4,140 research outputs found
Index-exciting CAViaR: A new empirical time-varying risk model
No full textDashan Huang, Baimin Yu, Zudi Lu, Frank J. Fabozzi, Sergio Focardi, and Masao Fukushim
The Quantitative Easing Bursts Bitcoin Price
No full textIn this paper we analyze the existence of cointegrating relationships between Bitcoin, S&P 500, and the quantity of money M2. We perform our analysis with and without applying time warping pre-processing. In all cases we find strong evidence that, in the period 2016-2021 the three time series show two cointegrating relationships and therefore share a common stochastic trend. In addition, a low correlation between Bitcoin and S&P 500 is detected. These finding justify the increased interest of investors in Bitcoin as an alternative asset class. The economic interpretation is that the stock valuation is primarily determined by financial phenomena, in particular the availability of large quantity of money. Money supporting investment is due both to the actions of Quantitative Easing and to the exchange of creditor/debtor role that took place between households and firms. The price of both Bitcoin and stocks is increasingly influenced by the amount of money in circulation and follows the same stochastic trend
Technology Overview: A Report on Data Mining
No full text: In this report we present a technology assessment of a spectrum of mathematical methods and software techniques for data mining, i.e., for finding patterns and regularities in sets of data. After an introduction to the subject, the second part of the paper describes the essentials of a variety of methods for data mining through supervised and un-supervised learning. In the third part of the report we present results from the application of data mining techniques to different application areas such as chemical and pharmaceutical chemistry, retail and consumer banking, remote sensing, and the handling of engineering and maintenance data. Karsten M. Decker CSCS--ETH, Swiss Scientific Computing Center, CH-6928 Manno Sergio Focardi The Intertek Group, F-75015 Paris Copyright c fl CSCS-ETH, Swiss Scientific Computing Center, 1995 Technical Report TABLE OF CONTENTS Table of Contents 1 Introduction : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : 1 2 The..
Approximation of SBV functions with possibly infinite jump set
No full textWe prove an approximation result for functions u∈SBV(Ω;Rm) such that ∇u is p-integrable, 1≤p<∞, and g0(|[u]|) is integrable over the jump set (whose Hn−1 measure is possibly infinite), for some continuous, nondecreasing, subadditive function g0, with g0−1(0)={0}. The approximating functions uj are piecewise affine with piecewise affine jump set; the convergence is that of L1 for uj and the convergence in energy for |∇uj|p and g([uj],νujavax.xml.bind.JAXBElement@4d3684be) for suitable functions g. In particular, uj converges to u BV-strictly, area-strictly, and strongly in BV after composition with a bilipschitz map. If in addition Hn−1(Ju)<∞, we also have convergence of Hn−1(Jujavax.xml.bind.JAXBElement@7ed7bf7f) to Hn−1(Ju)
Phase-Field Approximation of a Vectorial, Geometrically Nonlinear Cohesive Fracture Energy
No full textWe consider a family of vectorial models for cohesive fracture, which may incorporate SO(n)\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}\end{document}-invariance. The deformation belongs to the space of generalized functions of bounded variation and the energy contains an (elastic) volume energy, an opening-dependent jump energy concentrated on the fractured surface, and a Cantor part representing diffuse damage. We show that this type of functional can be naturally obtained as Gamma\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}\end{document}-limit of an appropriate phase-field model. The energy densities entering the limiting functional can be expressed, in a partially implicit way, in terms of those appearing in the phase-field approximation
Il contributo di Sergio Torsello alla renaissance salentina del primo quindicennio del 2000
No full textQuesto contributo mira a descrivere le tre “anime” di Sergio Torsello – Direttore Artistico del Festival La Notte della Taranta, Consulente Scientifico dell’Istituto Diego Carpitella, e Mediatore Culturale tra e per i talenti artistici del suo territorio. Il punto di partenza della narrazione è un articolo di Sergio Torsello, pubblicato nel 2011 in un volume di cui l’autore della narrazione è stato curatore. L’autore sottolinea la stretta connessione tra le tre anime di Sergio Torsello, che emerge non solo dal suo articolo del 2011 ma anche dalle numerose interazioni avvenute tra Sergio Torsello e l’autore. La descrizione del rilievo scientifico della figura di Sergio Torsello è sicuramente parziale, circoscritta nel tempo (gli 8 anni, dal 2007 al 2015 in cui ha interagito con l’autore) e nello spazio (inteso come insieme di argomenti delle loro conversazioni scientifiche e culturali). Ma rende merito del cruciale contributo di Sergio Torsello alla renaissance culturale salentina degli anni dal 2001 al 2015.This contribution aims to describe the three “souls” of Sergio Torsello – Artistic Director of “La Notte della Taranta” Festival, Scientific Consultant of “Diego Carpitella” Institute, and Cultural Mediator
