scholarly journals Investigating Persistence in the US Mutual Fund Market: A Mobility Approach

2015 ◽  
Vol 7 (1) ◽  
pp. 54-83
Author(s):  
Konstantinos Drakos ◽  
Nicholas Giannakopoulos ◽  
Panagiotis Theodore Konstantinou
Keyword(s):  
Markov Chain ◽  
Mutual Fund ◽  
Transition Probabilities ◽  
Performance Persistence ◽  
Transition Matrices ◽  
The Us ◽  
Over Time

Performance persistence in the US mutual fund market is investigated, modeling risk-adjusted performance as a Markov Chain. This allows us to explore whether there is a higher probability for funds to remain in their initial ranking, compared to the probability that funds exhibit some kind of movement. We find some degree of inertia due to non-uniformity of transition probabilities across states. Our analysis allows also assesses the proximity of empirical transition matrices to two benchmark matrices, identifying the no-persistence/perfect immobility cases. We find that the observed transition matrices are closer to the no-persistence benchmark and also that performance persistence has decreased over time.

The robustness of positive recurrence and recurrence of Markov chains under perturbations of the transition probabilities

1975 ◽  
Vol 12 (04) ◽  
pp. 744-752 ◽  
Author(s):  
Richard L. Tweedie
Keyword(s):  
Markov Chain ◽  
Markov Chains ◽  
Finite Number ◽  
Transition Probabilities ◽  
General State ◽  
Transition Matrices ◽  
Positive Recurrence ◽  
Markov Chain Models ◽  
Countable Space ◽  
General State Space

In many Markov chain models, the immediate characteristic of importance is the positive recurrence of the chain. In this note we investigate whether positivity, and also recurrence, are robust properties of Markov chains when the transition laws are perturbed. The chains we consider are on a fairly general state space : when specialised to a countable space, our results are essentially that, if the transition matrices of two irreducible chains coincide on all but a finite number of columns, then positivity of one implies positivity of both; whilst if they coincide on all but a finite number of rows and columns, recurrence of one implies recurrence of both. Examples are given to show that these results (and their general analogues) cannot in general be strengthened.

scholarly journals Financial Sustainability Evaluation and Forecasting Using the Markov Chain: The Case of the Wine Business

2020 ◽  
Vol 12 (15) ◽  
pp. 6150 ◽  
Author(s):  
Nataliya Rekova ◽  
Hanna Telnova ◽  
Oleh Kachur ◽  
Iryna Golubkova ◽  
Tomas Baležentis ◽  
...  
Keyword(s):  
Markov Chain ◽  
Transition Probabilities ◽  
Probabilistic Approach ◽  
Financial Sustainability ◽  
Security Level ◽  
Financial Security ◽  
Transition Matrices ◽  
Level Transition ◽  
A Company

This paper proposes a framework for assessing the financial sustainability of a wine producing company. The probabilistic approach is used to model the expected changes in the financial situation of an enterprise based on the historical trends. The case of an enterprise in Ukraine is considered as an illustration. The Markov chain is adopted for the forecasting exercise. Using the Markov chain framework allows one to predict the probability of financial security change for several periods ahead. The forecast relies on the transition probabilities obtained by exploiting the historical data. The proposed framework is implemented by construction of the financial security level transition matrices for three scenarios (optimistic, baseline and pessimistic). The case study of a Ukrainian wine producing company is considered. The possibilities for applying the proposed method in establishing anti-crisis financial strategy are discussed. The research shows how forecasting the financial security level of a company can serve in anti-crisis financial potential buildup.

scholarly journals Are Sustainable Companies More Likely to Default? Evidence from the Dynamics between Credit and ESG Ratings

2021 ◽  
Vol 13 (15) ◽  
pp. 8568
Author(s):  
Aydin Aslan ◽  
Lars Poppe ◽  
Peter Posch
Keyword(s):  
Time Window ◽  
Credit Ratings ◽  
Transition Matrices ◽  
Listed Firms ◽  
Corporate Credit ◽  
Credit Default ◽  
The Us ◽  
Survivorship Bias ◽  
The Relationship ◽  
Over Time

We investigate the relationship between environmental, social and governance (ESG) performance and the probability of corporate credit default. By using a sample of 902 publicly-listed firms in the US from 2002 to 2017 and by converting Standard & Poor’s credit ratings into default probabilities from rating transition matrices, we find the probability of corporate credit default to be significantly lower for firms with high ESG performance. Furthermore, by expanding the time window in our regression analysis, we observe that the influence of ESG and its constituents strongly varies over time. We argue that these dynamics may be due to financial and regulatory shocks. In a sector decomposition, we additionally find that the energy sector is most influenced by ESG regarding the probability of corporate credit default. We expect an increasing availability of ESG data in the future to reduce possible survivorship bias and to enhance the comparison between ESG-rated and non-ESG-rated firms.

