Semi-Varying Coefficient Panel Data Model with Technical Indicators Predicts Stock Returns in Financial Market

Accurately predicting stock returns is a conundrum in financial market.Solving this conundrum can bring huge economic benefits for investors and also attract the attention of all circles of people.In this paper the authors combine semi-varying coefficient model with technical analysis and statistical learning,and propose semi-varying coefficient panel data model with individual effects to explore the dynamic relations between the stock returns from five companies:CVX,DFS,EMN,LYB,and MET and five technical indicators:CCI,EMV,MOM,ln ATR,ln RSI as well as closing price(ln CP),combine semi-parametric fixed effects estimator,semi-parametric random effects estimator with the testing procedure to distinguish fixed effects(FE) from random effects(RE),and finally apply the estimated dynamic relations and the testing set to predict stock returns in December 2020 for the five companies.The proposed method can accommodate the varying relationship and the interactive relationship between the different technical indicators,and further enhance the prediction accuracy to stock returns.

ESTIMATION IN A SEMI-VARYING COEFFICIENT MODEL FOR PANEL DATA WITH FIXED EFFECTS

This paper considers a semi-varying coefficient model for panel data with fixed effects,proposes the profile-likelihood-based estimators for the parametric and nonparametric components,and establishes convergence rates and asymptotic normality properties for both estimators.Simulation results show that the proposed estimators behave well in finite sample cases.

Estimation of Semi-Varying Coefficient Model with Surrogate Data and Validation Sampling

In this paper, we investigate the estimation of semi-varying coefficient models when the nonlinear covariates are prone to measurement error. With the help of validation sampling, we propose two estimators of the parameter and the coefficient functions by combining dimension reduction and the profile likelihood methods without any error structure equation specification or error distribution assumption. We establish the asymptotic normality of proposed estimators for both the parametric and nonparametric parts and show that the proposed estimators achieves the best convergence rate. Data-driven bandwidth selection methods are also discussed. Simulations are conducted to evaluate the finite sample property of the estimation methods proposed.

Spatial correlations in ground motion intensity measuring from the 2023 Türkiye earthquake

When evaluating an area's seismic risk or resilience,it is necessary to use the spatial correlation to analyze the ground motion parameters of multiple sites together in an earthquake.These two large earthquakes in Türkiye provided the possibility for spatial correlation analysis of ground motion intensity measurements in this area.Based on the strong motion records provided by The Disaster and Emergency Management Authority of Türkiye(AFAD),this study uses the local ground motion prediction equation in Türkiye to give spatial correlation analysis of Intensity Measurements.This study gives an exponential model based on a semivariogram and compares it with the correlation model obtained from previous studies.

半方差函数模型在滑坡、泥石流沟分布识别中的应用——以四川洪溪河流域为例

快速、精确地识别地震后滑坡、泥石流沟的空间分布与覆盖范围,对于认识滑坡、泥石流灾害机理和震后灾区治理至关重要。目前提取滑坡、泥石流沟分布的方法主要是基于光谱信息与纹理信息,人为因素影响大,训练过程繁琐。该文提出一种基于半方差函数(semi-variance)模型与高空间分辨率影像实现少光谱信息、无训练样本条件下自动提取滑坡、泥石流沟的方法。以汶川重灾区四川省平武县洪溪河流域为例进行实验研究,结果表明:在滑坡以裸土、岩石出露为主,且具有数字高程模型(DEM)地形信息的情况下,该方法可以很好地识别典型滑坡与泥石流沟,并能勾画其边界范围;研究区内48.21%的滑坡与泥石流沟覆盖面积得以正确识别,特大型滑坡与大型滑坡识别数量比例分别为100%与80%,泥石流沟识别数量比例为70%。

Influence of groundwater level change on vegetation coverage and their spatial variation in arid regions

Sampling and testing are conducted on groundwater depth and vegetation coverage in the 670 km2 of the Sangong River Basin and semi-variance function analysis is made afterwards on the data obtained by the application of geo-statistics. Results showed that the variance curve of the groundwater depth and vegetation coverage displays an exponential model. Analysis of sampling data in 2003 indicates that the groundwater depth and vegetation coverage change similarly in space in this area. The Sangong River Basin is composed of upper oasis, middle ecotone and lower sand dune. In oasis and ecotone, influenced by irrigation of the adjoining oasis, groundwater level has been raised and soil water content also increased compared with sand dune nearby, vegetation developed well. But in the lower reaches of the Sangong River Basin, because of descending of groundwater level, soil water content decreased and vegetation degenerated. From oasis to abandoned land and desert grassland, vegetation coverage and groundwater level changed greatly with significant difference respectively in spatial variation. Distinct but similar spatial variability exists among the groundwater depth and vegetation coverage in the study area, namely, the vegetation coverage decreasing (increasing) as the groundwater depth increases (decreases). This illustrates the great dependence of vegetation coverage on groundwater depth in arid regions and further implies that among the great number of factors affecting vegetation coverage in arid regions, groundwater depth turns out to be the most determinant one.

A novel hybrid algorithm based on a harmony search and artificial bee colony for solving a portfolio optimization problem using a mean-semi variance approach

Portfolio selection is one of the major capital allocation and budgeting issues in financial management, and a variety of models have been presented for optimal selection. Semi-variance is usually considered as a risk factor in drawing up an efficient frontier and the optimal portfolio. Since semi-variance offers a better estimation of the actual risk portfolio, it was used as a measure to approximate the risk of investment in this work. The optimal portfolio selection is one of the non-deterministic polynomial(NP)-hard problems that have not been presented in an exact algorithm, which can solve this problem in a polynomial time. Meta-heuristic algorithms are usually used to solve such problems. A novel hybrid harmony search and artificial bee colony algorithm and its application were introduced in order to draw efficient frontier portfolios. Computational results show that this algorithm is more successful than the harmony search method and genetic algorithm. In addition, it is more accurate in finding optimal solutions at all levels of risk and return.

