Momentum Index Research Articles

Performance evaluation of ISE30 (Istanbul Stock Exchange) stock certificates and formation of portfolio by using multi-criteria decision making techniques

–Portfolio analysis is done by constructing different models to create the optimum portfolio. The purpose here is to get maximum return with minimum risk. It may not be possible to achieve this through investing on only one stock certificate. Therefore, the best portfolio can be created by portfolio selection by evaluating the return and risk relation of the stock certificates in the portfolio. At this point, diversification of risk is important. In this way, it can be protected by investments in another sector from negative situations that can occur in one sector. This is a balance factor. When creating diversity, it is also important to determine which securities and ratio to invest.Chronologically, the traditional portfolio approach continued to be valid until the early 1950s. In 1952, modern portfolio approach developed by Henry Markowitz emerged. Nowadays, the adequacy of the portfolios created by the modern portfolio approach is also debatable. In this study, performance evaluation of ISE30 stocks certificates was made with data set dated as June, 2018 and an optimum portfolio was created. The variables of Beta Coefficient, Relative Strength Index (RSI), Commodity Channel Index (CCI), Stochastic Momentum Index (SMI), Price/Earning Ratio, Market Value/Book Value Ratio were used during evaluation. One of the Multi-Criteria Decision Making Techniques, TOPSIS was used as a method. Moreover, Path Analysis was used to determine the relationships between variables.

Interesting features of the edge states in topological quantum dots

Quantum dots made of topological insulators, known as topological quantum dots, have attracted much interest in recent years. We investigate theoretically the electronic properties of topological quantum dots formed by etching two dimensional topological insulators, using the method of mode-matching, which gives more rigorous results than the expansion approach used in previous studies. We find that the edge state energy of the quantum dot is affected by its radius R. For each fixed angular momentum index, there exists a critical R below which there would be no edge states. For quantum dots with large R, the energy spectrum of the edge states is almost equidistant, which is interesting and rare in low dimensional solid systems without external driving field. The nearly uniform energy spacing shows almost a linear dependence on 1∕R and the corresponding optical transition frequency can be in the terahertz band.

Protected Adaptive Asset Allocation

Protected Adaptive Asset Allocation (PAAA) is a tactical asset allocation model that targets an optimal risk/returns ratio using both a momentum index to capture the short-run dynamics and cash protection in negative market periods to reduce drawdowns. Empirical evidence shows that PAAA improves upon the performance of alternative models in terms of the risk/return profile when applied to a well-diversified dataset in the long term, based on the results of in/out-of-sample analyses, and when the analysis is restricted to a financial crisis period. For less diversified portfolios, PAAA is equivalent to an Adaptive Asset Allocation that includes a liquidity component.

Symmetry in the diffraction of beams carrying orbital angular momentum

Diffraction of orbital-angular-momentum--carrying Laguerre-Gauss vortex (LGV) beams by $N$-fold rotationally symmetric regular polygons is studied analytically and experimentally. The structure, symmetry, and dependence of the diffraction pattern on the angular momentum index of the LGV beam and the number of sides in the polygon are systematically investigated, and features and trends are identified. The evolution of the diffraction pattern and its symmetry with the aperture position relative to the waist is also studied, leading to a generalized Friedel's law for diffraction of LGV beams.