scholarly journals Random shuffles on trees using extended promotion

2019 ◽  
Vol 29 (03) ◽  
pp. 561-580
Author(s):  
Svetlana Poznanović ◽  
Kara Stasikelis
Keyword(s):  
Markov Chain ◽  
Random Walks ◽  
Transition Matrix ◽  
Transition Probabilities ◽  
Minimal Ideal ◽  
The Self ◽  
Linear Extensions ◽  
Rooted Forest ◽  
Over Time ◽  
Self Organizing

The Tsetlin library is a very well-studied model for the way an arrangement of books on a library shelf evolves over time. One of the most interesting properties of this Markov chain is that its spectrum can be computed exactly and that the eigenvalues are linear in the transition probabilities. In this paper, we consider a generalization which can be interpreted as a self-organizing library in which the arrangements of books on each shelf are restricted to be linear extensions of a fixed poset. The moves on the books are given by the extended promotion operators of Ayyer, Klee and Schilling while the shelves, bookcases, etc. evolve according to the move-to-back moves as in the the self-organizing library of Björner. We show that the eigenvalues of the transition matrix of this Markov chain are [Formula: see text] integer combinations of the transition probabilities if the posets that prescribe the restrictions on the book arrangements are rooted forests or more generally, if they consist of ordinal sums of a rooted forest and so called ladders. For some of the results, we show that the monoids generated by the moves are either [Formula: see text]-trivial or, more generally, in [Formula: see text] and then we use the theory of left random walks on the minimal ideal of such monoids to find the eigenvalues. Moreover, in order to give a combinatorial description of the eigenvalues in the more general case, we relate the eigenvalues when the restrictions on the book arrangements change only by allowing for one additional transposition of two fixed books.

The robustness of positive recurrence and recurrence of Markov chains under perturbations of the transition probabilities

1975 ◽  
Vol 12 (4) ◽  
pp. 744-752 ◽  
Author(s):  
Richard L. Tweedie
Keyword(s):  
Markov Chain ◽  
Markov Chains ◽  
Finite Number ◽  
Transition Probabilities ◽  
General State ◽  
Transition Matrices ◽  
Positive Recurrence ◽  
Markov Chain Models ◽  
Countable Space ◽  
General State Space

In many Markov chain models, the immediate characteristic of importance is the positive recurrence of the chain. In this note we investigate whether positivity, and also recurrence, are robust properties of Markov chains when the transition laws are perturbed. The chains we consider are on a fairly general state space : when specialised to a countable space, our results are essentially that, if the transition matrices of two irreducible chains coincide on all but a finite number of columns, then positivity of one implies positivity of both; whilst if they coincide on all but a finite number of rows and columns, recurrence of one implies recurrence of both. Examples are given to show that these results (and their general analogues) cannot in general be strengthened.

scholarly journals Modèle de prévision et de simulation de l’aide sociale au Québec

2009 ◽  
Vol 50 (1) ◽  
pp. 3-26 ◽  
Author(s):  
J.-F. Gautrin ◽  
B. Verdon
Keyword(s):  
Linear Programming ◽  
Transition Probabilities ◽  
Public Assistance ◽  
Three Dimensional ◽  
Forecasting Model ◽  
Transition Matrices ◽  
Sensitivity Tests ◽  
Basic Philosophy ◽  
Over Time

Abstract This paper deals with a macro-simulation and forecasting model, called PASSIM, essentially markovian, of the working of the Quebec system of Public Assistance. It has to do with both the numbers of persons involved and with the expenditures. It became fully operational in the summer of 1972 albeit it still contains a number of important imperfections. The model relies on a linear programming procedure to estimate probability transition matrices. This seems to represent one of the original features of the model. The basic philosophy of the Quebec Public Assistance is simple: a modified version of a guaranteed income program. This needs test is simply used to constitute the submodel for the determination of allowances. Transition matrices are three dimensional; transition probabilities may change over time due to changes in various exogeneous variables. The model is particularly oriented to test some major changes in the law. An example of a typical simulation is presented and some gross sensitivity tests are also given.

scholarly journals Structural Changes of Farm Size and Labor’s Occupation in Bangladesh- A Markov Chain Analysis

