scholarly journals Identifying Actionable Serial Correlations in Financial Markets

2021 ◽  
Vol 7 ◽  
Author(s):  
Siew Ann Cheong ◽  
Yann Wei Lee ◽  
Ying Ying Li ◽  
Jia Qing Lim ◽  
Jiok Duan Jadie Tan ◽  
...  
Keyword(s):  
Information Processing ◽  
Financial Markets ◽  
Cross Sections ◽  
Oil And Gas ◽  
Statistical Significance ◽  
Precious Metals ◽  
Null Model ◽  
United States Government ◽  
Statistical Significance Testing ◽  
Serial Correlations

Financial markets are complex systems where information processing occurs at multiple levels. One signature of this information processing is the existence of recurrent sequences. In this paper, we developed a procedure for finding these sequences and a process of statistical significance testing to identify the most meaningful ones. To do so, we downloaded daily closing prices of the Dow Jones Industrial Average component stocks, as well as various assets like stock market indices, United States government bonds, precious metals, commodities, oil and gas, and foreign exchange. We mapped each financial instrument to a letter and their upward movements to words, before testing the frequencies of these words against a null model obtained by reshuffling the empirical time series. We then identify market leaders and followers from the statistically significant words in different cross sections of financial instruments, and interpret actionable trends that can be traded upon.

scholarly journals EXPRESS: Efficacy and Safety of Tadalafil in a Pediatric Population with Pulmonary Arterial Hypertension: Phase 3 randomized, Double Blind Placebo-Controlled Study

2021 ◽  
pp. 204589402110249
Author(s):  
David D Ivy ◽  
Damien Bonnet ◽  
Rolf MF Berger ◽  
Gisela Meyer ◽  
Simin Baygani ◽  
...  
Keyword(s):  
Pediatric Patients ◽  
Statistical Significance ◽  
Significance Testing ◽  
Efficacy And Safety ◽  
Phase 3 ◽  
Statistical Significance Testing ◽  
Double Blind ◽  
Double Blind Placebo ◽  
Treatment Groups ◽  
Pulmonary Arterial

Objective: This study evaluated the efficacy and safety of tadalafil in pediatric patients with pulmonary arterial hypertension (PAH). Methods: This phase-3, international, randomized, multicenter (24 weeks double-blind placebo controlled period; 2-year, open-labelled extension period), add-on (patient’s current endothelin receptor antagonist therapy) study included pediatric patients aged <18 years with PAH. Patients received tadalafil 20 mg or 40 mg based on their weight (Heavy-weight: ≥40 kg; Middle-weight: ≥25—<40 kg) or placebo orally QD for 24 weeks. Primary endpoint was change from baseline in 6-minute walk (6MW) distance in patients aged ≥6 years at Week 24. Sample size was amended from 134 to ≥34 patients, due to serious recruitment challenges. Therefore, statistical significance testing was not performed between treatment groups. Results: Patient demographics and baseline characteristics (N=35; tadalafil=17; placebo=18) were comparable between treatment groups; median age was 14.2 years (6.2 to 17.9 years) and majority (71.4%, n=25) of patients were in HW cohort. Least square mean (SE) changes from baseline in 6MW distance at Week 24 was numerically greater with tadalafil versus placebo (60.48 [20.41] vs 36.60 [20.78] meters; placebo-adjusted mean difference [SD] 23.88 [29.11]). Safety of tadalafil treatment was as expected without any new safety concerns. During study period 1, two patients (1 in each group) discontinued due to investigator’s reported clinical worsening, and no deaths were reported. Conclusions: The statistical significance testing was not performed between the treatment groups due to low sample size, however, the study results show positive trend in improvement in non invasive measurements, commonly utilized by clinicians to evaluate the disease status for children with PAH. Safety of tadalafil treatment was as expected without any new safety signals.

