Article
Business, Finance
Hyunchul Lee
Summary: The study explores the dynamic comovement between European stocks and treasury bonds using linear OLS and nonlinear quantile regressions, with a focus on the impact of financial uncertainty and investors' expectations about future economic state. Lower financial market uncertainty leads to increased comovement between EU stock and bond markets, while higher expectations for future economic growth have a positive effect on market comovement. Empirical findings suggest that investors' perceptions of the future state of the economy and stock market uncertainty play a crucial role in the joint pricing of European stocks and treasury bonds. Nonlinear effects of these economic drivers are evident across the entire distribution of the dependent variable of comovement of EU asset markets.
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
(2021)
Article
Mathematics, Interdisciplinary Applications
Xinyao Wang, Huanwen Jiang, Guosheng Han
Summary: This article introduces a method for multifractal analysis of nonlinear time series and applies it to the multifractal analysis of urban and suburban areas. The study finds that both urban and suburban systems exhibit multifractality, with the urban system showing stronger multifractality, particularly in spring and winter.
CHAOS SOLITONS & FRACTALS
(2023)
Article
Economics
Serdar Neslihanoglu, Stelios Bekiros, John McColl, Duncan Lee
Summary: This study evaluates the suitability of a Linear Market Model (LMM) and two extensions, finding that the Multivariate Time-varying Linear Market Model (MTv-LMM) performs significantly better in modeling and forecasting stock market returns.
EMPIRICAL ECONOMICS
(2021)
Article
Computer Science, Artificial Intelligence
Huizi Lyu, Desen Huang, Sen Li, Qianli Ma, Wing W. Y. Ng
Summary: Recently, ESN has been applied to time series classification for its high-dimensional random projection ability and training efficiency characteristic. However, the major drawback of ESN is its inability to capture long-term dependency information well. To address this issue, the Multiscale Echo Self-Attention Memory Network (MESAMN) is proposed, which consists of a memory encoder and a memory learner. The experimental results show that MESAMN outperforms existing models in various time series classification tasks and 3D skeleton-based action recognition tasks, and its capacity for capturing long-term dependencies is empirically verified.
Article
Engineering, Electrical & Electronic
Jing Wang, Shikuan Shao, Yunfei Bai, Jiaoxue Deng, Youfang Lin
Summary: In this article, a novel anomaly detection framework named MEGA is proposed. It integrates discrete wavelet transform (DWT) into autoencoders (AE) to decompose multivariate time series into multifrequency components and then reconstruct them, highlighting various anomalies in specific frequency bands. A dynamic graph module is introduced to capture anomalies caused by changes in intervariable dependence on the decomposed multiscale frequency components. Experiments show that MEGA outperforms existing baselines.
IEEE TRANSACTIONS ON INSTRUMENTATION AND MEASUREMENT
(2023)
Article
Mathematics, Interdisciplinary Applications
Zhuo Wang, Pengjian Shang
Summary: Researchers have proposed three generalized entropy plane methods for evaluating the complexity of two-dimensional data, analyzed their performance, and applied them to the study of multivariate stock time series. The complexity-entropy causality plane method showed good performance, and multiscale multivariate dispersion entropy method was also proposed.
CHAOS SOLITONS & FRACTALS
(2021)
Article
Business, Finance
Nikolaos Stoupos, Apostolos Kiohos
Summary: The integration of stock markets in the Eurozone shows discrepancies after the 2010 debt crisis, with strong integration between Germany and core member-states, but disparities in the peripheral countries.
FINANCE RESEARCH LETTERS
(2022)
Article
Business, Finance
Garima Goel, Saumya Ranjan Dash
Summary: This paper introduces GREEDS as a new measure of optimistic sentiment in the market. The study constructs the GREEDS index based on households' search behavior on Google and reveals its positive correlation with global stock returns. The asymmetric effect of GREEDS is found to be more prevalent in developed countries than emerging markets. The findings also highlight the role of global sentiment in financial markets through the sentiment commonality effect.
