We investigate the relative market efficiency in financial market data, using the approximate entropy(ApEn) method for a quantification of randomness in time series. We used the global foreign exchange market indices for 17 countries during two periods from 1984 to 1998 and from 1999 to 2004 in order to study the effic…
Study compares market microstructure between two South African exchanges.
problem Understanding price response dynamics and market microstructure differences between two South African exchanges.
method Comparative analysis of returns distributions, auto-correlations, price impact, and trading costs on different time scales.
result Similar stylized facts emerge as measurement time scale increases, but price responses vary significantly.
Model uses HS-FP framework for South African asset allocation.
problem Develops a flexible non-parametric asset allocation model for South African markets.
method Historical Simulation with Flexible Probabilities (HS-FP) framework, using relative entropy for distribution estimation.
result HS-FP model outperforms classic MVO and EW benchmarks in out-of-sample performance.
In this paper, we analyse the South African implied volatility in various setting. We assess the information content in SAVI implied volatility using daily markets data. Our empirical application is focused on the FTSE/JSE Top 40 index and we emphasize our models performance in distinct sub-periods. Our results are com…
Study shows social influence significantly impacts mobile app adoption in African app stores.
problem Understanding social influence on mobile app choices in app stores.
method Developed a structural model combining diffusion and choice models, used Bayesian estimation.
result Customer choices explained better by offline social influence than online density.
Framework simulates systemic risk in South African banking sector.
problem Monitoring systemic risk in banking systems.
method Network-based approach considering shock propagation and systemic market risks.
result Simulated systemic risk spikes align with subjective assessments.
Trains neural machine translation models for 5 Southern African languages.
problem Lack of shared resources and reproducible results for African languages.
method Trained neural machine translation models on publicly-available datasets.
result Provides code for training and evaluating models, aiming to spur future research.
Neural machine translation models trained for 5 South African languages.
problem Lack of resources and research for machine translation in African languages.
method Training neural machine translation models for 5 South African languages using modern techniques.
result Promises of neural machine translation for African languages.
This paper is a contribution to interweaving two lines of research that have progressed in separate ways: network analyses of international trade and the literature on African trade and development. Gathering empirical data on African countries has important limitations and so does the space occupied by African countri…
East African tech experts identify machine learning challenges.
problem Machine learning research needs in East African tech industry.
method 46 interviews with tech professionals.
result Concrete machine learning problems identified.
Paper aims to improve education online in South Africa using NMT for Setswana.
problem Inclusion of machine translation for low-resourced local languages in online education.
method Demonstrates state-of-the-art performance on English-to-Setswana translation using the Transformer architecture.
result Current NMT techniques show promise for African languages, beating previous methods by 5.33 BLEU points.
SAGDA generates synthetic agricultural datasets to improve ML in African farming.
problem Data scarcity in African agriculture limits machine learning innovations.
method SAGDA is an open-source Python toolkit that generates, augments, and validates synthetic agricultural datasets.
result SAGDA enhances ML applications in agriculture, such as yield prediction and fertilizer recommendation.
COMPAS recidivism predictions show racial bias against African Americans, study finds.
problem Racial bias in recidivism prediction algorithms.
method Causal analysis using FACT, a fairness measure grounded in causal inference.
result COMPAS shows racial bias against African American defendants, robust to unmeasured confounding.
Study examines spillovers between BRICS and U.S. staple grain futures markets.
problem Contemporaneous and lagged spillover effects in BRICS staple grain futures markets and their linkages with U.S. markets.
method Examines contemporaneous and lagged spillover effects using econometric models.
result Contemporaneous spillovers dominate, and net spillovers are driven by lagged connectedness. Systemic risk is lower in intra-BRICS markets compared to those including the U.S.
We tested 45 indices and common stocks traded in the South African stock market for the possible existence of a bubble over the period from Jan. 2003 to May 2006. A bubble is defined by a faster-than-exponential acceleration with significant log-periodic oscillations. The faster-than-exponential acceleration characteri…
A technique from stochastic portfolio theory [Fernholz, 1998] is applied to analyse equity returns of Small, Mid and Large cap portfolios in an emerging market through periods of growth and regional crises, up to the onset of the global financial crisis. In particular, we factorize portfolios in the South African marke…
Financial markets are well known examples of multi-fractal complex systems that have garnered much interest in their characterization through complex network theory. The recent studies have used correlation based distance metrics for defining and analyzing financial networks. In this work the singularity strength is em…
Proposes deep feature selection for HTN risk factors in African-Americans.
problem Identifying significant risk factors for heart damage in African-Americans with hypertension.
method Uses stacked auto-encoders for feature learning and representation in deep architecture.
result Deep learning approach leads to better results in identifying LVMI risk factors.
