affects widowers more than widows. Remaining lifetimes of joint lives therefore exhibit short-term dependence. We carry out numerical work involving the pricing and valuation of typical contingent assurance contracts and of a joint life and survivor annuity. If insurers ignore dependence, or mis-specify it as long-term dependence, then significant mis-pricing and inappropriate provisioning can result. Detailed numerical results are presented.

Comparability and Short-Term Stability of Techniques to Assess Extension of Thinking about One's Personal Future

1983 ◽  
Vol 56 (2) ◽  
pp. 559-564 ◽  
Author(s):  
William Rakowski ◽  
Clifton E. Barber ◽  
Wayne C. Seelbach
Keyword(s):  
Data Collection ◽  
Life Events ◽  
Short Term ◽  
Life Event ◽  
Term Stability ◽  
The Future ◽  
Changes Over Time ◽  
Over Time

Three techniques for assessing extension of one's personal future (line-marking, open-ended report, life-events) were compared in a sample of 74 respondents. Two points of data collection were employed to examine short-term stability. At both administrations, correlations among indices suggested that techniques were only moderately comparable. Short-term stabilities were variable; correlations ranged from .42 to .79. Across subgroups of the sample, the direct, open-ended report of extension showed the greatest stability, while life-event extension showed the least. Apparently, extension of thinking about the future should be assessed by more than one technique to investigate potential relationships with other variables or changes over time in perspective about the future.

scholarly journals Bayesian modeling and prediction of accrual in multi-regional clinical trials

2014 ◽  
Vol 26 (2) ◽  
pp. 752-765 ◽  
Author(s):  
Yi Deng ◽  
Xiaoxi Zhang ◽  
Qi Long
Keyword(s):  
Clinical Trials ◽  
Poisson Process ◽  
Process Model ◽  
Nonhomogeneous Poisson Process ◽  
Modeling And Prediction ◽  
Accuracy And Precision ◽  
Start Up ◽  
Accrual Rate ◽  
Model Region ◽  
Over Time

In multi-regional trials, the underlying overall and region-specific accrual rates often do not hold constant over time and different regions could have different start-up times, which combined with initial jump in accrual within each region often leads to a discontinuous overall accrual rate, and these issues associated with multi-regional trials have not been adequately investigated. In this paper, we clarify the implication of the multi-regional nature on modeling and prediction of accrual in clinical trials and investigate a Bayesian approach for accrual modeling and prediction, which models region-specific accrual using a nonhomogeneous Poisson process and allows the underlying Poisson rate in each region to vary over time. The proposed approach can accommodate staggered start-up times and different initial accrual rates across regions/centers. Our numerical studies show that the proposed method improves accuracy and precision of accrual prediction compared to existing methods including the nonhomogeneous Poisson process model that does not model region-specific accrual.

scholarly journals A Tutorial on Evaluating the Time-Varying Discrimination Accuracy of Survival Models Used in Dynamic Decision Making

2018 ◽  
Vol 38 (8) ◽  
pp. 904-916 ◽  
Author(s):  
Aasthaa Bansal ◽  
Patrick J. Heagerty
Keyword(s):  
Decision Making ◽  
Statistical Methods ◽  
Sensitivity And Specificity ◽  
Prognostic Model ◽  
Dynamic Decision Making ◽  
Time Dependent ◽  
Survival Models ◽  
Biliary Cirrhosis ◽  
Time Varying ◽  
Over Time

Many medical decisions involve the use of dynamic information collected on individual patients toward predicting likely transitions in their future health status. If accurate predictions are developed, then a prognostic model can identify patients at greatest risk for future adverse events and may be used clinically to define populations appropriate for targeted intervention. In practice, a prognostic model is often used to guide decisions at multiple time points over the course of disease, and classification performance (i.e., sensitivity and specificity) for distinguishing high-risk v. low-risk individuals may vary over time as an individual’s disease status and prognostic information change. In this tutorial, we detail contemporary statistical methods that can characterize the time-varying accuracy of prognostic survival models when used for dynamic decision making. Although statistical methods for evaluating prognostic models with simple binary outcomes are well established, methods appropriate for survival outcomes are less well known and require time-dependent extensions of sensitivity and specificity to fully characterize longitudinal biomarkers or models. The methods we review are particularly important in that they allow for appropriate handling of censored outcomes commonly encountered with event time data. We highlight the importance of determining whether clinical interest is in predicting cumulative (or prevalent) cases over a fixed future time interval v. predicting incident cases over a range of follow-up times and whether patient information is static or updated over time. We discuss implementation of time-dependent receiver operating characteristic approaches using relevant R statistical software packages. The statistical summaries are illustrated using a liver prognostic model to guide transplantation in primary biliary cirrhosis.

INDIVIDUAL EQUILIBRIUM DYNAMIC ROUTING IN A MULTIPLE SERVER RETRIAL QUEUE

2000 ◽  
Vol 14 (1) ◽  
pp. 9-26 ◽  
Author(s):  
Anthony C. Brooms
Keyword(s):  
Nash Equilibrium ◽  
Poisson Process ◽  
Sojourn Time ◽  
Service System ◽  
Transmission Rate ◽  
Retrial Queue ◽  
Dynamic Learning ◽  
Arrival Times ◽  
The Public ◽  
Expected Sojourn Time

Customers arrive sequentially to a service system where the arrival times form a Poisson process of rate λ. The system offers a choice between a private channel and a public set of channels. The transmission rate at each of the public channels is faster than that of the private one; however, if all of the public channels are occupied, then a customer who commits itself to using one of them attempts to connect after exponential periods of time with mean μ−1. Once connection to a public channel has been made, service is completed after an exponential period of time, with mean ν−1. Each customer chooses one of the two service options, basing its decision on the number of busy channels and reapplying customers, with the aim of minimizing its own expected sojourn time. The best action for an individual customer depends on the actions taken by subsequent arriving customers. We establish the existence of a unique symmetric Nash equilibrium policy and show that its structure is characterized by a set of threshold-type strategies; we discuss the relevance of this concept in the context of a dynamic learning scenario.

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