Researchers recommended investing according to the long only momentum (MOM) strategy to generate excess returns for private investors. The general problem of this study was that it was unclear when to enter and when to exit declining financial markets to avoid larger losses and to improve the overall performance with the MOM strategy. Therefore, it was important to understand the influence of a timing indicator on the MOM strategy. The purpose of this study was to examine the relationship between different moving average (MA) settings, the MOM strategy, and the performance of the returns from the construction of small U.S. stock portfolios. The research question was what MA setting as a strategy adjustment could improve the MOM strategy performance for small portfolios of U.S. stocks. A quasi-experimental research design was chosen to answer this research question. For the methods and analysis, simple- and exponential- MA, 2 econometric models, and abnormal Sharpe ratios were computed on the sample basis of 30 Dow Jones Industrial Average (DJIA) stocks. The computations allowed me to determine the optimal trading frequencies for the MA MOM strategy. The key result was that the MA MOM strategy could improve the MOM strategy on average by 0.16% per month. The optimal trading frequency for the MA MOM strategy with $5,000 was tri yearly through which (0.90 - 1.85 %) net monthly return could be achieved. The MOM strategy can be adjusted by a simple moving average (SMA) indicator on a 6 versus 36-month basis as a recommendation. This study might contribute to positive social change by adjusting the MOM strategy, which specifically impacts private investors in declining stock markets to improve the overall performance when trading the MA MOM strategy.

Behavioral momentum theory provides a conceptual framework for the study of the recurrence of previously extinguished operant behavior. Commonly referred to as treatment relapse, this is the failure to maintain treatment gains (e.g., reductions in challenging behavior) when there is a change in conditions under which these gains were achieved. One treatment relapse paradigm previously examined in basic and applied research is reinstatement. Reinstatement of challenging behavior has been shown to occur when functional reinforcers are delivered on a fixed-time schedule following extinction of challenging behavior. Although examinations appropriate behavior have applied value, analyses of reinstatement have been conducted almost exclusively with challenging behavior. During the current study, a reinstatement methodology was applied to communicative responses with five children diagnosed with developmental disabilities who exhibited comorbid communication deficits, as well as challenging behavior maintained by positive reinforcement. In the first phase of the reinstatement evaluation, each child received functional communication training (FCT) within a positive reinforcement context within a two-component multiple schedule design with each schedule paired with a distinct communicative response. After achieving steady-state responding in the first phase, in which all participants were independently emitting both communicative responses, all appropriate communication was placed on extinction in the second phase. Extinction continued until rates of appropriate communication were at or near zero. In the third phase, positive reinforcement was delivered and the recurrence of appropriate communication was evaluated. For two of five participants, communicative responding recurred following the fixed-time delivery of the functional reinforcer, indicating a successful demonstration of reinstatement. For three of five participants, communicative responding recurred prior to the delivery of fixed-time reinforcement, indicating that an alternative recurrence phenomenon likely occurred. These results suggest that reinstatement methodologies can be applied to cases in which FCT treatment failures have occurred to efficiently restore clinical gains for some participants. Implications for clinical practice and future directions of this line of research are discussed.

Interventions based on a token economy effectively reduce problematic behavior. Yet, treatment gains deteriorate once an intervention is discontinued. It is important to better understand the persistence of behavior maintained by token reinforcement in simple experimental procedures. A Pavlovian association with primary reinforcement is said to endow neutral stimuli (e.g., coins, poker chips, lights, signs, stickers, etc.) with their own function to strengthen behavior as conditioned reinforcers. Behavioral momentum theory suggests that resistance to change under conditions of disruption is the appropriate measure of response strength. However, some animal studies have suggested that conditioned reinforcement may not affect resistance to change of a response. Here, a novel token reinforcement procedure was developed to investigate the resistance to change of responding maintained by token reinforcement. Pigeons responded on a key to produce tokens displayed on a touchscreen monitor in two signaled token-production components. Tokens accumulated over the two production components prior to a common exchange component where pecks to the tokens on the touchscreen produced food reinforcement. Resistance to change of responding maintained by different rates of token reinforcement was assessed by disrupting baseline token-production responding with presession feeding. Token reinforcement rates had inconsistent effects on baseline token-production response rates. However, small effects of token reinforcement rate on resistance to change were found. Results provide weak support for a response-strengthening account of conditioned reinforcement and insightful directions for future studies of token reinforcement in related procedures.

