1,755 research outputs found
Fleming, R.L. Sr., Fleming, R.L., Jr. & Bangdel, L.S. — Birds of Nepal, with reference to Kashmir and Sikkim. Katmandu, Nepal, chez le senior author (Box 229), 1976
No full textBourlière François. Fleming, R.L. Sr., Fleming, R.L., Jr. & Bangdel, L.S. — Birds of Nepal, with reference to Kashmir and Sikkim. Katmandu, Nepal, chez le senior author (Box 229), 1976. In: La Terre et La Vie, Revue d'Histoire naturelle, tome 31, n°2, 1977. p. 348
Martingales, the efficient market hypothesis, and spurious stylized facts
No full textThe condition for stationary increments, not scaling, detemines long time pair autocorrelations. An incorrect assumption of stationary increments generates spurious stylized facts, fat tails and a Hurst exponent Hs=1/2, when the increments are nonstationary, as they are in FX markets. The nonstationarity arises from systematic uneveness in noise traders’ behavior. Spurious results arise mathematically from using a log increment with a ‘sliding window’. We explain why a hard to beat market demands martingale dynamics , and martingales with nonlinear variance generate nonstationary increments. The nonstationarity is exhibited directly for Euro/Dollar FX data. We observe that the Hurst exponent Hs generated by the using the sliding window technique on a time series plays the same role as does Mandelbrot’s Joseph exponent. Finally, Mandelbrot originally assumed that the ‘badly behaved second moment of cotton returns is due to fat tails, but that nonconvergent behavior is instead direct evidence for nonstationary increments. Summarizing, the evidence for scaling and fat tails as the basis for econophysics and financial economics is provided neither by FX markets nor by cotton price data.Nonstationary increments; martingales; fat tails; Hurst exponent scaling
Under the fabric of architecture: brief letters from the Architecture Museum
No full textSix works from the Rachel Hurst and Jane Lawrence exhibition, 'Under the fabric of architecture: brief letters from the Architecture Museum', were purchased by the Faculty of Architecture, Building and Planning at the University of Melbourne
Going Beyond Counting First Authors in Author Co-citation Analysis
No full textThe 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
Portfolio Optimization and Long-Term Dependence
No full textWhilst emphasis has been given to short-term dependence of financial returns, long-term dependence remains overlooked. Despite financial literature provides evidence of long-term’s memory existence, serial-independence assumption prevails. This document’s long-term dependence assessment relies on rescaled range analysis (R/S), a popular and robust methodology designed for Geophysics but extensively used in financial literature. Results correspond to most of the previous evidence of significant long-term dependence, particularly for small and illiquid markets, where persistence is its most common kind. Persistence conveys that the range of possible future values of the variable will be wider than the range of purely random and independent variables. Ahead of R/S financial literature, authors estimate an adjusted Hurst exponent in order to properly estimate the covariance matrix at higher investment horizons, avoiding the traditional -independence reliant- square-root-of-time rule. Ignoring long-term dependence within the mean-variance portfolio optimization results in concealed risk taking; conversely, by adjusting for long-term dependence the weight of high (low) persistence risk factors decreases (increases) as the investment horizon widens. This alleviates some well-known shortcomings of conventional portfolio optimization for long-term investors (e.g. central banks, pension funds and sovereign wealth managers), such as excessive risk taking in long-term portfolios, extreme weights, home bias, and reluctance to hold foreign currency-denominated assets.Portfolio optimization, Hurst exponent, long-term dependence, biased random walk, rescaled range analysis. Classification JEL: G11, G32, G20, C14.
Empirically Based Modeling in the Social Sciences and Spurious Stylized Facts
No full textThe discovery of the dynamics of a time series requires construction of the transition density, 1-point densities and scaling exponents provide no knowledge of the dynamics. Time series require some sort of statistical regularity, otherwise there is no basis for analysis. We state the possible tests for statistical regularity in terms of increments. The condition for stationary increments, not scaling, detemines long time pair autocorrelations. An incorrect assumption of stationary increments generates spurious stylized facts, fat tails and a Hurst exponent Hs=1/2, when the increments are nonstationary, as they are in FX markets. The nonstationarity arises from systematic uneveness in noise traders’ behavior. Spurious results arise mathematically from using a log increment with a ‘sliding window’. The Hurst exponent Hs generated by the using the sliding window technique on a time series plays the same role as Mandelbrot’s Joseph exponent. Mandelbrot originally assumed that the ‘badly behaved second moment of cotton returns is due to fat tails, but that nonconvergent behavior providess instead direct evidence for nonstationary increments.Stylized facts, nonstationary time series analysis,regression, martingales, uncorrelated increments, fat tails, efficient market hypothesis,sliding windows
Hurst exponents, Markov processes, and fractional Brownian motion
No full textThere is much confusion in the literature over Hurst exponents. Recently, we took a step in the direction of eliminating some of the confusion. One purpose of this paper is to illustrate the difference between fBm on the one hand and Gaussian Markov processes where H≠1/2 on the other. The difference lies in the increments, which are stationary and correlated in one case and nonstationary and uncorrelated in the other. The two- and one-point densities of fBm are constructed explicitly. The two-point density doesn’t scale. The one-point density for a semi-infinite time interval is identical to that for a scaling Gaussian Markov process with H≠1/2 over a finite time interval. We conclude that both Hurst exponents and one point densities are inadequate for deducing the underlying dynamics from empirical data. We apply these conclusions in the end to make a focused statement about ‘nonlinear diffusion’.Markov processes; fractional Brownian motion; scaling; Hurst exponents; stationary and nonstationary increments; autocorrelations
Horsemastership part 3: international perspectives of its therapeutic value
No full textIn previous opinion articles written by the authors, it has been proposed that horsemastership is an effective medium for therapy and education for young adults with additional needs. However, the existing research to support this proposal is informal and limited. Therefore, the first author carried out an international piece of research into the value of horsemastership to this group of people. A questionnaire using both quantitative and qualitative methods was completed by 21 professionals of various disciplines and countries who used horsemastership for therapeutic and educational purposes. This article gives a brief description of the methodology, including justification for the design selected, and discusses the relevance and implications of the results of this study. To pull together the three articles written by the authors, a final conclusion on the value of horsemastership to people with additional needs is drawn.<br/
A noble life /
No full textWolff, R.L. 19th cent. fiction,Wolff, R.L. 19th cent. fiction,Mode of access: Internet
Author Co-Citation Analysis (ACA): a powerful tool for representing implicit knowledge of scholar knowledge workers
No full textIn the last decade, knowledge has emerged as one of the most important and valuable organizational assets. Gradually this importance caused to emergence of new discipline entitled ―knowledge management‖. However one of the major challenges of knowledge management is conversion implicit or tacit knowledge to explicit knowledge. Thus Making knowledge visible so that it can be better accessed, discussed, valued or generally managed is a long-standing objective in knowledge management. Accordingly in this paper author co- citation analysis (ACA) will be proposed as an efficient technique of knowledge visualization in academia (Scholar knowledge workers)
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