16,412 research outputs found
Mass Volume Curves and Anomaly Ranking
This paper aims at formulating the issue of ranking multivariate unlabeled
observations depending on their degree of abnormality as an unsupervised
statistical learning task. In the 1-d situation, this problem is usually
tackled by means of tail estimation techniques: univariate observations are
viewed as all the more `abnormal' as they are located far in the tail(s) of the
underlying probability distribution. It would be desirable as well to dispose
of a scalar valued `scoring' function allowing for comparing the degree of
abnormality of multivariate observations. Here we formulate the issue of
scoring anomalies as a M-estimation problem by means of a novel functional
performance criterion, referred to as the Mass Volume curve (MV curve in
short), whose optimal elements are strictly increasing transforms of the
density almost everywhere on the support of the density. We first study the
statistical estimation of the MV curve of a given scoring function and we
provide a strategy to build confidence regions using a smoothed bootstrap
approach. Optimization of this functional criterion over the set of piecewise
constant scoring functions is next tackled. This boils down to estimating a
sequence of empirical minimum volume sets whose levels are chosen adaptively
from the data, so as to adjust to the variations of the optimal MV curve, while
controling the bias of its approximation by a stepwise curve. Generalization
bounds are then established for the difference in sup norm between the MV curve
of the empirical scoring function thus obtained and the optimal MV curve
Can Internet search queries help to predict stock market volatility?
This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search queries. We find a strong co-movement of stock market indices' realized volatility and the search queries for their names. Furthermore, Granger causality is bi-directional: high searches follow high volatility, and high volatility follows high searches. Using the latter feedback effect to predict volatility we find that search queries contain additional information about market volatility. They help to improve volatility forecasts in-sample and out-of-sample as well as for different forecasting horizons. Search queries are particularly useful to predict volatility in high-volatility phases. --realized volatility,forecasting,investor behavior,noise trader,search engine data
Financial requirements for nationwide fibre access coverage
It is common knowledge that Next Generation Access (NGA) networks require significant investments and that for many regions, especially in more rural areas, there is no viable business case. Taking note of the broadband strategies formulated by European governments the deployment cost is analysed to assess options for extending the profitable coverage of FTTH. In this paper a bottom-up cost model is applied to determine the investment and cost of deploying and operating a FTTH network in Germany on a national level. The monthly cost per subscriber at rising penetration is compared with the Average Revenue Per User (ARPU) to determine the required penetration level or the required revenue for profitable operation in a steady market state. Those regions for which there is no business case are analysed with regard to the level of required subsidies. All modelling is based on differentiated geotypes reflecting urban and rural areas. The basic cost model used has been applied to numerous case studies before and was adapted to determine different forms of subsidies. The research questions addressed are. What is the limit of profitable FTTH coverage in Germany? What is the level of prices, internal subsidisation or investment subsidy necessary to increase the coverage of FTTH in Germany? These results inform policy makers and operators of the relevant investment deltas and/or price levels needed to increase the coverage of next generation broadband access infrastructure. --Next Generation Access,FTTH,cost modelling,GPON,P2P,broadband strategy
Can internet search queries help to predict stock market volatility?
This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search queries. We find a strong co-movement of stock market indices' realized volatility and the search queries for their names. Furthermore, Granger causality is bi-directional: high searches follow high volatility, and high volatility follows high searches. Using the latter feedback effect to predict volatility we find that search queries contain additional information about market volatility. They help to improve volatility forecasts in-sample and out-of-sample as well as for different forecasting horizons. Search queries are particularly useful to predict volatility in high-volatility phases. --realized volatility,forecasting,investor behavior,noise trader,search engine data
Modeling the hall-petch effect with a gradient crystal plasticity theory including a grain boundary yield criterion
Abstract. A strain gradient crystal plasticity theory including the gradient of the equiv-
alent plastic strain ∇γeq is discussed. A grain boundary yield condition is proposed
in order to account for the influence of the grain boundaries. Periodic tensile test simulations
show the mechanical predictions of the numerical model
Anelastic Versus Fully Compressible Turbulent Rayleigh-B\'enard Convection
Numerical simulations of turbulent Rayleigh-B\'enard convection in an ideal
gas, using either the anelastic approximation or the fully compressible
equations, are compared. Theoretically, the anelastic approximation is expected
to hold in weakly superadiabatic systems with , where denotes the superadiabatic temperature drop over the
convective layer and the bottom temperature. Using direct numerical
simulations, a systematic comparison of anelastic and fully compressible
convection is carried out. With decreasing superadiabaticity , the
fully compressible results are found to converge linearly to the anelastic
solution with larger density contrasts generally improving the match. We
conclude that in many solar and planetary applications, where the
superadiabaticity is expected to be vanishingly small, results obtained with
the anelastic approximation are in fact more accurate than fully compressible
computations, which typically fail to reach small for numerical
reasons. On the other hand, if the astrophysical system studied contains
regions, such as the solar photosphere, fully compressible
simulations have the advantage of capturing the full physics. Interestingly,
even in weakly superadiabatic regions, like the bulk of the solar convection
zone, the errors introduced by using artificially large values for
for efficiency reasons remain moderate. If quantitative errors of the order of
are acceptable in such low regions, our work suggests that
fully compressible simulations can indeed be computationally more efficient
than their anelastic counterparts.Comment: 24 pages, 9 figure
Costly Inflation Misperceptions
One of the consequences of the euro changeover in 2002 was that for a period of several years people considerably overestimated actual inflation. The goal of this paper is to study whether misperceptions of this kind may have real effects, that is, whether they induce people to alter their behaviour. We also discuss the question how far the euro changeover and the ensuing discussion about price stability contributed to the recession that followed the changeover. Looking at the German restaurant sector, we find that people’s misperceptions can have significant negative effects. The contraction this sector experienced in the months after the changeover was too pronounced to be explained by normal business cycle movements. We provide a discussion about the causes of these misperceptions and how to avoid them in future changeovers.euro changeover, perceived inflation
On the noncommutative standard model
We propose a pedestrian review of the noncommutative standard model in its
present state.Comment: dedicated to Alain Connes on the occasion of his 60th birthda
- …