2018 ◽  
Vol 3 (1) ◽  
pp. 609-617
Author(s):  
Shakila Salam ◽  
Siegfried Bauer
Keyword(s):  
Markov Chain ◽  
Structural Changes ◽  
Agricultural Sector ◽  
Transition Probabilities ◽  
Farm Size ◽  
Chain Analysis ◽  
The Future ◽  
Part Time ◽  
Large Farms ◽  
Over Time

Abstract Over the last few decades, Bangladesh has experienced significant structural changes within the agricultural sector. This research estimates the current and forecasts the future changes of farm size and labor occupational mobility over time and across the region. A panel dataset, which is used in this study, was collected in the three different years (1988, 2000 and 2008) from 62 villages across 57 districts. Stationary Markov chain approach was used in this analysis to estimate structural change. The results of this study imply that the agricultural sector is dominated by small farms in past, present and also in the future. The forecasting predicts that the numbers of marginal, medium and large farms are going to decrease in future. Moreover, it indicates that the average farm size of small landholders will slightly increase as the numbers of marginal and large landowners reduces. The analyses of the transition probabilities of labor occupational change show that rural households are gradually shifting to non-farm activities and mostly part-time farming from other income generating activities over time. In general, the forecast also suggests narrowing of agricultural activities and expansion of part-time farming and non-farm activities in future.

Data Mining Technique Applied To DNA Sequencing

2015 ◽  
Vol 2 (7) ◽  
pp. 18
Author(s):  
R. Jamuna
Keyword(s):  
Data Mining ◽  
Dna Methylation ◽  
Markov Chain ◽  
Human Genome ◽  
Transition Probabilities ◽  
Markov Chain Model ◽  
Effective Means ◽  
Cpg Islands ◽  
Chain Model ◽  
The Given

CpG islands (CGIs) play a vital role in genome analysis as genomic markers.  Identification of the CpG pair has contributed not only to the prediction of promoters but also to the understanding of the epigenetic causes of cancer. In the human genome [1] wherever the dinucleotides CG occurs the C nucleotide (cytosine) undergoes chemical modifications. There is a relatively high probability of this modification that mutates C into a T. For biologically important reasons the mutation modification process is suppressed in short stretches of the genome, such as ‘start’ regions. In these regions [2] predominant CpG dinucleotides are found than elsewhere. Such regions are called CpG islands. DNA methylation is an effective means by which gene expression is silenced. In normal cells, DNA methylation functions to prevent the expression of imprinted and inactive X chromosome genes. In cancerous cells, DNA methylation inactivates tumor-suppressor genes, as well as DNA repair genes, can disrupt cell-cycle regulation. The most current methods for identifying CGIs suffered from various limitations and involved a lot of human interventions. This paper gives an easy searching technique with data mining of Markov Chain in genes. Markov chain model has been applied to study the probability of occurrence of C-G pair in the given   gene sequence. Maximum Likelihood estimators for the transition probabilities for each model and analgously for the  model has been developed and log odds ratio that is calculated estimates the presence or absence of CpG is lands in the given gene which brings in many  facts for the cancer detection in human genome.

scholarly journals Analysis of 220 Years of Floodplain Population Dynamics in the US at Different Spatial Scales

Water ◽  
2021 ◽  
Vol 13 (2) ◽  
pp. 141
Author(s):  
Firoza Akhter ◽  
Maurizio Mazzoleni ◽  
Luigia Brandimarte
Keyword(s):  
Population Dynamics ◽  
Large Scale ◽  
Spatial Scales ◽  
National Level ◽  
State Level ◽  
Economic Activities ◽  
Protection Measures ◽  
Management Planning ◽  
The Us ◽  
Over Time

In this study, we explore the long-term trends of floodplain population dynamics at different spatial scales in the contiguous United States (U.S.). We exploit different types of datasets from 1790–2010—i.e., decadal spatial distribution for the population density in the US, global floodplains dataset, large-scale data of flood occurrence and damage, and structural and nonstructural flood protection measures for the US. At the national level, we found that the population initially settled down within the floodplains and then spread across its territory over time. At the state level, we observed that flood damages and national protection measures might have contributed to a learning effect, which in turn, shaped the floodplain population dynamics over time. Finally, at the county level, other socio-economic factors such as local flood insurances, economic activities, and socio-political context may predominantly influence the dynamics. Our study shows that different influencing factors affect floodplain population dynamics at different spatial scales. These facts are crucial for a reliable development and implementation of flood risk management planning.

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