Search results for "quantitative"
showing 10 items of 2409 documents
An interest rates cluster analysis
2004
An empirical analysis of interest rates in money and capital markets is performed. We investigate a set of 34 different weekly interest rate time series during a time period of 16 years between 1982 and 1997. Our study is focused on the collective behavior of the stochastic fluctuations of these time-series which is investigated by using a clustering linkage procedure. Without any a priori assumption, we individuate a meaningful separation in 6 main clusters organized in a hierarchical structure.
Modeling the coupled return-spread high frequency dynamics of large tick assets
2015
Large tick assets, i.e. assets where one tick movement is a significant fraction of the price and bid-ask spread is almost always equal to one tick, display a dynamics in which price changes and spread are strongly coupled. We introduce a Markov-switching modeling approach for price change, where the latent Markov process is the transition between spreads. We then use a finite Markov mixture of logit regressions on past squared returns to describe the dependence of the probability of price changes. The model can thus be seen as a Double Chain Markov Model. We show that the model describes the shape of return distribution at different time aggregations, volatility clustering, and the anomalo…
Recurrence Plots in Nonlinear Time Series Analysis: Free Software
2002
Recurrence plots are graphical devices specially suited to detect hidden dynamical patterns and nonlinearities in data. However, there are few programs available to apply such a mehodology. This paper reviews one of the best free programs to apply nonlinear time series analysis: Visual Recurrence Analysis (VRA). This program is targeted to recurrence analysis and the so-called Recurrence Quantitative Analysis (RQA, the quantitative counterpart of recurrence plots), although it includes many procedures in a friendly visual environment. Comparisons with alternative programs are performed.
Ergodicity for a stochastic Hodgkin–Huxley model driven by Ornstein–Uhlenbeck type input
2013
We consider a model describing a neuron and the input it receives from its dendritic tree when this input is a random perturbation of a periodic deterministic signal, driven by an Ornstein-Uhlenbeck process. The neuron itself is modeled by a variant of the classical Hodgkin-Huxley model. Using the existence of an accessible point where the weak Hoermander condition holds and the fact that the coefficients of the system are analytic, we show that the system is non-degenerate. The existence of a Lyapunov function allows to deduce the existence of (at most a finite number of) extremal invariant measures for the process. As a consequence, the complexity of the system is drastically reduced in c…
Model-Assisted Estimation Through Random Forests in Finite Population Sampling
2021
In surveys, the interest lies in estimating finite population parameters such as population totals and means. In most surveys, some auxiliary information is available at the estimation stage. This information may be incorporated in the estimation procedures to increase their precision. In this article, we use random forests (RFs) to estimate the functional relationship between the survey variable and the auxiliary variables. In recent years, RFs have become attractive as National Statistical Offices have now access to a variety of data sources, potentially exhibiting a large number of observations on a large number of variables. We establish the theoretical properties of model-assisted proc…
Stochastic resonance and noise delayed extinction in a model of two competing species
2003
We study the role of the noise in the dynamics of two competing species. We consider generalized Lotka-Volterra equations in the presence of a multiplicative noise, which models the interaction between the species and the environment. The interaction parameter between the species is a random process which obeys a stochastic differential equation with a generalized bistable potential in the presence of a periodic driving term, which accounts for the environment temperature variation. We find noise-induced periodic oscillations of the species concentrations and stochastic resonance phenomenon. We find also a nonmonotonic behavior of the mean extinction time of one of the two competing species…
Adaptive reference-free compression of sequence quality scores
2014
Motivation: Rapid technological progress in DNA sequencing has stimulated interest in compressing the vast datasets that are now routinely produced. Relatively little attention has been paid to compressing the quality scores that are assigned to each sequence, even though these scores may be harder to compress than the sequences themselves. By aggregating a set of reads into a compressed index, we find that the majority of bases can be predicted from the sequence of bases that are adjacent to them and hence are likely to be less informative for variant calling or other applications. The quality scores for such bases are aggressively compressed, leaving a relatively small number at full reso…
Trading leads to scale-free self-organization
2009
Financial markets display scale-free behavior in many different aspects. The power-law behavior of part of the distribution of individual wealth has been recognized by Pareto as early as the nineteenth century. Heavy-tailed and scale-free behavior of the distribution of returns of different financial assets have been confirmed in a series of works. The existence of a Pareto-like distribution of the wealth of market participants has been connected with the scale-free distribution of trading volumes and price-returns. The origin of the Pareto-like wealth distribution, however, remained obscure. Here we show that it is the process of trading itself that under two mild assumptions spontaneously…
Rare events and scaling properties in field-induced anomalous dynamics
2012
We show that, in a broad class of continuous time random walks (CTRW), a small external field can turn diffusion from standard into anomalous. We illustrate our findings in a CTRW with trapping, a prototype of subdiffusion in disordered and glassy materials, and in the L\'evy walk process, which describes superdiffusion within inhomogeneous media. For both models, in the presence of an external field, rare events induce a singular behavior in the originally Gaussian displacements distribution, giving rise to power-law tails. Remarkably, in the subdiffusive CTRW, the combined effect of highly fluctuating waiting times and of a drift yields a non-Gaussian distribution characterized by long sp…
Sharp dimension free quantitative estimates for the Gaussian isoperimetric inequality
2017
We provide a full quantitative version of the Gaussian isoperimetric inequality: the difference between the Gaussian perimeter of a given set and a half-space with the same mass controls the gap between the norms of the corresponding barycenters. In particular, it controls the Gaussian measure of the symmetric difference between the set and the half-space oriented so to have the barycenter in the same direction of the set. Our estimate is independent of the dimension, sharp on the decay rate with respect to the gap and with optimal dependence on the mass.