Dynamic Time Warping as a Similarity Measure: Applications in Finance

This paper presents the basic DTW-algorithm and the manner it can be used as a similarity measure for two different series that might differ in length. Through a simulation process it is being showed the relation of DTW-based similarity measure, dubbed ?_DTW, with two other celebrated measures, that of the Pearson’s and Spearman’s correlation coefficients. In particular, it is shown that ?_DTW takes lower (greater) values when other two measures are great (low) in absolute terms. In addition a dataset composed by 8 financial indices was used, and two applications of the aforementioned measure are presented. First, through a rolling basis, the evolution of ?_DTW has been examined along with the Pearson’s correlation and the volatility. Results showed that in periods of high (low) volatility similarities within the examined series increase (decrease). Second, a comparison of the mean similarities across different classes of months is being carried. Results vary, however a statistical significant greater similarity within Aprils is being reported compared to other months, especially for the CAC 40, IBEX 35 and FTSE MIB indices

How Cool is C.O.O.L.?

This paper develops a partial equilibrium model of a small open-economy producing and trading an unsafe product that is supplied by perfectly competitive producers. The presence of product safety considerations, in this case risks to health, introduces a wedge between the market prices producers receive and the higher risk-adjusted prices consumers respond to. The size of the wedge depends positively on the per-unit cost of illness and the proportion of unsafe units embodied in the parent risky product. The model is used to analyze the welfare effects of trade with and without a country-of-origin labeling (COOL) program. Assuming imports are less safe than domestic production, the welfare gains from trade in the absence of COOL are ambiguous and may justify the imposition of a trade ban. Even if a full ban does not improve welfare, some restriction of trade is always welfare-enhancing. These outcomes derive from an informational distortion that prevents consumers from distinguishing the different country-specific risks embodied in the foreign and domestic products resulting in a pooling equilibrium. The presence of a COOL program removes the informational distortion and generates a welfare maximizing separating equilibrium in which the safer (domestic) product commands a higher market price. In the presence of a COOL program, more trade caused by a reduction in protection is better than less trade.country-of-origin labeling, protection, product safety, welfare, Food Consumption/Nutrition/Food Safety, International Relations/Trade, F10, F13, L15,

The Effect of Increased Energy Prices on Agriculture: A Differential Supply Approach

The increase in energy prices between 2004 and 2007 has several potential consequences for aggregate agriculture in the U.S. We estimate the derived input demand elasticities for energy as well as capital, labor, and materials using the differential supply formulation. Given that the derived input demand for energy is inelastic, it is more price-responsive than the other inputs. The results also indicate that the U.S. aggregate agricultural supply function is responsive to energy prices.differential input demand, concavity constrained, energy, Agribusiness, Agricultural Finance, Demand and Price Analysis, Financial Economics, Industrial Organization, Labor and Human Capital, Land Economics/Use, Marketing, Production Economics, Productivity Analysis, Research Methods/ Statistical Methods, C30, Q11, Q42,

Estimation of Production Functions using Average Data

Agricultural economists rely on aggregated data at various levels depending on data availability and the econometric techniques employed. However, the implication of aggregation on economic relationships remains an open question. To examine the impact of aggregation on estimation, Monte Carlo techniques and data are employed on production practices.Research Methods/ Statistical Methods,

Impact of Capital Gains and Urban Pressure on Farmland Values: A Spatial Correlation Analysis

Farmland is a major component of wealth in the farm sector as well as wealth of farm households. This study contributes to our knowledge of variations in farmland prices by examining the extent to which farmland values are spatially correlated and to what extent that this spatial correlation can be explained by income to farmland.land values, spatial correlation, Land Economics/Use,

Urban Sprawl and Farmland Prices

A theoretical model of farmland valuation is developed that allows urban sprawl to affect farmland values through the conversion of farmland to urban uses, shifts in production to higher-valued crops, and the speculative effect of urban pressure on farmland values. This model is estimated using county level data in the continental United States. Evidence is found for all three effects of urban sprawl on farmland values, with a significant contribution of urban pressure on net agricultural returns around major urban centers. Ancillary evidence supports that the latter effect is attributable to shifts to high-valued crops.hedonic determinants, land prices, spatial productivity, urban sprawl, Land Economics/Use, R14, Q15, D24, C33,

Protective Microbiota: From Localized to Long-Reaching Co-Immunity

Resident microbiota do not just shape host immunity, they can also contribute to host protection against pathogens and infectious diseases. Previous reviews of the protective roles of the microbiota have focused exclusively on colonization resistance localized within a microenvironment. This review shows that the protection against pathogens also involves the mitigation of pathogenic impact without eliminating the pathogens (i.e., “disease tolerance”) and the containment of microorganisms to prevent pathogenic spread. Protective microorganisms can have an impact beyond their niche, interfering with the entry, establishment, growth, and spread of pathogenic microorganisms. More fundamentally, we propose a series of conceptual clarifications in support of the idea of a “co-immunity,” where an organism is protected by both its own immune system and components of its microbiota

Genome-Wide SNP-genotyping array to study the evolution of the human pathogen Vibrio vulnificus Biotype 3

Vibrio vulnificus is an aquatic bacterium and an important human pathogen. Strains Of V. vulnificus are classified into three different biotypes. The newly emerged biotype 3 has been found to be clonal and restricted to Israel. In the family Vibrionaceae , horizontal gene transfer is the main mechanism responsible for the emergence of new pathogen groups. To better understand the evolution of the bacterium, and in particular to trace the evolution of biotype 3, we performed genome-wide SNP genotyping of 254 clinical and environmental V. vulnificus isolates with worldwide distribution recovered over a 30-year period, representing all phylogeny groups. A custom single-nucleotide polymorphism (SNP) array implemented on the Illumina GoldenGate platform was developed based on 570 SNPs randomly distributed throughout the genome. In general, the genotyping results divided the V. vulnificus species into three main phylogenetic lineages and an additional subgroup, clade B, consisting of environmental and clinical isolates from Israel. Data analysis suggested that 69% of biotype 3 SNPs are similar to SNPs from clade B, indicating that biotype 3 and clade B have a common ancestor. The rest of the biotype 3 SNPs were scattered along the biotype 3 genome, probably representing multiple chromosomal segments that may have been horizontally inserted into the clade B recipient core genome from other phylogroups or bacterial species sharing the same ecological niche. Results emphasize the continuous evolution of V. vulnificus and support the emergence of new pathogenic groups within this species as a recurrent phenomenon. Our findings contribute to a broader understanding of the evolution of this human pathogen

Epidemiologic Study of Vibrio vulnificus Infections by Using Variable Number Tandem Repeats

A 3-year environmental and clinical Vibrio vulnificus survey using simple-sequence repeats typing shows that V. vulnificus biotype 3 constitutes ≈21% of the bacterium population in tested aquaculture ponds as opposed to ≈86% of clinical cases. Simple-sequence repeats proved to be a useful epidemiologic tool, providing information on the environmental source of the pathogen