1,720,955 research outputs found
A two-step machine learning approach to predict S&P 500 bubbles
No full textÜnlü, Kamil Demirberk/0000-0002-2393-6691; Basoglu Kabran, Fatma/0000-0002-0212-5785In this paper, we are interested in predicting the bubbles in the S&P 500 stock market with a two-step machine learning approach that employs a real-time bubble detection test and support vector machine (SVM). SVM as a nonparametric binary classification technique is already a widely used method in financial time series forecasting. In the literature, a bubble is often defined as a situation where the asset price exceeds its fundamental value. As one of the early warning signals, prediction of bubbles is vital for policymakers and regulators who are responsible to take preemptive measures against the future crises. Therefore, many attempts have been made to understand the main factors in bubble formation and to predict them in their earlier phases. Our analysis consists of two steps. The first step is to identify the bubbles in the S&P 500 index using a widely recognized right-tailed unit root test. Then, SVM is employed to predict the bubbles by macroeconomic indicators. Also, we compare SVM with different supervised learning algorithms by usingk-fold cross-validation. The experimental results show that the proposed approach with high predictive power could be a favourable alternative in bubble prediction
Approximation of the exit probability of a stable Markov modulated constrained random walk
No full textLet X be the constrained randomwalk on Z(+)(2) having increments (1, 0), (- 1, 1), (0,- 1) with jump probabilities lambda(M-k), mu(1)(M-k), and mu(2)(M-k) where M is an irreducible aperiodic finite state Markov chain. The process X represents the lengths of two tandem queues with arrival rate lambda(M-k), and service rates mu(1)(M-k), and mu(2)(M-k); the process M represents the random environment within which the system operates. We assume that the average arrival rate with respect to the stationary measure of M is less than the average service rates, i.e., X is assumed stable. Let tau(n) be the first time when the sum of the components of X equals n for the first time. Let Y be the random walk on ZxZ(+) having increments (- 1, 0), (1, 1), (0,- 1) with probabilities lambda(M-k), mu(1)(M-k), and mu(2)(M-k). Supposing that the queues share a joint buffer of size n, p(n) = P(xn(,)m)(tau(n) 0, and x(n) = left perpendicular nx right perpendicular , we show that P-(n-xn (1),P-xn(2),P-m)(tau infinity. For the analysis we define a characteristic matrix in terms of the jump probabilities of (X, M). The 0-level set of the characteristic polynomial of this matrix defines the characteristic surface; conjugate points on this surface and the associated eigenvectors of the characteristic matrix are used to define (sub/super) harmonic functions which play a fundamental role both in our analysis and the computation/approximation of P-(y,P-m)(tau < infinity)
Approximation of the exit probability of a stable Markov modulated constrained random walk
Get PDFLet X be the constrained randomwalk on Z(+)(2) having increments (1, 0), (- 1, 1), (0,- 1) with jump probabilities lambda(M-k), mu(1)(M-k), and mu(2)(M-k) where M is an irreducible aperiodic finite state Markov chain. The process X represents the lengths of two tandem queues with arrival rate lambda(M-k), and service rates mu(1)(M-k), and mu(2)(M-k); the process M represents the random environment within which the system operates. We assume that the average arrival rate with respect to the stationary measure of M is less than the average service rates, i.e., X is assumed stable. Let tau(n) be the first time when the sum of the components of X equals n for the first time. Let Y be the random walk on ZxZ(+) having increments (- 1, 0), (1, 1), (0,- 1) with probabilities lambda(M-k), mu(1)(M-k), and mu(2)(M-k). Supposing that the queues share a joint buffer of size n, p(n) = P(xn(,)m)(tau(n) 0, and x(n) = left perpendicular nx right perpendicular , we show that P-(n-xn (1),P-xn(2),P-m)(tau infinity. For the analysis we define a characteristic matrix in terms of the jump probabilities of (X, M). The 0-level set of the characteristic polynomial of this matrix defines the characteristic surface; conjugate points on this surface and the associated eigenvectors of the characteristic matrix are used to define (sub/super) harmonic functions which play a fundamental role both in our analysis and the computation/approximation of P-(y,P-m)(tau < infinity)
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
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
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