We apply random matrix theory to compare correlation matrix estimators C obtained from emerging market data. The correlation matrices are constructed from 10 years of daily data for stocks listed on the Johannesburg Stock Exchange (JSE) from January 1993 to December 2002. We test the spectral properties of C against ra…
The benefits of portfolio diversification is a central tenet implicit to modern financial theory and practice. Linked to diversification is the notion of breadth. Breadth is correctly thought of as the number of in- dependent bets available to an investor. Conventionally applications us- ing breadth frequently assume o…
SUBIC detects patient subgroups for personalized treatment of HTN in African-Americans.
problem Developing tailored treatment schemes for different patient subgroups.
method Supervised Biclustering using convex optimization.
result Identifies and prioritizes risk factors for HTN in African-Americans.
Reinforcement learning is explored as a candidate machine learning technique to enhance existing analytical solutions for optimal trade execution with elements from the market microstructure. Given a volume-to-trade, fixed time horizon and discrete trading periods, the aim is to adapt a given volume trajectory such tha…
Proposes a new method for determining LGD discount rates based on cost of capital.
problem Determining an appropriate discount rate for LGD estimation.
method Market-consistent pricing of defaulted loan portfolios to infer discount rates.
result Discount rates reflect both undiversifiable risk and time value of money.
We implement a master-slave parallel genetic algorithm (PGA) with a bespoke log-likelihood fitness function to identify emergent clusters within price evolutions. We use graphics processing units (GPUs) to implement a PGA and visualise the results using disjoint minimal spanning trees (MSTs). We demonstrate that our GP…
Study shows negative stock returns after Moroccan companies issue profit warnings.
problem Impact of profit warnings on stock returns in Moroccan market.
method Event study methodology, analyzing Casablanca Stock Exchange, 2009-2016.
result Negative average abnormal return after profit warning announcements, greater for qualitative than quantitative warnings.
Study examines grain futures connectedness during Russia-Ukraine conflict.
problem Quantile return connectedness of grain futures markets during geopolitical instability.
method Dynamic quantile VAR combined with frequency-domain decomposition.
result Heterogeneous spillovers across quantiles, with strong transmitters and persistent receivers.
The paper explores how innovative financing solutions boost Moroccan businesses' performance.
problem Market volatility, ecological transitions, and technological change pose challenges to business sustainability.
method Examines innovative financing solutions like venture capital, green finance, crowdfunding, and blockchain.
result Embracing innovative financial strategies can transform business challenges into opportunities.
Paper presents mdfa to identify victims of discrimination in black box classifiers.
problem Identifying victims of discrimination in black box classifiers.
method Reduces discrimination measurement to matching distributions and sensitive attribute coincidence prediction.
result Identifies African-American individuals at high risk of violent recidivism.
The study examines tail dependence between global economic uncertainty and BRICS currencies using high-frequency data.
problem Understanding the tail dependence between exchange rates and economic uncertainty.
method Daily Twitter Uncertainty Index and BRICS exchange rates analyzed using time-varying copula framework.
result Indian, Russian, and South African currencies exhibit elliptical copulas, while Brazilian and Chinese currencies show upward trending tail dependence.
What are East Africa's industrial opportunities? In this article we explore this question by using the Product Space to study the productive structure of five south-east African countries: Kenya, Mozambique, Rwanda, Tanzania and Zambia. The Product Space is a network connecting products that tend to be exported by the …
We redefine SICR-events for better loan classification under IFRS 9.
problem Ambiguity in SICR-event definition under IFRS 9.
method Proposed alternative framework with three parameters: delinquency, stickiness, and outcome period. Varying these parameters, we generated 27 unique SICR-definitions and fitted logistic regression models.
result The proposed SICR-models outperform the PD-comparison approach as an early-warning system for credit losses.
DeepEthnic classifies faces into ethnic groups with high accuracy.
problem Classifying faces into ethnic groups using machine learning.
method Transfer learning from a large-scale data recognition network.
result State-of-the-art success rates for four ethnic groups.
