A generalization of the Kuramoto model in which oscillators are coupled to the mean field with random signs is investigated in this work. We focus on a situation in which the natural frequencies of oscillators follow ...A generalization of the Kuramoto model in which oscillators are coupled to the mean field with random signs is investigated in this work. We focus on a situation in which the natural frequencies of oscillators follow a uniform probability density. By numerically simulating the model, we find that the model supports a modulated travelling wave state except for already reported 7r state and travelling wave state in the one with natural frequencies following Lorenztian probability density or a delta function. The dependence of the observed dynamics on the parameters of the model is explored and we find that the onset of synchronization in the model displays a non-monotonic dependence on both positive and negative coupling strength.展开更多
The idea of this study is derived from observing the profitability of stock investments following the phenomena of continuously rising(or falling)prices of stocks and continuously overbought(or oversold)signals emitte...The idea of this study is derived from observing the profitability of stock investments following the phenomena of continuously rising(or falling)prices of stocks and continuously overbought(or oversold)signals emitted by technical indicators.We employ the standard event study approach and technical trading strategies to explore whether investors would exploit profits in trading the constituent stocks of the Korea Composite Stock Price Index 50 and Shanghai Stock Exchange 50 when the aforementioned continuous phenomena occur.We find that both the Korean and Chinese stock markets are not fully efficient;this finding may enhance the robustness of the existing literature.In addition,we reveal that contrarian strategies are appropriate for the trading stocks listed on the Korean stock market for all the cases investigated in this study.However,momentum strategies are appropriate for the Chinese stock market when continuously rising stock prices and overbought signals are simultaneously observed.These findings imply that the difference in investor behaviors between the Korean and Chinese stock markets might result in dissimilar trading strategies being employed for these two markets.展开更多
Background:We investigate whether the success of contrarian investment strategies can be attributed to differences in the relative illiquidity of stocks categorized as value investments versus those categorized as gla...Background:We investigate whether the success of contrarian investment strategies can be attributed to differences in the relative illiquidity of stocks categorized as value investments versus those categorized as glamour portfolios.Methods:Following Lakonishok et al.(J Financ 49:1541–1578,1994),we assess the illiquidity characteristics of portfolios that underlie contrarian investment strategies that are based on the level of stock’s book to market.Results:We find strong evidence that those portfolios characterized as value investments are associated with dramatically greater levels of illiquidity than glamour portfolios.We further demonstrate that strategies based on the illiquidity in the year prior to portfolio formation result in return characteristic of ostensibly contrarian strategies.Conclusions:These results suggest that the higher returns associated with contrarian investment strategies are the result of the higher illiquidity associated with value portfolios and represent compensation that the investor receives for accepting illiquidity.They also suggest that researchers should be cautious before attributing apparent anomalies to behavior-driven expectational errors rather than to other attributes unrelated to behavior,such as illiquidity.展开更多
In this study we investigate the collective behavior of the generalized Kuramoto model with an ex- ternal pinning force in which oscillators with positive and negative coupling strengths are conformists and contrarian...In this study we investigate the collective behavior of the generalized Kuramoto model with an ex- ternal pinning force in which oscillators with positive and negative coupling strengths are conformists and contrarians, respectively. We focus on a situation in which the natural frequencies of the oscilla- tors follow a uniform probability density. By numerically simulating the model, it is shown that the model supports multistable synchronized states such as a traveling wave state, π state and periodic synchronous state： an oscillating π state. The oscillating π state may be characterized by the phase distribution oscillating in a confined region and the phase difference between conformists and contrar- ians oscillating around π periodically. In addition, we present the parameter space of the oscillating state and traveling wave state of the model.展开更多
基金Supported by National Natural Science Foundation of China under Grant No. 11247279
文摘A generalization of the Kuramoto model in which oscillators are coupled to the mean field with random signs is investigated in this work. We focus on a situation in which the natural frequencies of oscillators follow a uniform probability density. By numerically simulating the model, we find that the model supports a modulated travelling wave state except for already reported 7r state and travelling wave state in the one with natural frequencies following Lorenztian probability density or a delta function. The dependence of the observed dynamics on the parameters of the model is explored and we find that the onset of synchronization in the model displays a non-monotonic dependence on both positive and negative coupling strength.
文摘The idea of this study is derived from observing the profitability of stock investments following the phenomena of continuously rising(or falling)prices of stocks and continuously overbought(or oversold)signals emitted by technical indicators.We employ the standard event study approach and technical trading strategies to explore whether investors would exploit profits in trading the constituent stocks of the Korea Composite Stock Price Index 50 and Shanghai Stock Exchange 50 when the aforementioned continuous phenomena occur.We find that both the Korean and Chinese stock markets are not fully efficient;this finding may enhance the robustness of the existing literature.In addition,we reveal that contrarian strategies are appropriate for the trading stocks listed on the Korean stock market for all the cases investigated in this study.However,momentum strategies are appropriate for the Chinese stock market when continuously rising stock prices and overbought signals are simultaneously observed.These findings imply that the difference in investor behaviors between the Korean and Chinese stock markets might result in dissimilar trading strategies being employed for these two markets.
文摘Background:We investigate whether the success of contrarian investment strategies can be attributed to differences in the relative illiquidity of stocks categorized as value investments versus those categorized as glamour portfolios.Methods:Following Lakonishok et al.(J Financ 49:1541–1578,1994),we assess the illiquidity characteristics of portfolios that underlie contrarian investment strategies that are based on the level of stock’s book to market.Results:We find strong evidence that those portfolios characterized as value investments are associated with dramatically greater levels of illiquidity than glamour portfolios.We further demonstrate that strategies based on the illiquidity in the year prior to portfolio formation result in return characteristic of ostensibly contrarian strategies.Conclusions:These results suggest that the higher returns associated with contrarian investment strategies are the result of the higher illiquidity associated with value portfolios and represent compensation that the investor receives for accepting illiquidity.They also suggest that researchers should be cautious before attributing apparent anomalies to behavior-driven expectational errors rather than to other attributes unrelated to behavior,such as illiquidity.
基金The work was supported by the National Natural Science Foundation of China （Grant Nos. 11447001, 11475004, and U1504108）, the Key Project of Scientific and Technological Research of the Education Department of Henan Province （Grant Nos. 16A140002, 18A140012, and 18B140001）, and the Innovation Foundation for Students of Anyang Normal University （Grant No. ASCX/2017-Z59）.
文摘In this study we investigate the collective behavior of the generalized Kuramoto model with an ex- ternal pinning force in which oscillators with positive and negative coupling strengths are conformists and contrarians, respectively. We focus on a situation in which the natural frequencies of the oscilla- tors follow a uniform probability density. By numerically simulating the model, it is shown that the model supports multistable synchronized states such as a traveling wave state, π state and periodic synchronous state： an oscillating π state. The oscillating π state may be characterized by the phase distribution oscillating in a confined region and the phase difference between conformists and contrar- ians oscillating around π periodically. In addition, we present the parameter space of the oscillating state and traveling wave state of the model.
