Momentum Effects Research Articles

Sovereign momentum currency returns

We study the relationship between cross-sectional sovereign credit risk and currency spot prices. We find that past (up to 12-month average) sovereign credit risk, measured by sovereign credit default swap (CDS) spreads, predict future currency spot returns. In particular, we document a significant cross-sectional currency portfolio spread in excess of the risk-free rate of return (up to 9.6% p.a.) between the highest and the lowest quintile sovereign CDS spreads. Overall, our results indicate that sovereign credit risk is systematically important for currency returns. Moreover, the level of sovereign credit risk has a persistent effect on currency returns which is consistent with a sovereign momentum effect.

Shared analyst coverage, 52-week high, and cross-firm return predictability

In this study, we show that the return predictability of analyst-connected firms is positively correlated with nearness to 52-week high stock prices. Our results are robust to tax loss selling and penny stocks and when controlling for market factors and macroeconomic conditions. The impact of the 52-week high on the analyst-connected momentum effect is stronger among focal stocks of smaller firms, those with lower institutional ownership, and those with less analyst coverage. Moreover, the greater the number of shared analysts, the stronger the relationship between firm fundamentals, resulting in stronger return predictability. When both focal and analyst-connected firms have stock prices near (far from) their 52-week highs, there is a stronger underreaction to good (bad) news about analyst-connected firms.

Analysis of Momentum Effects in the Seoul Apartment Market

Analysis of Momentum Effects in the Seoul Apartment Market

Theoretical study of the expansion of Roper's theory on the laminar jet diffusion flame length in 2D and 3D in natural gas and hydrogen mixtures

In this work, three mathematical models were developed to study the laminar jet diffusion flame in mixtures of natural gas, hydrogen, and CO2 by extending and applying Roper's theory. Model M1 consists of derivation of the Roper's original equation described in the two-dimensional steady state without convection, thus showing the theoretical equations for the length of the diffusion flame for burners with circular, square, and rectangular cross sections and for regimes in which the flames are dominated by the momentum effects, the buoyancy effect, and in the transition regime. Models M2 and M3 extend the Roper's original theory by deriving analytical solutions of the two- and three-dimensional diffusion flame equation with convection in steady and transient states, taking into account the spatially variable velocity and diffusion coefficients. The flame lengths obtained with models M1 and M2 were compared with model M3 by Relative Percentage Difference (RPD) considering 5 mixtures of NG-H2-CO2. For t = 0.1, the maximum RPD in the circular cross-section for M1 in Gas20:60%NG-25%H2–15%CO2 was 14.75%, while for M2 in Gas14:70%NG-15%H2–15%CO2 was 6.47% and the minimum RPD in Gas1:100%NG was 9.78% and 4.83% for M1 and M2, respectively. The same analysis was developed for the square and rectangular (Fr ≪ 1) cross-sections and showed good agreement. The model M3 was tested under transient conditions, studying the effects of time and velocity on the distribution of the profile in the radial direction, in order to better understand the flame phenomenon, which cannot be observed with the Roper's original model M1. Finally, the models M2 and M3 were validated with experimental results and other analytical solutions showing a good performance considering the characteristics of each mixture.

Comprehensive Analysis of Pressure Drop Phenomena in Rotating Packed Bed Distillation: An In-Depth Investigation.

A rotating packed bed (RPB) is an innovative intensification technology that improves its separation capabilities in high-gravity conditions. This process increases efficiency with smaller equipment size and footprint than conventional packed columns. Although significant advancements have been made regarding RPBs, most studies only focused on single or dual rotor configurations in addressing dry pressure drop. Hence, multiple rotor systems in industrial settings can enhance economic efficiency by minimizing the necessity for numerous RPBs. This study investigated the pressure drops and holdup in a three-stage rotor-based RPB under actual process conditions using natural gas as the feed. A novel pressure drop correlation was introduced based on the nitrogen removal process from the natural gas in continuous RPB distillation operations. Consequently, the correlation between centrifugal acceleration, turbulent, and momentum effects demonstrated remarkable accuracy within ±15%. This outcome also highlighted the importance of meticulous design considerations in RPB-based applications due to the complex correlation between centrifugal forces, liquid holdup, and gas flow rates. The reflux feed ratio, liquid holdup, rotating speed, and F-factor effects were examined to comprehend the RPB distillation process. Overall, the correlations between the critical parameters offered crucial insights to prevent process upsets (such as flooding), contributing to advancing RPBs in practical industrial settings.