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學者研究如何去預測整個市場或是特定產業的走勢，而時間序列的使用在這個層面也被廣泛使用。實務者跟學者近年來也逐漸開始專注於技術指標的分析上，而近年來越來越多的理論架構是根據行為財務學而產生，像是過度反應以及反應不足。本篇研究的目的旨在透過實務與學術的交流，將兩者的優勢互相結合，首先在詳述其投資策略之方法論後，將其想法透過時間序列分析模型化，再則藉由專業的學術訓練修改其模型。簡言之，本篇論文結論如下:1.實務者的方法確實有其洞察力與預測上的價值。2.在將變數從動能訊號轉換成外資持有市值後，回歸的結果確實有進一步的改善。3.外國機構投資人在不同的產業所持有之市值比例確實在統計上顯著受到報酬率跟現金比率兩者的T值與係數之影響。 / Abstract Researchers have been exploring the subject of how to forecast the trends of overall market and certain of sectors from adequate information so far. The analysis and forecasting of time series are also extensively utilized in a variety of applications. Not only practitioners but also academics have been focus on technical indicators. And recently more and more theories based on behavior finance, such as overreaction and underreaction. This study is attempting to investigate the approach of an analyst according to time series analysis, and especially concerned about the momentum indicator, which is combined with overreaction and underreaction. Briefly, our conclusions are as follows： 1. The practitioner’s approach does really have its insight and predictive value. 2. After replacing variable from signals to holdings, the regression results have been improved. 3. We could indicate that the market value holding percentage of FINI in different sectors do really have significant influence toward T-statistics and coefficients of returnt-1 and cash ratiot-1. Key words：Momentum, Overreaction, Underreaction.

<p>Abstract</p><p>Market efficiency is a highly debated topic within the academic research field of finance.</p><p>Several studies have presented that the return on stocks may be predictable by employing the</p><p>momentum investment strategy, which contradicts the Efficient Market Hypothesis in</p><p>exchange market. There is extensive international evidence, on an academic level that the</p><p>momentum investment strategy yields positive abnormal returns when short-term periods are</p><p>considered. This paper examines the profitability of the momentum investment strategy in</p><p>Canadian and Swedish stock markets during January 2000 to December 2006. To investigate</p><p>the strategy, two separate portfolios of winners and losers, each portfolio containing 50</p><p>stocks, are created for each market. Then the momentum strategy, which consists in long</p><p>position in past best performing stocks and short positions in past worst performing stocks, is</p><p>run for each exchange market. Results show that the strategy generates statistical significance</p><p>at the 5% level for Canadian market for 9-month holding period, and with the level of</p><p>significance at the 10% for Swedish market for the 6 and 9-month holding periods after</p><p>excluding the data for the year 2002. Moreover, results show that the strategy is even stronger</p><p>in the level of significance during the bull trend of the markets. The paper confirms the</p><p>existence of the momentum anomaly in TSX and SSE.</p>

<p><p>This paper is the result of a master thesis project on helicopter rotor downwash effects using computational fluid dynamics (CFD). The work was performed at the department of Aerodynamics and Flight Mechanics at Saab AB, Linköping in 2008. It completes the author’s studies for a M.Sc degree in Applied Physics and Electrical Engineering at the Department of Electrical Engineering at the Linköping institute of technology (LiTH), Linköping, Sweden.</p><p> </p><p>The aim of the project was to study the rotor downwash effects and its influence on the helicopter fuselage. To fulfil this purpose, several CFD calculations were carried out and the aerodynamic forces and moments resulting from the calculations were implemented in an existing simulation model, developed in-house at Saab. The original (existing) model was compared to the updated model by studying step responses in MATLAB, Simulink. For some step commands, the comparisions indicated that the updated model was more damped in yaw compared to the original model for the hovering helicopter. When the helicopter was trimmed for a steady turn, the states in the updated model diverged much faster than the states in the original model for any given step command.</p><p> </p><p> </p><p>In order to investigate the differences between the original helicopter model and the updated model from a controlling perspective, a linear quadratic (LQ) state feedback controller was synthesized to stabilize the vehicle in a steady turn. The LQ method was chosen as it is a modern design technique with good robustness and sensitivity properties and since it is easily implemented in MATLAB.  Before synthesising, a simplification of the helicopter model was made by reducing states and splitting them into lateral and longitudinal ones. Step responses from simulations with the original and the updated model were studied, showing an almost identical behavior.</p><p> </p><p>It can be concluded that the aerodynamic coefficients obtained from the CFD calculations can be used for determining the aerodynamic characteristics of the helicopter. Some further validation is needed though, for example by comparing the results with flight test data. In order to build an aerodynamic data base that covers the whole flight envelop, additional CFD calculations are required.</p><p> </p></p>

