Search results for "conditional"
showing 10 items of 294 documents
Trading Nokia: The roles of the Helsinki vs the New York stock exchanges
2004
We use the Autoregressive Conditional Duration (ACD) framework of Engle and Russell (1998) to study the effect of trading volume on price duration (ie the time lapse between consecutive price changes) of a stock listed both in the domestic and the foreign market. As a case study we use the example of Nokia's share, which is actively traded both in the Helsinki Stock Exchange and the New York Stock Exchange (NYSE). We find asymmetry in the volume-price duration relationship between the two markets. In the NYSE the negative relationship is much stronger and exists both during and outside common trading hours. Outside common trading hours no such relationship is significant in Helsinki. Based …
Robustness of the risk–return relationship in the U.S. stock market
2008
Abstract Using GARCH-in-Mean models, we study the robustness of the risk–return relationship in monthly U.S. stock market returns (1928:1–2004:12) with respect to the specification of the conditional mean equation. The issue is important because in this commonly used framework, unnecessarily including an intercept is known to distort conclusions. The existence of the relationship is relatively robust, but its strength depends on the prior belief concerning the intercept. The latter applies in particular to the first half of the sample, where also the coefficient of the relative risk aversion is smaller and the equity premium greater than in the latter half.
Conjunction of Conditional Events and t-Norms
2019
We study the relationship between a notion of conjunction among conditional events, introduced in recent papers, and the notion of Frank t-norm. By examining different cases, in the setting of coherence, we show each time that the conjunction coincides with a suitable Frank t-norm. In particular, the conjunction may coincide with the Product t-norm, the Minimum t-norm, and Lukasiewicz t-norm. We show by a counterexample, that the prevision assessments obtained by Lukasiewicz t-norm may be not coherent. Then, we give some conditions of coherence when using Lukasiewicz t-norm
Triangular norms and conjunction of conditional events
2019
We study the relationship between a notion of conjunction among conditional events, introduced in recent papers, and the notion of Frank t-norm. By examining different cases, in the setting of coherence, we show each time that the conjunction coincides with a suitable Frank t-norm. In particular, the conjunction may coincide with the Product t-norm, the Minimum t- norm, and Lukasiewicz t-norm. We show by a counterexample, that the prevision assessments obtained by Lukasiewicz t-norm may be not coherent. Then, we give some conditions of coherence when using Lukasiewicz t-norm.
Comparing FPCA Based on Conditional Quantile Functions and FPCA Based on Conditional Mean Function
2019
In this work functional principal component analysis (FPCA) based on quantile functions is proposed as an alternative to the classical approach, based on the functional mean. Quantile regression characterizes the conditional distribution of a response variable and, in particular, some features like the tails behavior; smoothing splines have also been usefully applied to quantile regression to allow for a more flexible modelling. This framework finds application in contexts involving multiple high frequency time series, for which the functional data analysis (FDA) approach is a natural choice. Quantile regression is then extended to the estimation of functional quantiles and our proposal exp…
The Nexus between Sovereign CDS and Stock Market Volatility: New Evidence
2021
This paper extends the studies published to date by performing an analysis of the causal relationships between sovereign CDS spreads and the estimated conditional volatility of stock indices. This estimation is performed using a vector autoregressive model (VAR) and dynamically applying the Granger causality test. The conditional volatility of the stock market has been obtained through various univariate GARCH models. This methodology allows us to study the information transmissions, both unidirectional and bidirectional, that occur between CDS spreads and stock volatility between 2004 and 2020. We conclude that CDS spread returns cause (in the Granger sense) conditional stock volatility, m…
FCA-Net: Adversarial Learning for Skin Lesion Segmentation Based on Multi-Scale Features and Factorized Channel Attention
2019
International audience; Skin lesion segmentation in dermoscopic images is still a challenge due to the low contrast and fuzzy boundaries of lesions. Moreover, lesions have high similarity with the healthy regions in terms of appearance. In this paper, we propose an accurate skin lesion segmentation model based on a modified conditional generative adversarial network (cGAN). We introduce a new block in the encoder of cGAN called factorized channel attention (FCA), which exploits both channel attention mechanism and residual 1-D kernel factorized convolution. The channel attention mechanism increases the discriminability between the lesion and non-lesion features by taking feature channel int…
Amount of nonconstructivity in deterministic finite automata
2010
AbstractWhen D. Hilbert used nonconstructive methods in his famous paper on invariants (1888), P. Gordan tried to prevent the publication of this paper considering these methods as non-mathematical. L.E.J. Brouwer in the early twentieth century initiated intuitionist movement in mathematics. His slogan was “nonconstructive arguments have no value for mathematics”. However, P. Erdös got many exciting results in discrete mathematics by nonconstructive methods. It is widely believed that these results either cannot be proved by constructive methods or the proofs would have been prohibitively complicated. The author (Freivalds, 2008) [10] showed that nonconstructive methods in coding theory are…
Logistic Growth Described by Birth-Death and Diffusion Processes
2019
We consider the logistic growth model and analyze its relevant properties, such as the limits, the monotony, the concavity, the inflection point, the maximum specific growth rate, the lag time, and the threshold crossing time problem. We also perform a comparison with other growth models, such as the Gompertz, Korf, and modified Korf models. Moreover, we focus on some stochastic counterparts of the logistic model. First, we study a time-inhomogeneous linear birth-death process whose conditional mean satisfies an equation of the same form of the logistic one. We also find a sufficient and necessary condition in order to have a logistic mean even in the presence of an absorbing endpoint. Then…
The Logic of Gift: Inspiring behavior in organizations beyond the limits of duty and exchange
2016
[EN] Giving without the expectation of reward is difficult to understand in organizational contexts. In opposition to a logic based on self-interest or a sense of duty, a "logic of gift" has been proposed as a way to understand the phenomenon of free, unconditional giving. However, the rationale behind, and effects of, this logic have been under-explored. This paper responds by first clarifying the three logics of action¿the logic of exchange, the logic of duty, and the logic of gift¿and then explains how their balanced integration promises to enhance organizational life and outcomes. Having explicated the unique character and contributions of the logic of gift, the paper further suggests p…