No evidence for top-down expertise effects on action perception in sprinters using static images

Athletes have been found to demonstrate a superior ability to detect subtle variations in dynamic displays (e.g., point-light displays and videos) depicting expert actions compared to non-athletes. The current study aimed to determine whether this advantage also exists when dynamic information is unavailable (i.e., using static images). Using a staircase procedure, two frames from a video depicting an athlete either walking (everyday action) or performing a sprint start (expert action) were presented, and athletes (sprinters) and non-athletes were asked to indicate whether the images were identical or different. We examined whether presenting the images sequentially (temporal task) or simultaneously (spatial task) influenced participants' discrimination performance. We predicted that the sprinters would outperform the non-sprinters in the spatial task as body postures could be compared directly but not in the temporal task due to larger representational momentum effects for athletes. Contrary to our hypotheses, the sprinters and non-sprinters performed similarly in all tasks and conditions. In line with the prediction that representational momentum may impair performance, participants’ thresholds were lower for the spatial than the temporal task. However, post-hoc analysis suggested that this effect is likely to be better explained by a task order effect whereby participants who completed the temporal task first exhibited an advantage in the spatial task, while there were no performance differences for participants who completed the opposite task order. In sum, our results provide no evidence for the idea that motor expertise affects action perception (i.e., perceptual resonance) in a simple psychophysical task employing static images.

Effects of Magnetic Fields and Orbital Angular Momentum on Excitonic Condensation in Two-Orbital Hubbard Model

Effects of Magnetic Fields and Orbital Angular Momentum on Excitonic Condensation in Two-Orbital Hubbard Model

Seemingly manipulated anomaly: Evidence from corporate site visits

We find that the stock prices of some firms are suspected to be manipulated by the market in the CSV disclosure event scenario. An anomaly in the daily cumulative abnormal returns (CARs) of these “suspicious” CSVs is documented. Around the suspicious CSVs, the CAR trending upward (downward) one month before the event day, temporarily declining (increasing) on the event day, and then trending upward (downward) one year after the event day. We refer to this seemingly manipulated anomaly as the CSV manipulative effect. Based on a unique data set of CSVs to listed firms in China, we obtain the following main findings. First, the CSV manipulative effect is not caused by other company announcements disclosed around the CSV event date, and the probability of manipulative effect brought by CSVs is significantly greater than that brought by other company announcements. Second, factors related to market manipulation significantly affect the CSV manipulative effect. Third, we construct a machine learning model to detect the CSV manipulative effect and find that it is capable of detecting this effect. Fourth, the portfolio constructed by the CSV manipulative effect performs better than the portfolio constructed by the momentum or reversal effect.

CHEMICALLY REACTIVE MHD FLOW THROUGH A SLENDERING STRETCHING SHEET SUBJECTED TO NON-LINEAR RADIATION FLOW OVER A LINEAR AND NON-LINEAR STRETCHING SHEET

In this analysis, the MHD flow and nth-order dispersion of chemically reactive species over a slendering stretching sheet are studied numerically. The partial slip boundary condition and non-linear form of thermal radiation are also considered in this research. To get non-linear ordinary differential equations from the system of partial differential equations governing the flow, energy, and concentration, similarity transformations are applied. Using the shooting technique and the Runge-Kutta scheme, the resultant equations are integrated numerically. The numerical results in terms of temperature, velocity, and concentration are represented graphically. Results from this research indicate that an increase in the wall thickness parameter reduces momentum and heat transfer effects when a magnetic field is present.

Numerical modelling of the cool-down of the helium transfer-lines for FRIB LINAC and experimental systems

The cryogenic distribution system at FRIB is extensive, encompassing three Linac segments, fourteen experimental system superconducting magnets, cross-connect between FRIB and the reconfigured NSCL legacy system, and the A1900 magnets, as well as many other user experimental loads. The cool-down or warm-up of these transfer-lines is an inherently transient process and must be conducted at a gradual enough rate to keep local temperature gradients and corresponding thermal stress on the piping system within acceptable limits. To this end, estimation of this transient process is very helpful in operational planning. A two temperature (fluid and pipe wall) model was developed to capture the transient characteristics of the cool-down or warm-up process with real fluid properties, and considering the effects of heat in-leak, momentum, flow resistance, and piping components. It was employed to estimate the cool-down of different FRIB transfer line sections, and the results were compared against data obtained during actual cool-down of the transfer line.

