Search results for "time-serie"

Seasonal Modulation of the $^7$Be Solar Neutrino Rate in Borexino

2017

We detected the seasonal modulation of the $^7$Be neutrino interaction rate with the Borexino detector at the Laboratori Nazionali del Gran Sasso in Italy. The period, amplitude, and phase of the observed time evolution of the signal are consistent with its solar origin, and the absence of an annual modulation is rejected at 99.99\% C.L. The data are analyzed using three methods: the sinusoidal fit, the Lomb-Scargle and the Empirical Mode Decomposition techniques, which all yield results in excellent agreement.

Information decomposition in the frequency domain: a new framework to study cardiovascular and cardiorespiratory oscillations

2021

While cross-spectral and information-theoretic approaches are widely used for the multivariate analysis of physiological time series, their combined utilization is far less developed in the literature. This study introduces a framework for the spectral decomposition of multivariate information measures, which provides frequency-specific quantifications of the information shared between a target and two source time series and of its expansion into amounts related to how the sources contribute to the target dynamics with unique, redundant and synergistic information. The framework is illustrated in simulations of linearly interacting stochastic processes, showing how it allows us to retrieve …

Specialization and herding behavior of trading firms in a financial market

2008

Agent-based models of financial markets usually make assumptions about agent’s preferred stylized strategies. Empirical validations of these assumptions have not been performed so far on a full-market scale. Here we present a comprehensive study of the resulting strategies followed by the firms which are members of the Spanish Stock Exchange. We are able to show that they can be characterized by a resulting strategy and classified in three well- defined groups of firms. Firms of the first group have a change of inventory of the traded stock which is positively correlated with the synchronous stock return whereas firms of the second group show a negative correlation. Firms of the third group…

Empirical analysis of daily cash flow time-series and its implications for forecasting

2019

Usual assumptions on the statistical properties of daily net cash flows include normality, absence of correlation and stationarity. We provide a comprehensive study based on a real-world cash flow data set showing that: (i) the usual assumption of normality, absence of correlation and stationarity hardly appear; (ii) non-linearity is often relevant for forecasting; and (iii) typical data transformations have little impact on linearity and normality. This evidence may lead to consider a more data-driven approach such as time-series forecasting in an attempt to provide cash managers with expert systems in cash management.

The Association of Ambient Temperature and Violent Crime

2017

It is controversial if global warming will result into increased crime and conflict rate, and no causal neurobiological mechanisms have been proposed for the putative association between ambient temperature and aggressive behavior. This study shows that during 1996–2013, ambient temperature explained 10% of variance in the violent crime rate in Finland, corresponding to a 1.7% increase/degree centigrade. Ambient temperature also correlated with a one month delay in circannual changes in peripheral serotonin transporter density among both offenders and healthy control subjects, which itself correlated strongly with the monthly violent crime rate. This suggests that rise in temperature modula…

Timing the US Stock Market Using Moving Averages and Momentum Rules: An Extensive Study

2017

Master's thesis Business Administration BE501 - University of Agder 2017 In this thesis we investigate the performance of moving average and momentum strategies by simulating returns, both in-sample and out-of-sample, while simultaneously taking into account important market frictions. We do so for two stock indices and four stock portfolios, at daily and monthly frequency, in the period from 1928 to 2015. This is carried out in order to examine if the active strategies outperform the passive benchmark on a risk-adjusted basis, and to see if the trading rules pro table when tested in-sample also are pro table out-of-sample. In addition, and for the rst time, we examine the relevance of data…

Effects of density, species interactions, and environmental stochasticity on the dynamics of British bird communities

2022

Our knowledge of the factors affecting species abundances is mainly based on time-series analyses of a few well-studied species at single or few localities, but we know little about whether results from such analyses can be extrapolated to the community level. We apply a joint species distribution model to long-term time-series data on British bird communities to examine the relative contribution of intra- and interspecific density dependence at different spatial scales, as well as the influence of environmental stochasticity, to spatiotemporal interspecific variation in abundance. Intraspecific density dependence has the major structuring effect on these bird communities. In addition, envi…

Dominating Clasp of the Financial Sector Revealed by Partial Correlation Analysis of the Stock Market

2010

What are the dominant stocks which drive the correlations present among stocks traded in a stock market? Can a correlation analysis provide an answer to this question? In the past, correlation based networks have been proposed as a tool to uncover the underlying backbone of the market. Correlation based networks represent the stocks and their relationships, which are then investigated using different network theory methodologies. Here we introduce a new concept to tackle the above question--the partial correlation network. Partial correlation is a measure of how the correlation between two variables, e.g., stock returns, is affected by a third variable. By using it we define a proxy of stoc…

The Problem of Time Arrow in Financial Time Series

According to the efficient market hypothesis, future movements of the market cannot be predicted. This introduces an intrinsic time asymmetry of the financial time series as there are no laws forbidding “predicting” past based on the current market fluctuations. This clear time asymmetry in the basic laws of finance raises a question which we shall be referring to as the problem of time arrow: are there any noticeable statistical differences between forward-in-time and reverse-in-time market data. Majority of the statistical methods used for financial time series are time-symmetric and hence, not usable for our purposes. The first method used in our study is the analysis of the length-distr…

Key issues in decomposing fMRI during naturalistic and continuous music experience with independent component analysis

2014

Background: Independent component analysis (ICA) has been often used to decompose fMRI data mostly for the resting-state, block and event-related designs due to its outstanding advantage. For fMRI data during free-listening experiences, only a few exploratory studies applied ICA.New method: For processing the fMRI data elicited by 512-s modern tango, a FFT based band-pass filter was used to further pre-process the fMRI data to remove sources of no interest and noise. Then, a fast model order selection method was applied to estimate the number of sources. Next, both individual ICA and group ICA were performed. Subsequently, ICA components whose temporal courses were significantly correlated …