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16 results on '"Ye, Zhengxin"'

3. Capturing dynamics of post-earnings-announcement drift using genetic algorithm-optimised supervised learning

Author

Ye, Zhengxin Joseph and Schuller, Bjorn W.

Subjects
Quantitative Finance - Statistical Finance, Computer Science - Machine Learning
Abstract

While Post-Earnings-Announcement Drift (PEAD) is one of the most studied stock market anomalies, the current literature is often limited in explaining this phenomenon by a small number of factors using simpler regression methods. In this paper, we use a machine learning based approach instead, and aim to capture the PEAD dynamics using data from a large group of stocks and a wide range of both fundamental and technical factors. Our model is built around the Extreme Gradient Boosting (XGBoost) and uses a long list of engineered input features based on quarterly financial announcement data from 1,106 companies in the Russell 1000 index between 1997 and 2018. We perform numerous experiments on PEAD predictions and analysis and have the following contributions to the literature. First, we show how Post-Earnings-Announcement Drift can be analysed using machine learning methods and demonstrate such methods' prowess in producing credible forecasting on the drift direction. It is the first time PEAD dynamics are studied using XGBoost. We show that the drift direction is in fact driven by different factors for stocks from different industrial sectors and in different quarters and XGBoost is effective in understanding the changing drivers. Second, we show that an XGBoost well optimised by a Genetic Algorithm can help allocate out-of-sample stocks to form portfolios with higher positive returns to long and portfolios with lower negative returns to short, a finding that could be adopted in the process of developing market neutral strategies. Third, we show how theoretical event-driven stock strategies have to grapple with ever changing market prices in reality, reducing their effectiveness. We present a tactic to remedy the difficulty of buying into a moving market when dealing with PEAD signals., Comment: 13 pages of main article plus 6 pages of data in appendix. 7 figures and 4 tables

Published
2020

9. Automatic High-Throughput and Non-Invasive Selection of Sperms at Biochemical Level

Author

Mu, Yaoqin, primary, Zhou, Xiaoyu, additional, Li, Longjie, additional, Liu, Xiaowen, additional, Wen, Xu, additional, Zhang, Lei, additional, Yan, Bei, additional, Zhang, Wei, additional, Dong, Kejun, additional, Hu, Hao, additional, Liao, Yangwei, additional, Ye, Zhengxin, additional, Deng, Aimin, additional, Wang, Yuan, additional, Mao, Zenghui, additional, Yang, Mengsu, additional, and Xiao, Xianjin, additional

Published
2023
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10. PAM-independent ultra-specific activation of CRISPR-Cas12a via sticky-end dsDNA

Author

Zhang, Wei, primary, Mu, Yaoqin, additional, Dong, Kejun, additional, Zhang, Lei, additional, Yan, Bei, additional, Hu, Hao, additional, Liao, Yangwei, additional, Zhao, Rong, additional, Shu, Wan, additional, Ye, Zhengxin, additional, Lu, Yaping, additional, Wan, Chong, additional, Sun, Qiangqiang, additional, Li, Longjie, additional, Wang, Hongbo, additional, and Xiao, Xianjin, additional

Published
2022
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13. Degradation of gemfibrozil in aqueous solutions by gas–liquid dielectric barrier discharge plasma combined with CNTs/γFe2O3.

Author

Xu, Zimu, Zhu, Bin, Ye, Zhengxin, Zhang, Nannan, Shen, Jie, Lan, Yan, Hu, Shuheng, Cheng, Cheng, Li, Yunxia, Yang, Fan, and Chu, Paul K.

Subjects
PLASMA flow, AQUEOUS solutions, ENERGY dissipation, DIELECTRICS, FLUORESCENT probes, CHEMICAL preconcentration, CARBON nanotubes
Abstract

The degradation effects and mechanism on gemfibrozil (GEM) in aqueous solution by dielectric barrier discharge (DBD) plasma combined with the catalyst CNTs/γFe2O3 are investigated. The concentrations of plasma‐generated reactive species, including H2O2, O3, NO3−, and OH, are measured with spectrophotometric and fluorescent probes. The effects of the plasma treatment period, discharge power, initial GEM concentration, solution pH value, conductivity, and the catalytic property are studied on the degradation rate and energy efficiency. Compared with the sole plasma treatment, CNTs/γFe2O3 could maximally improve the GEM degradation rate and energy efficiency to 99.7% ± 0.2% and 76.5 ± 5.2 mg·kW−1·h−1, respectively. The solution's total organic carbon removal efficiency has been increased to 47.2% ± 2.7%. Meanwhile, the possible degradation pathways of the plasma‐treated GEM solution and overall biological toxicity of GEM degradation intermediates and residual catalyst in solution are investigated. [ABSTRACT FROM AUTHOR]

Published
2022
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16. Degradation of gemfibrozil in aqueous solutions by gas–liquid dielectric barrier discharge plasma combined with CNTs/γFe2O3.

Author

Xu, Zimu, Zhu, Bin, Ye, Zhengxin, Zhang, Nannan, Shen, Jie, Lan, Yan, Hu, Shuheng, Cheng, Cheng, Li, Yunxia, Yang, Fan, and Chu, Paul K.

Subjects
*PLASMA flow, *AQUEOUS solutions, *ENERGY dissipation, *DIELECTRICS, *FLUORESCENT probes, *CHEMICAL preconcentration, *CARBON nanotubes
Abstract

The degradation effects and mechanism on gemfibrozil (GEM) in aqueous solution by dielectric barrier discharge (DBD) plasma combined with the catalyst CNTs/γFe2O3 are investigated. The concentrations of plasma‐generated reactive species, including H2O2, O3, NO3−, and OH, are measured with spectrophotometric and fluorescent probes. The effects of the plasma treatment period, discharge power, initial GEM concentration, solution pH value, conductivity, and the catalytic property are studied on the degradation rate and energy efficiency. Compared with the sole plasma treatment, CNTs/γFe2O3 could maximally improve the GEM degradation rate and energy efficiency to 99.7% ± 0.2% and 76.5 ± 5.2 mg·kW−1·h−1, respectively. The solution's total organic carbon removal efficiency has been increased to 47.2% ± 2.7%. Meanwhile, the possible degradation pathways of the plasma‐treated GEM solution and overall biological toxicity of GEM degradation intermediates and residual catalyst in solution are investigated. [ABSTRACT FROM AUTHOR]

Published
2022
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