On the use of nearest neighbors in finance

The paper focuses on the conditions of the use of the nearest neighbors method analysing the impact of the Euclidean distance and in sample predictions, the choice of the neighbors, the number of neighbors and the distance between the neighbors.Nearest neighbors – Forecasting

Optimal surface salinity perturbations of the meridional overturning and heat transport in a global ocean general circulation model

Recent observations and modeling studies have stressed the influence of surface salinity perturbations on the North Atlantic circulation over the past few decades. As a step toward the estimation of the sensitivity of the thermohaline circulation to salinity anomalies, optimal initial surface salinity perturbations are computed and described for a realistic mean state of a global ocean general circulation model [Océan Parallélisé (OPA)]; optimality is defined successively with respect to the meridional overturning circulation intensity and the meridional heat transport maximum. Although the system is asymptotically stable, the nonnormality of the dynamics is able to produce a transient growth through an initial stimulation. Optimal perturbations are calculated subject to three constraints: the perturbation applies to surface salinity; the perturbation conserves the global salt content; and the perturbation is normalized, to remove the degeneracy in the linear maximization problem. Maximization using Lagrangian multipliers leads to explicit solutions (rather than eigenvalue problems), involving the integration of the model adjoint for each value to maximize.The most efficient transient growth for the intensity of the meridional overturning circulation appears for a delay of 10.5 yr after the perturbation by the optimal surface salinity anomaly. This optimal growth is induced by an initial anomaly located north of 50°N. In the same way, the most efficient transient growth for the intensity of the meridional heat transport appears for a shorter delay of 2.2 yr after the perturbation by the optimal surface salinity anomaly. This initial optimal perturbation corresponds to a zonal salinity gradient around 24°N. The optimal surface salinity perturbations studied herein yield upper bounds on the intensity of the response in meridional overturning circulation and meridional heat transport. Using typical amplitudes of the Great Salinity Anomalies, the upper bounds for the associated variability are 0.8 Sv (1 Sv ? 106 m3 s?1) (11% of the mean circulation) and 0.03 PW (5% of the mean circulation), respectively

Quantum optical coherence can survive photon losses: a continuous-variable quantum erasure correcting code

A fundamental requirement for enabling fault-tolerant quantum information processing is an efficient quantum error-correcting code (QECC) that robustly protects the involved fragile quantum states from their environment. Just as classical error-correcting codes are indispensible in today's information technologies, it is believed that QECC will play a similarly crucial role in tomorrow's quantum information systems. Here, we report on the first experimental demonstration of a quantum erasure-correcting code that overcomes the devastating effect of photon losses. Whereas {\it errors} translate, in an information theoretic language, the noise affecting a transmission line, {\it erasures} correspond to the in-line probabilistic loss of photons. Our quantum code protects a four-mode entangled mesoscopic state of light against erasures, and its associated encoding and decoding operations only require linear optics and Gaussian resources. Since in-line attenuation is generally the strongest limitation to quantum communication, much more than noise, such an erasure-correcting code provides a new tool for establishing quantum optical coherence over longer distances. We investigate two approaches for circumventing in-line losses using this code, and demonstrate that both approaches exhibit transmission fidelities beyond what is possible by classical means.Comment: 5 pages, 4 figure

Cdc42 promotes transendothelial migration of cancer cells through β1 integrin.

Cancer cells interact with endothelial cells during the process of metastatic spreading. Here, we use a small interfering RNA screen targeting Rho GTPases in cancer cells to identify Cdc42 as a critical regulator of cancer cell-endothelial cell interactions and transendothelial migration. We find that Cdc42 regulates β1 integrin expression at the transcriptional level via the transcription factor serum response factor (SRF). β1 integrin is the main target for Cdc42-mediating interaction of cancer cells with endothelial cells and the underlying extracellular matrix, as exogenous β1 integrin expression was sufficient to rescue the Cdc42-silencing phenotype. We show that Cdc42 was required in vivo for cancer cell spreading and protrusion extension along blood vessels and retention in the lungs. Interestingly, transient Cdc42 depletion was sufficient to decrease experimental lung metastases, which suggests that its role in endothelial attachment is important for metastasis. By identifying β1 integrin as a transcriptional target of Cdc42, our results provide new insight into Cdc42 function

Human Practice. Digital Ecologies. Our Future. : 14. Internationale Tagung Wirtschaftsinformatik (WI 2019) : Tagungsband

