There are non-vanishing price responses across different stocks in correlated financial markets. We further study this issue by performing different averages, which identify active and passive cross-responses. The two average cross-responses show different characteristic dependences on the time lag. The passive cross-r…
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48 results for “Average Crossing”
The study calculates the average genus of 2-bridge knots based on their crossing numbers.
problem Determining the average genus of 2-bridge knots with a given crossing number.
method Analytical approach focusing on the properties of 2-bridge knots.
result Obtained the oblique asymptote of the average genus as crossing numbers increase.
The study calculates the average genus of rational knots and links.
problem Finding the average genus of rational knots and links.
method Enumerating and calculating the number of rational knots and links with a given crossing number.
result A precise formula for the average minimal genus of rational knots and links.
Average signature of 2-bridge knots approximates sqrt(2c/π).
problem Estimating the average signature and 4-genus of 2-bridge knots.
method Developed a model for 2-bridge knot diagrams indexed by crossing number, and used it to derive upper bounds for the average 4-genus.
result Upper bound for the average 4-genus of a 2-bridge knot is 9.75c/log c.
New model shows average genus of 2-bridge knots grows linearly with crossing number.
problem Understanding the growth of Seifert genus for 2-bridge knots.
method Billiard table model for 2-bridge knots.
result Average genus of a 2-bridge knot with crossing number c asymptotically approaches c/4 + 1/12.
Microscopic Understanding of Cross-Responses between Stocks: a Two-Component Price Impact Modelq-fin.TR
We construct a price impact model between stocks in a correlated market. For the price change of a given stock induced by the short-run liquidity of this stock itself and of the information about other stocks, we introduce a self- and a cross-impact function of the time lag. We model the average cross-response function…
In the paper, we introduce a new measure of correlation between possibly non-stationary series. As the measure is based on the detrending moving-average cross-correlation analysis (DMCA), we label it as the DMCA coefficient with a moving average window length . We analytically show that the coefficient…
The study of 2-bridge knots reveals a linear average braid index as crossing number increases.
problem Understanding the distribution of braid indices in 2-bridge knots.
method Analyzing the asymptotic behavior of braid indices for fixed crossing numbers.
result The average braid index of 2-bridge knots of crossing number is asymptotically $ rac{c}{3}+ rac{11}{9}$.
An average instantaneous cross-correlation function is introduced to quantify the interaction of the financial market of a specific time. Based on the daily data of the American and Chinese stock markets, memory effect of the average instantaneous cross-correlations is investigated over different price return time inte…
Lower bounds on average genus of 2-bridge knots found.
problem Finding a lower bound on the average genus of 2-bridge knots.
method Developed a random model of 2-bridge knots, counted Seifert circles, and computed a lower bound.
result Computed a lower bound for the average Seifert genus of 2-bridge knots.
We examine the performance of six estimators of the power-law cross-correlations -- the detrended cross-correlation analysis, the detrending moving-average cross-correlation analysis, the height cross-correlation analysis, the averaged periodogram estimator, the cross-periodogram estimator and the local cross-Whittle e…
We investigate the accuracy of the two most common estimators for the maximum expected value of a general set of random variables: a generalization of the maximum sample average, and cross validation. No unbiased estimator exists and we show that it is non-trivial to select a good estimator without knowledge about the …
Paper introduces stability in model averaging and proposes a L2-penalty method.
problem Theoretical properties of model averaging from stability perspective.
method Introduces stability, defines asymptotic empirical risk minimizer, and proposes L2-penalty model averaging method.
result Proposed L2-penalty method ensures stability and consistency under reasonable conditions.
Paper combines machine learning and model averaging for robust parameter estimation.
problem Estimating structural parameters with partially unknown functional forms.
method Pairing double/debiased machine learning with stacking for model averaging.
result DDML with stacking is more robust to unknown functional forms than single learners.
The space writhes and signatures of polymer knotscond-mat.soft
Study shows space writhe closely correlates with knot signature in polymers.
problem Understanding the relationship between space writhe and knot signatures in knotted polymers.
method Performed Langevin dynamics simulations of knotted polymers to measure space writhe.
result Space writhe is strongly correlated with knot signature in complex knots.