Crash momentum index and closing velocity as crash severity index

The velocity change Δ V of a vehicle subject to a collision, widely recognized as an efficient crash severity indicator, is a typical ‘a posteriori’ parameter, not generally known until the crash phase has been reconstructed. Δ V is the result of a combination of factors, regarding the impact velocities of the colliding vehicles and the geometry of the impact (as eccentricity, etc.): for this reason, its value alone gives no clear indications on the actions which can be undertaken to reduce crash severity. This feature is particularly critical in some application fields, for example, in case of advanced driver assistance systems assessment in different accident scenarios. This work proposes the disaggregation of Δ V into two different ‘a priori’ parameters to assess crash severity of an impact before its occurrence: the crash momentum index, representing the impact configuration, and the closing velocity projected along the principal direction of force ( Vr_pdof), as an index of the kinetic energy exchanged between the two vehicles. It is preliminarily shown how the proposed parameters can be calculated using established procedures – as momentum-based analysis – in a predictive (‘a priori’) approach. It is also evidenced how crash momentum index, Vr_pdof and the velocity change Δ V are in relation. To illustrate the procedure by means of examples, binary logistic regression on accident data is applied to correlate crash momentum index and Δ V to injury risk at Maximum Abbreviated Injury Scale level higher than 2. The use of crash momentum index as an additional severity index allows an improved correlation with injury risk, for the dataset used, in case of front and near side impacts. The use of the plane Vr_pdof– crash momentum index, on which curves at constant injury risk are drawn, provides clear indications on the possible strategies to reduce injury risk, as shown by generic examples to which the predictive procedure is applied.

The Role of Technical Analysis Indicators over Equity Market (NOMU) with R Programing Language

The stock market is a potent, fickle and fast-changing domain. Unanticipated market occurrences and unstructured financial information complicate predicting future market responses. A tool that continues to be advantageous when forecasting future market trends in a global aspect is correlation analysis to significant market events. Data analysis can be used for the difficult task of making stock market forecasts in case the stock price rises or fall. A high number of automated exchanges in the stock market are done with advanced prognostic software. Data analysis is centered on the main idea that previously recorded data is used to predict future patterns. This advancement is aimed speculators in pinpointing hidden data in real evidence that would give them some financial foresight when considering their ventures of choice. Data analysis can be applied in order to predict the rises and falls of stocks in the future. This paper aims to critically investigate, develop and judge the different systems that predict and assess future stock trades as these systems have their own various process to foretell the fluctuations in the costs of stocks. Several different technical analysis indicators have been applied in this study including; Chaikin Money Flow (CMF), Stochastic Momentum Index (SMI), Relative Strength Index (RSI), Bollinger Bands (BBands), and Aroon (Aroon) indicator. The experiments have been conducted using R programing language over two companies’ real-world datasets obtained for two years from Saudi stock market (NOMU) which is a parallel stock market with lighter listing requirements that serves as an alternative platform for companies to go public in the main market. To the best of our knowledge, this is the first work to be conducted in NOMU stock market.

Realization of a scalable Laguerre-Gaussian mode sorter based on a robust radial mode sorter.

The transverse structure of light is recognized as a resource that can be used to encode information onto photons and has been shown to be useful to enhance communication capacity as well as resolve point sources in superresolution imaging. The Laguerre-Gaussian (LG) modes form a complete and orthonormal basis set and are described by a radial index p and an orbital angular momentum (OAM) index ℓ. Earlier works have shown how to build a sorter for the radial index p or/and the OAM index ℓ of LG modes, but a scalable and dedicated LG mode sorter which simultaneous determinate p and ℓ is immature. Here we propose and experimentally demonstrate a scheme to accomplish complete LG mode sorting, which consists of a novel, robust radial mode sorter that can be used to couple radial modes to polarizations, an ℓ-dependent phase shifter and an OAM mode sorter. Our scheme is in principle efficient, scalable, and crosstalk-free, and therefore has potential for applications in optical communications, quantum information technology, superresolution imaging, and fiber optics.

Degeneracy in the diffraction of orbital angular momentum carrying beams.

Symmetry constraints on the far-field diffraction of Laguerre-Gauss vortex beams by planar aperture arrays with N-fold rotational symmetry are considered. The experiments reveal a simple structure for the diffraction pattern and high degree of degeneracy in its dependence on the orbital angular momentum index of the incident beam in agreement with analytical and numerical results.

