scholarly journals An Alternative Approach to Measure Co-Movement between Two Time Series

Mathematics ◽  
2020 ◽  
Vol 8 (2) ◽  
pp. 261 ◽  
Author(s):  
José Pedro Ramos-Requena ◽  
Juan Evangelista Trinidad-Segovia ◽  
Miguel Ángel Sánchez-Granero
Keyword(s):  
Time Series ◽  
Portfolio Management ◽  
Correlation Method ◽  
Simple Method ◽  
Derivatives Pricing ◽  
Statistical Arbitrage ◽  
Alternative Approach ◽  
Complex Relationships ◽  
The Relationship ◽  
Better Than

The study of the dependences between different assets is a classic topic in financial literature. To understand how the movements of one asset affect to others is critical for derivatives pricing, portfolio management, risk control, or trading strategies. Over time, different methodologies were proposed by researchers. ARCH, GARCH or EGARCH models, among others, are very popular to model volatility autocorrelation. In this paper, a new simple method called HP is introduced to measure the co-movement between two time series. This method, based on the Hurst exponent of the product series, is designed to detect correlation, even if the relationship is weak, but it also works fine with cointegration as well as non linear correlations or more complex relationships given by a copula. This method and different variations thereaof are tested in statistical arbitrage. Results show that HP is able to detect the relationship between assets better than the traditional correlation method.

scholarly journals Alternative approach to protein structure prediction based on sequential similarity of physical properties

2015 ◽  
Vol 112 (16) ◽  
pp. 5029-5032 ◽  
Author(s):  
Yi He ◽  
S. Rackovsky ◽  
Yanping Yin ◽  
Harold A. Scheraga
Keyword(s):  
Amino Acid ◽  
Physical Properties ◽  
Protein Sequence ◽  
Structure Prediction ◽  
Sequence Similarity ◽  
Physical Property ◽  
Sequence Matching ◽  
Alternative Approach ◽  
The Relationship ◽  
Better Than

The relationship between protein sequence and structure arises entirely from amino acid physical properties. An alternative method is therefore proposed to identify homologs in which residue equivalence is based exclusively on the pairwise physical property similarities of sequences. This approach, the property factor method (PFM), is entirely different from those in current use. A comparison is made between our method and PSI BLAST. We demonstrate that traditionally defined sequence similarity can be very low for pairs of sequences (which therefore cannot be identified using PSI BLAST), but similarity of physical property distributions results in almost identical 3D structures. The performance of PFM is shown to be better than that of PSI BLAST when sequence matching is comparable, based on a comparison using targets from CASP10 (89 targets) and CASP11 (51 targets). It is also shown that PFM outperforms PSI BLAST in informatically challenging targets.

Predicting Field Permeability from Testing Hot-Mix Asphalt Specimens Produced by Superpave Gyratory Compactor

2005 ◽  
Vol 1929 (1) ◽  
pp. 52-58 ◽  
Author(s):  
Kunnawee Kanitpong ◽  
Hussain Bahia ◽  
Jeffery Russell ◽  
Robert Schmitt
Keyword(s):  
Hot Mix Asphalt ◽  
Place Field ◽  
Simple Method ◽  
Air Voids ◽  
Good Relationship ◽  
Testing Procedures ◽  
Superpave Gyratory Compactor ◽  
Current Alternative ◽  
The Relationship ◽  
Better Than