Handwritten Chinese Character Recognition by Convolutional Neural Network and Similarity Rankingcs.LG
Convolution Neural Networks (CNN) have recently achieved state-of-the art performance on handwritten Chinese character recognition (HCCR). However, most of CNN models employ the SoftMax activation function and minimize cross entropy loss, which may cause loss of inter-class information. To cope with this problem, we pr…
In this paper, we introduce a new concept of stability for cross-validation, called the -stability, and use it as a new perspective to build the general theory for cross-validation. The -stability mathematically connects the generalization ability and the stability of…
New covariance estimator for financial portfolios.
problem Estimating large financial covariances in non-stationary environments.
method Exponentially weighted averages and cross-validation for nonlinearly shrinking sample eigenvalues.
result Our estimator performs well in large dimensions compared to existing estimators.
Based on the daily data of American and Chinese stock markets, the dynamic behavior of a financial network with static and dynamic thresholds is investigated. Compared with the static threshold, the dynamic threshold suppresses the large fluctuation induced by the cross-correlation of individual stock prices, and leads…
Improves test set performance and reduces out-of-sample disappointment for unstable models.
problem Ensuring strong test set performance via cross-validation for unstable models.
method Nested k-fold cross-validation with hyperparameter selection based on a weighted sum of cross-validation metric and model stability measure.
result Improves out-of-sample MSE for sparse ridge regression and CART by 4% and 2% respectively, compared to k-fold cross-validation.
The level crossing and inverse statistics analysis of DAX and oil price time series are given. We determine the average frequency of positive-slope crossings, , where is the average waiting time for observing the level again. We estimate the probability , which provides us the probab…
This work proposes a model averaging method for SVM that avoids redundant covariates and achieves asymptotic optimality.
problem Redundant covariates impair SVM performance in high-dimensional settings.
method Frequentist model averaging procedure for SVM using cross-validation to select optimal weights.
result The proposed method achieves asymptotic optimality in SVM model averaging.
We study finite sample properties of estimators of power-law cross-correlations -- detrended cross-correlation analysis (DCCA), height cross-correlation analysis (HXA) and detrending moving-average cross-correlation analysis (DMCA) -- with a special focus on short-term memory bias as well as power-law coherency. Presen…
There are a number of situations in which several signals are simultaneously recorded in complex systems, which exhibit long-term power-law cross-correlations. The multifractal detrended cross-correlation analysis (MF-DCCA) approaches can be used to quantify such cross-correlations, such as the MF-DCCA based on detrend…
On the interplay between short and long term memory in the power-law cross-correlations settingstat.ME
We focus on emergence of the power-law cross-correlations from processes with both short and long term memory properties. In the case of correlated error-terms, the power-law decay of the cross-correlation function comes automatically with the characteristics of separate processes. Bivariate Hurst exponent is then equa…
A new method controls risk for set predictors using cross-validation.
problem Inefficient set predictors when data limited.
method Cross-validation conformal risk control (CV-CRC).
result CV-CRC offers theoretical guarantees and reduces set size.
Develops a prediction method based on sampling design.
problem Creating accurate individual predictions.
method Design-based approach using expected cross-validation results.
result Valid inference of unobserved prediction errors defined with respect to sampling design.
We study power-law correlations properties of the Google search queries for Dow Jones Industrial Average (DJIA) component stocks. Examining the daily data of the searched terms with a combination of the rescaled range and rescaled variance tests together with the detrended fluctuation analysis, we show that the searche…
We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We consider the cross-correlation functions averaged over all stocks, using 71 stock pr…
New estimators improve causal inference in machine learning studies.
problem Improving causal inference in machine learning models.
method Doubly-robust cross-fit estimators for average causal effect.
result Doubly-robust cross-fit estimators outperform other methods in simulations.
Multifractal detrended cross-correlation methodology is described and applied to Foreign exchange (Forex) market time series. Fluctuations of high frequency exchange rates of eight major world currencies over 2010-2018 period are used to study cross-correlations. The study is motivated by fundamental questions in compl…
We prove that the expected value of the ratio between the smooth four-genus and the Seifert genus of two-bridge knots tends to zero as the crossing number tends to infinity.
A novel transfer learning framework combines multiple data sources for PU learning.
problem Challenges in PU learning due to lack of negative labels and data scarcity.
method Model averaging of heterogeneous data sources, including binary labeled, semi-supervised, and PU data.
result Method outperforms other methods in predictive accuracy and robustness, especially under limited labeled data.
