scholarly journals Bursts and Regularization in Financial Markets: Deterministic or Stochastic?

2021 ◽  
Author(s):  
Giuseppe Orlando ◽  
Michele Bufalo ◽  
Ruedi Stoop
Keyword(s):  
Financial Markets ◽  
Deterministic Model ◽  
Empirical Finance ◽  
Stress Index ◽  
Government Bond ◽  
Additional Insight ◽  
Financial Stress Index ◽  
Asset Classes ◽  
Low Dimensional ◽  
Insight Into

Abstract We analyze empirical finance data, such as the Financial Stress Index, a number of asset classes (swaps, equity and bonds), market (emerging vs. developed), issuer (corporate vs. government bond), maturity (short vs. long) data, asking whether the recently observed alternations between calm periods and financial turmoil can be modelled in a low-dimensional deterministic manner, or whether they demand for their description a stochastic model. We find that a deterministic model performs at least as well as one of the best stochastic models, but may provide additional insight into the essential mechanisms that drive financial markets.

scholarly journals Can Economic Factors Improve Momentum Trading Strategies? The Case of Managed Futures during the COVID-19 Pandemic

Economies ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 86
Author(s):  
Renata Guobužaitė ◽  
Deimantė Teresienė
Keyword(s):  
Financial Markets ◽  
Risk Premium ◽  
Trading Strategies ◽  
Economic Factors ◽  
Momentum Strategies ◽  
New Approach ◽  
Managed Futures ◽  
Asset Classes ◽  
Momentum Trading ◽  
Insight Into

Systematic momentum trading is a prevalent risk premium strategy in different portfolios. This paper focuses on the performance of the managed futures strategy based on the momentum signal across different economic regimes, focusing on the COVID-19 pandemic period. COVID-19 had a solid but short-lived impact on financial markets, and therefore gives a unique insight into momentum strategies’ performance during such critical moments of market stress. We offer a new approach to implementing momentum strategies by adding macroeconomic variables to the model. We test a managed futures strategy’s performance with a well-diversified futures portfolio across different asset classes. The research concludes that constructing a portfolio based on academically/economically sound momentum signals with its allocation timing based on broader economic factors significantly improves managed futures strategies and adds significant diversification benefits to the investors’ portfolios.

Financial markets and the working class in the USA: an empirical investigation of financial stress

2019 ◽  
Vol 43 (4) ◽  
pp. 867-890 ◽  
Author(s):  
Michael J McCormack
Keyword(s):  
Working Class ◽  
Financial Markets ◽  
Financial Stress ◽  
Safety Net ◽  
Stress Index ◽  
Survey Of Consumer Finances ◽  
Consumer Finances ◽  
The Usa ◽  
Financial Stress Index ◽  
The Relationship

AbstractThis paper investigates the relationship between financial stress and the working class in the USA. Employing a financial stress index created from the Survey of Consumer Finances, I show that working class households are nearly twice as likely to be financially stressed than wealthier non-working class households from 1992 to 2016. A possible explanation of this result could be that the financial expropriation of personal income among the working class has the effect of increasing that group’s financial stress relative to wealthier classes. Working class households in the USA have struggled to afford means of subsistence in lieu of lacklustre wage growth and a tattered safety net. Financial expropriation of these households has operated in tandem with this precarity, increasing financial stress in a time of financialised capitalism.

scholarly journals The Spillover and Transmission of Chinese Financial Markets Risk

2018 ◽  
Vol 11 (8) ◽  
pp. 66
Author(s):  
Sha Zhu
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Financial Markets ◽  
Financial Market ◽  
Spillover Effect ◽  
Financial Stress ◽  
Stress Index ◽  
2008 Financial Crisis ◽  
The Us ◽  
Financial Stress Index

After the 2008 financial crisis, the whole world financial markets became more fluctuates, the same to China also. It is necessary to pay great attention to high volatility problem in Chinese market, and also the uncertainty problem, risk accumulation and spillover effect come along with it. This paper calculates stock market return and builds financial stress index to explore the risk spillover effect. Empirical results show that the Chinese financial market have higher volatility than other countries. The Chinese stock market had higher dynamic market co-movement with international financial markets after 2008 financial crisis. What’s more, this article also finds the financial risk spreads between China and US. When the US financial stress index increases, China's financial stress index experiences a larger increase. However, after the change in China's financial stress index, the US financial stress index has no obvious trend of change. So we should pay more attention to periods of Chinese financial market risk and its spillover.

