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

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.

A scheme for cancelling intercarrier interference using conjugate transmission in multicarrier communication systems

To mitigate intercarrier interference (ICI), a two-path algorithm is developed for multicarrier communication systems, including orthogonal frequency division multiplexing (OFDM) systems. The first path employs the regular OFDM algorithm. The second path uses the conjugate transmission of the first path. The combination of both paths forms a conjugate ICI cancellation scheme at the receiver. This conjugate cancellation (CC) scheme provides (1) a high signal to interference power ratio (SIR) in the presence of small frequency offsets (50 dB and 33 dB higher than that of the regular OFDM and linear self-cancellation algorithms [1], [2], respectively, at ΔfT = 0.1% of subcarrier frequency spacing); (2) better bit error rate (BER) performance in both additive white Gaussian noise (AWGN) and fading channels; (3) backward compatibility with the existing OFDM system; (4) no channel equalization is needed for reducing ICI, a simple low cost receiver without increasing system complexity. Although the two-path transmission reduces bandwidth efficiency, the disadvantage can be balanced by increasing signal alphabet sizes

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

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

Application of chiral nuclear forces to light nuclei

In these proceedings, we discuss the current status of nuclear bound state predictions based on chiral nuclear interactions. Results of ordinary $s$- and $p$-shell nuclei and light hypernuclei are shown.Comment: 12 pages, 2 figures, corrected typos in Table 5, version as publishe

Bias adjustment of satellite-based precipitation estimation using gauge observations: A case study in Chile

Satellite-based precipitation estimates (SPEs) are promising alternative precipitation data for climatic and hydrological applications, especially for regions where ground-based observations are limited. However, existing satellite-based rainfall estimations are subject to systematic biases. This study aims to adjust the biases in the Precipitation Estimation from Remotely Sensed Information using Artificial Neural Networks–Cloud Classification System (PERSIANN-CCS) rainfall data over Chile, using gauge observations as reference. A novel bias adjustment framework, termed QM-GW, is proposed based on the nonparametric quantile mapping approach and a Gaussian weighting interpolation scheme. The PERSIANN-CCS precipitation estimates (daily, 0.04°×0.04°) over Chile are adjusted for the period of 2009–2014. The historical data (satellite and gauge) for 2009–2013 are used to calibrate the methodology; nonparametric cumulative distribution functions of satellite and gauge observations are estimated at every 1°×1° box region. One year (2014) of gauge data was used for validation. The results show that the biases of the PERSIANN-CCS precipitation data are effectively reduced. The spatial patterns of adjusted satellite rainfall show high consistency to the gauge observations, with reduced root-mean-square errors and mean biases. The systematic biases of the PERSIANN-CCS precipitation time series, at both monthly and daily scales, are removed. The extended validation also verifies that the proposed approach can be applied to adjust SPEs into the future, without further need for ground-based measurements. This study serves as a valuable reference for the bias adjustment of existing SPEs using gauge observations worldwide