Search results for "Financial market"
showing 10 items of 198 documents
Top-of-Atmosphere Retrieval of Multiple Crop Traits Using Variational Heteroscedastic Gaussian Processes within a Hybrid Workflow.
2021
In support of cropland monitoring, operational Copernicus Sentinel-2 (S2) data became available globally and can be explored for the retrieval of important crop traits. Based on a hybrid workflow, retrieval models for six essential biochemical and biophysical crop traits were developed for both S2 bottom-of-atmosphere (BOA) L2A and S2 top-of-atmosphere (TOA) L1C data. A variational heteroscedastic Gaussian process regression (VHGPR) algorithm was trained with simulations generated by the combined leaf-canopy reflectance model PROSAILat the BOA scale and further combined with the Second Simulation of a Satellite Signal in the Solar Spectrum (6SV) atmosphere model at the TOA scale. Establishe…
A novel method to predict dark diversity using unconstrained ordination analysis
2019
[Questions] Species pools are the product of complex ecological and evolutionary mechanisms, operating over a range of spatial scales. Here, we focus on species absent from local sites but with the potential to establish within communities — known as dark diversity. Methods for estimating dark diversity are still being developed and need to be compared, as well as tested for the type, and amount, of reference data needed to calibrate these methods. [Location] South Bohemia (48°58′ N, 14°28′ E) and Železné Hory (49°52′ N, 15°34′ E), Czech Republic. [Method] We compared a widely accepted algorithm to estimate species pools (Beals smoothing index, based on species co-occurrence) against a nove…
Coupling News Sentiment with Web Browsing Data Improves Prediction of Intra-Day Price Dynamics
2015
The new digital revolution of big data is deeply changing our capability of understanding society and forecasting the outcome of many social and economic systems. Unfortunately, information can be very heterogeneous in the importance, relevance, and surprise it conveys, affecting severely the predictive power of semantic and statistical methods. Here we show that the aggregation of web users' behavior can be elicited to overcome this problem in a hard to predict complex system, namely the financial market. Specifically, our in-sample analysis shows that the combined use of sentiment analysis of news and browsing activity of users of Yahoo! Finance greatly helps forecasting intra-day and dai…
Mineral profiles of legumes and fruits through partial least squares energy dispersive X-ray fluorescence
2019
Abstarct Energy dispersive X-ray fluorescence (ED-XRF) has been employed for the determination of mineral elements in 15 varieties of legumes and 14 cherry samples. ED-XRF signals directly obtained from pulverized samples were modelized by partial least squares (PLS) using Inductively Coupled Plasma Optical Emission Spectrometry (ICP-OES) of a selected number of samples, after microwave assisted acid digestion, as reference data. Models were built to predict the concentration of Al, Ca, Cu, Fe, K, Mg, P, Sr and Zn. Average concentrations predicted were 6, 930, 7, 40, 6400, 990, 2100, 4 and 15 μg g−1 for Al, Ca, Cu, Fe, K, Mg, P, Sr and Zn, respectively with relative errors from 7 till 26%. …
A Dynamic Analysis of S&P 500, FTSE 100 and EURO STOXX 50 Indices Under Different Exchange Rates
2017
The persistence analysis of short- and long-term interaction and causality in the international financial markets is a key issue for policy makers and portfolio investors. This paper assesses the dynamic evolution of short-term correlation, long-term cointegration and Error Correction Model (hereafter referred to as ECM)-based long-term Granger causality between each pair of US, UK, and Eurozone stock markets over the period of 1980--2015 using the rolling-window technique. A comparative analysis of pairwise dynamic integration and causality of stock markets, measured in common and domestic currency terms, is conducted to evaluate comprehensively how exchange rate fluctuations affect the ti…
Market Risk Disclosure in Banks’ Balance Sheets and the Pillar 3 Report: The Case of Italian Banks
2018
Market risk has taken on growing importance in banking in recent years. Risk disclosure has strategic importance for the efficiency of financial markets and overall financial stability. It plays a pivotal role in strengthening market discipline and building trust in stakeholder relationships.
Integrated simulation and optimization models for tracking international fixed income indices
2001
Portfolio managers in the international fixed income markets must address jointly the interest rate risk in each market and the exchange rate volatility across markets. This paper develops integrated simulation and optimization models that address these issues in a common framework. Monte Carlo simulation procedures generate jointly scenarios of interest and exchange rates and, thereby, scenarios of holding period returns of the available securities. The portfolio manager’s risk tolerance is incorporated either through a utility function or a (modified) mean absolute deviation function. The optimization models prescribe asset allocation weights among the different markets and also resolve b…
Value preserving portfolio strategies and the minimal martingale measure
1998
We consider some relations between the minimal martingale measure and the value preserving martingale measure in a continuous-time securities market. Under the assumption of continuous share prices we show that under a structure condition both these martingale measures exist and indeed coincide. This however does not mean that the corresponding concepts of value preserving portfolio strategies and (local) risk minimisation in the area of option hedging in incomplete markets are identical.
Forecasting Latin America’s Country Risk Scores by Means of a Dynamic Diffusion Model
2013
Over the last years, worldwide financial market instability has shaken confidence in global economies. Global financial crisis and changes in sovereign debts ratings have affected the Latin American financial markets and their economies. However, Latin American s relative resilience to the more acute rise in risk seen in other regions like Europe during last years is offering investors new options for improving risk-return trade-offs. Therefore, forecasting the future of economic situation involves high levels of uncertainty. The Country Risk Score (CRS) represents a broadly used indicator to measure the current situation of a country regarding measures of economic, political, and financial…
Quantitative sensory testing in the German Research Network on Neuropathic Pain (DFNS): reference data for the trunk and application in patients with…
2013
Age- and gender-matched reference values are essential for the clinical use of quantitative sensory testing (QST). To extend the standard test sites for QST-according to the German Research Network on Neuropathic Pain-to the trunk, we collected QST profiles on the back in 162 healthy subjects. Sensory profiles for standard test sites were within normal interlaboratory differences. QST revealed lower sensitivity on the upper back than the hand, and higher sensitivity on the lower back than the foot, but no systematic differences between these trunk sites. Age effects were significant for most parameters. Females exhibited lower pressure pain thresholds (PPT) than males, which was the only si…