Electrical control of a confined electron spin in a silicene quantum dot

We study spin control for an electron confined in a flake of silicene. We find that the lowest-energy conduction-band levels are split by the diagonal intrinsic spin-orbit coupling into Kramers doublets with a definite projection of the spin on the orbital magnetic moment. We study the spin control by AC electric fields using the nondiagonal Rashba component of the spin-orbit interactions with the time-dependent atomistic tight-binding approach. The Rashba interactions in AC electric fields produce Rabi spin-flip times of the order of a nanosecond. These times can be reduced to tens of picoseconds provided that the vertical electric field is tuned to an avoided crossing opened by the Rashba spin-orbit interaction. We demonstrate that the speedup of the spin transitions is possible due to the intervalley coupling induced by the armchair edge of the flake. The study is confronted with the results for circular quantum dots decoupled from the edge with well defined angular momentum and valley index.

Flow and performance analyses of a partially-charged water retarder

Two-phase flow inside a water retarder is numerically studied to understand the water retarder performance and momentum dissipation mechanism for partially and fully-charged conditions at different rotational speeds, and the effects of external cooling flow into the water retarder. In order to accurately capture the flow interaction between the blades of different rotating speeds, the transient simulations are performed using unsteady turbulent flow assumption using a sliding mesh technique.The Realizable k-ε turbulence model and the Volume of Fluid (VOF) method are adopted to simulate two-phase motion and interface of air and water mixture inside the retarder. A momentum index analysis is proposed for investigation of flow momentum and its dissipation. Results of partially-charged cases demonstrate that as a general trend, air is accumulated at the center of the hydraulic system forming a toroidal shape. At a low charged water volume flow, circulation inside the retarder and, hence, the retarding torque are trivial. Furthermore, it is observed that the retarding torque becomes very small for the charged water values lower than a special value. Finally, the simulations of the fully-charged open system with external cooling flow (through an inlet and an outlet) reveal that the retarding torque and also flow circulation between wheels decrease with the increase in flowrate.

Heterogeneous agents, the financial crisis and exchange rate predictability

We construct an empirical heterogeneous agent model which optimally combines forecasts from fundamentalist and chartist agents and evaluates its out-of-sample forecast performance using daily data covering an overall period from January 1999 to June 2014 for six of the most widely traded currencies. We use daily financial data such as level, slope and curvature yield curve factors, equity prices, as well as risk aversion and global trade activity measures in the fundamentalist agent's predictor set to obtain a proxy for the market's view on the state of the macroeconomy. Chartist agents rely upon standard momentum, moving average and relative strength index technical indicators in their predictor set. Individual agent specific forecasts are constructed using a flexible dynamic model averaging framework and are then aggregated into a model combined forecast using a forecast combination regression. We show that our empirical heterogeneous agent model produces statistically significant and economically sizeable forecast improvements over a random walk benchmark.

Holographic treatment of boundary disorder in a topological insulator

The effect of surface disorder on electronic systems is particularly interesting for topological phases with surface and edge states. Using exact diagonalization, it has been demonstrated that the surface states of a 3D topological insulator survive strong surface disorder, and simply get pushed to a clean part of the bulk. Here we explore a new method which analytically eliminates the clean bulk, and reduces a $D$-dimensional problem to a Hamiltonian-diagonalization problem within the $(D-1)$-dimensional disordered surface. This dramatic reduction in complexity allows the analysis of significantly bigger systems than is possible with exact diagonalization. We use our method to analyze a 2D topological spin-Hall insulator with non-magnetic and magnetic edge impurities, and we calculate the probability density (or local density of states) of the zero-energy eigenstates as a function of edge-parallel momentum and layer index. Our analysis reveals that the system size needed to reach behavior in the thermodynamic limit increases with disorder. We also compute the edge conductance as a function of disorder strength, and chart a lower bound for the length scale marking the crossover to the thermodynamic limit.