Erschienen bei: universi - Universitätsverlag Siegen. - ISBN: 978-3-96182-063-4Aus dem Inhalt: Track 1: Produktion & Cyber-Physische Systeme Requirements and a Meta Model for Exchanging Additive Manufacturing Capacities Service Systems, Smart Service Systems and Cyber- Physical Systems—What’s the difference? Towards a Unified Terminology Developing an Industrial IoT Platform – Trade-off between Horizontal and Vertical Approaches Machine Learning und Complex Event Processing: Effiziente Echtzeitauswertung am Beispiel Smart Factory Sensor retrofit for a coffee machine as condition monitoring and predictive maintenance use case Stakeholder-Analyse zum Einsatz IIoT-basierter Frischeinformationen in der Lebensmittelindustrie Towards a Framework for Predictive Maintenance Strategies in Mechanical Engineering - A Method-Oriented Literature Analysis Development of a matching platform for the requirement-oriented selection of cyber physical systems for SMEs Track 2: Logistic Analytics An Empirical Study of Customers’ Behavioral Intention to Use Ridepooling Services – An Extension of the Technology Acceptance Model Modeling Delay Propagation and Transmission in Railway Networks What is the impact of company specific adjustments on the acceptance and diffusion of logistic standards? Robust Route Planning in Intermodal Urban Traffic Track 3: Unternehmensmodellierung & Informationssystemgestaltung (Enterprise Modelling & Information Systems Design) Work System Modeling Method with Different Levels of Specificity and Rigor for Different Stakeholder Purposes Resolving Inconsistencies in Declarative Process Models based on Culpability Measurement Strategic Analysis in the Realm of Enterprise Modeling – On the Example of Blockchain-Based Initiatives for the Electricity Sector Zwischenbetriebliche Integration in der Möbelbranche: Konfigurationen und Einflussfaktoren Novices’ Quality Perceptions and the Acceptance of Process Modeling Grammars Entwicklung einer Definition für Social Business Objects (SBO) zur Modellierung von Unternehmensinformationen Designing a Reference Model for Digital Product Configurators Terminology for Evolving Design Artifacts Business Role-Object Specification: A Language for Behavior-aware Structural Modeling of Business Objects Generating Smart Glasses-based Information Systems with BPMN4SGA: A BPMN Extension for Smart Glasses Applications Using Blockchain in Peer-to-Peer Carsharing to Build Trust in the Sharing Economy Testing in Big Data: An Architecture Pattern for a Development Environment for Innovative, Integrated and Robust Applications Track 4: Lern- und Wissensmanagement (e-Learning and Knowledge Management) eGovernment Competences revisited – A Literature Review on necessary Competences in a Digitalized Public Sector Say Hello to Your New Automated Tutor – A Structured Literature Review on Pedagogical Conversational Agents Teaching the Digital Transformation of Business Processes: Design of a Simulation Game for Information Systems Education Conceptualizing Immersion for Individual Learning in Virtual Reality Designing a Flipped Classroom Course – a Process Model The Influence of Risk-Taking on Knowledge Exchange and Combination Gamified Feedback durch Avatare im Mobile Learning Alexa, Can You Help Me Solve That Problem? - Understanding the Value of Smart Personal Assistants as Tutors for Complex Problem Tasks Track 5: Data Science & Business Analytics Matching with Bundle Preferences: Tradeoff between Fairness and Truthfulness Applied image recognition: guidelines for using deep learning models in practice Yield Prognosis for the Agrarian Management of Vineyards using Deep Learning for Object Counting Reading Between the Lines of Qualitative Data – How to Detect Hidden Structure Based on Codes Online Auctions with Dual-Threshold Algorithms: An Experimental Study and Practical Evaluation Design Features of Non-Financial Reward Programs for Online Reviews: Evaluation based on Google Maps Data Topic Embeddings – A New Approach to Classify Very Short Documents Based on Predefined Topics Leveraging Unstructured Image Data for Product Quality Improvement Decision Support for Real Estate Investors: Improving Real Estate Valuation with 3D City Models and Points of Interest Knowledge Discovery from CVs: A Topic Modeling Procedure Online Product Descriptions – Boost for your Sales? Entscheidungsunterstützung durch historienbasierte Dienstreihenfolgeplanung mit Pattern A Semi-Automated Approach for Generating Online Review Templates Machine Learning goes Measure Management: Leveraging Anomaly Detection and Parts Search to Improve Product-Cost Optimization Bedeutung von Predictive Analytics für den theoretischen Erkenntnisgewinn in der IS-Forschung Track 6: Digitale Transformation und Dienstleistungen Heuristic Theorizing in Software Development: Deriving Design Principles for Smart Glasses-based Systems Mirroring E-service for Brick and Mortar Retail: An Assessment and Survey Taxonomy of Digital Platforms: A Platform Architecture Perspective Value of Star Players in the Digital Age Local Shopping Platforms – Harnessing Locational Advantages for the Digital Transformation of Local Retail Outlets: A Content Analysis A Socio-Technical Approach to Manage Analytics-as-a-Service – Results of an Action Design Research Project Characterizing Approaches to Digital Transformation: Development of a Taxonomy of Digital Units Expectations vs. Reality – Benefits of Smart Services in the Field of Tension between Industry and Science Innovation Networks and Digital Innovation: How Organizations Use Innovation Networks in a Digitized Environment Characterising Social