Overestimation in the Traditional GARCH Model During Jump Periods

The traditional continuous and smooth models, like the GARCH model, may fail to capture extreme returns volatility. Therefore, this study applies the bivariate poisson (CBP)-GARCH model to study jump dynamics in price volatility of crude oil and heating oil during the past 20 years. The empirical results indicate that the variance and covariance of the GARCH and CBP-GARCH models were found to be similar in low jump intensity periods and to diverge during jump events. Significant overestimations occur during high jump time periods in the GARCH model because of assumptions of continuity, and easily leading to excessive hedging and overly measuring risk. Nevertheless, in the CBP-GARCH model, the specific shocks are assumed to be independent of normal volatility and to reduce the persistence of abnormal volatility. Therefore, the CBP-GARCH model is appropriate and necessary in high volatility markets.Jumps Overestimation Volatility CBP-GARCH model

Fast k-means based on KNN Graph

In the era of big data, k-means clustering has been widely adopted as a basic processing tool in various contexts. However, its computational cost could be prohibitively high as the data size and the cluster number are large. It is well known that the processing bottleneck of k-means lies in the operation of seeking closest centroid in each iteration. In this paper, a novel solution towards the scalability issue of k-means is presented. In the proposal, k-means is supported by an approximate k-nearest neighbors graph. In the k-means iteration, each data sample is only compared to clusters that its nearest neighbors reside. Since the number of nearest neighbors we consider is much less than k, the processing cost in this step becomes minor and irrelevant to k. The processing bottleneck is therefore overcome. The most interesting thing is that k-nearest neighbor graph is constructed by iteratively calling the fast $k$-means itself. Comparing with existing fast k-means variants, the proposed algorithm achieves hundreds to thousands times speed-up while maintaining high clustering quality. As it is tested on 10 million 512-dimensional data, it takes only 5.2 hours to produce 1 million clusters. In contrast, to fulfill the same scale of clustering, it would take 3 years for traditional k-means

Counting Value Sets: Algorithm and Complexity

Let $p$ be a prime. Given a polynomial in \F_{p^m}[x] of degree $d$ over the finite field \F_{p^m}, one can view it as a map from \F_{p^m} to \F_{p^m}, and examine the image of this map, also known as the value set. In this paper, we present the first non-trivial algorithm and the first complexity result on computing the cardinality of this value set. We show an elementary connection between this cardinality and the number of points on a family of varieties in affine space. We then apply Lauder and Wan's $p$-adic point-counting algorithm to count these points, resulting in a non-trivial algorithm for calculating the cardinality of the value set. The running time of our algorithm is $(pmd)^{O(d)}$. In particular, this is a polynomial time algorithm for fixed $d$ if $p$ is reasonably small. We also show that the problem is #P-hard when the polynomial is given in a sparse representation, $p=2$, and $m$ is allowed to vary, or when the polynomial is given as a straight-line program, $m=1$ and $p$ is allowed to vary. Additionally, we prove that it is NP-hard to decide whether a polynomial represented by a straight-line program has a root in a prime-order finite field, thus resolving an open problem proposed by Kaltofen and Koiran in \cite{Kaltofen03,KaltofenKo05}