1,721,028 research outputs found
On the non-stationarity of financial time series: Impact on optimal portfolio selection
Full text linkWe investigate the possible drawbacks of employing the standard Pearson estimator to measure correlation coefficients between financial stocks in the presence of non-stationary behavior, and we provide empirical evidence against the well-established common knowledge that using longer price time series provides better, more accurate, correlation estimates. Then, we investigate the possible consequences of instabilities in empirical correlation coefficient measurements on optimal portfolio selection. We rely on previously published works which provide a framework allowing us to take into account possible risk underestimations due to the non-optimality of the portfolio weights being used in order to distinguish such non-optimality effects from risk underestimations genuinely due to non-stationarities. We interpret such results in terms of instabilities in some spectral properties of portfolio correlation matrices. © 2012 IOP Publishing Ltd and SISSA Medialab srl
Molecular phylogeny and evolution of parabasalia with improved taxon sampling and new protein markers of actin and elongation factor-1α.
Full text linkBackgroundInferring the evolutionary history of phylogenetically isolated, deep-branching groups of taxa-in particular determining the root-is often extraordinarily difficult because their close relatives are unavailable as suitable outgroups. One of these taxonomic groups is the phylum Parabasalia, which comprises morphologically diverse species of flagellated protists of ecological, medical, and evolutionary significance. Indeed, previous molecular phylogenetic analyses of members of this phylum have yielded conflicting and possibly erroneous inferences. Furthermore, many species of Parabasalia are symbionts in the gut of termites and cockroaches or parasites and therefore formidably difficult to cultivate, rendering available data insufficient. Increasing the numbers of examined taxa and informative characters (e.g., genes) is likely to produce more reliable inferences.Principal findingsActin and elongation factor-1α genes were identified newly from 22 species of termite-gut symbionts through careful manipulations and seven cultured species, which covered major lineages of Parabasalia. Their protein sequences were concatenated and analyzed with sequences of previously and newly identified glyceraldehyde-3-phosphate dehydrogenase and the small-subunit rRNA gene. This concatenated dataset provided more robust phylogenetic relationships among major groups of Parabasalia and a more plausible new root position than those previously reported.Conclusions/significanceWe conclude that increasing the number of sampled taxa as well as the addition of new sequences greatly improves the accuracy and robustness of the phylogenetic inference. A morphologically simple cell is likely the ancient form in Parabasalia as opposed to a cell with elaborate flagellar and cytoskeletal structures, which was defined as most basal in previous inferences. Nevertheless, the evolution of Parabasalia is complex owing to several independent multiplication and simplification events in these structures. Therefore, systematics based solely on morphology does not reflect the evolutionary history of parabasalids
Quantum Spin Glasses, Quantum Annealing and Probabilistic Information Processing
Full text linkRecent results obtained by the author about probabilistic information processing using quantum-mechanical fluctuation are reported. This volume was published as a part of proceedings of the workshop "quantum annealing and the other optimization methods" in Kolkata 2005.Springerから2005年度に出版された"Quantum Annealing and Related Optimization Methods"のうちの著者が担当した1章です。量子力学的揺らぎを用いた最適化手法であるQuantum Annealingとその関連手法を確率的情報処理に適用した場合に得られたいくつかの結果について紹介・解説しています。この研究課題のその後の進捗状況については著者のホームページを参照願います。http://www005.upp.so-net.ne.jp/j_inoue/index.htmlhttp://chaosweb.complex.eng.hokudai.ac.jp/~j_inoue
Fluctuations in time intervals of financial data from the view point of the Gini index
Full text linkWe propose an approach to explain fluctuations in time intervals of financial markets data from the view-point of the Gini index. We show the explicit form of the Gini index for a Weibull distribution: A good candidate to describe the first passage time of foreign exchange rate. The analytical expression of the Gini index compares well with the value obtained from empirical data
Power-law behavior and condensation phenomena in disordered urn models
Full text linkWe investigate equilibrium statistical properties of urn models with disorder. Two urn models are proposed; one belongs to the Ehrenfest class, and the other corresponds to the Monkey class. These models are introduced from the view point of the power-law behavior and randomness; it is clarified that quenched random parameters play an important role in generating power-law behavior. We evaluate the occupation probability P(k) with which an urn has k balls by using the concept of statistical physics of disordered systems. In the disordered urn model belonging to the Monkey class, we find that above critical density ρc for a given temperature, condensation phenomenon occurs and the occupation probability changes its scaling behavior from an exponential-law to a heavy tailed power-law in large k regime. We also discuss an interpretation of our results for explaining of macro-economy, in particular, emergence of wealth differentials
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe 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
Full text link“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
Full text linkWe 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
Quantum mean-field decoding algorithm for error-correcting codes
Full text linkWe numerically examine a quantum version of TAP (Thouless-Anderson-Palmer)-like mean-field algorithm for the problem of error-correcting codes. For a class of the so-called Sourlas error-correcting codes, we check the usefulness to retrieve the original bit-sequence (message) with a finite length. The decoding dynamics is derived explicitly and we evaluate the average-case performance through the bit-error rate (BER)
- …