Study shows different types of volatility and skewness changes affect stock prices.
problem Different types of volatility and skewness changes affect stock prices.
method Used intraday data for individual stocks to analyze cross-section of asset returns.
result Idiosyncratic transitory and persistent shocks to volatility and skewness are priced differently in stock returns.
Normal distribution found for 2-bridge knots signatures.
problem Distribution of signatures for 2-bridge knots.
method Calculated average signature, introduced , used limit theorem.
result Distribution of signatures approaches normal as knot complexity increases.
Enhances UPSA to reduce noise in financial data.
problem Noise in financial data affects UPSA's performance.
method Time-averaging optimal penalty weights and using Average Oracle correlation eigenvalues.
result Combining time-averaging and Average Oracle correlation eigenvalues improves UPSA's performance.
Fractal approach towards power-law coherency to measure cross-correlations between time seriesq-fin.ST
We focus on power-law coherency as an alternative approach towards studying power-law cross-correlations between simultaneously recorded time series. To be able to study empirical data, we introduce three estimators of the power-law coherency parameter based on popular techniques usually utilized for studying pow…
We study the problem of treatment effect estimation in randomized experiments with high-dimensional covariate information, and show that essentially any risk-consistent regression adjustment can be used to obtain efficient estimates of the average treatment effect. Our results considerably extend the range of settings …
In this study, the wind data series from five locations in Aegean Sea islands, the most active `hotspots' in terms of refugee influx during the Oct/2015 - Jan/2016 period, are investigated. The analysis of the three-per-site data series includes standard statistical analysis and parametric distributions, auto-correlati…
New method refines prediction intervals for individual treatment effects using cross-world correlation.
problem Uncertainty in individual treatment effects for high-stakes decisions.
method Introduces cross-world correlation parameter ρ to refine prediction intervals for individual treatment effects.
result Achieves more stable and accurate coverage of prediction intervals for individual treatment effects.
Paper examines pricing and hedging for cross-currency swaps referencing backward-looking rates.
problem Pricing and hedging cross-currency swaps with backward-looking rates.
method Uses interest rate and currency futures for hedging, analyzes arbitrage-free multi-curve setting.
result Explicit pricing and hedging results for CCBS with backward-looking rates.
The paper studies parallel surfaces of cuspidal cross caps and their degeneracy.
problem Investigating the geometry and singularities of parallel surfaces of cuspidal cross caps.
method Established a criterion for the degeneracy of the distance squared function using geometric invariants.
result Parallel surfaces degenerate into a degenerated cuspidal S1 singularity at specific distances.
Develops a method to estimate average hazard under non-proportional hazards without relying on proportional hazards assumption.
problem Estimation of treatment effects when hazards are non-proportional, leading to unstable hazard ratios.
method Semiparametric, doubly robust framework for covariate-adjusted average hazard estimation.
result Valid sqrt{n} inference with small bias and near-nominal confidence-interval coverage across proportional and non-proportional hazards settings.
The study calculates average crosscap numbers for 2-bridge knots.
problem Determining the average crosscap number of 2-bridge knots.
method Using continued fraction expansions and recursion, the study provides exact formulas for average crosscap numbers.
result The study shows that the limit of the average crosscap number of 2-bridge knots approaches zero as the crossing number increases.
Study finds multifractal cross-correlations between agricultural markets and external uncertainties.
problem Investigating relationships between agricultural spot markets and external uncertainties.
method Multifractal detrending moving-average cross-correlation analysis (MF-X-DMA).
result Maize exhibits intrinsic joint multifractality with all uncertainty proxies.
Study on Gaussian ensemble of matrix products with mixed moments computed.
problem Understanding the statistical properties of matrix products of Gaussian matrices.
method Analysis of a multi-Wishart ensemble and enumeration of non-crossing pairings.
result Mixed moments of the product matrix are computed and found to be weighted by Fuss-Catalan numbers at large .
A fast bootstrap method estimates cross-validation standard error.
problem Uncertainty quantification in cross-validation estimates.
method Random-effects model to estimate variance component.
result Valid confidence intervals for model performance.
The so-called level crossing analysis has been used to investigate the empirical data set. But there is a lack of interpretation for what is reflected by the level crossing results. The fractional Gaussian noise as a well-defined stochastic series could be a suitable benchmark to make the level crossing findings more s…