Research on Predicting Momentum Changes in Tennis Matches Based on Markov and Random Forest Algorithms

Nowadays, momentum is widely mentioned in sports competitions and is regarded as an important psychological and emotional state, but its essence and impact on the results of the game are difficult to accurately quantify and analyze. Therefore, studying the momentum effect in sports competitions and predicting momentum changes is particularly important. We first evaluate the momentum effect in the tennis match by calculating the state transfer matrix of the Markov chain about the tennis score. Using the data of 31 matches about 2023 Wimbledon men’s singles tennis match, we calculated that the server indeed has a higher probability of winning the serve game. In order to simplify the model, assuming that the transfer probability of the momentum state is equal to the transfer probability of the score state, we have established a momentum model that can capture the progress of tennis matches.Then, we have carried out a series of preprocessing of data, such as One hot encoding. Use a series of indicators of two players as independent variables to build a random forest model. The model has RMSE of 0.15, MAPE is 0.18, and is 0.2. Then use the SHAP algorithm to find out the factors most relevant to the momentum of the game.

Placebo in the random walk of stock price: Momentum effect of corporate site visits

Using a unique database of corporate site visits (CSVs) to listed firms in China, we document the daily cumulative abnormal returns (CARs) around site visit events. Based on the performance of CARs before CSVs, we construct a CSV-momentum strategy that involves buying stocks with past winning CSVs and selling stocks with past losing CSVs. We find that the CSV-momentum strategy can generate significant CARs. Furthermore, we propose an explanation of momentum based on the random walk of stock prices over time. The results indicate that the placebo effect of CSVs reduces the accumulated uncertainty in the random walk of stock prices, providing a proper explanation for the momentum effect. In comparison to previous research, our study expands on prior work on CSVs and momentum effects. Moreover, we offer an innovative explanation of momentum formation from the perspective of an information placebo, providing valuable insights for investors into firm-specific information disclosure events.

Chasing Winners in the Gray Wave: Aging Population and Its Effects on Long-Horizon Momentum Profits

The momentum effect is postulated to be a consequence of the disposition effect, which in turn, is a result of the interplay between the typically dominant diminishing sensitivity feature of prospect theory and the loss aversion feature. However, studies have shown that older individuals can exhibit a reverse disposition effect due to their heightened loss aversion compared to younger individuals. This paper hypothesizes that as the population ages, the disposition effect of the average investor starts to diminish, thereby inducing a corresponding weakening of the momentum effect. We find empirical evidence showing that the long-horizon momentum profits are negatively related to changes in the proportion of the older population.

Analyzing the Efficacy of the Relative Strength Indicator of Capital Inflows and Outflows Based on Big Data Analysis in Achieving Abnormal Returns Evidence from the Chinese Stock Market

This study originates from an analysis of market microstructure and introduces a novel statistical indicator of relative strength in capital flows through the application of big data analytics. This indicator effectively captures the impact of capital movements on future stock prices by integrating variations in stock prices with the volume of transactions within a corresponding timeframe. Building upon this foundation, the research develops an innovative momentum investment strategy based on the relative strength indicator of capital inflows and outflows, extending beyond the traditional fixed holding period momentum strategy framework. Empirical analysis reveals that this new indicator significantly demonstrates momentum effects in the Chinese A-share market; notably, in portfolios of stocks with smaller market capitalizations, the momentum strategy grounded on the new indicator achieves higher excess returns compared to traditional momentum strategies. These findings not only validate the efficacy of the new indicator but also underscore the critical role of big data analytics in enhancing the analysis of financial markets and the efficiency of investment decision-making.

Enhancing convergence and accuracy: A comparative study of preconditioning for steady, laminar, and high gradient flows over a wide range of Mach numbers

This paper introduces a novel platform that integrates three preconditioning matrices based on conservative variables: the Turkel, Choi–Merkle and Onur matrices. The platform aims to compare these matrices in terms of accuracy and robustness by investigating their performance in solving three distinct and challenging high-gradient laminar flow problems: (i) Bi-Plane NACA0012 airfoil, (ii) lid-driven flow in a square cavity and (iii) flow in a planar T-junction. These problems serve as new and challenging test cases to accurately determine the abilities of the preconditioning matrices. The preconditioning matrices are applied to evaluate the numerical solutions, and their performance in complex flow fields is assessed in terms of accuracy and efficiency. By solving these flow problems, the effectiveness of the preconditioning matrices is thoroughly analyzed. By integrating these preconditioning matrices into a single platform, this paper significantly contributes to the field. The approach enables a direct and meaningful comparison of the performance of the Turkel, Choi–Merkle and Onur matrices in solving these new and challenging laminar flow problems. While all three matrices demonstrate comparable accuracy in predicting flow characteristics like pressure coefficients, Turkel’s method shows superior convergence acceleration across the almost test cases due to alpha parameter and modifications of the momentum equations. In the external flow case, Turkel converges 22–53% faster than the other matrices by adjusting momentum terms with an alpha parameter. For the internal lid-driven cavity case, Turkel again accelerates convergence up to 38% over Choi–Merkle as Reynolds and Mach numbers increase. However, Onur’s method stalls at high Reynolds/Mach numbers. At low values of Reynolds and Mach numbers, Onur reduces computational cost by 17%. Finally, for the T-junction case, Turkel and Choi–Merkle perform almost identically, decreasing CPU time by 55% vs Onur, which lacks convergence robustness. While the preconditioning matrices have similar accuracy, Turkel offers the best convergence improvement by accounting for momentum effects. Onur works well at low Reynolds/Mach numbers but shows limitations at higher values. The selection of the optimal preconditioning matrix should be based on whether momentum or viscosity dominates in the flow field, as well as the intensity of the viscosity gradient rate.