This study was conducted to develop laboratory and field permeability testing procedures for design and quality control of Superpave® mixtures in Wisconsin. Sixteen mixes including fine-graded and coarse-graded mixes were evaluated. The in-place field permeability was measured by using the National Center for Asphalt Technology (NCAT) device, field cores were taken for measuring permeability in the laboratory by using the ASTM D5084 method, and laboratory compaction was used to prepare and test samples from loose mixtures recovered from the field. Two compaction procedures called Method A and Method B were used in this study to produce Superpave gyratory compacted (SGC) specimens that have thickness, air voids, and aggregate orientation similar to the field cores. Result indicates that Method B, based on the use of Ndesign gyrations for different sample sizes, can be used to produce samples that give permeability values similar to values measured for field cores. Results of this study also indicate a good relationship between field permeability (using the NCAT device) and lab permeability measured on field cores of fine-graded mixes with the amount passing No. 8 sieve (P8) higher than 45%. However, the relationship between field permeability and lab permeability measured on field cores of coarse-graded mix (P8 lower than 40%) is poor. It is concluded that the NCAT permeability device could possibly be used in the field for fine-graded mix (with P8 higher than 45%). However, to measure the field permeability of coarse-graded mix (P8 lower than 40%), there appears to be no current alternative better than taking field cores and testing them in the laboratory. For estimating permeability during mixture design, a simple method for preparing and testing permeability of SGC specimens and interpolating based on expected field density is introduced.

scholarly journals Advertising Media Impact in Consumer Buying Behavior

2019 ◽  
Vol 8 ◽  
pp. 54-56
Author(s):  
Ashmita Dahal Chhetri
Keyword(s):  
Consumer Behavior ◽  
Young Male ◽  
Electronic Media ◽  
Buying Behavior ◽  
Media Impact ◽  
High Degree ◽  
The Impact ◽  
Buying Behaviors ◽  
The Relationship ◽  
Better Than

Advertisements have been used for many years to influence the buying behaviors of the consumers. Advertisements are helpful in creating the awareness and perception among the customers of a product. This particular research was conducted on the 100 young male and female who use different brands of product to check the influence of advertisement on their buying behavior while creating the awareness and building the perceptions. Correlation, regression and other statistical tools were used to identify the relationship between these variables. The results revealed that the relationship between media and consumer behavior is positive. The adve1tising impact on sales and there is positive and high degree relationship between advertising and consumer behavior. The impact on advertising of a product of electronic media is better than non-electronic media.

scholarly journals Comparative Study on Relative Fossil Energy Carrying Capacity in China and the United States

Energies ◽  
2021 ◽  
Vol 14 (10) ◽  
pp. 2972
Author(s):  
Zhili Zuo ◽  
Jinhua Cheng ◽  
Haixiang Guo ◽  
Yonglin Li
Keyword(s):  
United States ◽  
Carrying Capacity ◽  
The United States ◽  
Reference Area ◽  
Energy Sustainability ◽  
Fossil Energy ◽  
The Relationship ◽  
Population And Environment ◽  
Better Than ◽  
Innovative Concept

Based on resource carrying capacity, this study used the revised theory of relative resource carrying capacity (RRCC) and introduced an innovative concept of relative fossil energy carrying capacity (RFECC), which evaluates the degree of fossil energy sustainability based on the relationship between economy, population, and environment. This study took China and the United States as the study objects, took the whole country as the reference area, and calculated the RFECC of population, economic, and environmental resources from 2000 to 2018. Therefore, based on the comparative analysis, the following conclusions were drawn: (i) there is a big difference in the RFECC between China and the United States, which is manifested in the inverted U-shaped trend in China and the U-shaped trend in the United States; (ii) the relative fossil energy carrying states in China and the United States are different, mainly reflected in the economy and environment; (iii) the gap in RFECC between China and the United States has gradually widened; in general, China’s economic RFECC is better than that of the United States, while environmental RFECC and population RFECC in the United States is better than that of China; and (iv) coal and oil should be used as a breakthrough point for the sustainable fossil energy and sustainable development for China and the United States, respectively.

scholarly journals Does a Manager Respond to a Going-Concern Audit Opinion with an Asymmetry in Gain and Loss?