JOURNAL OF BEHAVIORAL FINANCE
(2023)
Article
Mathematics
Mikio Ito, Akihiko Noda, Tatsuma Wada
Summary: The study introduced a time-varying cointegration model and found that market comovement has strengthened over the past quarter-century, but the rate of increase is slowing down, with two major turning points in 1995 and 2008.
Article
Mathematics, Interdisciplinary Applications
Danlei Gu, Aijing Lin
Summary: In this study, a new partial cross-correlation exponent H-q(tau, s) was proposed to investigate the time-delay multiscale partial cross-correlation between different stocks in the Chinese stock market. The results showed that this exponent could effectively detect the partial cross-correlation between time series. After excluding the influence of other stock indexes, it was found that the persistence and multifractal characteristics between SSEC and SZSE became stronger, with the American high-frequency stock series having a greater impact on the two Chinese stocks than the Asian high-frequency stock series. Comparing the methods of time-delay MM-DPXA and time-delay MM-DCCA, it was observed that cross-correlation and partial cross-correlation exhibit different properties on different time scales and different time delays.
FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY
(2021)
Article
Chemistry, Multidisciplinary
Mutasem Jarrah, Morched Derbali
Summary: Time-series predictions are widely used in various industries, including stock market trading and power load forecasting. This study focuses on predicting the stock market indices of Saudi Arabia using different variables. The proposed multivariate LSTM DL model achieved high prediction rates, demonstrating its effectiveness in stock market forecasting.
APPLIED SCIENCES-BASEL
(2023)
Article
Computer Science, Artificial Intelligence
Hugo Vinicius Bitencourt, Omid Orang, Luiz Augusto Facury de Souza, Petronio C. L. Silva, Frederico Gadelha Guimaraes
Summary: In the internet of things (IoT), handling high-dimensional non-stationary time series and multiple outputs is crucial. This study presents a new methodology called MO-ENSFTS for forecasting high-dimensional non-stationary time series in IoT applications. MO-ENSFTS combines data embedding transformation and a non-stationary fuzzy time series model and outperforms other methods in terms of performance and parsimony.
NEURAL COMPUTING & APPLICATIONS
(2023)
Article
Business, Finance
Alanoud Al-Maadid, Guglielmo Maria Caporale, Fabio Spagnolo, Nicola Spagnolo
Summary: The study found that recent political tensions in the Arabian peninsula have weakened linkages between stock markets of Gulf Cooperation Council countries, leading to increased volatility spillovers and fewer opportunities for portfolio diversification for investors in the region.
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS
(2021)
Article
Business, Finance
Adrian Fernandez-Perez, Ivan Indriawan, Yiuman Tse, Yahua Xu
Summary: This study examines the profitability of a cross-asset time-series momentum strategy constructed using past changes in crude oil-implied volatility and stock market returns as joint predictors. The results show that this strategy outperforms the single-asset time-series momentum and buy & hold strategies with higher mean returns, lower standard deviations, and higher Sharpe ratios. It can also forecast economic cycles and contributes to the literature on cross asset momentum spillovers and the impacts of crude oil uncertainty on stock markets.
JOURNAL OF BANKING & FINANCE
(2023)
Article
Computer Science, Interdisciplinary Applications
Zhixiong Hu, Raquel Prado
Summary: A novel Bayesian framework is proposed for spectral analysis of multivariate time series, providing computational flexibility and higher posterior accuracy.