High and volatile global food prices have led to food riots and played a critical role in triggering the Arab Spring revolutions in recent years. The severe drought in the US in the summer of 2012 led to a new increase in food prices. Through the fall, they remained at a threshold above which the riots and revolutions …
Proposes a stochastic model for South African actuarial use.
problem Long-term forecasting for South African institutions.
method Modeling economic series, estimating parameters, testing stability.
result Validated model for long-term forecasts.
CNN models predict local economic livelihoods from free satellite imagery.
problem Lack of detailed economic data in developing countries.
method Trained CNN models on free Landsat 7 satellite imagery.
result Achieved accuracies exceeding previous benchmarks.
Telecommunications operators (telcos) traditional sources of income, voice and SMS, are shrinking due to customers using over-the-top (OTT) applications such as WhatsApp or Viber. In this challenging environment it is critical for telcos to maintain or grow their market share, by providing users with as good an experie…
A statistical analysis of financial, economic, and demographic indicators performed by the authors demonstrates (1) that the main countries of East Africa (Uganda, Kenya, and Tanzania) have not escaped the Malthusian Trap yet; (2) that this countries are not likely to follow the "North African path" and to achieve this…
New method predicts sets under unknown covariate shift with high confidence.
problem Adapting to unknown covariate shift in prediction sets.
method PredSet-1Step, a flexible distribution-free method.
result Achieves asymptotic probably approximately correct coverage.
Deep learning and active learning improve survival analysis for prostate cancer treatment recommendations.
problem Building accurate survival models from high-dimensional, sparse, and complex clinical data.
method Deep active survival analysis framework using labeled and unlabeled instances, active learning with oracle.
result Our approach outperforms baseline models in prostate cancer treatment recommendation.
The paper proposes a novel approach to music analysis using text mining techniques.
problem Analyzing musical documents using traditional text mining methods.
method Developed a Naive Dictionary of 'muselets' (musical words) of uniform length.
result Demonstrated reasonable topic modeling and pattern recognition results with a simplified dictionary.
Optimizes loan recovery timing by forecasting cash flows.
problem Minimizing overall credit loss in loan portfolios.
method Forecast future cash flows using probabilistic and Markov chain models.
result Empirical illustration of loss-optimal recovery timing.
Satellite imagery helps adjust for unobserved confounders in observational studies.
problem Adjusting for confounding factors in observational studies with non-tabular data like satellite imagery.
method Formalizing conditions for causal effect identification, estimation, and sensitivity analysis.
result Demonstrated the use of satellite imagery as a proxy for unobserved confounders in anti-poverty aid programs.
A new method detects and removes false trailing balances in credit data.
problem False trailing balances in credit data corrupt risk event timing.
method TruEnd-procedure defines and removes false trailing balances.
result Improved accuracy in predicting risk events and reducing credit losses.
EL framework certifies and flags bias in ML models without distributional assumptions.
problem Systematic performance disparities across sensitive subpopulations in ML models.
method Empirical likelihood-based approach for non-parametric fairness auditing.
result EL framework outperforms bootstrap methods in certification and subpopulation discovery.
Study uses DMD to analyze oceanic features in Strait of Gibraltar.
problem Understanding complex oceanic features in Strait of Gibraltar.
method Dynamic Mode Decomposition (DMD) applied to 3D MIT general circulation model simulations.
result Unveiled new elements and dynamics of the Strait of Gibraltar, including a secondary gyre and wave propagation.
Proposes a new method for fairness in machine learning with multiple protected attributes.
problem Ensuring fairness in machine learning models with continuous and multiple protected attributes.
method Distance covariance regularisation framework to mitigate association between model predictions and protected attributes.
result Demonstrates effectiveness in mitigating fairness gerrymandering in regression tasks.
Bayesian deep learning improves geostatistical mapping with auxiliary data.
problem Traditional geostatistical methods are limited in feature learning and uncertainty estimation.
method Deep neural networks learn complex relationships from auxiliary data for probabilistic mapping.
result Deep learning produces detailed, probabilistic maps with uncertainty estimates.
We study numeraire markets in open stock markets.
problem Understanding the numeraire portfolio in open stock markets.
method Constructed an example of a numeraire market that is asymptotically stable.
result Found an asymptotically stable numeraire market in open stock markets.