1,720,986 research outputs found
Value Matters: The Long-run Behavior of Stock Index Returns
Full text linkWe present a simple dynamical model of stock index returns grounded on the ability of the Cyclically Adjusted Price Earning valuation ratio devised by Robert Shiller to predict long-horizon performances of the market. Specifically, within the model returns are driven by a fundamental term and an autoregressive component perturbed by external random disturbances. The autoregressive component arises from the agents’ belief that expected returns are higher in bullish markets than in bearish ones. The fundamental value, towards which fundamentalists expect that the current price should revert, varies in time and depends on the initial averaged Price-to- Earnings ratio. We demonstrate both analytically and by means of numerical experiments that the long-run behavior of the stylized dynamics agrees with empirical evidences reported in literature
Risk Allocation: The Double Face of Financial Derivatives
Full text linkFor the past two decades, derivatives provided the core financial innovation for risk-management and risk-sharing activities. However, in the aftermath of the 2007-2008 crisis, derivatives have started received, partly for good reason, an increasingly bad press. The main purpose of this paper is to lay the foundations for a theoretical frame-work in which systemic risk is centrally involved in the assessment of derivative usage. We begin by introducing a definition of systemic risk based on a Mixed Binomial model for the number of defaults. Then, we define an allocation to be efficient if it maximizes the Aggregate Sharpe ratio of the economy, i.e. if it allows to finance the maximum amount of productive investments while minimizing the overall systemic risk of the economy. We then say that a derivative is socially efficient or cooperative if it leads to an allocation having higher Aggregate Sharpe ratio. We illustrate the applicability of our model by means of a qualitative analysis of three types of derivatives, namely Plain vanilla, Asset backed securities and Credit default-swaps
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
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe 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
Pisa Lectures on Lyapunov Exponents
No full textThese notes cover the course we taught at the research trimester on Dynamical Systems organized by Stefano Marmi at the Centro di Ricerca Matematica Ennio di Giorgi/Scuola Normale Superiore di Pisa in the Spring of 2002. We are grateful to Stefano for the invitation and all the eort he devoted to the trimester, and to the Scuola Normale for its most charming hospitality
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