1,720,957 research outputs found
Econometric techniques for forecasting financial time series in discrete time
Get PDFThis thesis is a collection of three essays on financial econometrics with a common background in ultra-high frequency modeling of market activity. In the first essay, we propose an accurate and fast-to-estimate forecasting model for discrete valued time series with long memory and seasonality.1 The modelling is achieved with an autoregressive conditional Poisson process that features seasonality and heterogeneous autoregressive components (whence the acronym SHARP: Seasonal Heterogeneous AutoRegressive Poisson). Motivated by the prominent role of the bid-ask spread as a transaction cost for trading, we apply the SHARP model to forecast the bid-ask spreads of a large sample of NYSE equity stocks. [...
Two-particle problem in comblike structures
Get PDFEncounters between walkers performing a random motion on an appropriate structure can describe a wide variety
of natural phenomena ranging from pharmacokinetics to foraging. On homogeneous structures the asymptotic
encounter probability between two walkers is (qualitatively) independent of whether both walkers are moving or
one is kept fixed. On infinite comblike structures this is no longer the case and here we deepen the mechanisms
underlying the emergence of a finite probability that two randomwalkerswill nevermeet,while one single random
walker is certain to visit any site. In particular, we introduce an analytical approach to address this problem and
even more general problems such as the case of two walkers with different diffusivity, particles walking on
a finite comb and on arbitrary bundled structures, possibly in the presence of loops. Our investigations are
both analytical and numerical and highlight that, in general, the outcome of a reaction involving two reactants
on a comblike architecture can strongly differ according to whether both reactants are moving (no matter their
relative diffusivities) or only one is moving and according to the density of shortcuts among the branches
Lévy flights with power-law absorption
Get PDFWe consider a particle performing a stochastic motion on a one-dimensional latticewith jump lengths distributed
according to a power law with exponent μ + 1. Assuming that the walker moves in the presence of a distribution
a(x) of targets (traps) depending on the spatial coordinate x,we study the probability that thewalkerwill eventually
find any target (will eventually be trapped). We focus on the case of power-law distributions a(x) ∼ x^(−α) and we find that, as long as μ < α, there is a finite probability that the walker will never be trapped, no matter
how long the process is. This result is shown via analytical arguments and numerical simulations which also
evidence the emergence of slow searching (trapping) times in finite-size system. The extension of this finding to
higher-dimensional structures is also discussed
Hitting and trapping times on branched structures
Get PDFIn this work we consider a simple random walk embedded in a generic branched structure and we find a close-form formula to calculate the hitting time H(i,f) between two arbitrary nodes i and j. We then use this formula to obtain the set of hitting times {H(i,f)} for combs and their expectation values, namely, the mean first-passage time, where the average is performed over the initial node while the final node f is given, and the global mean first-passage time, where the average is performed over both the initial and the final node. Finally, we discuss applications in the context of reaction-diffusion problems
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
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