Anonymized Firm Data under Test: Evidence from a Replication Study

2005 ◽  
Vol 225 (5) ◽  
Author(s):  
Joachim Wagner
Keyword(s):  
Cross Sections ◽  
Statistical Significance ◽  
Original Data ◽  
Replication Study ◽  
Firm Level ◽  
Level Data ◽  
Practical Usefulness ◽  
Order Of Magnitude ◽  
Anonymized Data ◽  
Firm Data

SummaryThis paper contributes to the literature on the use of anonymized firm level data by reporting results from a replication study. To test for the practical usefulness of anonymized data I selected two of my published papers based on different cross sections of firm data. The data used there were anonymized by micro aggregation. I replicated the analyses reported in the papers with the anonymized data, and then compared the results to those produced with the original data. Frequently, the reported levels of statistical significance differ. Furthermore, statistically significant coefficients sometimes differ by order of magnitude. Therefore, at least for the moderate sample sizes used here micro-aggregated firm data should not be considered as a tool for empirical research.

scholarly journals Damaging Real Lives through Obstinacy: Re-Emphasising Why Significance Testing is Wrong

2016 ◽  
Vol 21 (1) ◽  
pp. 102-115 ◽  
Author(s):  
Stephen Gorard
Keyword(s):  
Statistical Significance ◽  
Poor Quality ◽  
Significance Testing ◽  
Significance Tests ◽  
Statistical Significance Testing ◽  
Wrong Answer ◽  
Repeated Calls ◽  
Numeric Data ◽  
Quality Of Research

This paper reminds readers of the absurdity of statistical significance testing, despite its continued widespread use as a supposed method for analysing numeric data. There have been complaints about the poor quality of research employing significance tests for a hundred years, and repeated calls for researchers to stop using and reporting them. There have even been attempted bans. Many thousands of papers have now been written, in all areas of research, explaining why significance tests do not work. There are too many for all to be cited here. This paper summarises the logical problems as described in over 100 of these prior pieces. It then presents a series of demonstrations showing that significance tests do not work in practice. In fact, they are more likely to produce the wrong answer than a right one. The confused use of significance testing has practical and damaging consequences for people's lives. Ending the use of significance tests is a pressing ethical issue for research. Anyone knowing the problems, as described over one hundred years, who continues to teach, use or publish significance tests is acting unethically, and knowingly risking the damage that ensues.

scholarly journals The Other Half of the Story: Effect Size Analysis in Quantitative Research

2013 ◽  
Vol 12 (3) ◽  
pp. 345-351 ◽  
Author(s):  
Jessica Middlemis Maher ◽  
Jonathan C. Markey ◽  
Diane Ebert-May
Keyword(s):  
Educational Research ◽  
Effect Size ◽  
Quantitative Research ◽  
Statistical Significance ◽  
The Other ◽  
Practical Significance ◽  
Significance Testing ◽  
Size Analysis ◽  
Significance Tests ◽  
Statistical Significance Testing

Statistical significance testing is the cornerstone of quantitative research, but studies that fail to report measures of effect size are potentially missing a robust part of the analysis. We provide a rationale for why effect size measures should be included in quantitative discipline-based education research. Examples from both biological and educational research demonstrate the utility of effect size for evaluating practical significance. We also provide details about some effect size indices that are paired with common statistical significance tests used in educational research and offer general suggestions for interpreting effect size measures. Finally, we discuss some inherent limitations of effect size measures and provide further recommendations about reporting confidence intervals.

scholarly journals GEOLOGICAL AND GEOPHYSICAL CHARACTERISTICS OF THE ANABAR‐KHATANGA OIL AND GAS PROVINCE; NUMERICAL MODELING OF THE PROCESSES OF FORMATION OF SALT DOMES (SIBERIAN SECTOR OF THE RUSSIAN ARCTICS)

2019 ◽  
Vol 10 (2) ◽  
pp. 459-470
Author(s):  
V. A. Kontorovich ◽  
В. V. Lunev ◽  
V. V. Lapkovsky
Keyword(s):  
Cross Sections ◽  
Oil And Gas ◽  
Numerical Models ◽  
Sedimentary Cover ◽  
Ground Surface ◽  
Geological Structure ◽  
Salt Domes ◽  
Software Packages ◽  
Geological Features ◽  
Gas Bearing

