Search results for "PREDICTABILITY"
showing 10 items of 103 documents
Forecasting the Size Premium Over Different Horizons
2011
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.
Resilience as a predictor of Quality of Life in participants with borderline personality disorder before and after treatment.
2021
Abstract Background Studies have suggested that psychotherapy improves the Quality of Life (QoL) of participants with Borderline Personality Disorder (BPD). However, there are no studies on the differential efficacy of treatments on the QoL of participants with BPD. Moreover, the relationship between QoL and resilience has rarely been studied in participants with BPD. Objectives: a) to examine whether people with BPD have worse QoL than the non-clinical population; b) to examine whether there are statistically significant differences between Dialectical Behavioural Therapy (DBT), Systems Training for Emotional Predictability and Problem Solving (STEPPS), or Cognitive Behavioural Therapy-Tre…
Exploring single polarization X-band weather radar potentials for local meteorological and hydrological applications
2015
Summary The aim of this study is to evaluate the potential use of a low-cost single polarization X-band weather radar, verified by a disdrometer and a dense rain gauge network, installed as a supporting tool for hydrological applications and for monitoring the urban area of Palermo (Italy). Moreover, this study focuses on studying the temporal variability of the Z–R relation for Mediterranean areas. The radar device is provided with an automatic operational ground-clutter filter developed by the producer. Attention has been paid to the development of blending procedures between radar measurements and other auxiliary instruments and to their suitability for both meteorological and hydrologic…
Quantifying unpredictability: A multiple-model approach based on satellite imagery data from Mediterranean ponds.
2017
Fluctuations in environmental parameters are increasingly being recognized as essential features of any habitat. The quantification of whether environmental fluctuations are prevalently predictable or unpredictable is remarkably relevant to understanding the evolutionary responses of organisms. However, when characterizing the relevant features of natural habitats, ecologists typically face two problems: (1) gathering long-term data and (2) handling the hard-won data. This paper takes advantage of the free access to long-term recordings of remote sensing data (27 years, Landsat TM/ETM+) to assess a set of environmental models for estimating environmental predictability. The case study inclu…
Mutual nonlinear prediction as a tool to evaluate coupling strength and directionality in bivariate time series: Comparison among different strategie…
2008
We compare the different existing strategies of mutual nonlinear prediction regarding their ability to assess the coupling strength and directionality of the interactions in bivariate time series. Under the common framework of $k$-nearest neighbor local linear prediction, we test three approaches based on cross prediction, mixed prediction, and predictability improvement. The measures of interdependence provided by these approaches are first evaluated on short realizations of bivariate time series generated by coupled Henon models, investigating also the effects of noise. The usefulness of the three mutual nonlinear prediction schemes is then assessed in a common physiological application d…
Quantifying the complexity of short-term heart period variability through K nearest neighbor local linear prediction
2008
The complexity of short-term heart period (HP) variability was quantified exploiting the paradigm that associates the degree of unpredictability of a time series to its dynamical complexity. Complexity was assessed through k-nearest neighbor local linear prediction. A proper selection of the parameter k allowed us to perform either linear or nonlinear prediction, and the comparison of the two approaches to infer the presence of nonlinear dynamics. The method was validated on simulations reproducing linear and nonlinear time series with varying levels of predictability. It was then applied to HP variability series measured from healthy subjects during head-up tilt test, showing that short-te…
«I molteplici casi della sorte». Disastri della guerra e della natura in Tucidide
2018
Il capitolo 23 del primo libro di Tucidide conclude il proemio e ricapitola gli elementi chiave della visione storiografica dello storico ateniese. Sopo aver connesso il primato della guerra alla sua durata e ad un impressionante elenco di sofferenze (pathemata) Tucidide aggiunge un secondo elenco di disastri naturali (terremoti, eclissi, la peste). Questo contributo si propone di indagare il rapporto tra le due serie di disastri nel quadro della più ampia visione tucididea sulla guerra e sulla condotta umana. Accostando ai pathemata l’elenco dei disastri naturali, lungi dal volere individuare nella straordinaria sovversione dell’ambiente naturale un effetto delle decisioni umane o un annun…
Designed for unanticipated use
2003
Common artefacts have been identified as fundamental characteristics for framing activities in workplaces. Mike Robinson's article 'Design for unanticipated use...' conceptualised and defined the dimensions of common artefacts as consisting of predictability, peripheral awareness, implicit communication, double level language and overview. These dimensions have often been used in explaining unexpected uses of different applications and systems. In this paper, experiences from common artefacts as CSCW application design principles, indicating that unanticipated uses are expected and further supported, are discussed. Two distinct cases, a physical room and a software application, are presente…
Stochastic modeling of Supramax spot and forward freight rates
2015
We conducted an empirical analysis of Supramax spot rates and propose a continuous time process to model the dynamics. The model incorporates features relevant for shipping freight rates, freight rate volatility that varies over time, sudden, big freight rate movements, and short-term, mean-reverting price trends. This suggests some degree of short-term predictability of Supramax spot rates, making shipping different from traditional asset markets, like stocks and currencies, and also most commodity markets. However, this does not imply that arbitrage profits are easily picked up in this market, as, financially speaking, spot freight rates are not traded assets. We instead focus on the rela…
The adaptive nature of liquidity taking in limit order books
2014
In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling the persistence of the order flow with market efficiency is a subtle issue. A possible solution is provided by asymmetric liquidity, which states that the impact of a buy or sell order is inversely related to the probability of its occurrence. We empirically find that when the order flow predictability increases in one direction, the liquidity in the opposite side decreases, but the probability that a trade moves the price decreases significantly. While the…