21,874 research outputs found
Construction of embedded fMRI resting state functional connectivity networks using manifold learning
We construct embedded functional connectivity networks (FCN) from benchmark
resting-state functional magnetic resonance imaging (rsfMRI) data acquired from
patients with schizophrenia and healthy controls based on linear and nonlinear
manifold learning algorithms, namely, Multidimensional Scaling (MDS), Isometric
Feature Mapping (ISOMAP) and Diffusion Maps. Furthermore, based on key global
graph-theoretical properties of the embedded FCN, we compare their
classification potential using machine learning techniques. We also assess the
performance of two metrics that are widely used for the construction of FCN
from fMRI, namely the Euclidean distance and the lagged cross-correlation
metric. We show that the FCN constructed with Diffusion Maps and the lagged
cross-correlation metric outperform the other combinations
Detecting a Currency's Dominance or Dependence using Foreign Exchange Network Trees
In a system containing a large number of interacting stochastic processes,
there will typically be many non-zero correlation coefficients. This makes it
difficult to either visualize the system's inter-dependencies, or identify its
dominant elements. Such a situation arises in Foreign Exchange (FX) which is
the world's biggest market. Here we develop a network analysis of these
correlations using Minimum Spanning Trees (MSTs). We show that not only do the
MSTs provide a meaningful representation of the global FX dynamics, but they
also enable one to determine momentarily dominant and dependent currencies. We
find that information about a country's geographical ties emerges from the raw
exchange-rate data. Most importantly from a trading perspective, we discuss how
to infer which currencies are `in play' during a particular period of time
Kernel methods for detecting coherent structures in dynamical data
We illustrate relationships between classical kernel-based dimensionality
reduction techniques and eigendecompositions of empirical estimates of
reproducing kernel Hilbert space (RKHS) operators associated with dynamical
systems. In particular, we show that kernel canonical correlation analysis
(CCA) can be interpreted in terms of kernel transfer operators and that it can
be obtained by optimizing the variational approach for Markov processes (VAMP)
score. As a result, we show that coherent sets of particle trajectories can be
computed by kernel CCA. We demonstrate the efficiency of this approach with
several examples, namely the well-known Bickley jet, ocean drifter data, and a
molecular dynamics problem with a time-dependent potential. Finally, we propose
a straightforward generalization of dynamic mode decomposition (DMD) called
coherent mode decomposition (CMD). Our results provide a generic machine
learning approach to the computation of coherent sets with an objective score
that can be used for cross-validation and the comparison of different methods
Evidence on the Economics of Equity Return Volatility Clustering
The underlying economic sources of volatility clustering in asset returns remain a puzzle in financial economics. Using daily equity returns, we study variation in the volatility relation between the conditional variance of individual firm returns and yesterday's market return shock. We find a number of regularities in this market-to-firm volatility relation. (1) It decreases following macroeconomic news announcements; (2) it does not change systematically during the high-news months when firms announce quarterly earnings; and (3) it increases substantially with our measures of dispersion-in-beliefs across traders about the market's common-factor signal. Our evidence suggests that volatility-clustering is a natural result of a price formation process with heterogeneous beliefs across traders, and that volatility clustering is not attributable to an autocorrelated news-generation process around public information such as macroeconomic news releases or firms' earnings releases. We find consistent results in our sample of large-capitalization firms in Japan and the U.K., which suggests a generality of our results and bolsters our economic interpretation.
Pay growth, fairness and job satisfaction : implications for nominal and real wage rigidity
Theories of wage rigidity often rely on a positive relationship between pay changes and utility, arising from concern for fairness or gift exchange. Supportive evidence has emerged from laboratory experiments, but the link has not yet been established with field data. This paper contributes a first step, using representative British data. Workers care about the level and the growth of earnings. Below-median wage increases lead to an insult effect except when similar workers have real wage reductions or frm production is falling. Nominal pay cuts appear insulting even when the firm is doing badly
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