In this study, genetic programming, an optimization technique based on the principles of natural evolution, was used to generate trading and hedging rules in Standard & Poor’s 500 spot and futures markets. I adopted a realistic trading process that included reasonable transaction costs,...

We examine the impact of the May 2003 dividend tax cut and managerial stock holdings on corporate dividend initiation. We find that executives who hold sizable stakes in their companies become more likely to initiate dividends following this tax cut. The firms that initiate dividends after the...

According to the characteristics of agricultural system in Beijing, Tianjin and Hebei, population pressure, resource utilization and construction capability are taken as the first grade indices. And There are a total of 14 second grade indices, such as the per capita cultivated land, per capita...

We show that the conventional procedure of risk adjustment by running full-sample time-series Fama-French three-factor regressions is not appropriate for momentum portfolios because the procedure fails to allow for the systematic dynamics of momentum portfolio factor loadings. We propose a...

Stochastic system is applied to describe and investigate the fluctuations of stock price changes in a stock market, and a stock price model is developed by the finite-range contact process of the statistical physics systems. In this paper, the scaling behaviors of the return intervals for SSE...

This paper investigates the changes in credit spread volatility during 1993-2001. We find that the credit spreads between junk-grade corporate bonds and Treasury bonds were significantly more volatile in the second half of this period when credit-related securities became popular. In contrast,...

Beijing Record, the result of ten years of research on the urban transformation of Beijing in the last fifty years, brings to an extended Western audience the inside story on the key decisions that led to Beijing's present urban fragmentation and its loss of memory and history in the form of...

By using the linear approximation method, the laser intensity power spectrum and signal-to-noise ratio (SNR) are calculated for a gain-noise model of a single-mode laser driven by colored cross-correlated pump noise and quantum noise, each of which is colored. We found that stochastic...

The authors investigated the environmental disaffects of the mixed and intensive land-use (MILU) urban model that are responsible for the high-rise and high-densities cities of Asia. The compact urban form is associated with environmental consequences such as worsen canyon geometry due to close...

Waterlogging is one of the most serious hazards in China. Old-style residences in cities are prone to be damaged by waterlogging hazards. This paper describes our exposure assessment of old-style residences in Shanghai during rainstorm waterlogging. Two rainstorm scenarios of 20-year and 50-year...