Search results for "PREDICTABILITY"
showing 10 items of 103 documents
Potential predictability of crop impacting climate variables for East Africa and application to sorghum in the Mt Kenya area
2013
In Southern countries with rural low income populations, the vulnerability of rainfed agriculture to rainfall variability requires effective solutions to mitigate the effects of climatic hazards on crops. Predicting the characteristics of rainy seasons some time before they start should help the establishment of agricultural adaptation strategies to rainfall hazards. This is the objective of the present study, focused on East Africa (Kenya and northern Tanzania), and divided in three parts:- Define and document intra-seasonal descriptors (ISD) that will be considered in the predictability study. A new methodological approach has been developed in order to define the onset date (ORS) and the…
Complexity traits and synchrony of cryptocurrencies price dynamics
2021
AbstractIn this study, we characterized the dynamics and analyzed the degree of synchronization of the time series of daily closing prices and volumes in US$ of three cryptocurrencies, Bitcoin, Ethereum, and Litecoin, over the period September 1,2015–March 31, 2020. Time series were first mapped into a complex network by the horizontal visibility algorithm in order to revel the structure of their temporal characters and dynamics. Then, the synchrony of the time series was investigated to determine the possibility that the cryptocurrencies under study co-bubble simultaneously. Findings reveal similar complex structures for the three virtual currencies in terms of number and internal composit…
Limits and Criticalities of Predictions and Forecasting in Complex Social and Economic Scenarios: A Cybernetics Key
2014
Predictions play a key role in assuring the status of “rationality” in decisions. Nevertheless, in the field of social sciences and economics, predictions fail to correctly depict the oncoming scenarios. Why is it so difficult to achieve quantitative prediction of social and economic systems? Can science provide reliable predictions of social and economic paths that can be used to implement effective interventions? As in the notorious “El Farol bar problem” depicted by Brian Arthur (Am Econ Rev 84:406–411, 1994), the validity of predictive models is more a social issue than a matter of good mathematics. Predictability in social systems is due to limited knowledge of society and human behavi…
Waves to Weather: Exploring the Limits of Predictability of Weather
2021
AbstractPrediction of weather is a main goal of atmospheric science. Its importance to society is growing continuously due to factors such as vulnerability to natural disasters, the move to renewable energy sources, and the risks of climate change. But prediction is also a major scientific challenge due to the inherently limited predictability of a chaotic atmosphere, and has led to a revolution in forecasting methods as we have moved to probabilistic prediction. These changes provide the motivation for Waves to Weather (W2W), a major national research program in Germany with three main university partners in Munich, Mainz, and Karlsruhe. We are currently in the second 4-yr phase of our pla…
SECULAR MEAN REVERSION AND LONG-RUN PREDICTABILITY OF THE STOCK MARKET
2016
Empirical financial literature documents the evidence of mean reversion in stock prices and the absence of out-of-sample return predictability over periods shorter than 10 years. The goal of this paper is to test the random walk hypothesis in stock prices and return predictability over periods longer than 10 years. Specifically, using 141 years of data, this paper begins by performing formal tests of the random walk hypothesis in the prices of the real S&P Composite Index over increasing time horizons up to 40 years. Even though our results cannot support the conventional wisdom which says that the stock market is safer for long-term investors, our findings speak in favor of the mean revers…
Forecasting the size premium over different time horizons
2013
Abstract In this paper, we provide evidence that the small stock premium is predictable both in-sample and out-of-sample through the use of a set of lagged macroeconomic variables. We find that it is possible to forecast the size premium over time horizons that range from one month to one year. We demonstrate that the predictability of the size premium allows a portfolio manager to generate an economically and statistically significant active alpha.
The Limits to Volatility Predictability: Quantifying Forecast Accuracy Across Horizons
2018
Volatility forecasting is crucial for portfolio management, risk management, and pricing of derivative securities. Still, little is known about how far ahead one can forecast volatility. First, in this paper we introduce the notions of the spot and forward predicted volatilities and propose to describe the term structure of volatility predictability by the spot and forward forecast accuracy curves. Then, by employing a few popular time-series volatility models, we perform a comprehensive empirical study on the horizon of volatility predictability. Our results suggest that, whereas the spot volatility can be predicted over horizons that extend to 35 weeks, the horizon of the forward volatili…
The predictability of international terrorism: A time‐series analysis
1988
Abstract The study examines the predictability of international terrorism in terms of the existence of trends, seasonality, and periodicity of terrorist events. The data base used was the RAND Corporation's Chronology of International Terrorism. It contains the attributes of every case of international terrorism from 1968 to 1986 (n = 5,589). The authors applied Box‐Jenkins models for a time‐series analysis of the occurrence of terrorist events as well as their victimization rates. The analysis revealed that occurrence of terrorist events is far from being random: There is a clear trend and an almost constant periodicity of one month that can be best described by a first‐order moving averag…
Taxation in Emerging Market and Middle-Income Economies: Similarities and Differences Between Countries from Europe and Central Asia
2018
The studies and the research from specialty literature demonstrate that a free-open policy and an efficient governance of the economy are the basic pillars for economic and social growth, taxation having an essential role in the life of any nation. A fiscal system based on horizontal and vertical equity, stability, predictability, and efficiency contributes significantly to the sustainability of public finances. Based on these considerations, through this article, we will highlight the main similarities and differences in the field of taxation at the level of countries that are included in the emerging market and middle-income economies category from Europe and Central Asia, to identify bes…
Media Tone Goes Viral: Global Evidence from the Currency Market
2020
Using several million news and social media articles related to currencies, we examine the role of media tone in predicting the exchange rate returns of 12 developed and 24 emerging markets from 1998 to 2016. The text-based currency Media tone is a strong positive predictor of currency excess returns beyond fundamentals of one to three months ahead and six months cumulatively, with the average in-sample and out-of-sample R^2s of 4.45% and 9.03% in the US. The one-month predictability is observed in four other developed markets and 18 emerging market currencies, with the latter showing a stronger pattern. This predictability encompasses previous month currency returns, currency factors, macr…