A Multi-market Comparison of the Intraday Lead-Lag Relations Among Stock Index-Based Spot, Futures and Options.

Using 1-min data, we explore the dynamic variation of the intraday lead-lag relations between stock indices and their derivatives through a comprehensive study with broader coverage of research objectives and methodologies. This paper provides explicit evidence that the futures and options exhibit price leadership over the spot market, and the options is ahead of the futures on most trading days in all three markets. This paper also reports a new finding that the relation between the derivative and its underlying index reverses when the index return has a significantly larger mean value, and the reversal phenomenon is also observed in the relations between the futures and the options, which enriches the empirical results of intraday lead-lag relations. Moreover, these conclusions still hold under the impact of extreme events, e.g., the outbreak of the Covid-19. Finally, we construct a pair trading strategy based on the intraday lead-lag relationships, which can get better performance than the corresponding spot index. Our findings can potentially help regulators understand the price discovery process between the index and its derivatives, and also be of great value for timely adjustment of investors intraday trading strategies.

Link cascades in complex networks: A mean-field approach.

Cascade models on networks have been used extensively to study cascade failure in complex systems. However, most current models consider failure caused by node damage and neglect the possibility of link damage, which is relevant to transportation, social dynamics, biology, and medicine. In an attempt to generalize conventional cascade models to link damage, we propose a link cascade model based on the standard independent cascade model, which is then solved via both numerical simulation and analytic approximation. We find that the probability that a node loses all its links due to link damage exhibits a minimum as a function of node degree, indicating that there exists an optimal degree for a node to be most resistant to link damage. We apply our model to investigate the sign distribution in a real-world signed social network and find that such an optimal degree does exist in a real-world dataset.

Dynamic Portfolio Strategy Using Clustering Approach.

The problem of portfolio optimization is one of the most important issues in asset management. We here propose a new dynamic portfolio strategy based on the time-varying structures of MST networks in Chinese stock markets, where the market condition is further considered when using the optimal portfolios for investment. A portfolio strategy comprises two stages: First, select the portfolios by choosing central and peripheral stocks in the selection horizon using five topological parameters, namely degree, betweenness centrality, distance on degree criterion, distance on correlation criterion and distance on distance criterion. Second, use the portfolios for investment in the investment horizon. The optimal portfolio is chosen by comparing central and peripheral portfolios under different combinations of market conditions in the selection and investment horizons. Market conditions in our paper are identified by the ratios of the number of trading days with rising index to the total number of trading days, or the sum of the amplitudes of the trading days with rising index to the sum of the amplitudes of the total trading days. We find that central portfolios outperform peripheral portfolios when the market is under a drawup condition, or when the market is stable or drawup in the selection horizon and is under a stable condition in the investment horizon. We also find that peripheral portfolios gain more than central portfolios when the market is stable in the selection horizon and is drawdown in the investment horizon. Empirical tests are carried out based on the optimal portfolio strategy. Among all possible optimal portfolio strategies based on different parameters to select portfolios and different criteria to identify market conditions, 65% of our optimal portfolio strategies outperform the random strategy for the Shanghai A-Share market while the proportion is 70% for the Shenzhen A-Share market.

Bubbles Are Departures from Equilibrium Housing Markets: Evidence from Singapore and Taiwan.

The housing prices in many Asian cities have grown rapidly since mid-2000s, leading to many reports of bubbles. However, such reports remain controversial as there is no widely accepted definition for a housing bubble. Previous studies have focused on indices, or assumed that home prices are lognomally distributed. Recently, Ohnishi et al. showed that the tail-end of the distribution of (Japan/Tokyo) becomes fatter during years where bubbles are suspected, but stop short of using this feature as a rigorous definition of a housing bubble. In this study, we look at housing transactions for Singapore (1995 to 2014) and Taiwan (2012 to 2014), and found strong evidence that the equilibrium home price distribution is a decaying exponential crossing over to a power law, after accounting for different housing types. We found positive deviations from the equilibrium distributions in Singapore condominiums and Zhu Zhai Da Lou in the Greater Taipei Area. These positive deviations are dragon kings, which thus provide us with an unambiguous and quantitative definition of housing bubbles. Also, the spatial-temporal dynamics show that bubble in Singapore is driven by price pulses in two investment districts. This finding provides a valuable insight for policymakers on implementation and evaluation of cooling measures.

Characteristics of Venture Capital Network and Its Correlation with Regional Economy: Evidence from China.

