2,214 research outputs found
Stochastic kinetic models: Dynamic independence, modularity and graphs
The dynamic properties and independence structure of stochastic kinetic
models (SKMs) are analyzed. An SKM is a highly multivariate jump process used
to model chemical reaction networks, particularly those in biochemical and
cellular systems. We identify SKM subprocesses with the corresponding counting
processes and propose a directed, cyclic graph (the kinetic independence graph
or KIG) that encodes the local independence structure of their conditional
intensities. Given a partition of the vertices, the graphical
separation in the undirected KIG has an intuitive chemical
interpretation and implies that is locally independent of given . It is proved that this separation also results in global independence of
the internal histories of and conditional on a history of the jumps in
which, under conditions we derive, corresponds to the internal history of
. The results enable mathematical definition of a modularization of an SKM
using its implied dynamics. Graphical decomposition methods are developed for
the identification and efficient computation of nested modularizations.
Application to an SKM of the red blood cell advances understanding of this
biochemical system.Comment: Published in at http://dx.doi.org/10.1214/09-AOS779 the Annals of
Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical
Statistics (http://www.imstat.org
Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models
A continuous time econometric modelling framework for multivariate market event (or 'transactions') data is developed in which the model is specified via the vector stochastic intensity. This has the advantage that the conditioning sigma-field is updated continuously in time as new information arrives. We introduce the class of generalised Hawkes models which allow the estimation of the dependence of the intensity on the events of previous trading days. Analytic likelihoods are available and we show how to construct diagnostic tests based on the transformation of non-Poisson processes into standard Poisson processes using random changes of time scale. A proof of the validity of the diagnostic testing procedures is given that imposes only a very weak condition on the point process model, thus establishing their widespread applicability. A continuous time bivariate point process model of the timing of trades and mid-quote changes is presented for a NYSE stock and the empirical findings are related to the theoretical and empirical market microstructure literature.Point and counting processes, intensity, multivariate, diagnostics, goodness of fit, specification tests, change of timescale, transactions data, NYSE, NASDAQ, market microstructure
Have multibank holding companies affected commercial bank performance?
Bank holding companies
Downturn remains mild
Economic conditions - United States ; Inflation (Finance)
1972 - a year of rapid economic expansion
Economic conditions - United States
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