21,604 research outputs found

    A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements

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    In this paper we develop a structural equation model with latent variables in an ordinal setting which allows us to test broker-dealer predictive ability of financial market movements. We use a multivariate logit model in a latent factor framework, develop a tractable estimator based on a Laplace approximation, and show its consistency and asymptotic normality. Monte Carlo experiments reveal that both the estimation method and the testing procedure perform well in small samples. An empirical illustration is given for mid-term forecasts simultaneously made by two broker-dealers for several countries.structural equation model, latent variable, generalised linear model, factor analysis, multinomial logit, forecasts, LAMLE, canonical correlation

    Rotated canonical correlation analysis for multilingual corpora

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    This paper aims at proposing the joint use of Canonical Correlation Analysis and Procrustes Rotations (RCA), when we deal with a text and its translation into another language. The basic idea is representing words in the two different natural languages on a common reference space. The main characteristic of this space is to be lan-guage independent, although Procrustes Rotation is performed transforming the lexical table derived from trans-lation by minimizing its distance from the lexical table belonging to the original corpus, while the subsequent Canonical Correlation Analysis treats symmetrically the two word sets. The most interesting RCA feature is building a unique reference space for representing the correlation structure in the data, inducing the two systems of canonical factors to lie on the same space. These graphical representations enables us to read distances be-tween corresponding points in terms of different way of translating the same word in relation with the general context defined by the canonical variates. Trying to understand the distances between matched points could rep-resent an useful tool for enriching lexical resources in a translation procedure. In this paper we propose the com-parison of the most frequent content bearing words in the two languages, analyzing one year (2003) of Le Monde Diplomatique and its Italian edition

    Correlation Functions of Sp(2n) Invariant Higher-Spin Systems

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    We study the general structure of correlation functions in an Sp(2n)-invariant formulation of systems of an infinite number of higher-spin fields. For n=4,8 and 16 these systems comprise the conformal higher-spin fields in space-time dimensions D=4,6 and 10, respectively, while when n=2, one deals with conventional D=3 conformal field theories of scalars and spinors. We show that for n>2 the Sp(2n) symmetry and current conservation makes the 3-point correlators of two (rank-one or rank-two) conserved currents with a scalar operator be that of free theory.This situation is analogous to the one in conventional conformal field theories, where conservation of higher-spin currents implies that the theories are free.Comment: 26 pages, some clarifications added, published versio
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