Financial networks have been extensively studied as examples of real world complex networks. In this paper, we establish and study the network of venture capital (VC) firms in China. We compute and analyze the statistical properties of the network, including parameters such as degrees, mean lengths of the shortest paths, clustering coefficient and robustness. We further study the topology of the network and find that it has small-world behavior. A multiple linear regression model is introduced to study the relation between network parameters and major regional economic indices in China. From the result of regression, we find that, economic aggregate (including the total GDP, investment, consumption and net export), upgrade of industrial structure, employment and remuneration of a region are all positively correlated with the degree and the clustering coefficient of the VC sub-network of the region, which suggests that the development of the VC industry has substantial effects on regional economy in China.

Empirical method to measure stochasticity and multifractality in nonlinear time series.

An empirical algorithm is used here to study the stochastic and multifractal nature of nonlinear time series. A parameter can be defined to quantitatively measure the deviation of the time series from a Wiener process so that the stochasticity of different time series can be compared. The local volatility of the time series under study can be constructed using this algorithm, and the multifractal structure of the time series can be analyzed by using this local volatility. As an example, we employ this method to analyze financial time series from different stock markets. The result shows that while developed markets evolve very much like an Ito process, the emergent markets are far from efficient. Differences about the multifractal structures and leverage effects between developed and emergent markets are discussed. The algorithm used here can be applied in a similar fashion to study time series of other complex systems.

Similarity between coffee effects and qi-stimulating events.

AIMS: Previously, we found that qi-stimulating events exerted similar frequency-specific effects on the blood pressure pulse spectrum. Because coffee and qi induce similar stimulatory psychological responses, we aimed to determine whether they would induce similar pulse effects. Such a relationship would suggest a close linkage between the physiologic mechanisms underlying the psychostimulatory responses and vascular effects of coffee and qi. Therefore, the profound investigations into the mechanisms underlying the effects of coffee on the central nervous system and the vascular system may help to elucidate the underlying physiology mechanisms of qi. METHODS: Each test subject took three rounds of 150 mL coffee (0.1 g/kg, 0.05 g/kg, 0.05 g/kg) in a 30-minute interval. The subject's pulses were recorded at the end of each round. The changes in the test subject's pulse spectrum between before and after coffee consumption were compared with changes induced by a water placebo. RESULTS: Both coffee and qi caused the intensities of the third, sixth, and ninth harmonics of the pressure pulse spectrum to be relative peaks to their neighboring harmonics. CONCLUSION: Our results suggest that the coffee effect may be considered a qi-stimulating event, and there is a common physiologic factor determining the psychostimulatory responses of qi and coffee as well as their effects on the cardiovascular system, which results in a specific frequency pattern in the blood pulse spectrum. Adenosine, which is the main physiologic compound affected by coffee, might also be the key factor affected by qi.

Noninvasive blood glucose monitoring using the optical signal of pulsatile microcirculation: a pilot study in subjects with diabetes.

OBJECTIVE: The objective of this study was to determine the conditions for optimizing measurements obtained with a noninvasive blood glucose monitor using the optical signal of pulsatile microcirculation (OSPM) in both prediabetic and diabetic subjects receiving medication. RESEARCH DESIGN AND METHODS: Eighteen subjects (3 prediabetic, 15 diabetic) aged 61.8 [15.9] years (mean [S.D.]) were studied. OSPM was the pulsatile component (P) of the signal obtained and analyzed by a blood glucose monitor. The measurement was calibrated to the fingerstick meter for each subject for personal calibration. Data were obtained from all subjects using both meters. RESULTS: A total of 179 data pairs were measured and analyzed. The validity of the position of the tested finger was assessed using the position criterion, which resulted in the removal of 38 data pairs. The criterion for the intensity of the P signal was satisfied by 141 data pairs, with nonconforming data (with a much lower P signal) mainly occurring below 26 degrees C. A total of 113 data points passed both criteria, and 100% of them fell within Zones A and B of the Clarke error grid. Data in Zones A and B exhibited a linear relationship (r=.81; slope=0.82; intercept=28.0) between noninvasive and fingerstick measurements. CONCLUSIONS: Environmental temperature has the greatest influence on the capability of the OSPM technique to monitoring blood glucose concentration, which is subject dependent. The position of the tested finger is the second major factor, hence a carefully designed finger adaptor is essential.

Effects of angiotensin II on flux rise time in rats (a time index of laser Doppler flowmetry) and its relation with microvascular structures.

