Two-Sample Testing for Event Impacts in Time Series

In many application domains, time series are monitored to detect extreme events like technical faults, natural disasters, or disease outbreaks. Unfortunately, it is often non-trivial to select both a time series that is informative about events and a powerful detection algorithm: detection may fail because the detection algorithm is not suitable, or because there is no shared information between the time series and the events of interest. In this work, we thus propose a non-parametric statistical test for shared information between a time series and a series of observed events. Our test allows identifying time series that carry information on event occurrences without committing to a specific event detection methodology. In a nutshell, we test for divergences of the value distributions of the time series at increasing lags after event occurrences with a multiple two-sample testing approach. In contrast to related tests, our approach is applicable for time series over arbitrary domains, including multivariate numeric, strings or graphs. We perform a large-scale simulation study to show that it outperforms or is on par with related tests on our task for univariate time series. We also demonstrate the real-world applicability of our approach on datasets from social media and smart home environments.Comment: SIAM International Conference on Data Mining (SDM 2020) preprint, source code and supplementary material is available at https://github.com/diozaka/eites

The growth aftermath of natural disasters

This paper provides a description of the macroeconomic aftermath of natural disasters. It traces the yearly response of gross domestic product growth - both aggregated and disaggregated into its agricultural and non-agricultural components - to four types of natural disasters - droughts, floods, earthquakes, and storms. The paper uses a methodological approach based on pooling the experiences of various countries over time. It consists of vector auto-regressions in the presence of endogenous variables and exogenous shocks (VARX), applied to a panel of cross-country and time-series data. The analysis finds heterogeneous effects on a variety of dimensions. First, the effects of natural disasters are stronger, for better or worse, on developing than on rich countries. Second, while the impact of some natural disasters can be beneficial when they are of moderate intensity, severe disasters never have positive effects. Third, not all natural disasters are alike in terms of the growth response they induce, and, perhaps surprisingly, some can entail benefits regarding economic growth. Thus, droughts have a negative effect on both agricultural and non-agricultural growth. In contrast, floods tend to have a positive effect on economic growth in both major sectors. Earthquakes have a negative effect on agricultural growth but a positive one on non-agricultural growth. Storms tend to have a negative effect on gross domestic product growth but the effect is short-lived and small. Future research should concentrate on exploring the mechanisms behind these heterogeneous impacts.Natural Disasters,Disaster Management,Hazard Risk Management,Achieving Shared Growth,Economic Conditions and Volatility

The Impacts of Animal Disease Crises on the Korean Meat Market

Employing the error correction method and historical decomposition with direct acyclic graphs, we quantify the impacts of domestic and oversea animal disease crises on the Korean meat markets. We find that (a) the market partially recovered 16 months after the foot-and-mouth outbreak in 2000, and 13 months after the avian influenza and the U.S. BSE incidents in 2003; (b) animal disease outbreaks have differentiate impacts by disease type and supply chain level. Retailers likely to have windfall profits as the retail price margin increased relative to the farm and wholesale levels; and (c) disease outbreaks affect dynamic price interdependence.Animal disease outbreak, Error correction model, Direct acyclic graphs, Korean meat market, Historical Decomposition, Price margins, Livestock Production/Industries, C32, Q11, L11,

The Impact of Warrant Introduction Australian Experience

The impact that derivative trading has on the underlying security is essential to our understanding of security market behaviour, and important in the fields of market efficiency and pricing of such derivatives. This paper examines the impact that the introduction of exchange traded derivative warrants has on the underlying securities’ price, volume and volatility in the Australian market. The major findings of significant negative abnormal returns, reduction in skewness, no change in beta and small changes in variance are consistent with recent research findings in the US, UK and Hong Kong. However findings of derivative warrant listing resulting in decreased trading volume in contrast with most prior research in the field.Derivatives, Warrants, Market Efficiency, Event Study.

The relationship between default and economic cycles for retail portfolios across countries

In this paper, we collect consumer delinquency data from several economic shocks in order to study the creation of stress-testing models. We leverage the dual-time dynamics modeling technique to better isolate macroeconomic impacts whenever vintage-level performance data is available. The stress-testing models follow a framework described here of focusing on consumer-centric macroeconomic variables so that the models are as robust as possible when predicting the impacts of future shocks

Investigation and modelling of large scale cratering events : Lessons learnt from experimental analysis