Classification of Infant Vocalizations by Untrained Listeners

2019 ◽  
Vol 62 (9) ◽  
pp. 3265-3275
Author(s):  
Heather L. Ramsdell-Hudock ◽  
Anne S. Warlaumont ◽  
Lindsey E. Foss ◽  
Candice Perry
Keyword(s):  
Formal Education ◽  
Additional Insight ◽  
Listener Responses ◽  
Infant Vocalization ◽  
Early Infant ◽  
Infant Vocalizations ◽  
Audio Recordings ◽  
Speech And Language Development ◽  
Insight Into

Purpose To better enable communication among researchers, clinicians, and caregivers, we aimed to assess how untrained listeners classify early infant vocalization types in comparison to terms currently used by researchers and clinicians. Method Listeners were caregivers with no prior formal education in speech and language development. A 1st group of listeners reported on clinician/researcher-classified vowel, squeal, growl, raspberry, whisper, laugh, and cry vocalizations obtained from archived video/audio recordings of 10 infants from 4 through 12 months of age. A list of commonly used terms was generated based on listener responses and the standard research terminology. A 2nd group of listeners was presented with the same vocalizations and asked to select terms from the list that they thought best described the sounds. Results Classifications of the vocalizations by listeners largely overlapped with published categorical descriptors and yielded additional insight into alternate terms commonly used. The biggest discrepancies were found for the vowel category. Conclusion Prior research has shown that caregivers are accurate in identifying canonical babbling, a major prelinguistic vocalization milestone occurring at about 6–7 months of age. This indicates that caregivers are also well attuned to even earlier emerging vocalization types. This supports the value of continuing basic and clinical research on the vocal types infants produce in the 1st months of life and on their potential diagnostic utility, and may also help improve communication between speech-language pathologists and families.

The Cleveland Financial Stress Index

2012 ◽  
Author(s):  
Timothy Bianco ◽  
Mikhail V. Oet ◽  
Stephen J. Ong
Keyword(s):  
Financial Stress ◽  
Stress Index ◽  
Financial Stress Index

Diversity, Rationality, and the Division of Cognitive Labor

2017 ◽  
Author(s):  
Ryan Muldoon
Keyword(s):  
Social Structure ◽  
Division Of Labor ◽  
Additional Insight ◽  
Division Of Cognitive Labor ◽  
Social Structure Of Science ◽  
The Social ◽  
Insight Into

Existing models of the division of cognitive labor in science assume that scientists have a particular problem they want to solve and can choose between different approaches to solving the problem. In this essay I invert the approach, supposing that scientists have fixed skills and seek problems to solve. This allows for a better explanation of increasing rates of cooperation in science, as well as flows of scientists between fields of inquiry. By increasing the realism of the model, we gain additional insight into the social structure of science and gain the ability to ask new questions about the optimal division of labor.

scholarly journals Using syndromic measures of mortality to capture the dynamics of COVID-19 in Java, Indonesia, in the context of vaccination rollout

BMC Medicine ◽  
2021 ◽  
Vol 19 (1) ◽  
Author(s):  
Bimandra A. Djaafara ◽  
Charles Whittaker ◽  
Oliver J. Watson ◽  
Robert Verity ◽  
Nicholas F. Brazeau ◽  
...  
Keyword(s):  
Rural Areas ◽  
Vaccination Campaign ◽  
Control Measures ◽  
Additional Insight ◽  
Short Term ◽  
If Current ◽  
Vaccine Impact ◽  
Potential Impact ◽  
The Impact ◽  
Insight Into

