1,720,967 research outputs found
Lévy CARMA models for shocks in mortality
No full textRecent literature on mortality modeling suggests to include in the dynamics of mortality rates the effects of time, age, the interaction of these two and a term for possible shocks. In this paper we investigate models that use Legendre polynomials for the inclusion of age and cohort effects. In order to capture the dynamics of the shock term it is suggested to consider continuous autoregressive moving average (CARMA) models due to their flexibility in reproducing different autoregressive profiles of the shock term. In order to validate the proposed model, different life tables are considered. In particular the male life tables for New Zealand, Taiwan and Japan are used for the presentation of in-sample fitting. Empirical analysis suggests that the inclusion of more flexible models such as higher-order CARMA(p,q) models leads to better in-sample fitting
A machine learning algorithm for stock picking built on information based outliers
Full text linkStock picking based on regularities in time series is one of the most studied topics in the financial industry. Various machine learning techniques have been employed for this task. We build a trading strategy algorithm that receives as input indicators defined through outliers in the time series of stocks (return, volume, volatility, bid-ask spread). The procedure identifies the most relevant subset of indicators for the prediction of stock returns by combining an heuristic search strategy, guided from the Information Gain Criterium, with the Naive-Bayes classification algorithm. We apply the methodology to two sets of stocks belonging respectively to the EUROSTOXX50 and the DOW JONES index. Performance is smoother than in the Buy&Hold strategy and yields a higher risk-adjusted return, in particular in a turbulent period. However, outperformance vanishes when transaction costs (5–15 basis points) are inserted. Asset return and return/volume serial correlation turn out to be the most relevant indicators to build the trading algorithm
On properties of the MixedTS distribution and its multivariate extension
No full textA review of the univariate MixedTS is given and some new results on the asymptotic
tail behavior are derived. The multivariate version of the Mixed Tempered
Stable, which is a generalization of the Normal Variance Mean Mixtures, is discussed.
Characteristics of this distribution, its capacity in fitting tails and in capturing
dependence structure between components are investigated. We discuss a
random number generating procedure and introduce an estimation methodology
based on the minimization of a distance between empirical and theoretical characteristic
functions. Asymptotic tail behavior of the univariate Mixed Tempered
Stable is exploited in the estimation procedure in order to obtain a better fitting
on tails. Advantages of the multivariate Mixed Tempered Stable distribution are
discussed and illustrated via numerical analysis
Risk parity for Mixed Tempered Stable distributed sources of risk
Full text linkIn this paper we discuss a detailed methodology for dealing with Risk parity in a parametric context. In particular, we use the Independent Component Analysis for a linear decomposition of portfolio risk factors. Each Independent Component is modeled with the Mixed Tempered Stable distribution. Risk parity optimal portfolio weights are calculated for three risk measures: Volatility, modified Value At Risk and modified Expected Shortfall. Empirical analysis is discussed in terms of out-of-sample performance and portfolio diversificatio
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
Risk measurement using the mixed tempered stable distribution
No full textThe Mixed Tempered Stable distribution (MixedTS) recently introduced has as special cases parametric distributions used in asset return modelling such as the Variance Gamma (VG) and Tempered Stable. In this paper, we start from this flexible distribution and compare the historical estimates for the two homogeneous risk measures with the quantities obtained using direct numerical integration and the saddle-point approximation. The homogeneity property enables us to go further and look for the most important sources of risk. Although risk decomposition in a parametric context is not straightforward, modified versions of VaR and ES based on asymptotic expansions simplify the proble
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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