Copula-based dynamic conditional correlation multiplicative error processes : [Version 18 April 2013]

We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables revealing time-varying conditional variances and correlations. Modeling the variables’ conditional mean processes using a multiplicative error model we map the resulting residuals into a Gaussian domain using a Gaussian copula. Based on high-frequency volatility, cumulative trading volumes, trade counts and market depth of various stocks traded at the NYSE, we show that the proposed copula-based transformation is supported by the data and allows capturing (multivariate) dynamics in higher order moments. The latter are modeled using a DCC-GARCH specification. We suggest estimating the model by composite maximum likelihood which is sufficiently flexible to be applicable in high dimensions. Strong empirical evidence for time-varying conditional (co-)variances in trading processes supports the usefulness of the approach. Taking these higher-order dynamics explicitly into account significantly improves the goodness-of-fit of the multiplicative error model and allows capturing time-varying liquidity risks

Exact and Asymptotic Tests on a Factor Model in Low and Large Dimensions with Applications

In the paper, we suggest three tests on the validity of a factor model which can be applied for both small dimensional and large dimensional data. Both the exact and asymptotic distributions of the resulting test statistics are derived under classical and high-dimensional asymptotic regimes. It is shown that the critical values of the proposed tests can be calibrated empirically by generating a sample from the inverse Wishart distribution with identity parameter matrix. The powers of the suggested tests are investigated by means of simulations. The results of the simulation study are consistent with the theoretical findings and provide general recommendations about the application of each of the three tests. Finally, the theoretical results are applied to two real data sets, which consist of returns on stocks from the DAX index and on stocks from the S&P 500 index. Our empirical results do not support the hypothesis that all linear dependencies between the returns can be entirely captured by the factors considered in the paper

On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability

In this paper we derive the exact solution of the multi-period portfolio choice problem for an exponential utility function under return predictability. It is assumed that the asset returns depend on predictable variables and that the joint random process of the asset returns and the predictable variables follow a vector autoregressive process. We prove that the optimal portfolio weights depend on the covariance matrices of the next two periods and the conditional mean vector of the next period. The case without predictable variables and the case of independent asset returns are partial cases of our solution. Furthermore, we provide an empirical study where the cumulative empirical distribution function of the investor's wealth is calculated using the exact solution. It is compared with the investment strategy obtained under the additional assumption that the asset returns are independently distributed.Comment: 16 pages, 2 figure

Targeting HIV-related Medication Side Effects and Sentiment Using Twitter Data

We present a descriptive analysis of Twitter data. Our study focuses on extracting the main side effects associated with HIV treatments. The crux of our work was the identification of personal tweets referring to HIV. We summarize our results in an infographic aimed at the general public. In addition, we present a measure of user sentiment based on hand-rated tweets

Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions

In this paper we consider the asymptotic distributions of functionals of the sample covariance matrix and the sample mean vector obtained under the assumption that the matrix of observations has a matrix-variate location mixture of normal distributions. The central limit theorem is derived for the product of the sample covariance matrix and the sample mean vector. Moreover, we consider the product of the inverse sample covariance matrix and the mean vector for which the central limit theorem is established as well. All results are obtained under the large-dimensional asymptotic regime where the dimension $p$ and the sample size $n$ approach to infinity such that $p/n\to c\in[0 , +\infty)$ when the sample covariance matrix does not need to be invertible and $p/n\to c\in [0, 1)$ otherwise.Comment: 30 pages, 8 figures, 1st revisio

Relationship Between Social Intelligence Level and Accentuations of Adolescents’ Character

Introduction. The research is aimed at analysing the nature of the relationship between the social intelligence level and the type of accentuation of the personality of adolescents. This relationship is a problem because no fundamental research has been done on it, although its social significance is extremely high. After all,the weight of evidence suggests that personality accentuations are not simply connected with just social intelligence but perhaps are its determining factor. Social intelligence development provides a condition for success in both social adaptation and interpersonal interaction. This especially concerns adolescents, in whom accentuations determine both the way to overcome puberty crises—and acute affective reactions—and—especially—the situation in the system of interpersonal relationships. Methodology and methods. The comparative analysis is used. The authors compare the results of their own research into adolescents and school children aged 13–14 with the reference data. Specific empirical methods: Guildford’s social intelligence method, a modified questionnaire to identify the types of character accentuations among Lichko’s adolescents. Results. Adolescents with a labile and sensitive accentuation have a better ability to foresee the consequences of behaviour based on a real situation analysis. However, in the case of the labile type, this is due to adequate self-esteem, and in the case of the sensitive type this is due to the desire to avoid conflicts. An excitable type of accentuation adversely affects the level of development of the ability to assess the non-verbal behaviour. Adolescents with the demonstrative accentuation are able to better understand the speech expression ofother people and correctly build their verbal behaviour. Among girls, the hypertemic and demonstrative accentuations are significantly more common than that in boys. Conclusion. Knowing the peculiarities of the interrelation between accentuations of the individual and social intelligence makes it possible to achieve the development of the latter by smoothing accentuations. Keywords: social intelligence, character accentuation, adolescenc