Combining low-volatility and momentum: recent evidence from the Nordic equities

ABSTRACT This paper investigates the profitability of combined low-volatility and momentum investment strategies in the Nordic stock markets from January 1999 to September 2022. Confirming earlier studies, our results first indicate that both the volatility and momentum effects persist as pure-play strategies. Further, we explore combined strategies using 50/50, double screening, and ranking strategies. Among the long-only portfolios, the momentum-first strategy generates the best Sharpe ratio using the double screening method−slightly outperforming the ranking method. Additionally, all long-only combination portfolios outperform the market in terms of risk-adjusted returns. Combination long-short strategies produce significantly higher risk-adjusted returns than pure-play strategies. Surprisingly, novel evidence suggests that none of the combination long-short strategies outperforms the pure momentum strategy after risk-adjusting the returns using the Fama and French five-factor model, implying that while momentum may enhance the returns from the low-volatility strategy, the reverse is not true for the Nordic stock markets.

Spatial attention in mental arithmetic: A literature review and meta-analysis.

We review the evidence for the conceptual association between arithmetic and space and quantify the effect size in meta-analyses. We focus on three effects: (a) the operational momentum effect (OME), which has been defined as participants' tendency to overestimate results of addition problems and underestimate results of subtraction problems; (b) the arithmetic cueing effect, in which arithmetic problems serve as spatial cues in target detection or temporal order judgment tasks; and (c) the associations between arithmetic and space observed with eye- and hand-tracking studies. The OME was consistently found in paradigms that provided the participants with numerical response alternatives. The OME shows a large effect size, driven by an underestimation during subtraction while addition was unbiased. In contrast, paradigms in which participants indicated their estimate by transcoding their final estimate to a spatial reference frame revealed no consistent OME. Arithmetic cueing studies show a reliable small to medium effect size, driven by a rightward bias for addition. Finally, eye- and hand-tracking studies point to replicable associations between arithmetic and eye or hand movements. To account for the complexity of the observed pattern, we introduce the Adaptive Pathways in Mental Arithmetic (APiMA) framework. The model accommodates central notions of numerical and arithmetic processing and helps identifying which pathway a given paradigm operates on. It proposes that the divergence between OME and arithmetic cueing studies comes from the predominant use of non-symbolic versus symbolic stimuli, respectively. Overall, our review and findings clearly support an association between arithmetic and spatial processing.

Cryptocurrency anomalies and economic constraints

The asset pricing literature documents a growing list of predictable patterns in the cross-section of cryptocurrency returns. But can they be forged into viable trading profits? We answer this question by examining the interplay between economic restrictions and return predictability in cryptocurrency markets. We find that size and volume anomalies originate from micro-cap coins of negligible economic importance. Conversely, the momentum effect prevails in larger cryptocurrencies but incurs substantial trading costs and extracts alphas largely from short positions. Most abnormal returns occur primarily in bull markets and fade over time. Therefore, protocols for identifying tradable cryptocurrency anomalies should focus on long positions, account for transaction costs, consider hard-to-trade coins, and emphasize performance in recent years.

Transverse Λ polarization in unpolarized pp → jet Λ↑ X

In this Letter, we investigate the spontaneous transverse polarization of Λ hyperons produced in unpolarized pp collisions inside a jet, by adopting a TMD approach where transverse momentum effects are included only in the fragmentation process. We will present predictions based on the parametrizations of the Λ polarizing fragmentation function as extracted from fits to Belle e+e− data. These estimates will be compared against preliminary STAR data. We will then be able to explore the universality properties of the quark polarizing fragmentation function and, for the first time, the role of its gluon counterpart.

Revisiting the residual momentum in Japan

This study examines whether the residual momentum effect is actually at play in the Japanese stock market. The results confirm that the effects of residual momentum are not significant after adjusting for short-term and long-term reversal effects. We, therefore, establish that there is a problem with the method used to compute residual momentum in previous studies. By using the corrected method to calculate residual momentum, it is evident that the residual momentum effect is not significant.