Laser Doppler flowmetry (LDF) is a popular method for monitoring the microcirculation, but it does not provide absolute measurements on local area with small size microvessels. Instead, the mean flux response is generally compared between before and after stimulus. In this study, we proposed a new dimension for comparing the LDF signals. The flux rise time (FRT), a time index with absolute physical quantity, was extracted from noisy LDF signals using a pulsatile-based synchronized-averaging method. We investigated the changes of FRT and its relation to the microvascular resistance (MVR) under the selective effects of angiotensin II (Ang II) on the kidney and the plantar palm. Ang II was infused into anesthetized Wistar Kyoto rats via the femoral vein for 1 h. Using the heartbeat as a self-trigger, we calculated the FRT and MVR from the renal cortical flux, plantar palm flux, and abdominal aortic blood pressure recorded before, during, and after Ang II infusion. The control FRT values were similar in the two vascular beds. Ang II decreased the renal cortical flux but significantly increased the FRT and MVR of both beds. The effects on the renal FRT and renal MVR were selectively larger than those on the palm FRT and palm MVR. The results indicate that the changes of FRT and MVR are similarly physiologically linked with microvascular structures. As an MVR-related absolute physical quantity, the FRT could be developed as a monitoring tool in physiological, pathological, and pharmacological investigations.

Organ-specific ligation-induced changes in harmonic components of the pulse spectrum and regional vasoconstrictor selectivity in Wistar rats.

It has been shown previously that the amplitudes of the harmonic components of the pulse spectrum vary in specific patterns when the arteries leading to different organs are ligated, with the variations in the harmonics being linearly additive. Since ligation can be regarded as a vast increase in organ resistance, the present study examined the potential of using these ligation-induced variations in the pulse spectrum as reference parameters for an increase in vascular resistance and for regional vasoconstrictor selectivity. A vasoconstrictor, either arginine vasopressin (AVP) or angiotensin II (Ang II), was infused into anaesthetized Wistar rats via the femoral vein for 1 h. The distinct harmonic-specific drug effects on the pulse spectrum were simulated by combining renal artery and superior mesenteric artery ligations in different ratios, the ratio with the lowest mean square difference determining the regional drug selectivity. The ratios indicated that the effect of AVP on the pulse spectrum was attributable to the combined effect of ligating the renal and superior mesenteric arteries, while the effect of Ang II was attributable to ligation of the renal artery. The results are comparable with those of investigations of regional vascular resistance performed using traditional methods. Our findings indicate that the ligation-induced variations in the pulse spectrum can be used to determine regional increases in vascular resistance. This implies that blood pressure can be used as the sole parameter to determine which arterial bed has been affected by the vasoconstrictor, and how seriously.

Three-block electrical model of renal impedance.

In this study, we measured the characteristic renal impedance profiles of Wistar rats and simulated the profiles using an electrical model with three series connected Windkessel blocks containing inductance. It is expected that a complete renal impedance profile ought to provide better physical properties information and have more diagnostic power than the pulsatility (PI) and resistive indices (RI) as a result of frequency dependency. A characteristic peak value at the third harmonic on the renal impedance amplitude curve was observed and the phase curve decreased with increasing harmonic numbers. From least mean square fitted parameters, the three blocks were given distinct physical properties and identified as: (1) the renal artery, (2) the small arteries plus the afferent arteriole and (3) the residual kidney (i.e., the efferent arteriole plus the post glomerular capillary structures). These allocations were made according to respective physical properties reported in previous research. These classifications were further confirmed when we compressed the kidney or infused Ang II. Variations in electrical parameters concurred with the likely affected blood vessels reported. This model describes renal impedance characteristics well; and it provides useful hints on the physical properties of the renal vascular system as well as allows for distinctions in possible physiologically affected locations during functional disturbance. It has potential for development as a clinical non-invasive diagnostic tool.

Losing harmonic stability of arterial pulse in terminally ill patients.

OBJECTIVE: To measure the coefficient of variation of the harmonic magnitude (HCV) of the radial arterial pulse before death of cancer patients. METHODS: We non-invasively recorded the radical arterial pulse of 21 end-stage cancer patients, 31 healthy subjects, and 47 outpatient department (OPD) patients. During the 2-week study, eight cancer patients expired. RESULTS: There were no considerable differences in diastolic or systolic blood pressure between cancer patients and other subjects; however, all six HCVs were significantly higher in the cancer patients (P<0.05). Within the cancer patient group, the first and second HCV were notably higher in the patients that expired (P<0.05), and the first to fourth HCVs were significantly increased on their last day (P<0.05). In the control healthy subjects and the OPD group, the HCVs were below 5 and 8%, respectively. In the cancer patients, the third to sixth HCVs were higher than 15%. On the last day of the cancer patients that expired, even the first and second HCVs were higher than 15%. CONCLUSIONS: During the dying process, the traditional diastolic and systolic blood pressure did not show significant changes; however, all the harmonic components gradually lost their stability. The HCVs, which increased first for the high-frequency components and then the low-frequency components, could quantitatively reflect the severity of different stages of illness.