2021 ◽  
Vol 13 (8) ◽  
pp. 4425
Author(s):  
Taewoo Kim
Keyword(s):  
Time Series ◽  
Accounting Conservatism ◽  
Timely Manner ◽  
Audit Opinion ◽  
Going Concern ◽  
Asymmetric Timeliness ◽  
Gain And Loss ◽  
Audit Opinions ◽  
The Relationship

In this paper, I investigate the relationship between previous going-concern audit opinions and subsequent asymmetric timeliness in accounting. Using the time-series and price-based models and conservatism proxy, I find that firms with going-concern audit opinions subsequently report losses in a more timely manner than firms that did not receive going-concern audit opinions. Furthermore, I also find that firms exiting going-concern audit opinions are more likely to report losses rather than gains in a timely manner, compared to firms non-exiting from going-concern opinions. This study extends the prior research by exploring the association between going-concern opinions and accounting conservatism from the perspective of client firms—that is, how firms behave strategically and conservatively to bypass going-concern opinions, once the firms had received previous going-concern opinions.

scholarly journals Fish bone-derived interconnected carbon nanofibers for efficient and lightweight microwave absorption

2021 ◽  
Vol 3 (2) ◽  
Author(s):  
Yangyang Gu ◽  
Peng Dai ◽  
Wen Zhang ◽  
Zhanwen Su
Keyword(s):  
Microwave Absorption ◽  
Carbon Nanofibers ◽  
Three Dimensional ◽  
Fish Bone ◽  
Absorption Properties ◽  
Simple Method ◽  
Microwave Absorption Properties ◽  
Absorption Performance ◽  
Microwave Absorption Performance ◽  
Better Than

AbstractIn this work, we demonstrated a simple method for preparing three-dimensional interconnected carbon nanofibers (ICNF) derived from fish bone as an efficient and lightweight microwave absorber. The as-obtained ICNF exhibits excellent microwave absorption performance with a maximum reflection loss of –59.2 dB at the filler content of 15 wt%. In addition, the effective absorption bandwidth can reach 4.96 GHz at the thickness of 2 mm. The outstanding microwave absorption properties can be mainly ascribed to its well-defined interconnected nanofibers architecture and the doping of nitrogen atoms, which are also better than most of the reported carbon-based absorbents. This work paves an attractive way for the design and fabrication of highly efficient and lightweight electromagnetic wave absorbers.

scholarly journals Algorithmic and human prediction of success in human collaboration from visual features

2021 ◽  
Vol 11 (1) ◽  
Author(s):  
Martin Saveski ◽  
Edmond Awad ◽  
Iyad Rahwan ◽  
Manuel Cebrian
Keyword(s):  
Machine Learning ◽  
Visual Cues ◽  
Success Factors ◽  
Group Performance ◽  
Learning Algorithms ◽  
Machine Learning Algorithms ◽  
Adventure Game ◽  
Group Success ◽  
The Relationship ◽  
Better Than

AbstractAs groups are increasingly taking over individual experts in many tasks, it is ever more important to understand the determinants of group success. In this paper, we study the patterns of group success in Escape The Room, a physical adventure game in which a group is tasked with escaping a maze by collectively solving a series of puzzles. We investigate (1) the characteristics of successful groups, and (2) how accurately humans and machines can spot them from a group photo. The relationship between these two questions is based on the hypothesis that the characteristics of successful groups are encoded by features that can be spotted in their photo. We analyze >43K group photos (one photo per group) taken after groups have completed the game—from which all explicit performance-signaling information has been removed. First, we find that groups that are larger, older and more gender but less age diverse are significantly more likely to escape. Second, we compare humans and off-the-shelf machine learning algorithms at predicting whether a group escaped or not based on the completion photo. We find that individual guesses by humans achieve 58.3% accuracy, better than random, but worse than machines which display 71.6% accuracy. When humans are trained to guess by observing only four labeled photos, their accuracy increases to 64%. However, training humans on more labeled examples (eight or twelve) leads to a slight, but statistically insignificant improvement in accuracy (67.4%). Humans in the best training condition perform on par with two, but worse than three out of the five machine learning algorithms we evaluated. Our work illustrates the potentials and the limitations of machine learning systems in evaluating group performance and identifying success factors based on sparse visual cues.

Sign in / Sign up

Export Citation Format

Share Document