Initiated as part of the 2010 Spin Your Thesis campaign, a new ESA Education programme, a group from the University of Glasgow Space Advanced Research Team successfully conducted a series of impact cratering experiments under a highly accelerated reference frame. This aimed to: reproduce and define the physical conditions of large-scale cratering events onto highly porous asteroids; provide cratering response data for the validation and advancement of numerical models; and support the generation of a reliable scaling theory for cratering events. Impact cratering is a fundamental process that has shaped and continues to shape the formation and evolution of our solar system and other planetary systems. Although much is known on the impact dynamics of rocky, brittle bodies, such as asteroids, little is known on the physical response of highly porous bodies. Consequently the physical response of porous bodies can not be compared to conventional models. Therefore throughout the experiment campaign, variation into the target material’s porosity and projectile density was examined. All in-situ measurements were recorded relative to the crater’s morphological profile and ejecta distribution. This occurred under increasing levels of acceleration, thereby validating that the experiment occurred within the crater dominated gravity regime. This paper details the programmatics issues of the initiative, experiences and lessons learnt from the student perspective. From its initial proof-of-concept the Spin Your Thesis campaign provided a solid foundation from the development of an experimental idea, enabling high scientific return and personal development

Repeatability and Two-Dimensionality of Model Scale Sloshing Impacts

Canonical test cases for sloshing wave impact problems are pre-sented and discussed. In these cases the experimental setup has been simpli?ed seeking the highest feasible repeatability; a rectangular tank subjected to harmonic roll motion has been the tested con?guration. Both lateral and roof impacts have been studied, since both cases are relevant in sloshing assessment and show speci?c dynamics. An analysis of the impact pressure of the ?rst four impact events is provided in all cases. It has been found that not in all cases a Gaussian ?tting of each individual peak is feasible. The tests have been conducted with both water and oil in order to obtain high and moderate Reynolds number data; the latter may be useful as simpler test cases to assess the capabilities of CFD codes in simulating sloshing impacts. The re-peatability of impact pressure values increases dramatically when using oil. In addition, a study of the two-dimensionality of the problem using a tank con?guration that can be adjusted to 4 di?erent thicknesses has been carried out. Though the kinemat-ics of the free surface does not change signi cantly in some of the cases, the impact pressure values of the ?rst impact events changes substantially from the small to the large aspect ratios thus meaning that attention has to be paid to this issue when reference data is used for validation of 2D and 3D CFD codes

BSE and the Dynamics of Beef Consumption: Influences of Habit and Trust

This study relates habit persistence and trust to recurring food safety incidents in the context of a series of three BSE incidents in Canada. We examined the dynamics of monthly beef expenditure shares of a sample of Canadian households for monthly time periods during year 2002 through 2005 using micro level panel data which followed meat expenditures by Canadian households before and after the first three BSE cases which were discovered in 2003 and 2005. Our results suggest that households’ reactions to the first three BSE events followed a similar general pattern: households reduced beef purchase expenditures following the discovery of BSE but these expenditures subsequently recovered, suggesting that concern diminished over time. Following the first BSE event, we identified an immediate negative impact on beef expenditures. However, in the case of the second and third BSE events, this negative impact was not evident until two months after these BSE announcements. In each of the three cases, the negative impact of BSE on beef purchase expenditures was limited to no more than four months. Assessment of how habit persistence affected beef expenditures indicates that this influence limited households reductions of beef purchases following the BSE events, but the effects of habit diminished subsequent to the initial event. Regarding the role of trust in shaping households’ reactions to BSE, we found that households’ respondents whose answers to standardized questions suggest that they are not “trusting” individuals were more sensitive to the food risks identified by the BSE events.BSE, habit, and trust, Demand and Price Analysis, Food Consumption/Nutrition/Food Safety,

Estimating the Market Effect of a Food Scare: The Case of Genetically Modified StarLink Corn

Genetic modification of crops has revolutionized food production, but it remains controversial due to food safety and environmental concerns. A recent food safety scare provides a natural experiment on the corn market's willingness to accept unapproved genetically modified organisms. In 2000, a genetically modified corn variety called StarLink was discovered in the food-corn supply, even though it was not approved for human consumption. To estimate the price impact of this event, we develop the relative price of a substitute method, which applies not only to the StarLink event but also to rare events in other markets. We apply this method to measure the price impact of the StarLink contamination on the U.S. corn market. We find that the contamination led to a 7 percent suppression of corn prices that lasted for at least a year.Food Consumption/Nutrition/Food Safety, Research and Development/Tech Change/Emerging Technologies, Q11, Q18, C22,

The Market Effect of a Food Scare: The Case of Genetically Modified StarLink Corn

Genetic modification of crops has revolutionized food production, but it remains controversial due to food safety concerns. A recent food safety scare provides a natural experiment on the market's willingness to accept an increase in perceived risk from genetically modified (GM) food. We analyze the market impact of contamination of the U.S. food-corn supply by a GM variety called StarLink. We find that the contamination led to a 6.8 percent discount in corn prices and that the suppression of prices lasted for at least a year.Food Consumption/Nutrition/Food Safety, Marketing,