Analysis of Break-Points in Financial Time Series

A time series is a set of random values collected at equal time intervals; this randomness makes these types of series not easy to predict because the structure of the series may change at any time. As discussed in previous research, the structure of time series may change at any time due to the change in mean and/or variance of the series. Consequently, based on this structure, it is wise not to assume that these series are stationary. This paper, discusses, a method of analyzing time series by considering the entire series non-stationary, assuming there is random change in unconditional mean and variance of the series. Specifically, this paper emphasizes financial time series. The main goal in this process is to break the series into small locally stationary time series on which stationary assumption applies. The most interesting part of this procedure is locating the break-points, where the unconditional mean and/or variance of the series change. After having found what the break-points are, we divide the series into smaller series according to the break points; the number of break-points determines how many small stationary time series we have. The analysis by this method considers each interval on which the series is stationary as an independent time series with its specific parameters. Hence, the overall time series that is naturally nonstationary is broken into small stationary time series that are easier to analyze. Afterwards, by using Bayesian Information Criterion (BIC) we are comparing the local stationary model to the model considering the entire series stationary. In a simulation study with known sample size, unconditional means and variances, for each small stationary series, the result shows that we can locate the exact true break-points when the sample size is greater than 500. After our simulation study, this method is also applied to the real data, S&P 500 series of returns, which is a financial time series. The results obtained by using Maximum Likelihood Estimation (MLE) show that BIC is smaller for the locally stationary model

The Simple Economics of Hog Marketing Reforms in Quebec

Hogs, marketing, vertical coordination, auctions, Industrial Organization, Livestock Production/Industries, Marketing,

On the Number of Balanced Words of Given Length and Height over a Two-Letter Alphabet

We exhibit a recurrence on the number of discrete line segments joining two integer points in the plane using an encoding of such segments as balanced words of given length and height over the two-letter alphabet $\{0,1\}$. We give generating functions and study the asymptotic behaviour. As a particular case, we focus on the symmetrical discrete segments which are encoded by balanced palindromes.Comment: 24 page

Improving Computation for Hierarchical Bayesian Spatial Gaussian Mixture Models with Application to the Analysis of THz image of Breast Tumor

In the first chapter of this dissertation we give a brief introduction to Markov chain Monte Carlo methods (MCMC) and their application in Bayesian inference. In particular, we discuss the Metropolis-Hastings and conjugate Gibbs algorithms and explore the computational underpinnings of these methods. The second chapter discusses how to incorporate spatial autocorrelation in linear a regression model with an emphasis on the computational framework for estimating the spatial correlation patterns. The third chapter starts with an overview of Gaussian mixture models (GMMs). However, because in the GMM framework the observations are assumed to be independent, GMMs are less effective when the mixture data exhibits spatial autocorrelation. To improve the performance of GMMs on spatially-correlated mixture data, chapter three describes a spatially correlated model that uses Gaussian process priors to account for the autocorrelation in the classifications. However, the inclusion of spatially correlated Gaussian processes results in a computational burden which is resolved by applying a P\`{o}lya-gamma data augmentation scheme that results in improved fit of the GMM in spatially correlated mixtures. Chapter three then compares the performance of the GMM and spatial GMM models on simulated data with and without spatial autocorrelation in the class labels. Both qualitative and quantitative model evaluation results support our assumption that the spatial GMM performs better when observation are spatially-autocorrelated. Chapter four applies the spatial Gaussian mixture model from chapter three to data obtained from ongoing work that aims to improve the accuracy in breast cancer margin assessment using THz imaging technology. In particular, the Bayesian estimate of uncertainty in the posterior probability from the spatial GMM shows promise in addressing the primary clinical question of determining the cancerous tumor margins

Categories, words and rules in language acquisition

Acquiring language requires learning a set of words (i.e. the lexicon) and abstract rules that combine them to form sentences (i.e. syntax). In this thesis, we show that infants acquiring their mother tongue rely on different speech categories to extract: words and to abstract regularities. We address this issue with a study that investigates how young infants use consonants and vowels, showing that certain computations are tuned to one or the other of these speech categories..

HST Observations of the QSO pair Q1026-0045A,B

The spatial distribution of the Ly$\alpha$ forest is studied using new HST data for the quasar pair Q~1026--0045 A and B at $z_{em}$ = 1.438 and 1.520 respectively. The angular separation is 36 arcsec and corresponds to transverse linear separations between lines of sight of $\sim300h^{-1}_{50}$ kpc ($q_{o}$ = 0.5) over the redshift range 0.833 < z < 1.438. From the observed numbers of coincident and anti-coincident Ly$\alpha$ absorption lines, we conclude that, at this redshift, the Ly$\alpha$ structures have typical dimensions of $\sim500h^{-1}_{50}$ kpc, larger than the mean separation of the two lines of sight. The velocity difference, $\Delta V$, between coincident lines is surprisingly small (4 and 8 pairs with $\Delta V < 50 and 200 km/s respectively). Metal line systems are present at$z_{abs}$= 1.2651 and 1.2969 in A,$z_{abs}$= 0.6320, 0.7090, 1.2651 and 1.4844 in B. In addition we tentatively identify a weak Mg II system at$z_{abs}$= 0.11 in B. It is remarkable that the$z_{abs}$= 1.2651 system is common to both lines of sight. The system at$z_{abs}$= 1.4844 There is a metal-poor associated system at$z_{abs}$= 1.4420 along the line of sight to A with complex velocity profile. We detect a strong Ly$\alpha$absorption along the line of sight to B redshifted by only 300 km/s relatively to the associated system. It is tempting to interpret this as the presence of a disk of radius larger than 300$h^{-1}_{50}$ kpc surrounding quasar A.Comment: 4 pages, 2 figures, A&A Letter acccepte

Out of nowhere: thought insertion, ownership and context-integration

We argue that thought insertion primarily involves a disruption of the sense of ownership for thoughts and that the lack of a sense of agency is but a consequence of this disruption. We defend the hypothesis that this disruption of the sense of ownership stems from a failure in the online integration of the contextual information related to a thought, in particular contextual information concerning the different causal factors that may be implicated in their production. Loss of unity of consciousness, manifested by incoherent subjective experiences is a general phenomenal characteristic of schizophrenia. This loss of coherence has been hypothesized to reflect a generalized deficit of contextual information integration not conveyed by, but related to, a target event. This deficit is manifested across many cognitive domains. We argue that it is also manifested in the process of thinking itself, resulting in causally decontextualized thoughts that are experienced as inserted thoughts

How to measure office blood pressure?

peer reviewedaudience: professional, studentLa mesure de la pression artérielle de façon classique repose toujours sur l’auscultation des bruits de Korotkoff. Devenue un geste banal, elle est souvent mal pratiquée et, donc, source d’erreurs dans l’estimation du niveau réel de pression d’un patient. Elle exige rigueur et précision pour être utile en pratique médicale quotidienne. Cette vignette à destination des étudiants veut rappeler les grands principes de la mesure de la pression artérielle au cabinet de consultation, mais aussi au domicile du patient.Routinely measuring blood pressure is still performed according to the auscultatory method using recognition of Korotkoff sounds. This usual technique is, however, often mishandled and is thus a source of error in the estimation of the true blood pressure level. Accuracy of such measure is, however, of paramount importance to be useful in daily medical practice. This methodology paper more specifically written for medical students recalls the essential principles of blood pressure measurement at the medical office, but also at home