Portfolio optimization by improved NSGA-II and SPEA 2 based on different risk measures

In this study,we analyze three portfolio selection strategies for loss-averse investors:semi-variance,conditional value-at-risk,and a combination of both risk measures.Moreover,we propose a novel version of the non-dominated sorting genetic algorithm II and of the strength Pareto evolutionary algorithm 2 to tackle this optimization problem.The effectiveness of these algorithms is compared with two alternatives from the literature from five publicly available datasets.The computational results indicate that the proposed algorithms in this study outperform the others for all the examined performance metrics.Moreover,they are able to approximate the Pareto front even in cases in which all the other approaches fail.

New approach to calculating tree height at the regional scale

Background:Determining the spatial distribution of tree heights at the regional area scale is significant when performing forest above-ground biomass estimates in forest resource management research.The geometric-optical mutual shadowing(GOMS)model can be used to invert the forest canopy structural parameters at the regional scale.However,this method can obtain only the ratios among the horizontal canopy diameter(CD),tree height,clear height,and vertical CD.In this paper,we used a semi-variance model to calculate the CD using high spatial resolution images and expanded this method to the regional scale.We then combined the CD results with the forest canopy structural parameter inversion results from the GOMS model to calculate tree heights at the regional scale.Results:The semi-variance model can be used to calculate the CD at the regional scale that closely matches(mainly with in a range from-1 to 1 m)the CD derived from the canopy height model(CHM)data.The difference between tree heights calculated by the GOMS model and the tree heights derived from the CHM data was small,with a root mean square error(RMSE)of 1.96 for a 500-m area with high fractional vegetation cover(FVC)(i.e.,forest area coverage index values greater than 0.8).Both the inaccuracy of the tree height derived from the CHM data and the unmatched spatial resolution of different datasets will influence the accuracy of the inverted tree height.And the error caused by the unmatched spatial resolution is small in dense forest.Conclusions:The semi-variance model can be used to calculate the CD at the regional scale,together with the canopy structure parameters inverted by the GOMS model,the mean tree height at the regional scale can be obtained.Our study provides a new approach for calculating tree height and provides further directions for the application of the GOMS model.

Spatial variability of soil chemical properties of Moso bamboo forests of China

This study investigates the spatial variability of soil organic matter(SOM),soil organic carbon(SOC)and pH in the upper 20-cm layer and 20-40 cm layer in Moso bamboo(Phyllostachys pubescens Pradelle)forests using a geostatistics model.Interpolation maps of SOM,SOC,and pH were developed using ordinary kriging(OK)and inverse distance weighted(IDW)methods.The pH,SOC,and SOM of the two soil layers ranged from 4.6 to 4.7,from 1.5 to 2.7 g kg^(-1)and from 20.3 to 22.4 g kg^(-1),respectively.The coefficient of variation for SOM and SOC was 29.9-43.3%while a weak variability was found for pH.Gaussian and exponential models performed well in describing the spatial variability of SOC contents with R^(2)varying from 0.95 to 0.90.The nugget/sill values of pH are less than 25%,which indicates a strong spatial correlation,while the nugget/sill values of SOC and SOM fall under moderate spatial correlation.Interpolation using ordinary kriging and inverse distance weighted methods revealed that the spatial distribution of SOM,SOC,and pH was inconsistent due to external and internal factors across the plots.Regarding the cross-validation results,the ordinary kriging method performed better than inverse distance weighted method for selected soil properties.This study suggests that the spatial variability of soil chemical properties revealed by geostatistics modeling will help decision-makers improve the management of soil properties.

ESTIMATION ON SEMIVARYING COEFFICIENT MODELS WITH DIFFERENT DEGREES OF SMOOTHNESS

Semivarying coefficient models are frequently used in statistical models.In this paper,under the condition that the coefficient functions possess different degrees of smoothness,a two-stepmethod is proposed.In the case,one-step method for the smoother coefficient functions cannot beoptimal.This drawback can be repaired by using the two-step estimation procedure.The asymptoticmean-squared error for the two-step procedure is obtained and is shown to achieve the optimal rate ofconvergence.A few simulation studies are conducted to evaluate the proposed estimation methods.

A Nonlinear Interval Portfolio Selection Model and Its Application in Banks

In classical Markowitz＇s Mean-Variance model, parameters such as the mean and covari- ance of the underlying assets＇ future return are assumed to be known exactly. However, this is not always the case. The parameters often correspond to quantities that fall within a range, or can be known ambiguously at the time when investment decision must be made. In such situations, investors determine returns on investment and risks etc. and make portfolio decisions based on experience and economic wisdom. This paper tries to use the concept of interval numbers in the fuzzy set theory to extend the classical mean-variance portfolio selection model to a mean-downside semi-variance model with consideration of liquidity requirements of a bank. The semi-variance constraint is employed to control the downside risk, filling in the existing interval portfolio optimization model based on the linear semi-absolute deviation to depict the downside risk. Simulation results show that the model behaves robustly for risky assets with highest or lowest mean historical rate of return and the optimal investment proportions have good stability. This suggests that for these kinds of assets the model can reduce the risk of high deviation caused by the deviation in the decision maker＇s experience and economic wisdom.