Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange

Using data from the Tokyo Stock Exchange, we study how beta, size, and ratio of book to market equity (BE/ME) account for the cross-section of expected stock returns over different lengths of investment horizons. We find that $\beta$, adjusted for infrequent trading or not, fails to explain the cross-section of monthly expected returns, but does a much better job for horizons over half- and one-year. However, either the size or the BE/ME alone is still a significant factor in explaining the cross-section expected returns, but the size significance diminishes for longer horizons when $\beta$ is included as an additional independent variable.Investment horizon, Beta, Size, Book-to-market equity, CAPM

Assessing the feasibility of online SSVEP decoding in human walking using a consumer EEG headset.

BackgroundBridging the gap between laboratory brain-computer interface (BCI) demonstrations and real-life applications has gained increasing attention nowadays in translational neuroscience. An urgent need is to explore the feasibility of using a low-cost, ease-of-use electroencephalogram (EEG) headset for monitoring individuals' EEG signals in their natural head/body positions and movements. This study aimed to assess the feasibility of using a consumer-level EEG headset to realize an online steady-state visual-evoked potential (SSVEP)-based BCI during human walking.MethodsThis study adopted a 14-channel Emotiv EEG headset to implement a four-target online SSVEP decoding system, and included treadmill walking at the speeds of 0.45, 0.89, and 1.34 meters per second (m/s) to initiate the walking locomotion. Seventeen participants were instructed to perform the online BCI tasks while standing or walking on the treadmill. To maintain a constant viewing distance to the visual targets, participants held the hand-grip of the treadmill during the experiment. Along with online BCI performance, the concurrent SSVEP signals were recorded for offline assessment.ResultsDespite walking-related attenuation of SSVEPs, the online BCI obtained an information transfer rate (ITR) over 12 bits/min during slow walking (below 0.89 m/s).ConclusionsSSVEP-based BCI systems are deployable to users in treadmill walking that mimics natural walking rather than in highly-controlled laboratory settings. This study considerably promotes the use of a consumer-level EEG headset towards the real-life BCI applications

Revealing spatio-spectral electroencephalographic dynamics of musical mode and tempo perception by independent component analysis.

BackgroundMusic conveys emotion by manipulating musical structures, particularly musical mode- and tempo-impact. The neural correlates of musical mode and tempo perception revealed by electroencephalography (EEG) have not been adequately addressed in the literature.MethodThis study used independent component analysis (ICA) to systematically assess spatio-spectral EEG dynamics associated with the changes of musical mode and tempo.ResultsEmpirical results showed that music with major mode augmented delta-band activity over the right sensorimotor cortex, suppressed theta activity over the superior parietal cortex, and moderately suppressed beta activity over the medial frontal cortex, compared to minor-mode music, whereas fast-tempo music engaged significant alpha suppression over the right sensorimotor cortex.ConclusionThe resultant EEG brain sources were comparable with previous studies obtained by other neuroimaging modalities, such as functional magnetic resonance imaging (fMRI) and positron emission tomography (PET). In conjunction with advanced dry and mobile EEG technology, the EEG results might facilitate the translation from laboratory-oriented research to real-life applications for music therapy, training and entertainment in naturalistic environments

Assessing the quality of steady-state visual-evoked potentials for moving humans using a mobile electroencephalogram headset.

Recent advances in mobile electroencephalogram (EEG) systems, featuring non-prep dry electrodes and wireless telemetry, have enabled and promoted the applications of mobile brain-computer interfaces (BCIs) in our daily life. Since the brain may behave differently while people are actively situated in ecologically-valid environments versus highly-controlled laboratory environments, it remains unclear how well the current laboratory-oriented BCI demonstrations can be translated into operational BCIs for users with naturalistic movements. Understanding inherent links between natural human behaviors and brain activities is the key to ensuring the applicability and stability of mobile BCIs. This study aims to assess the quality of steady-state visual-evoked potentials (SSVEPs), which is one of promising channels for functioning BCI systems, recorded using a mobile EEG system under challenging recording conditions, e.g., walking. To systematically explore the effects of walking locomotion on the SSVEPs, this study instructed subjects to stand or walk on a treadmill running at speeds of 1, 2, and 3 mile (s) per hour (MPH) while concurrently perceiving visual flickers (11 and 12 Hz). Empirical results of this study showed that the SSVEP amplitude tended to deteriorate when subjects switched from standing to walking. Such SSVEP suppression could be attributed to the walking locomotion, leading to distinctly deteriorated SSVEP detectability from standing (84.87 ± 13.55%) to walking (1 MPH: 83.03 ± 13.24%, 2 MPH: 79.47 ± 13.53%, and 3 MPH: 75.26 ± 17.89%). These findings not only demonstrated the applicability and limitations of SSVEPs recorded from freely behaving humans in realistic environments, but also provide useful methods and techniques for boosting the translation of the BCI technology from laboratory demonstrations to practical applications

A simulation study on the measurement of D0-D0bar mixing parameter y at BES-III

We established a method on measuring the \dzdzb mixing parameter $y$ for BESIII experiment at the BEPCII $e^+e^-$ collider. In this method, the doubly tagged $\psi(3770) \to D^0 \overline{D^0}$ events, with one $D$ decays to CP-eigenstates and the other $D$ decays semileptonically, are used to reconstruct the signals. Since this analysis requires good $e/\pi$ separation, a likelihood approach, which combines the $dE/dx$, time of flight and the electromagnetic shower detectors information, is used for particle identification. We estimate the sensitivity of the measurement of $y$ to be 0.007 based on a $20fb^{-1}$ fully simulated MC sample.Comment: 6 pages, 7 figure

AutoJailbreak: Exploring Jailbreak Attacks and Defenses through a Dependency Lens

Jailbreak attacks in large language models (LLMs) entail inducing the models to generate content that breaches ethical and legal norm through the use of malicious prompts, posing a substantial threat to LLM security. Current strategies for jailbreak attack and defense often focus on optimizing locally within specific algorithmic frameworks, resulting in ineffective optimization and limited scalability. In this paper, we present a systematic analysis of the dependency relationships in jailbreak attack and defense techniques, generalizing them to all possible attack surfaces. We employ directed acyclic graphs (DAGs) to position and analyze existing jailbreak attacks, defenses, and evaluation methodologies, and propose three comprehensive, automated, and logical frameworks. \texttt{AutoAttack} investigates dependencies in two lines of jailbreak optimization strategies: genetic algorithm (GA)-based attacks and adversarial-generation-based attacks, respectively. We then introduce an ensemble jailbreak attack to exploit these dependencies. \texttt{AutoDefense} offers a mixture-of-defenders approach by leveraging the dependency relationships in pre-generative and post-generative defense strategies. \texttt{AutoEvaluation} introduces a novel evaluation method that distinguishes hallucinations, which are often overlooked, from jailbreak attack and defense responses. Through extensive experiments, we demonstrate that the proposed ensemble jailbreak attack and defense framework significantly outperforms existing research.Comment: 32 pages, 2 figure