Fractional orbital angular momentum of light beams by topological trajectory

We derive a rigorous quantum formula called topological trajectory to describe orbital angular momentum (OAM) index based on linear momentum density of Laguerre–Gauss (L–G) light beam. By considering the correspondence between optics and quantum theory, we construct a coherent state from two L–G modes light beam. The light beams with fractional OAM are described by the coherent state. By making use of topological trajectory, we present the conditions that OAM index is fractional.

Analysis of the relationship between the kinetic energy and intensity of rainfall in Daejeon, Korea

The kinetic energy and momentum of rainfall are widely used as erosivity indicators for estimating soil detachment (erosion) induced by the impact of raindrops. Because direct measurements of the force or kinetic energy of rainfall on ground surfaces are not widely available, many empirical relationships have been derived to link the kinetic energy and intensity (I) of rainfall, the factor that has the most control over soil erosion and is readily accessible. This study considered three rainfall erosivity indices: kinetic energy expenditure (KEtime, J m−2 h−1), kinetic energy content (KEmm, J m−2 mm−1), and momentum (M, kg m s−1 m−2 s−1 or N m−2). The relationships between these rainfall erosivity indices (KEtime, KEmm, and M) and rainfall intensity were established by fitting to an existing functional model based on measurements of the number of drops by size and terminal velocity made from January 2010 to July 2011 using a laser optical disdrometer in Daejeon City, Korea. The best fit for the relationship between the three kinetic energy indices and rainfall intensity was obtained with a power law (KEtime-I, and M−I) and an exponential model (KEmm-I). Validation results for two different events indicated good performance for the KEtime-I and M−I equations, with a similar distribution of observed data and power-law curve fitting. However, the rainfall momentum index produced much lower uncertainty as determined from the measured terminal velocity when the equipment was exposed to in situ changeable conditions. Therefore, we suggest that the power-law relationship between momentum and rainfall intensity is the most suitable equation for the prediction of rainfall erosivity.

Indexing CNX NIFTY 50 Momentum Effects

The empirical literature indicates that momentum-style investing is a more effective approach than value-based or growth-based strategies. To confirm this, this article makes an attempt to construct a Momentum Index for the Indian equity market. The CNX NIFTY 50 Momentum Index is designed by calculating the volatility and volume-adjusted Momentum Index for each security in the CNX NIFTY 50 Parent Index. The estimated Momentum Index returns are compared with the CNX NIFTY 50 Index in terms of volatility, Sharpe Ratio and Treynor Ratio. Using VAR methodology, and macroeconomic, firm-specific factors which influence the momentum, index returns are analysed. This study also examined the Fama–French unconditional CAPM by including the Momentum Index return as the fourth factor alongside price–earnings, price–book ratio and dividend yield in estimating excess market returns. JEL: G11, G12, G14

U.S. community banking performance

Community banking plays an important role in financial intermediation in the United States, especially in the context of providing financing in smaller, rural markets and for small businesses. However, recent trends in regulation, the economic environment, and industry practices have led to a significant decline in the amount of FDIC-chartered institutions that qualify as community banks. In addition, the share of community-bank-held assets in the United States is declining as well. The decline of the community banking industry has significant implications for the efficiency and growth of the real economy, as larger banks may not be able to serve the community banking demographic as efficiently. In this study, we develop a dataset that allows us to analyze banking data collected from all FDIC-charted institutions and published by the FDIC. We use this data to analyze the community banking industry in the U.S. We are able to report the trends, strengths, and weakness of the community banking industry for the past twenty years. In addition, we develop two sets of community banking indexes meant to assess the relative and nominal changes in the strength of the community banking industry. One set of indicators simply measure market share, while others are composite community banking indexes that represent a unique contribution to the analysis of the industry. Finally, we analyze developments in the community banking industry across the tenures of the past three FDIC Chairs, which can provide context and guidance with respect to the perspective of key regulatory officials on community banking issues. Analysis of the data shows that the community banking industry is declining in the United States. Our Community Bank Momentum Index (CMOM) shows that, on a nominal basis, the community banking industry has experienced some growth; however, our Community Banking Relative Growth Index (CRGI) shows that community banks have been weakening, relative to non-community banks.

