A nonsymmetric sequential test

A one-sided testing problem based on an i.i.d. sample of observations is considered. The usual one-sided sequential probability ratio test would be based on a random walk derived from these observations. Here we propose a sequential test where the random walk is replaced by Lindleys random walk which starts anew at zero as soon as it becomes negative. We derive the asymptotics of the expected sample size and the error probabilities of this sequential test. We discuss the advantages of this test for certain nonsymmetric situations.Acknowledgement. The authors thank the referee for helpful comments and suggestions. Their research was supported by the German Research Foundation (DFG) and the Russian Foundation for Basic Research (RFBR).     

育人为本——修学旅游健康发展路径探索——以“小脚丫走天下”为例

通过古今对比,阐述了当代修学旅游的内涵。在分析目前修学旅游共性问题的基础上,提出了＂育人为本＂的修学旅游健康发展理念和时代需求的必要性,并以＂小脚丫走天下＂修学旅游品牌为例,探索修学旅游的健康发展模式。     

随机游走与期货市场有效性检验——以郑州棉花期货为例

文章首先对随机游走过程与市场弱式有效的关系进行系统分析,明确了利用随机游走检验市场有效性应遵循的步骤和程序,并澄清了已有研究中存在的错误和偏差。在此基础上,以郑州棉花期货为例进行了实证分析,得出了不同于已有研究的无效率结论,并进一步分析了棉花期货市场效率低下的原因,以及为提高效率应该采取的措施。     

Predictions of short-term rates and the expectations hypothesis

This paper emphasizes that traditional tests of the EH are based on two assumptions: the expectations hypothesis (EH) per se and an assumption about the expectations generating process (EGP) for the short-term rate. Arguing that conventional tests of the EH need to assume EGPs that may be significantly at odds with the true EGP, we investigate this possibility by analyzing the out-of-sample predictive performances of several models for predicting interest rates, including a few models which assume that the EH holds in its functional form that relates long- to short-term yields. Using US riskless yield data for a 1970–2016 monthly sample and testing methods that take into account the parameter uncertainty, the null hypothesis of an equal predictive accuracy of each model relative to the random walk alternative is hardly ever rejected at intermediate and long horizons. This confirms that, at least at a practical level, the main difficulty with the EH is represented by the effective prediction of short-term rates. We discuss the relevance of these findings for central banks’ use of forward guidance.     

A new perspective on post‐earnings‐announcement‐drift: Using a relative drift measure

Prior research finds that there is a delayed reaction to both analyst‐based earnings surprises and random‐walk‐based earnings surprises. Focusing on the market reaction from the post‐announcement window, prior studies show that analyst‐based drift is larger than random walk‐based drift. This finding is counter‐intuitive if we believe large, sophisticated investors tend to trade on analysts’ forecast earnings news and thus react faster and more completely than smaller and less sophisticated investors react to random walk earnings news. In this study, we construct a relative measure of post‐earnings‐announcement drift (PEAD) (i.e., drift as a proportion of total market reaction to earnings news) which we refer to as the ‘drift ratio’, and we provide evidence, consistent with our intuition, that analyst‐based drift ratio is smaller (not greater) than random‐walk‐based drift ratio. We find that this difference is more pronounced in more recent periods and for firms with more sophisticated investors. Our approach to measure the PEAD is more intuitive than that in traditional PEAD literature. Our results thus complement existing research findings by utilizing the drift ratio measure to generate new insights about the drift phenomenon.     

On nonlinear dependencies in African stock markets

Ferreira, Dionisio, and Correia (2018. Physica A: Statistical Mechanics and Its Applications. 505, 680–687) showed that African stock markets at different time frames (before the Lehman Brothers financial crisis, during the crisis, and after the crisis) do not satisfy the efficient market hypothesis. Here, we provide evidence by means of six different nonparametric tests, and the fit of GARCH(1, 1), TGARCH(1, 1) and EGARCH(1, 1) models accounting for day of the week and month of the year effects that the majority of African stock markets do comply with the efficient market hypothesis.     

The prospects of BRIC countries: Testing weak-form market efficiency

The main purpose of the study is to determine whether the equity markets of Brazil, Russia, India and China (BRIC) may be considered weak-form efficient in recent years. The major findings using daily data and a bias-free statistical technique with a sample spanning from September 1995 to March 2010 indicate that the results from the last sub-periods, including the subprime crisis, support the belief that these markets may have been approaching a state of being fairly weak-form efficient, which reflects the future prospects of BRIC countries.     

The random walk as a forecasting benchmark: drift or no drift?

We examine the proposition that the random walk without drift is more powerful in predicting exchange rates than the random walk with drift. It is demonstrated that there is no theoretical reason why the random walk without drift always outperforms the random walk with drift and that this is an empirical issue. The results show that while the random walk without drift can outperform the random walk with drift in terms of the RMSE, it fails to do so in terms of the ability to predict the direction of change, measures that take into account magnitude and direction, and in terms of profitability. If the drift factor is allowed to change over time by estimating the model in time-varying parameter terms, the random walk with drift performs even better.     

民币对美元日汇率决定模型研究

基于汇率决定理论的最新研究进展．本文分析了人民币对美元日汇率的影响因素。研究发现,宏观经济新闻、外汇市场微观因素买卖价差是人民币对美元日汇率的重要影响因素,而中美相对利率并不是人民币对美元日汇率的影响因素。进一步,本文将随机游走模型、新闻变量以及外汇市场微观因素结合起来,构建了人民币对美元日汇率决定理论模型。实证研究发现,人民币对美元日汇率由自身滞后值、中国经济活动方面的新闻和零售市场买卖价差决定。     

DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE

We derive the joint density of a Skew Brownian motion, its last visit to the origin, its local and occupation times. The result enables us to obtain explicit analytical formulas for pricing European options under both a two‐valued local volatility model and a displaced diffusion model with constrained volatility.