Abstract Background As in many countries, quantifying COVID-19 spread in Indonesia remains challenging due to testing limitations. In Java, non-pharmaceutical interventions (NPIs) were implemented throughout 2020. However, as a vaccination campaign launches, cases and deaths are rising across the island. Methods We used modelling to explore the extent to which data on burials in Jakarta using strict COVID-19 protocols (C19P) provide additional insight into the transmissibility of the disease, epidemic trajectory, and the impact of NPIs. We assess how implementation of NPIs in early 2021 will shape the epidemic during the period of likely vaccine rollout. Results C19P burial data in Jakarta suggest a death toll approximately 3.3 times higher than reported. Transmission estimates using these data suggest earlier, larger, and more sustained impact of NPIs. Measures to reduce sub-national spread, particularly during Ramadan, substantially mitigated spread to more vulnerable rural areas. Given current trajectory, daily cases and deaths are likely to increase in most regions as the vaccine is rolled out. Transmission may peak in early 2021 in Jakarta if current levels of control are maintained. However, relaxation of control measures is likely to lead to a subsequent resurgence in the absence of an effective vaccination campaign. Conclusions Syndromic measures of mortality provide a more complete picture of COVID-19 severity upon which to base decision-making. The high potential impact of the vaccine in Java is attributable to reductions in transmission to date and dependent on these being maintained. Increases in control in the relatively short-term will likely yield large, synergistic increases in vaccine impact.

scholarly journals Loss of RET Promotes Mesenchymal Identity in Neuroblastoma Cells

Cancers ◽  
2021 ◽  
Vol 13 (8) ◽  
pp. 1909
Author(s):  
Joachim T. Siaw ◽  
Jonatan L. Gabre ◽  
Ezgi Uçkun ◽  
Marc Vigny ◽  
Wancun Zhang ◽  
...  
Keyword(s):  
Genome Engineering ◽  
Neuroblastoma Cells ◽  
Gene Signature ◽  
Additional Insight ◽  
Downstream Target ◽  
Anaplastic Lymphoma ◽  
Extracellular Matrix Components ◽  
Transforming Gene ◽  
Insight Into

Aberrant activation of anaplastic lymphoma kinase (ALK) drives neuroblastoma (NB). Previous work identified the RET receptor tyrosine kinase (RTK) as a downstream target of ALK activity in NB models. We show here that ALK activation in response to ALKAL2 ligand results in the rapid phosphorylation of RET in NB cells, providing additional insight into the contribution of RET to the ALK-driven gene signature in NB. To further address the role of RET in NB, RET knockout (KO) SK-N-AS cells were generated by CRISPR/Cas9 genome engineering. Gene expression analysis of RET KO NB cells identified a reprogramming of NB cells to a mesenchymal (MES) phenotype that was characterized by increased migration and upregulation of the AXL and MNNG HOS transforming gene (MET) RTKs, as well as integrins and extracellular matrix components. Strikingly, the upregulation of AXL in the absence of RET reflects the development timeline observed in the neural crest as progenitor cells undergo differentiation during embryonic development. Together, these findings suggest that a MES phenotype is promoted in mesenchymal NB cells in the absence of RET, reflective of a less differentiated developmental status.

A Note Concerning the Dynamics of Government Bond Yields

2021 ◽  
pp. 056943452098827
Author(s):  
Tanweer Akram
Keyword(s):  
Interest Rate ◽  
Financial Markets ◽  
Yield Curve ◽  
Empirical Studies ◽  
State Theory ◽  
Government Bond ◽  
Bond Yields ◽  
Short Term ◽  
Government Bonds

Keynes argued that the central bank can influence the long-term interest rate on government bonds and the shape of the yield curve mainly through the short-term interest rate. Several recent empirical studies that examine the dynamics of government bond yields not only substantiate Keynes’s view that the long-term interest rate responds markedly to the short-term interest rate but also have relevance for macroeconomic theory and policy. This article relates Keynes’s discussions of money, the state theory of money, financial markets, investors’ expectations, uncertainty, and liquidity preference to the dynamics of government bond yields for countries with monetary sovereignty. Investors’ psychology, herding behavior in financial markets, and uncertainty about the future reinforce the effects of the short-term interest rate and the central bank’s monetary policy actions on the long-term interest rate. JEL classifications: E12; E40; E43; E50; E58; E60; F30; G10; G12; H62; H63

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