5,218 research outputs found

    Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods

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    We quantify the amount of information filtered by different hierarchical clustering methods on correlations between stock returns comparing it with the underlying industrial activity structure. Specifically, we apply, for the first time to financial data, a novel hierarchical clustering approach, the Directed Bubble Hierarchical Tree and we compare it with other methods including the Linkage and k-medoids. In particular, by taking the industrial sector classification of stocks as a benchmark partition, we evaluate how the different methods retrieve this classification. The results show that the Directed Bubble Hierarchical Tree can outperform other methods, being able to retrieve more information with fewer clusters. Moreover, we show that the economic information is hidden at different levels of the hierarchical structures depending on the clustering method. The dynamical analysis on a rolling window also reveals that the different methods show different degrees of sensitivity to events affecting financial markets, like crises. These results can be of interest for all the applications of clustering methods to portfolio optimization and risk hedging.Comment: 31 pages, 17 figure

    Telecommunications Network Planning and Maintenance

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    Telecommunications network operators are on a constant challenge to provide new services which require ubiquitous broadband access. In an attempt to do so, they are faced with many problems such as the network coverage or providing the guaranteed Quality of Service (QoS). Network planning is a multi-objective optimization problem which involves clustering the area of interest by minimizing a cost function which includes relevant parameters, such as installation cost, distance between user and base station, supported traffic, quality of received signal, etc. On the other hand, service assurance deals with the disorders that occur in hardware or software of the managed network. This paper presents a large number of multicriteria techniques that have been developed to deal with different kinds of problems regarding network planning and service assurance. The state of the art presented will help the reader to develop a broader understanding of the problems in the domain

    Multitask Diffusion Adaptation over Networks

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    Adaptive networks are suitable for decentralized inference tasks, e.g., to monitor complex natural phenomena. Recent research works have intensively studied distributed optimization problems in the case where the nodes have to estimate a single optimum parameter vector collaboratively. However, there are many important applications that are multitask-oriented in the sense that there are multiple optimum parameter vectors to be inferred simultaneously, in a collaborative manner, over the area covered by the network. In this paper, we employ diffusion strategies to develop distributed algorithms that address multitask problems by minimizing an appropriate mean-square error criterion with 2\ell_2-regularization. The stability and convergence of the algorithm in the mean and in the mean-square sense is analyzed. Simulations are conducted to verify the theoretical findings, and to illustrate how the distributed strategy can be used in several useful applications related to spectral sensing, target localization, and hyperspectral data unmixing.Comment: 29 pages, 11 figures, submitted for publicatio

    Rule-based Machine Learning Methods for Functional Prediction

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    We describe a machine learning method for predicting the value of a real-valued function, given the values of multiple input variables. The method induces solutions from samples in the form of ordered disjunctive normal form (DNF) decision rules. A central objective of the method and representation is the induction of compact, easily interpretable solutions. This rule-based decision model can be extended to search efficiently for similar cases prior to approximating function values. Experimental results on real-world data demonstrate that the new techniques are competitive with existing machine learning and statistical methods and can sometimes yield superior regression performance.Comment: See http://www.jair.org/ for any accompanying file
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