1,721,033 research outputs found
Long-term ecology of investors in a financial market
Full text linkThe cornerstone of modern finance is the efficient market hypothesis. Under this hypothesis all information available about a financial asset is immediately incorporated into its price dynamics by fully rational investors. In contrast to this hypothesis many studies have pointed out behavioral biases in investors. Recently it has become possible to access databases that track the trading decisions of investors. Studies of such databases have shown that investors acting in a financial market are highly heterogeneous among them, and that heterogeneity is a common characteristic of many financial markets. The article describes an empirical study of the daily trading decisions of all Finnish investors investing Nokia stock over a time period of 15 years. The investigation is performed by adapting and using methods and tools in network science. By investigating daily trading decisions, and by constructing the time-evolution of statistically validated networks of investors, clusters of investors—and their time evolution— which are characterized by similar trading profiles are detected. These clusters are performing distinct trading decisions on time scales ranging from several months to twelve years. These empirical observations show the presence of an ecology of groups of investors characterized by different attributes and by various investment styles over many years. Some of the detected clusters present a persistent over-expression of specific investor categories. The study shows that the logarithm of the ratio of pairs of statistically validated trading decisions is different for different values of the market volatility. These findings suggest that an ecology of investors is present in financial markets and that groups of traders are always competing, adopting, using and eventually discarding new investment strategies. This adaptation process is observed over a multiplicity of time scales, and is compatible with several conclusions of behavioral finance and with the assumptions of the so-called adaptive market hypothesis
How news affects the trading behaviour of different categories of investors in a financial market
No full textWe investigate the trading behaviour of a large set of single investors trading the highly liquid Nokia stock over the period 2003–2008 with the aim of determining the relative role of endogenous and exogenous factors that may affect their behaviour. As endogenous factors, we consider returns and volatility, whereas the exogenous factors are the total daily number of news articles and a semantic variable based on a sentiment analysis of the news. Linear regression and partial correlation analysis of the data show that different categories of investors are differently correlated to these factors. Governmental and non-profit organizations are weakly sensitive to news and returns or volatility, and, typically, they are more correlated with the former than with the latter. Households and companies, on the contrary, are very sensitive to both endogenous and exogenous factors, and volatility and returns are, on average, much more relevant than the number of news articles and sentiment, respectively. Financial institutions and foreign organizations are intermediate between these two cases, in terms of both the total explanatory power of these factors and their relative importance. We explicitly consider the role of overnight news and overnight returns on the successive trading activity and trading balance of the different categories of investors. We observe the role of the overnight news, which is weaker than the ones observed between synchronous variables. By performing a vector autoregression (VAR) analysis, we show that the flux of news of the previous day affects the trading activity of companies, households and foreign investors and the dynamics of volatility. VAR is not detecting any role of the lagged sentiment in the successive values of the difference between the number of buying and selling investors for each category of investors
How news affects the trading behaviour of different categories of investors in a financial market
No full textWe investigate the trading behaviour of a large set of single investors trading the highly liquid Nokia stock over the period 2003–2008 with the aim of determining the relative role of endogenous and exogenous factors that may affect their behaviour. As endogenous factors, we consider returns and volatility, whereas the exogenous factors are the total daily number of news articles and a semantic variable based on a sentiment analysis of the news. Linear regression and partial correlation analysis of the data show that different categories of investors are differently correlated to these factors. Governmental and non-profit organizations are weakly sensitive to news and returns or volatility, and, typically, they are more correlated with the former than with the latter. Households and companies, on the contrary, are very sensitive to both endogenous and exogenous factors, and volatility and returns are, on average, much more relevant than the number of news articles and sentiment, respectively. Financial institutions and foreign organizations are intermediate between these two cases, in terms of both the total explanatory power of these factors and their relative importance. We explicitly consider the role of overnight news and overnight returns on the successive trading activity and trading balance of the different categories of investors. We observe the role of the overnight news, which is weaker than the ones observed between synchronous variables. By performing a vector autoregression (VAR) analysis, we show that the flux of news of the previous day affects the trading activity of companies, households and foreign investors and the dynamics of volatility. VAR is not detecting any role of the lagged sentiment in the successive values of the difference between the number of buying and selling investors for each category of investors
Complex networks approach to study comorbidities in patients with unruptured intracranial aneurysms
Full text linkthe role of complex network analysis in patients with diagnosis of unruptured intracranial aneurysm is unexplored. The objective of this study is to assess the applicability of this methodology in aneurysm patients. We retrospectively analyze comprehensive unbiased local digital data of a large number of patients treated for any reason between January 2004 and July 2019. We apply an age-cohort approach to a total of 628,831 patients and construct the diagnostic history of each patient-and include the information how old the patient was when diagnosed for the first time with each diagnosis coded according to International Classification of Diseases. For each cohort of age within a 10 year interval and for each gender, we construct a statistically validated comorbidity network and focused on crucial comorbidity links that the aneurysm code has to other disease codes within the whole network. For all cohorts of different age and gender, the analysis shows that 267 diagnose codes have nearest neighbour statistically validated links to unruptured aneurysm ICD code. Among the 267 comorbidities, 204 (76%) were found in patients aged from 40 to 69-years old. Patterns of connectivity with aneurysms were found for smoking, hypertension, chronic obstructive pulmonary disease, dyslipidemia, and mood disorders. A few uncommon connections are also detected in cohorts of female patients. Our study explored the applicability of network analysis and statistical validation in aneurysm observational study
Scaling of Einstein-Podolsky-Rosen steering in spin chains
Full text linkSymmetric quantum properties and correlations have been often used earlier to study quantum phase transitions in many body systems and spin models. However, the use of asymmetric quantum features, such as steering, have attracted smaller amount of attention in this context, so far. We study EPR steering and quantum phase transitions in the Ising model in transverse field and in the anisotropic XY model by using steering robustness and quantum renormalization group method. The key ingredients of the quantum criticality near the critical points, such as finite-size scaling behaviour and critical exponents, are investigated in detail with two commonly used spin models. Our results show that the first derivative of steering robustness between two blocks diverges near the quantum phase transition points for both models, and exhibits a finite-size scaling effect. Moreover, we explore in detail the asymmetric character of EPR steering, by taking into accounts finite-size effects and measurement number, in the reduced block state in the anisotropic XY model. The results imply that one-way EPR steering does not exist in large system under the limit L ->infinity despite the fact that EPR steering for the reduced block state is asymmetric
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
Driven harmonic oscillator as a quantum simulator for open systems
No full textWe show theoretically how a driven harmonic oscillator can be used as a quantum simulator for the non-Markovian damped harmonic oscillator. In the general framework, our results demonstrate the possibility to use a closed system as a simulator for open quantum systems. The quantum simulator is based on sets of controlled drives of the closed harmonic oscillator with appropriately tailored electric field pulses. The non-Markovian dynamics of the damped harmonic oscillator is obtained by using the information about the spectral density of the open system when averaging over the drives of the closed oscillator. We consider single trapped ions as a specific physical implementation of the simulator, and we show how the simulator approach reveals physical insight into the open system dynamics, e.g., the characteristic quantum mechanical non-Markovian oscillatory behavior of the energy of the damped oscillator, usually obtained by the non-Lindblad-type master equation, can have a simple semiclassical interpretation
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
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