The effect of a non-uniform magnetic field on the coupled transport of momentum and heat is studied for the case of laminar pipe flow of a magnetically susceptible ferrofluid. The momentum and heat transport equations are complemented with the necessary electromagnetic terms and used to develop a computer simulation of the velocity profile and temperature distribution in the fluid. Two magnetic field configurations are studied. The first configuration is produced by a single short solenoid, located around the pipe. The magnetic field produced has both radial and axial components. For the second configuration, the electric current is inverted in one half of the solenoid, creating much stronger field gradients in both directions. The flow is laminar, driven by a constant pressure difference between the ends of the pipe. The apparent viscosity of the ferrofluid is modeled as dependent on temperature and magnetic field. In simulations involving heat transfer, a section of the pipe is maintained at higher constant temperature. The rest of the wall is adiabatic. A Visual-Basic code, FiRMa (Flow in Response to Magnetic field), was developed to perform the numerical simulations. For the water-based ferrofluid, results show reduction of average velocity and small deviations from the parabolic velocity profile as the result of vortex viscosity. Heat transfer calculations show a decrease in the heat transfer coefficient and an increase in the fluid exit temperature. These effects are due to the change in flow pattern and average velocity. Current research aims for the development of a stable liquid-metal based ferrofluid, because of the high electric and thermal conductivities. The FiRMa code is used to examine the expected response of a mercury-based ferrofluid to the magnetic fields under study. Results show that the electromagnetic effects on the liquid metal-based ferrofluid are much stronger, due to induced electric currents and the Lorentz force acting on them. / Graduation date: 2003

Recent studies suggest that the conditional CAPM might hold, period-by-period, and that time-varying betas can explain the failures of the simple, unconditional CAPM. We argue, however, that significant departures from the unconditional CAPM would require implausibly large time-variation in betas and expected returns. Thus, the conditional CAPM is unlikely to explain asset-pricing anomalies like book-to-market and momentum. We test this conjecture empirically by directly estimating conditional alphas and betas from short-window regressions (avoiding the need to specify conditioning information). The tests show, consistent with our analytical results, that the conditional CAPM performs nearly as poorly as the unconditional CAP

Although a tropical cyclone may conceptually be regarded as an axisymmetric vortex, there is substantial evidence that asymmetric dynamics play an important role. In this thesis, dynamical impacts of rotating convective asymmetries are examined in this thesis. Two types of rotating convective asymmetries are considered: rotating eyewall convective maximum which is located in the core region of the storm and spiral bands which are located outside the core. Both of them can be characterized as rotating asymmetric convective heat sources, and they are superimposed on a balanced, axisymmetric vortex to approximate the effect of rotating eyewall convective maximum and spiral bands on tropical cyclone by using a simple nonhydrostatic three-dimensional, but linear model that is based on vortex anelastic equations. The evolution of rotating convective asymmetric heat sources on a balanced, axisymmetric vortex, which is modeled after tropical cyclones, is investigated to examine angular momentum transport by gravity waves that radiate away from the core region. Results show that gravity waves can transport angular momentum away from a tropical cyclone, but a very small amount, which is several orders of magnitude smaller than the estimate by recent studies. The significantly large difference may largely be due to the difference between two-dimensional and three-dimensional adjustment processes. Assuming that the effects of spiral bands on tropical cyclone wind field are caused by the response to diabatic heating in their convection, rotating asymmetric heat sources are constructed to reflect observations of spiral bands. These heat sources are rotated around a realistic but idealized balanced axisymmetric vortex. Simulation results show that the response of tropical cyclone wind field to idealized spiral band heat sources can successfully capture a number of observed well-known features of spiral band circulation, such as overturning secondary circulation, descending mid-level inflow, and cyclonic tangential acceleration. Comparison to full-physics numerical simulations confirms the validity of this method which provides a simple dynamical framework to better understand the impact of spiral bands in tropical cyclone.