Debt Dilution and Maturity Structure of Sovereign Bonds

We develop a dynamic model of sovereign default and renegotiation to study how expectations of default and debt restructuring in the near future affect the ex ante maturity structure of sovereign debts. This paper argues that the average maturity is shorter when a country is approaching financial distress due to two risks: default risk and "debt dilution" risk. Long-term yield is generally higher than short-term yield to reflect the higher default risk incorporated in long-term debts. When default risk is high and long-term debt is too expensive to afford, the country near default has to rely on short-term debt. The second risk, "debt dilution" risk, is the focus of this paper. It arises because there is no explicit seniority structure among different sovereign debts, and all debt holders are legally equal and expect to get the same haircut rate in the post-default debt restructuring. Therefore, new debt issuances around crisis reduce the amount that can be recovered by existing earlier debt-holders in debt restructuring, and thus ``dilute'' existing debts. As a result, investors tend to hold short-term debt which is more likely to mature before it is "diluted" to avoid the "dilution" risk. Model features non-contingent bonds of two maturities, endogenous default and endogenous hair cut rate in a debt renegotiation after default. We show that ``debt dilution'' effect is always present and is more severe when default risk is high. When default is a likely event in the near future, both default risk and ``dilution'' risk drive the ex ante maturity of sovereign debts to be shorter. In a quantitative analysis, we try to calibrate the model to match various features of the recent crisis episode of Argentina. In particular, we try to account for the shifts in maturity structure before crisis and the volatility of long-term and short-term spreads observed in the prior default episode of ArgentinaMaturity Structure, Debt Dilution, Sovereign Default, Debt Renegotiation

Algorithms for Extracting Frequent Episodes in the Process of Temporal Data Mining

An important aspect in the data mining process is the discovery of patterns having a great influence on the studied problem. The purpose of this paper is to study the frequent episodes data mining through the use of parallel pattern discovery algorithms. Parallel pattern discovery algorithms offer better performance and scalability, so they are of a great interest for the data mining research community. In the following, there will be highlighted some parallel and distributed frequent pattern mining algorithms on various platforms and it will also be presented a comparative study of their main features. The study takes into account the new possibilities that arise along with the emerging novel Compute Unified Device Architecture from the latest generation of graphics processing units. Based on their high performance, low cost and the increasing number of features offered, GPU processors are viable solutions for an optimal implementation of frequent pattern mining algorithmsFrequent Pattern Mining, Parallel Computing, Dynamic Load Balancing, Temporal Data Mining, CUDA, GPU, Fermi, Thread

FootApp: An AI-powered system for football match annotation

In the last years, scientific and industrial research has experienced a growing interest in acquiring large annotated data sets to train artificial intelligence algorithms for tackling problems in different domains. In this context, we have observed that even the market for football data has substantially grown. The analysis of football matches relies on the annotation of both individual players’ and team actions, as well as the athletic performance of players. Consequently, annotating football events at a fine-grained level is a very expensive and error-prone task. Most existing semi-automatic tools for football match annotation rely on cameras and computer vision. However, those tools fall short in capturing team dynamics and in extracting data of players who are not visible in the camera frame. To address these issues, in this manuscript we present FootApp, an AI-based system for football match annotation. First, our system relies on an advanced and mixed user interface that exploits both vocal and touch interaction. Second, the motor performance of players is captured and processed by applying machine learning algorithms to data collected from inertial sensors worn by players. Artificial intelligence techniques are then used to check the consistency of generated labels, including those regarding the physical activity of players, to automatically recognize annotation errors. Notably, we implemented a full prototype of the proposed system, performing experiments to show its effectiveness in a real-world adoption scenario

Automatic tagging and geotagging in video collections and communities

Automatically generated tags and geotags hold great promise to improve access to video collections and online communi- ties. We overview three tasks offered in the MediaEval 2010 benchmarking initiative, for each, describing its use scenario, definition and the data set released. For each task, a reference algorithm is presented that was used within MediaEval 2010 and comments are included on lessons learned. The Tagging Task, Professional involves automatically matching episodes in a collection of Dutch television with subject labels drawn from the keyword thesaurus used by the archive staff. The Tagging Task, Wild Wild Web involves automatically predicting the tags that are assigned by users to their online videos. Finally, the Placing Task requires automatically assigning geo-coordinates to videos. The specification of each task admits the use of the full range of available information including user-generated metadata, speech recognition transcripts, audio, and visual features

Dominant transport pathways in an atmospheric blocking event

A Lagrangian flow network is constructed for the atmospheric blocking of eastern Europe and western Russia in summer 2010. We compute the most probable paths followed by fluid particles which reveal the {\it Omega}-block skeleton of the event. A hierarchy of sets of highly probable paths is introduced to describe transport pathways when the most probable path alone is not representative enough. These sets of paths have the shape of narrow coherent tubes flowing close to the most probable one. Thus, even when the most probable path is not very significant in terms of its probability, it still identifies the geometry of the transport pathways.Comment: Appendix added with path calculations for a simple kinematic model flo

Reinforcement Learning on Slow Features of High-Dimensional Input Streams

Humans and animals are able to learn complex behaviors based on a massive stream of sensory information from different modalities. Early animal studies have identified learning mechanisms that are based on reward and punishment such that animals tend to avoid actions that lead to punishment whereas rewarded actions are reinforced. However, most algorithms for reward-based learning are only applicable if the dimensionality of the state-space is sufficiently small or its structure is sufficiently simple. Therefore, the question arises how the problem of learning on high-dimensional data is solved in the brain. In this article, we propose a biologically plausible generic two-stage learning system that can directly be applied to raw high-dimensional input streams. The system is composed of a hierarchical slow feature analysis (SFA) network for preprocessing and a simple neural network on top that is trained based on rewards. We demonstrate by computer simulations that this generic architecture is able to learn quite demanding reinforcement learning tasks on high-dimensional visual input streams in a time that is comparable to the time needed when an explicit highly informative low-dimensional state-space representation is given instead of the high-dimensional visual input. The learning speed of the proposed architecture in a task similar to the Morris water maze task is comparable to that found in experimental studies with rats. This study thus supports the hypothesis that slowness learning is one important unsupervised learning principle utilized in the brain to form efficient state representations for behavioral learning

Capital market efficiency: an update

Capital market