Diffraction of orbital angular momentum carrying optical beams by a circular aperture.

Far field diffraction of Laguerre-Gauss vortex (LGV) beams of different angular momentum index by a circular aperture placed at different locations with respect to incident beam waist is studied experimentally. The experiments reveal a surprisingly simple structure for the diffraction pattern and its dependence on the orbital angular momentum index of the incident beam when the aperture size is small compared to the beam radius.

National and Regional Trends in Community Banking

Community banking plays an important role in financial intermediation in the United States, especially in the context of providing financing in smaller, rural markets and for small businesses. However, recent trends in regulation, the economic environment, and industry practices have led to a significant decline in the amount of FDIC-chartered institutions that qualify as community banks. In addition, the share of community-bank-held assets in the United States is declining as well. The decline of the community banking industry has significant implications for the efficiency and growth of the real economy, as larger banks may not be able to serve the community banking demographic as efficiently. In this study, we develop a dataset that allows us to analyze banking data collected from all FDIC-charted institutions and published by the FDIC. We use this data to analyze the community banking industry at the national, regional, state, and local levels. We are able to report the trends, strengths, and weakness of the community banking industry for the past twenty years. In addition, we develop two sets of community banking indexes meant to assess the relative and nominal changes in the strength of the community banking industry. One set of indicators simply measure market share, while others are composite community banking indexes that represent a unique contribution to the analysis of the industry. Finally, we analyze developments in the community banking industry across the tenures of the past three FDIC Chairs, which can provide context and guidance with respect to the perspective of key regulatory officials on community banking issues. Analysis of the data shows that the community banking industry is declining in the United States. However, the regional and local community banking industries, while still declining, have been relatively less affected. Our Community Banking Relative Growth Index (CRGI) shows that community banks have been weakening, relative to non-community banks, but the degree of weakening has been less at the local level. Our Community Bank Momentum Index (CMOM) shows that, on a nominal basis, the community banking industry has experienced nominal growth and that the regional and local banks are driving this trend.

Impact severity assessment in vehicle accidents

The severity of the impact in a car accident is an essential parameter for evaluating the performance of the vehicles in terms of passive safety, as well as to compare different accidents and be able to correlate structural and kinematic parameters to the occupant's injuries. In assessment programmes, like the European New Car Assessment Programme (EuroNCAP), impact severity plays an essential role in the evaluation of the adequacy and representativeness of the experimental tests in relation to real-life accident conditions. In the present paper, two dimensionless indexes are considered, the crash severity and the crash momentum index. Starting from the available formulation, only valid for plastic centred impacts, these indexes are generalised to the case of oblique impacts and not necessarily plastic, by expressing them as a function of the ratio between the vehicles’ masses and stiffness, and as a function of the vehicles configuration at impact. With this generalisation, indexes can be used in the analysis and comparison of real world accidents. Typical applications of the indexes are discussed and a comparison between an EuroNCAP test and a crash that simulates the impact between two vehicles in a typical configuration of an urban accident is carried out.

Theoretical Study of Charge Transfer in Styryl Thiazilo Quinoxaline Dyes STQ-1, STQ-2,and STQ-3 in Organic Media System

Charge transfer in styryl dyes STQ-1, STQ-2,and STQ-3 with organic media system has been studied theoretically depending on the Franck- Condon rule and continuum dielectric model . The reorientation energies (eV) were evaluated theoretically depending on dipole momentum, dielectric constant , and refrective index n. The rate constant of charge transfer has been calculated depending on the reorientation energy (eV) ,effective free energy , potential height barrier , and coupling coefficient . A matlap program has been written to calculated the rate constant of charge transfer and other parameter. The results of calculations show that STQ-2 dye is more reaction for charge transfer compare with STQ-1 and STQ-3 dyes