COMPUTATIONAL STATISTICS & DATA ANALYSIS
(2023)
Editorial Material
Statistics & Probability
Javier Fernandez-Macho
JOURNAL OF APPLIED STATISTICS
(2015)
Article
Environmental Sciences
Javier Fernandez-Macho
MARINE POLLUTION BULLETIN
(2016)
Article
Energy & Fuels
Josue M. Polanco Martinez, Luis M. Abadie, J. Fernandez-Macho
Article
Physics, Multidisciplinary
J. M. Polanco-Martinez, J. Fernandez-Macho, M. B. Neumann, S. H. Faria
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2018)
Article
Computer Science, Interdisciplinary Applications
Josue M. Polanco-Martinez, F. Javier Fernandez-Macho
COMPUTING IN SCIENCE & ENGINEERING
(2014)
Article
Environmental Sciences
Arantza Murillas-Maza, Jorge Virto, Maria Carmen Gallastegui, Pilar Gonzalez, Javier Fernandez-Macho
NATURAL RESOURCES FORUM
(2011)
Article
Physics, Multidisciplinary
Javier Fernandez-Macho
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2012)
Article
Computer Science, Interdisciplinary Applications
Javier Fernandez-Macho
COMPUTING IN SCIENCE & ENGINEERING
(2019)
Article
Multidisciplinary Sciences
Josue M. Polanco-Martinez, Javier Fernandez-Macho, Martin Medina-Elizalde
SCIENTIFIC REPORTS
(2020)
Article
Green & Sustainable Science & Technology
Aleida Cobas-Valdes, Javier Fernandez-Macho
Summary: The increasing female labor force participation and higher education levels have not led to a significant reduction in the wage gap, posing a challenge in addressing gender inequalities. Hispanics, particularly Cubans, are a significant minority group in the US labor market, with women experiencing a stronger negative impact on earnings and differing roles of education between genders.
Article
Environmental Studies
Javier Fernandez-Macho, Pilar Gonzalez, Jorge Virto
Article
Economics
Aleida Cobas-Valdes, Javier Fernandez-Macho, Ana Fernandez-Sainz
Article
Environmental Studies
Javier Fernandez-Macho, Pilar Gonzalez, Jorge Virto
Article
Environmental Studies
Javier Fernandez-Macho, Arantza Murillas, Alberto Ansuategi, Marta Escapa, Carmen Gallastegui, Pilar Gonzalez, Raul Prellezo, Jorge Virto
Article
Physics, Multidisciplinary
Xiaoyu Shi, Jian Zhang, Xia Jiang, Juan Chen, Wei Hao, Bo Wang
Summary: This study presents a novel framework using offline reinforcement learning to improve energy consumption in road transportation. By leveraging real-world human driving trajectories, the proposed method achieves significant improvements in energy consumption. The offline learning approach demonstrates generalizability across different scenarios.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)
Article
Physics, Multidisciplinary
Junhyuk Woo, Soon Ho Kim, Hyeongmo Kim, Kyungreem Han
Summary: Reservoir computing (RC) is a new machine-learning framework that uses an abstract neural network model to process information from complex dynamical systems. This study investigates the neuronal and network dynamics of liquid state machines (LSMs) using numerical simulations and classification tasks. The findings suggest that the computational performance of LSMs is closely related to the dynamic range, with a larger dynamic range resulting in higher performance.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)
Article
Physics, Multidisciplinary
Yuwei Yang, Zhuoxuan Li, Jun Chen, Zhiyuan Liu, Jinde Cao
Summary: This paper proposes an extreme learning machine (ELM) algorithm based on residual correction and Tent chaos sequence (TRELM-DROP) for accurate prediction of traffic flow. The algorithm reduces the impact of randomness in traffic flow through the Tent chaos strategy and residual correction method, and avoids weight optimization using the iterative method. A DROP strategy is introduced to improve the algorithm's ability to predict traffic flow under varying conditions.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)
Article
Physics, Multidisciplinary
Chengwei Dong, Min Yang, Lian Jia, Zirun Li
Summary: This work presents a novel three-dimensional system with multiple types of coexisting attractors, and investigates its dynamics using various methods. The mechanism of chaos emergence is explored, and the periodic orbits in the system are studied using the variational method. A symbolic coding method is successfully established to classify the short cycles. The flexibility and validity of the system are demonstrated through analogous circuit implementation. Various chaos-based applications are also presented to show the system's feasibility.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)
Article
Physics, Multidisciplinary
Viorel Badescu
Summary: This article discusses the maximum work extraction from confined particles energy, considering both reversible and irreversible processes. The results vary for different types of particles and conditions. The concept of exergy cannot be defined for particles that undergo spontaneous creation and annihilation. It is also noted that the Carnot efficiency is not applicable to the conversion of confined thermal radiation into work.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)
Article
Physics, Multidisciplinary
P. M. Centres, D. J. Perez-Morelo, R. Guzman, L. Reinaudi, M. C. Gimenez