The article discusses the geological structure, oil‐and‐gas‐bearing capacities and salt tectogenesis of the Anabar‐Khatanga saddle located on the Laptev Sea shore. In the study area, the platform sediments are represented by the 14‐45 km thick Neoproterozoic‐Mesozoic sedimentary complexes. The regional cross‐sections show the early and middle Devonian salt‐bearing strata and associated salt domes in the sedimentary cover, which may be indicative of potential hydrocarbon‐containing structures. Diapirs reaching the ground surface can be associated with structures capable of trapping hydrocarbons, and typical anticline structures can occur above the domes buried beneath the sediments. In our study, we used the algorithms and software packages developed by A.A. Trofimuk Institute of Petroleum Geology and Geophysics (IPGG SB RAS). Taking into account the structural geological features of the study area, we conducted numerical simulation of the formation of salt dome structures. According to the numerical models, contrasting domes that reached the ground surface began to form in the early Permian and developed most intensely in the Mesozoic, and the buried diapirs developed mainly in the late Cretaceous and Cenozoic.

scholarly journals Observation of ZZ production via Vector Boson Scattering in ATLAS

2021 ◽  
Vol 2105 (1) ◽  
pp. 012013
Author(s):  
Ioannis Maznas
Keyword(s):  
Cross Sections ◽  
Vector Boson ◽  
Statistical Significance ◽  
Signal Strength ◽  
Atlas Detector ◽  
Pp Collisions ◽  
Final State ◽  
Measurement Results ◽  
Vector Boson Scattering

Abstract This document presents measurement results of the ZZ production via Vector Boson Scattering interactions in 139fb −1 of data recorded by the ATLAS detector from pp collisions at s = 13 TeV during LHC Run-II (2015-2018). In this study, 127 candidate events with a fully leptonic final state (ℓℓℓℓjj) have been observed and another 82 events for ℓℓvvjj final state, with a contribution of the purely electroweak ZZjj process estimated to be 20.6 ± 2.5 and 12.3 ± 0.7 events respectively. The measured cross sections were found to be 1.27 ± 0.14fb (1.22 ± 0.35fb) for ℓℓℓℓjj (ℓℓvvjj) in their respective fiducial regions. Using multivariant methods, the EW production of ZZjj events (combining the ℓℓℓℓjj and ℓℓvvjj channels) was measured to have a signal strength of 1.35± 0.34, which leads to a rejection of the no-electroweak hypothesis with a statistical significance of 5.5σ.

scholarly journals Adaptive treatment allocation and selection in multi-arm clinical trials: a Bayesian perspective

2021 ◽  
Author(s):  
Elja Arjas ◽  
Dario Gasbarra
Keyword(s):  
Clinical Trials ◽  
Randomized Clinical Trials ◽  
Statistical Significance ◽  
Adaptive Designs ◽  
Critical Threshold ◽  
Attractive Alternative ◽  
Posterior Probabilities ◽  
Statistical Significance Testing ◽  
Treatment Allocation ◽  
Frequentist Paradigm

Abstract Background: Adaptive designs offer added flexibility in the execution of clinical trials, including the possibilities of allocating more patients to the treatments that turned out more successful, and early stopping due to either declared success or futility. Commonly applied adaptive designs, such as group sequential methods, are based on the frequentist paradigm and on ideas from statistical significance testing. Interim checks during the trial will have the effect of inflating the Type 1 error rate, or, if this rate is controlled and kept fixed, lowering the power. Results: The purpose of the paper is to demonstrate the usefulness of the Bayesian approach in the design and in the actual running of randomized clinical trials during Phase II and III. This approach is based on comparing the performance of the different treatment arm in terms of the respective joint posterior probabilities evaluated sequentially from the accruing outcome data, and then taking a control action if such posterior probabilities fall below a pre-specified critical threshold value. Two types of actions are considered: treatment allocation, putting on hold at least temporarily further accrual of patients to a treatment arm (Rule 1), and treatment selection, removing an arm from the trial permanently (Rule 2). The main development in the paper is in terms of binary outcomes, but extensions for handling time-to-event data, including data from vaccine trials, are also discussed. The performance of the proposed methodology is tested in extensive simulation experiments, with numerical results and graphical illustrations documented in a Supplement to the main text. As a companion to this paper, an implementation of the methods is provided in the form of a freely available R package. Conclusion: The proposed methods for trial design provide an attractive alternative to their frequentist counterparts.

Sign in / Sign up

Export Citation Format

Share Document