143 research outputs found
Cross-correlation asymmetries and causal relationships between stock and market risk
We study historical correlations and lead-lag relationships between
individual stock risk (volatility of daily stock returns) and market risk
(volatility of daily returns of a market-representative portfolio) in the US
stock market. We consider the cross-correlation functions averaged over all
stocks, using 71 stock prices from the Standard \& Poor's 500 index for
1994--2013. We focus on the behavior of the cross-correlations at the times of
financial crises with significant jumps of market volatility. The observed
historical dynamics showed that the dependence between the risks was almost
linear during the US stock market downturn of 2002 and after the US housing
bubble in 2007, remaining on that level until 2013. Moreover, the averaged
cross-correlation function often had an asymmetric shape with respect to zero
lag in the periods of high correlation. We develop the analysis by the
application of the linear response formalism to study underlying causal
relations. The calculated response functions suggest the presence of
characteristic regimes near financial crashes, when the volatility of an
individual stock follows the market volatility and vice versa.Comment: 17 pages, 8 figures, 1 tabl
Scalable Population Synthesis with Deep Generative Modeling
Population synthesis is concerned with the generation of synthetic yet
realistic representations of populations. It is a fundamental problem in the
modeling of transport where the synthetic populations of micro-agents represent
a key input to most agent-based models. In this paper, a new methodological
framework for how to 'grow' pools of micro-agents is presented. The model
framework adopts a deep generative modeling approach from machine learning
based on a Variational Autoencoder (VAE). Compared to the previous population
synthesis approaches, including Iterative Proportional Fitting (IPF), Gibbs
sampling and traditional generative models such as Bayesian Networks or Hidden
Markov Models, the proposed method allows fitting the full joint distribution
for high dimensions. The proposed methodology is compared with a conventional
Gibbs sampler and a Bayesian Network by using a large-scale Danish trip diary.
It is shown that, while these two methods outperform the VAE in the
low-dimensional case, they both suffer from scalability issues when the number
of modeled attributes increases. It is also shown that the Gibbs sampler
essentially replicates the agents from the original sample when the required
conditional distributions are estimated as frequency tables. In contrast, the
VAE allows addressing the problem of sampling zeros by generating agents that
are virtually different from those in the original data but have similar
statistical properties. The presented approach can support agent-based modeling
at all levels by enabling richer synthetic populations with smaller zones and
more detailed individual characteristics.Comment: 27 pages, 15 figures, 4 table
Statistical field theories deformed within different calculi
Within framework of basic-deformed and finite-difference calculi, as well as
deformation procedures proposed by Tsallis, Abe, and Kaniadakis to be
generalized by Naudts, we develop field-theoretical schemes of statistically
distributed fields. We construct a set of generating functionals and find their
connection with corresponding correlators for basic-deformed,
finite-difference, and Kaniadakis calculi. Moreover, we introduce pair of
additive functionals, whose expansions into deformed series yield both Green
functions and their irreducible proper vertices. We find as well formal
equations, governing by the generating functionals of systems which possess a
symmetry with respect to a field variation and are subjected to an arbitrary
constrain. Finally, we generalize field-theoretical schemes inherent in
concrete calculi in the Naudts spirit.Comment: 12 pages, 3 figure
Dynamic Calibration of Higher Eigenmode Parameters of a Cantilever in Atomic Force Microscopy Using Tip-Surface Interactions
We present a theoretical framework for the dynamic calibration of the higher
eigenmode parameters (stiffness and optical lever responsivity) of a
cantilever. The method is based on the tip-surface force reconstruction
technique and does not require any prior knowledge of the eigenmode shape or
the particular form of the tip-surface interaction. The calibration method
proposed requires a single-point force measurement using a multimodal drive and
its accuracy is independent of the unknown physical amplitude of a higher
eigenmode.Comment: 4 pages, 4 figure
Band gap prediction for large organic crystal structures with machine learning
Machine-learning models are capable of capturing the structure-property
relationship from a dataset of computationally demanding ab initio
calculations. Over the past two years, the Organic Materials Database (OMDB)
has hosted a growing number of calculated electronic properties of previously
synthesized organic crystal structures. The complexity of the organic crystals
contained within the OMDB, which have on average 82 atoms per unit cell, makes
this database a challenging platform for machine learning applications. In this
paper, the focus is on predicting the band gap which represents one of the
basic properties of a crystalline materials. With this aim, a consistent
dataset of 12 500 crystal structures and their corresponding DFT band gap are
released, freely available for download at https://omdb.mathub.io/dataset. An
ensemble of two state-of-the-art models reach a mean absolute error (MAE) of
0.388 eV, which corresponds to a percentage error of 13% for an average band
gap of 3.05 eV. Finally, the trained models are employed to predict the band
gap for 260 092 materials contained within the Crystallography Open Database
(COD) and made available online so that the predictions can be obtained for any
arbitrary crystal structure uploaded by a user.Comment: 10 pages, 6 figure
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