Reading Platforms— A Taxonomy-Based Approach to Structure the Field Less Complex than Expected – What Really Drives IT Consulting Value Modularity Canvas – A Framework for Visualizing Potentials of Service Modularity Towards a Conceptualization of Capabilities for Innovating Business Models in the Industrial Internet of Things A Taxonomy of Barriers to Digital Transformation Ambidexterity in Service Innovation Research: A Systematic Literature Review Design and success factors of an online solution for cross-pillar pension information Track 7: IT-Management und -Strategie A Frugal Support Structure for New Software Implementations in SMEs How to Structure a Company-wide Adoption of Big Data Analytics The Changing Roles of Innovation Actors and Organizational Antecedents in the Digital Age Bewertung des Kundennutzens von Chatbots für den Einsatz im Servicedesk Understanding the Benefits of Agile Software Development in Regulated Environments Are Employees Following the Rules? On the Effectiveness of IT Consumerization Policies Agile and Attached: The Impact of Agile Practices on Agile Team Members’ Affective Organisational Commitment The Complexity Trap – Limits of IT Flexibility for Supporting Organizational Agility in Decentralized Organizations Platform Openness: A Systematic Literature Review and Avenues for Future Research Competence, Fashion and the Case of Blockchain The Digital Platform Otto.de: A Case Study of Growth, Complexity, and Generativity Track 8: eHealth & alternde Gesellschaft Security and Privacy of Personal Health Records in Cloud Computing Environments – An Experimental Exploration of the Impact of Storage Solutions and Data Breaches Patientenintegration durch Pfadsysteme Digitalisierung in der Stressprävention – eine qualitative Interviewstudie zu Nutzenpotenzialen User Dynamics in Mental Health Forums – A Sentiment Analysis Perspective Intent and the Use of Wearables in the Workplace – A Model Development Understanding Patient Pathways in the Context of Integrated Health Care Services - Implications from a Scoping Review Understanding the Habitual Use of Wearable Activity Trackers On the Fit in Fitness Apps: Studying the Interaction of Motivational Affordances and Users’ Goal Orientations in Affecting the Benefits Gained Gamification in Health Behavior Change Support Systems - A Synthesis of Unintended Side Effects Investigating the Influence of Information Incongruity on Trust-Relations within Trilateral Healthcare Settings Track 9: Krisen- und Kontinuitätsmanagement Potentiale von IKT beim Ausfall kritischer Infrastrukturen: Erwartungen, Informationsgewinnung und Mediennutzung der Zivilbevölkerung in Deutschland Fake News Perception in Germany: A Representative Study of People’s Attitudes and Approaches to Counteract Disinformation Analyzing the Potential of Graphical Building Information for Fire Emergency Responses: Findings from a Controlled Experiment Track 10: Human-Computer Interaction Towards a Taxonomy of Platforms for Conversational Agent Design Measuring Service Encounter Satisfaction with Customer Service Chatbots using Sentiment Analysis Self-Tracking and Gamification: Analyzing the Interplay of Motivations, Usage and Motivation Fulfillment Erfolgsfaktoren von Augmented-Reality-Applikationen: Analyse von Nutzerrezensionen mit dem Review-Mining-Verfahren Designing Dynamic Decision Support for Electronic Requirements Negotiations Who is Stressed by Using ICTs? A Qualitative Comparison Analysis with the Big Five Personality Traits to Understand Technostress Walking the Middle Path: How Medium Trade-Off Exposure Leads to Higher Consumer Satisfaction in Recommender Agents Theory-Based Affordances of Utilitarian, Hedonic and Dual-Purposed Technologies: A Literature Review Eliciting Customer Preferences for Shopping Companion Apps: A Service Quality Approach The Role of Early User Participation in Discovering Software – A Case Study from the Context of Smart Glasses The Fluidity of the Self-Concept as a Framework to Explain the Motivation to Play Video Games Heart over Heels? An Empirical Analysis of the Relationship between Emotions and Review Helpfulness for Experience and Credence Goods Track 11: Information Security and Information Privacy Unfolding Concerns about Augmented Reality Technologies: A Qualitative Analysis of User Perceptions To (Psychologically) Own Data is to Protect Data: How Psychological Ownership Determines Protective Behavior in a Work and Private Context Understanding Data Protection Regulations from a Data Management Perspective: A Capability-Based Approach to EU-GDPR On the Difficulties of Incentivizing Online Privacy through Transparency: A Qualitative Survey of the German Health Insurance Market What is Your Selfie Worth? A Field Study on Individuals’ Valuation of Personal Data Justification of Mass Surveillance: A Quantitative Study An Exploratory Study of Risk Perception for Data Disclosure to a Network of Firms Track 12: Umweltinformatik und nachhaltiges Wirtschaften Kommunikationsfäden im Nadelöhr – Fachliche Prozessmodellierung der Nachhaltigkeitskommunikation am Kapitalmarkt Potentiale und Herausforderungen der Materialflusskostenrechnung Computing Incentives for User-Based Relocation in Carsharing Sustainability’s Coming Home: Preliminary Design Principles for the Sustainable Smart District Substitution of hazardous chemical substances using Deep Learning and t-SNE A Hierarchy of DSMLs in Support of Product Life-Cycle Assessment A Survey of Smart Energy Services for Private Households Door-to-Door Mobility Integrators as Keystone Organizations of Smart Ecosystems: Resources and Value Co-Creation – A Literature Review Ein Entscheidungsunterstützungssystem zur ökonomischen Bewertung von Mieterstrom auf Basis der Clusteranalyse Discovering Blockchain for Sustainable Product-Service Systems to enhance the Circular Economy Digitale Rückverfolgbarkeit von Lebensmitteln: Eine verbraucherinformatische Studie Umweltbewusstsein durch audiovisuelles Content Marketing? Eine experimentelle Untersuchung zur Konsumentenbewertung nachhaltiger Smartphones Towards Predictive Energy Management in Information Systems: A Research Proposal A Web Browser-Based Application for Processing and Analyzing Material Flow Models using the MFCA Methodology Track 13: Digital Work - Social, mobile, smart On Conversational Agents in Information Systems Research: Analyzing the Past to Guide Future Work The Potential of Augmented Reality for Improving Occupational First Aid Prevent a Vicious Circle! The Role of Organizational IT-Capability in Attracting IT-affine Applicants Good, Bad, or Both? Conceptualization and Measurement of Ambivalent User Attitudes Towards AI A Case Study on Cross-Hierarchical Communication in Digital Work Environments ‘Show Me Your People Skills’ - Employing CEO Branding for Corporate Reputation Management in Social Media A Multiorganisational Study of the Drivers and Barriers of Enterprise Collaboration Systems-Enabled Change The More the Merrier? The Effect of Size of Core Team Subgroups on Success of Open Source Projects The Impact of Anthropomorphic and Functional Chatbot Design Features in Enterprise Collaboration Systems on User Acceptance Digital Feedback for Digital Work? Affordances and Constraints of a Feedback App at InsurCorp The Effect of Marker-less Augmented Reality on Task and Learning Performance Antecedents for Cyberloafing – A Literature Review Internal Crowd Work as a Source of Empowerment - An Empirical Analysis of the Perception of Employees in a Crowdtesting Project Track 14: Geschäftsmodelle und digitales Unternehmertum Dividing the ICO Jungle: Extracting and Evaluating Design Archetypes Capturing Value from Data: Exploring Factors Influencing Revenue Model Design for Data-Driven Services Understanding the Role of Data for Innovating Business Models: A System Dynamics Perspective Business Model Innovation and Stakeholder: Exploring Mechanisms and Outcomes of Value Creation and Destruction Business Models for Internet of Things Platforms: Empirical Development of a Taxonomy and Archetypes Revitalizing established Industrial Companies: State of the Art and Success Principles of Digital Corporate Incubators When 1+1 is Greater than 2: Concurrence of Additional Digital and Established Business Models within Companies Special Track 1: Student Track Investigating Personalized Price Discrimination of Textile-, Electronics- and General Stores in German Online Retail From Facets to a Universal Definition – An Analysis of IoT Usage in Retail Is the Technostress Creators Inventory Still an Up-To-Date Measurement Instrument? Results of a Large-Scale Interview Study Application of Media Synchronicity Theory to Creative Tasks in Virtual Teams Using the Example of Design Thinking TrustyTweet: An Indicator-based Browser-Plugin to Assist Users in Dealing with Fake News on Twitter Application of Process Mining Techniques to Support Maintenance-Related Objectives How Voice Can Change Customer Satisfaction: A Comparative Analysis between E-Commerce and Voice Commerce Business Process Compliance and Blockchain: How Does the Ethereum Blockchain Address Challenges of Business Process Compliance? Improving Business Model Configuration through a Question-based Approach The Influence of Situational Factors and Gamification on Intrinsic Motivation and Learning Evaluation von ITSM-Tools für Integration und Management von Cloud-Diensten am Beispiel von ServiceNow How Software Promotes the Integration of Sustainability in Business Process Management Criteria Catalog for Industrial IoT Platforms from the Perspective of the Machine Tool Industry Special Track 3: Demos & Prototyping Privacy-friendly User Location Tracking with Smart Devices: The BeaT Prototype Application-oriented robotics in nursing homes Augmented Reality for Set-up Processe Mixed Reality for supporting Remote-Meetings Gamification zur Motivationssteigerung von Werkern bei der Betriebsdatenerfassung Automatically Extracting and Analyzing Customer Needs from Twitter: A “Needmining” Prototype GaNEsHA: Opportunities for Sustainable Transportation in Smart Cities TUCANA: A platform for using local processing power of edge devices for building data-driven services Demonstrator zur Beschreibung und Visualisierung einer kritischen Infrastruktur Entwicklung einer alltagsnahen persuasiven App zur Bewegungsmotivation für ältere Nutzerinnen und Nutzer A browser-based modeling tool for studying the learning of conceptual modeling based on a multi-modal data collection approach Exergames & Dementia: An interactive System for People with Dementia and their Care-Network Workshops Workshop Ethics and Morality in Business Informatics (Workshop Ethik und Moral in der Wirtschaftsinformatik – EMoWI’19) Model-Based Compliance in Information Systems - Foundations, Case Description and Data Set of the MobIS-Challenge for Students and Doctoral Candidates Report of the Workshop on Concepts and Methods of Identifying Digital Potentials in Information Management Control of Systemic Risks in Global Networks - A Grand Challenge to Information Systems Research Die Mitarbeiter von morgen - Kompetenzen künftiger Mitarbeiter im Bereich Business Analytics Digitaler Konsum: Herausforderungen und Chancen der Verbraucherinformati