between and for the artistic talents of his territory. The starting point of the description is an article by Sergio Torsello, published in 2011 in a book of which the author of the description was the editor. The author highlights the close connection between the three souls of Sergio Torsello, which emerges not only from the above-mentioned article, but also from the numerous interactions between Sergio Torsello and the author. The description of the scientific significance of Sergio Torsello’s figure is certainly partial, limited in time (the 8 years, from 2007 to 2015, in which he interacted with the author) and in space (in terms of set of topics of their scientific and cultural conversations). But it gives merit to Sergio Torsello’s key contribution to the cultural renaissance of Salento in the years from 2001 to 2015
Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages
No full textIn this paper, we apply dynamic factor analysis to model the joint behaviour of Bitcoin, Ethereum, Litecoin and Monero, as a representative basket of the cryptocurrencies asset class. The empirical results suggest that the basket price is suitably described by a model with two dynamic factors. More precisely, we detect one integrated and one stationary factor until the end of August 2019 and two integrated factors afterwards. Based on this evidence, we define a multiple long-short trading strategy which proves profitable when the second factor is stationary
Atrial Enlargement in the Athlete's Heart: Assessment of Atrial Function May Help Distinguish Adaptive from Pathologic Remodeling
No full textIntensive training is associated with hemodynamic changes that typically induce an enlargement of cardiac chambers, involving not only the ventricles but also the atria. The hearts of competitive athletes are characterized by increases in left and right atrial dimensions that have been interpreted as a physiologic adaptation to training. Conversely, some authors have hypothesized maladaptive remodeling; furthermore, the extent of left atrial dimensional remodeling may overlap atrial dilation observed in patients with cardiac disease, representing a challenge for clinicians. However, studies investigating left and right atrial function in athletes have demonstrated that atrial size is insufficient to provide mechanistic information about the atrium itself, and an increase in atrial size is not intrinsically an expression of atrial dysfunction. The authors critically analyze training-induced atrial remodeling, taking into account not only the assessment of atrial size but also the evaluation of atrial function, suggesting that the characterization of atrial function plays a fundamental role in the evaluation of athlete's heart, being useful to differentiate physiologic remodeling induced by exercise from pathologic changes occurring in cardiac disorders
Stochastic Generalized Nash Equilibrium-Seeking in Merely Monotone Games
No full textWe solve the stochastic generalized Nash equilibrium (SGNE) problem in merely monotone games with expected value cost functions. Specifically, we present the first distributed SGNE-seeking algorithm for monotone games that require one proximal computation (e.g., one projection step) and one pseudogradient evaluation per iteration. Our main contribution is to extend the relaxed forward–backward operator splitting by the Malitsky (Mathematical Programming, 2019) to the stochastic case and in turn to show almost sure convergence to an SGNE when the expected value of the pseudogradient is approximated by the average over a number of random samples.Green Open Access added to TU Delft Institutional Repository 'You share, we take care!' - Taverne project https://www.openaccess.nl/en/you-share-we-take-care Otherwise as indicated in the copyright section: the publisher is the copyright holder of this work and the author uses the Dutch legislation to make this work public.Team Sergio GrammaticoTeam Bart De Schutte
Sergio Bettini e la critica d’arte
No full textOn the occasion of the publication of two books about Sergio Bettini’s works (unpublished studies, conference proceedings and critical apparatus) the author analyzes the scientific production of this scholar during his life (1930-1986). Furtherly this essay analyzes the great scholar’s relationship with the School of Wien and first of all his deep connection with all European different critical and comparative points of view
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