While the vast majority of the literature reports momentum profitability to be overwhelming in the U.S. market and widespread in other countries, this paper finds that the pure momentum strategy in general does not yield excess profitability in the Chinese stock markets. We find instead strong mean reversion. A pure contrarian investment strategy produces positive excess returns and in general ...

In this paper we examine a control variate estimator for quantity that can be expressed as the expectation of functional random process, is itself solution differential equation driven by fast mean-reverting ergodic forces. The same limit diffusion process approximates original when mean-reversion time goes to zero. To get an efficient estimator, propose coupling method build and process. We sh...

The purpose of this paper is the comparative analysis of four natural gas storage valuation ap proaches. In competitive natural gas markets the optimal valuation and operation of natural gas stor ages is a key task for natural gas companies operating storages. Within this paper, four spot based valuation approaches are analyzed regarding computational time and accuracy. In particular, explicit ...

Vertebrate genomes contain many virus-related sequences derived from both retroviruses and non-retroviral RNA and DNA viruses. Such non-retroviral RNA sequences are possibly produced by reverse-transcription and integration of viral mRNAs of ancient RNA viruses using retrotransposon machineries. We refer to this process as transcript reversion. During an ancient bornavirus infection, transcript...

From the spot prices we have to identify the following six parameters: α , μ, σ, Km , γ, Φ. If necessary, a seventh parameter, λ, should be identified from the futures prices. The six parameters mentioned above can be identified using the maximum likelihood method (Ball and Torous, 1983; Lien and Strom, 1999; Clewlow and Strickland, 2000) or the moments method (Lien and Strom, 1999; Deng, 1999)...

rDNA magnification in Drosophila melanogaster is defined experimentally as the ability of bb/Ybb- males to produce exceptional progeny that are wild type with respect to rDNA associated phenotypes. Here, we show that some of these bobbed-plus progeny result not from genetic reversion at the bb locus but rather from variants at two or more autosomal loci that ameliorate the bobbed phenotype of r...

This paper is concerned with experiments which measure CMB anisotropies on small angular scales. A certain coverage, a beam structure and a level of uncorrelated noise define each experiment. We focus our atention on the reversion of the beam average. In each experiment, we look for the best pixelization for reversion, namely, for the pixelization that –after reversion– leads to good maps conta...

A reversion study of EMS- or ICR170-induced ascospore color mutants in Ascobolus immersus is reported. Twenty-three new intragenic suppressors were isolated within the b2 locus. These are localized within three distinct groups on a genetic fine-structure map containing 21 identifiable sites. The pattern of reversion is discussed according to the known specificity of EMS and ICR170 in Ascobolus ...