A Japanese candlestick chart consists of not only the closing price but also the high,low and opening price information.Using the Japanese candlestick,this paper investigates the forecasting power of the shadow in Jap...A Japanese candlestick chart consists of not only the closing price but also the high,low and opening price information.Using the Japanese candlestick,this paper investigates the forecasting power of the shadow in Japanese candlestick chart.Empirical studies performed with the US stock market show that 1)there is a significant Halloween effect in the shadow;2)shadow is valuable for predicting the stock market returns in both statistical and economic sense;3)the predictability reported by the shadow can not be explained by either the CAPM model or the Fama-French three-factor model.This paper confirms that predictability of the stock market can be improved if more price information is used.展开更多
Because of its importance in optimization theory,the concept of convexity has been generalized in various ways.With these generalizations,to seek some practical criteria for them is especially important.In this paper,...Because of its importance in optimization theory,the concept of convexity has been generalized in various ways.With these generalizations,to seek some practical criteria for them is especially important.In this paper,some criteria are developed for semi-prequasi-invexity,which includes prequasi-invexity as the special case.Mutual characterizations among semi-prequasi-invex functions,strictly semi-prequasi-invex functions,and strongly semi-prequasi-invex functions are presented.展开更多
基金part by the Fundamental Research Funds for the Central Universities under Grant No.20180233the National Natural Science Foundation of China under Grant No.71901066the Fundamental Research Funds for the Central Universities in UIBE under Grant No.19YB03。
文摘A Japanese candlestick chart consists of not only the closing price but also the high,low and opening price information.Using the Japanese candlestick,this paper investigates the forecasting power of the shadow in Japanese candlestick chart.Empirical studies performed with the US stock market show that 1)there is a significant Halloween effect in the shadow;2)shadow is valuable for predicting the stock market returns in both statistical and economic sense;3)the predictability reported by the shadow can not be explained by either the CAPM model or the Fama-French three-factor model.This paper confirms that predictability of the stock market can be improved if more price information is used.
基金supported partially by the National Natural Science Foundation of China under Grant Nos.71101088,71003057,71171129the National Social Science Foundation of China under Grant No.11&ZD169+3 种基金the Shanghai Municipal Natural Science Foundation under Grant Nos.10ZR1413200,10190502500,11510501900,12ZR1412800the China Postdoctoral Science Foundation under Grant Nos.2011M500077,2012T50442the Science Foundation of Ministry of Education of China under Grant No.10YJC630087the Doctoral Fundof Ministry of Education of China under Grant No.20113121120002
文摘Because of its importance in optimization theory,the concept of convexity has been generalized in various ways.With these generalizations,to seek some practical criteria for them is especially important.In this paper,some criteria are developed for semi-prequasi-invexity,which includes prequasi-invexity as the special case.Mutual characterizations among semi-prequasi-invex functions,strictly semi-prequasi-invex functions,and strongly semi-prequasi-invex functions are presented.