Summary: In this study, a phenomenological investigation of epidemic spread was conducted using a model of agent diffusion over a square region based on the SIR model. Two possible contagion mechanisms were considered, and it was observed that the number of secondary infections produced by an individual during its infectious period depended on various factors.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)
Article
Physics, Multidisciplinary
Zuan Jin, Minghui Ma, Shidong Liang, Hongguang Yao
Summary: This study proposes a differential variable speed limit (DVSL) control strategy considering lane assignment, which sets dynamic speed limits for each lane to attract vehicle lane-changing behaviors before the bottleneck and reduce the impact of traffic capacity drop. Experimental results show that the proposed DVSL control strategy can alleviate traffic congestion and improve efficiency.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)
Article
Physics, Multidisciplinary
Matthew Dicks, Andrew Paskaramoorthy, Tim Gebbie
Summary: In this study, we investigate the learning dynamics of a single reinforcement learning optimal execution trading agent when it interacts with an event-driven agent-based financial market model. The results show that the agents with smaller state spaces converge faster and are able to intuitively learn to trade using spread and volume states. The introduction of the learning agent has a robust impact on the moments of the model, except for the Hurst exponent, which decreases, and it can increase the micro-price volatility as trading volumes increase.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)
Article
Physics, Multidisciplinary
Zhouzhou Yao, Xianyu Wu, Yang Yang, Ning Li
Summary: This paper developed a cooperative lane-changing decision system based on digital technology and indirect reciprocity. By introducing image scoring and a Q-learning based reinforcement learning algorithm, drivers can continuously evaluate gains and adjust their strategies. The study shows that this decision system can improve driver cooperation and traffic efficiency, achieving over 50% cooperation probability under any connected vehicles penetration and traffic density, and reaching 100% cooperation probability under high penetration and medium to high traffic density.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)
Article
Physics, Multidisciplinary
Josephine Nanyondo, Henry Kasumba
Summary: This paper presents a multi-class Aw-Rascle (AR) model with area occupancy expressed in terms of vehicle class proportions. The qualitative properties of the proposed equilibrium velocity and the stability conditions of the model are established. The numerical results show the effect of proportional densities on the flow of vehicle classes, indicating the realism of the proposed model.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)
Article
Physics, Multidisciplinary
Oliver Smirnov
Summary: This study proposes a new method for simultaneously estimating the parameters of the 2D Ising model. The method solves a constrained optimization problem, where the objective function is a pseudo-log-likelihood and the constraint is the Hamiltonian of the external field. Monte Carlo simulations were conducted using models of different shapes and sizes to evaluate the performance of the method with and without the Hamiltonian constraint. The results demonstrate that the proposed estimation method yields lower variance across all model shapes and sizes compared to a simple pseudo-maximum likelihood.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)
Article
Physics, Multidisciplinary
Przemyslaw Chelminiak
Summary: The study investigates the first-passage properties of a non-linear diffusion equation with diffusivity dependent on the concentration/probability density through a power-law relationship. The survival probability and first-passage time distribution are determined based on the power-law exponent, and both exact and approximate expressions are derived, along with their asymptotic representations. The results pertain to diffusing particles that are either freely or harmonically trapped. The mean first-passage time is finite for the harmonically trapped particle, while it is divergent for the freely diffusing particle.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)
Article
Physics, Multidisciplinary
Hidemaro Suwa
Summary: The choice of transition kernel is crucial for the performance of the Markov chain Monte Carlo method. A one-parameter rejection control transition kernel is proposed, and it is shown that the rejection process plays a significant role in determining the sampling efficiency.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)
Article
Physics, Multidisciplinary
Xudong Wang, Yao Chen
Summary: This article investigates the joint influence of expanding medium and constant force on particle diffusion. By starting from the Langevin picture and introducing the effect of external force in two different ways, two models with different force terms are obtained. Detailed analysis and derivation yield the Fokker-Planck equations and moments for the two models. The sustained force behaves as a decoupled force, while the intermittent force changes the diffusion behavior with specific effects depending on the expanding rate of the medium.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2024)