On the use of nearest neighbors in finance

International audienceThe paper focuses on the conditions of the use of the nearest neighbors method analysing the impact of the Euclidean distance and in sample predictions, the choice of the neighbors, the number of neighbors and the distance between the neighbors

Pairs trading: does volatility timing matter?

online novembre 2014 compté en 2014International audiencePairs trading is a dollar-neutral trading strategy. Using the components of two major stock indices, the S&P 500 and the Nikkei 225, this article deals with the performance of a pairs trading system based on various pairs selection methods (distance, stationarity, cointegration) over a 10-year period. On both markets, using a classical framework, cointegration appears superior and effective. On the U.S. market and also in Japan to a lower extent, pairs trading strategies exhibited an impressive performance during the 2008 financial crisis. Bearish periods are associated with a high level of the VIX index: the ‘investor fear gauge’. Using a modified trading system, this article examines the link between pairs trading performance and volatility/VIX timing. It is shown that for the best selection technique (cointegration), timing volatility has no economic value in a pairs trading context

Large data sets and machine learning: Applications to statistical arbitrage

International audienceMachine learning algorithms and big data are transforming all industries including the finance and portfolio management sectors. While these techniques, such as Deep Belief Networks or Random Forests, are becoming more and more popular on the market, the academic literature is relatively sparse. Through a series of applications involving hundreds of variables/predictors and stocks, this article presents some of the state-of-the-art techniques and how they can be implemented to manage a long-short portfolio. Numerous practical and empirical issues are developed. One of the main questions beyond big data use is the value of information. Does an increase in the number of predictors improve the portfolio performance? Which features are the most important? A large number of predictors means, potentially, a high level of noise. How do the algorithms manage this? This article develops an application using a 22-year trading period, up to 300 U.S. large caps and around 600 predictors. The empirical results underline the ability of these techniques to generate useful trading signals for portfolios with important turnovers and short holding periods (one or five days). Positive excess returns are reported between 1993 and 2008. They are strongly reduced after accounting for transaction costs and traditional risk factors. When these machine learning tools were readily available in the market, excess returns turned into the negative in most recent times. Results also show that adding features is far from being a guarantee to boost the alpha of the portfolio