37,911 research outputs found
Deep Learning for Forecasting Stock Returns in the Cross-Section
Many studies have been undertaken by using machine learning techniques,
including neural networks, to predict stock returns. Recently, a method known
as deep learning, which achieves high performance mainly in image recognition
and speech recognition, has attracted attention in the machine learning field.
This paper implements deep learning to predict one-month-ahead stock returns in
the cross-section in the Japanese stock market and investigates the performance
of the method. Our results show that deep neural networks generally outperform
shallow neural networks, and the best networks also outperform representative
machine learning models. These results indicate that deep learning shows
promise as a skillful machine learning method to predict stock returns in the
cross-section.Comment: 12 pages, 2 figures, 8 tables, accepted at PAKDD 201
Digital image correlation (DIC) analysis of the 3 December 2013 Montescaglioso landslide (Basilicata, Southern Italy). Results from a multi-dataset investigation
Image correlation remote sensing monitoring techniques are becoming key tools for
providing effective qualitative and quantitative information suitable for natural hazard assessments,
specifically for landslide investigation and monitoring. In recent years, these techniques have
been successfully integrated and shown to be complementary and competitive with more standard
remote sensing techniques, such as satellite or terrestrial Synthetic Aperture Radar interferometry.
The objective of this article is to apply the proposed in-depth calibration and validation analysis,
referred to as the Digital Image Correlation technique, to measure landslide displacement.
The availability of a multi-dataset for the 3 December 2013 Montescaglioso landslide, characterized
by different types of imagery, such as LANDSAT 8 OLI (Operational Land Imager) and TIRS
(Thermal Infrared Sensor), high-resolution airborne optical orthophotos, Digital Terrain Models
and COSMO-SkyMed Synthetic Aperture Radar, allows for the retrieval of the actual landslide
displacement field at values ranging from a few meters (2–3 m in the north-eastern sector of the
landslide) to 20–21 m (local peaks on the central body of the landslide). Furthermore, comprehensive
sensitivity analyses and statistics-based processing approaches are used to identify the role of the
background noise that affects the whole dataset. This noise has a directly proportional relationship to
the different geometric and temporal resolutions of the processed imagery. Moreover, the accuracy
of the environmental-instrumental background noise evaluation allowed the actual displacement
measurements to be correctly calibrated and validated, thereby leading to a better definition of
the threshold values of the maximum Digital Image Correlation sub-pixel accuracy and reliability
(ranging from 1/10 to 8/10 pixel) for each processed dataset
Bias adjustment of infrared-based rainfall estimation using Passive Microwave satellite rainfall data
This study explores using Passive Microwave (PMW) rainfall estimation for spatial and temporal adjustment of Precipitation Estimation from Remotely Sensed Information using Artificial Neural Networks-Cloud Classification System(PERSIANN-CCS). The PERSIANN-CCS algorithm collects information from infrared images to estimate rainfall. PERSIANN-CCS is one of the algorithms used in the IntegratedMultisatellite Retrievals for GPM (Global Precipitation Mission) estimation for the time period PMW rainfall estimations are limited or not available. Continued improvement of PERSIANN-CCS will support Integrated Multisatellite Retrievals for GPM for current as well as retrospective estimations of global precipitation. This study takes advantage of the high spatial and temporal resolution of GEO-based PERSIANN-CCS estimation and the more effective, but lower sample frequency, PMW estimation. The Probability Matching Method (PMM) was used to adjust the rainfall distribution of GEO-based PERSIANN-CCS toward that of PMW rainfall estimation. The results show that a significant improvement of global PERSIANN-CCS rainfall estimation is obtained
Economic Integration in East Asia: Trends, Prospects, and a Possible Roadmap
This paper, which is a revised version of the ADB Working Paper on Regional Economic Integration No. 2, reviews trends in East Asian regionalism in the areas of trade and investment, money and finance, and infrastructure. It finds that trade and, to a lesser extent, financial integration is starting to increase in the region. It also finds that business cycles are starting to be more synchronized, enhancing the case for further monetary integration among these countries. The paper also outlines a roadmap for East Asian integration.
Economic Integration in East Asia: Trends, Prospects, and a Possible Roadmap
This paper reviews trends in East Asian regionalism in the areas of trade and investment, money and finance, and infrastructure. It presents various measures of trade and financial integration. An important finding of the paper is that increasing trade and financial integration in the region is now starting to lead to a synchronization of business cycles in a selected group of countries, further enhancing the case for monetary integration among these countries. The paper also outlines a roadmap for East Asian integration.ASEAN/East Asian economic cooperation and integration; business cycle synchronization; free trade agreements; policy coordination
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PERSIANN-MSA: A precipitation estimation method from satellite-based multispectral analysis
Visible and infrared data obtained from instruments onboard geostationary satellites have been extensively used for monitoring clouds and their evolution. The Advanced Baseline Imager (ABI) that will be launched onboard the Geostationary Operational Environmental Satellite-R (GOES-R) series in the near future will offer a larger range of spectral bands; hence, it will provide observations of cloud and rain systems at even finer spatial, temporal, and spectral resolutions than are possible with the current GOES. In this paper, a new method called Precipitation Estimation from Remotely Sensed information using Artificial Neural Networks-Multispectral Analysis (PERSIANN-MSA) is proposed to evaluate the effect of using multispectral imagery on precipitation estimation. The proposed approach uses a self-organizing feature map (SOFM) to classify multidimensional input information, extracted from each grid box and corresponding textural features of multispectral bands. In addition, principal component analysis (PCA) is used to reduce the dimensionality to a few independent input features while preserving most of the variations of all input information. The above method is applied to estimate rainfall using multiple channels of the Spinning Enhanced Visible and Infrared Imager (SEVIRI) onboard the Meteosat Second Generation (MSG) satellite. In comparison to the use of a single thermal infrared channel, the analysis shows that using multispectral data has the potential to improve rain detection and estimation skills with an average of more than 50% gain in equitable threat score for rain/no-rain detection, and more than 20% gain in correlation coefficient associated with rain-rate estimation. © 2009 American Meteorological Society
Geographical versus Industrial Diversification: A Mean Variance Spanning Approach
This paper addresses whether country allocation provides benefits over industry allocation in a sample of European country and industry indexes. Strategy performance is compared using a mean-variance spanning test. We find that, for investors with low risk aversion, industry allocation is as good as investing in the complete set of assets. Moreover, in the most recent subperiod coinciding with the inception of the Euro, country and industry diversification are both effective. By contrast, investors with high risk aversion should always mix country and industry portfolios. A striking aspect of our analysis is that we do not find empirical evidence to support the argument that country diversification is a superior approach.Diversification gains, EMU, mean-variance spanning, portfolio allocation strategies
TextGAIL: Generative Adversarial Imitation Learning for Text Generation
Generative Adversarial Networks (GANs) for text generation have recently
received many criticisms, as they perform worse than their MLE counterparts. We
suspect previous text GANs' inferior performance is due to the lack of a
reliable guiding signal in their discriminators. To address this problem, we
propose a generative adversarial imitation learning framework for text
generation that uses large pre-trained language models to provide more reliable
reward guidance. Our approach uses contrastive discriminator, and proximal
policy optimization (PPO) to stabilize and improve text generation performance.
For evaluation, we conduct experiments on a diverse set of unconditional and
conditional text generation tasks. Experimental results show that TextGAIL
achieves better performance in terms of both quality and diversity than the MLE
baseline. We also validate our intuition that TextGAIL's discriminator
demonstrates the capability of providing reasonable rewards with an additional
task.Comment: AAAI 202
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