Search results for "edicta"
showing 10 items of 112 documents
Information-based detection of nonlinear Granger causality in multivariate processes via a nonuniform embedding technique
2010
We present an approach, framed in information theory, to assess nonlinear causality between the subsystems of a whole stochastic or deterministic dynamical system. The approach follows a sequential procedure for nonuniform embedding of multivariate time series, whereby embedding vectors are built progressively on the basis of a minimization criterion applied to the entropy of the present state of the system conditioned to its past states. A corrected conditional entropy estimator compensating for the biasing effect of single points in the quantized hyperspace is used to guarantee the existence of a minimum entropy rate at which to terminate the procedure. The causal coupling is detected acc…
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…
A new testing device for the role of the trunk in force production and in balance control in disabled sitting athletes
2017
In cross-country sit-skiing all athletes compete in a sitting position, but some of them have the ability to control their trunk more than others. The trunk plays an essential role in two performance determinants: propulsion generation and balance maintenance. The aim of the study is to design a new testing device assessing athletes’ responses to these propulsion determinants. The new device was composed of a seat surrounded by a sensorized aluminum frame. To assess propulsion generation, two force sensors were mounted in the anterior and posterior side of the frame, while two force sensors were embedded in two ropes elongated from the top of the frame. To measure trunk control, the device …
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.
Gli Edicta Augusti ad Cyrenenses e la genesi del SC Calvisiano
2013
The revision of the Augusti Edicta Cyrenenses suggests that the entire document is derived from an investigation relating to a criminal matter only, developed 6-4 BC in Cyrenaica and in Rome.
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…