The Economic Value of Predicting Stock Index Returns and Volatility

In this paper, we analyze the economic value of predicting index returns as well as volatility. On the basis of fairly simple linear models, estimated recursively, we produce genuine out-of-sample forecasts for the return on the S&P 500 index and its volatility. Using monthly data from 1954-1998, we test the statistical significance of return and volatility predictably and examine the economic value of a number of alternative trading strategies. We find strong evidence for market timing in both returns and volatility. Joint tests indicate no dependence between return and volatility timing, while it appears easier to forecast returns when volatility is high. For a mean-variance investor, this predictably is economically profitable, even if short sales are not allowed and transaction costs are quite large.Predicability of stock returns and volatility

Log Skeletons: A Classification Approach to Process Discovery

To test the effectiveness of process discovery algorithms, a Process Discovery Contest (PDC) has been set up. This PDC uses a classification approach to measure this effectiveness: The better the discovered model can classify whether or not a new trace conforms to the event log, the better the discovery algorithm is supposed to be. Unfortunately, even the state-of-the-art fully-automated discovery algorithms score poorly on this classification. Even the best of these algorithms, the Inductive Miner, scored only 147 correct classified traces out of 200 traces on the PDC of 2017. This paper introduces the rule-based log skeleton model, which is closely related to the Declare constraint model, together with a way to classify traces using this model. This classification using log skeletons is shown to score better on the PDC of 2017 than state-of-the-art discovery algorithms: 194 out of 200. As a result, one can argue that the fully-automated algorithm to construct (or: discover) a log skeleton from an event log outperforms existing state-of-the-art fully-automated discovery algorithms.Comment: 16 pages with 9 figures, followed by an appendix of 14 pages with 17 figure

Mapping polygons to the grid with small Hausdorff and Fréchet distance

We show how to represent a simple polygon P by a (pixel-based) grid polygon Q that is simple and whose Hausdorff or Fréchet distance to P is small. For any simple polygon P, a grid polygon exists with constant Hausdorff distance between their boundaries and their interiors. Moreover, we show that with a realistic input assumption we can also realize constant Fréchet distance between the boundaries. We present algorithms accompanying these constructions, heuristics to improve their output while keeping the distance bounds, and experiments to assess the output

Country characteristics and the incidence of capital income taxation on wages: an empirical assessment

This paper examines the incidence of corporate income taxes on wages using data from the US Bureau of Labor Statistics for 13 OECD countries. Within a wage-bargaining framework, our econometric analysis shows that a substantial share of the corporate tax burden is shifted from capital to labour. However, the magnitude of this shift is influenced importantly by country characteristics affecting the process of wage determination, such as the degree of capital mobility, a country's relative influence over the world price of output and trade unions’ strength

Adaptive Seeding for Gaussian Mixture Models

We present new initialization methods for the expectation-maximization algorithm for multivariate Gaussian mixture models. Our methods are adaptions of the well-known $K$-means++ initialization and the Gonzalez algorithm. Thereby we aim to close the gap between simple random, e.g. uniform, and complex methods, that crucially depend on the right choice of hyperparameters. Our extensive experiments indicate the usefulness of our methods compared to common techniques and methods, which e.g. apply the original $K$-means++ and Gonzalez directly, with respect to artificial as well as real-world data sets.Comment: This is a preprint of a paper that has been accepted for publication in the Proceedings of the 20th Pacific Asia Conference on Knowledge Discovery and Data Mining (PAKDD) 2016. The final publication is available at link.springer.com (http://link.springer.com/chapter/10.1007/978-3-319-31750-2 24

The impact of exercise-induced core body temperature elevations on coagulation responses.

OBJECTIVES: Exercise induces changes in haemostatic parameters and core body temperature (CBT). We aimed to assess whether exercise-induced elevations in CBT induce pro-thrombotic changes in a dose-dependent manner. DESIGN: Observational study. METHODS: CBT and haemostatic responses were measured in 62 participants of a 15-km road race at baseline and immediately after finishing. As haemostasis assays are routinely performed at 37°C, we corrected the assay temperature for the individual's actual CBT at baseline and finish in a subgroup of n=25. RESULTS: All subjects (44±11 years, 69% male) completed the race at a speed of 12.1±1.8km/h. CBT increased significantly from 37.6±0.4°C to 39.4±0.8°C (p<0.001). Post-exercise, haemostatic activity was increased, as expressed by accelerated thrombin generation and an attenuated plasmin response. Synchronizing assay temperature to the subjects' actual CBT resulted in additional differences and stronger acceleration of thrombin generation parameters. CONCLUSIONS: This study demonstrates that exercise induces a prothrombotic state, which might be partially dependent on the magnitude of the exercise-induced CBT rise. Synchronizing the assay temperature to approximate the subject's CBT is essential to obtain more accurate insight in the haemostatic balance during thermoregulatory challenging situations. Finally, this study shows that short-lasting exposure to a CBT of 41.2°C does not result in clinical symptoms of severe coagulation. We therefore hypothesize that prolonged exposure to a high CBT or an individual-specific CBT threshold needs to be exceeded before derailment of the haemostatic balance occurs

Dao, harmony and personhood: towards a Confucian ethics of technology

A closer look at the theories and questions in philosophy of technology and ethics of technology shows the absence and marginality of non-Western philosophical traditions in the discussions. Although, increasingly, some philosophers have sought to introduce non-Western philosophical traditions into the debates, there are few systematic attempts to construct and articulate general accounts of ethics and technology based on other philosophical traditions. This situation is understandable, for the questions of modern sciences and technologies appear to be originated from the West; at the same time, the situation is undesirable. The overall aim of this paper, therefore, is to introduce an alternative account of ethics of technology based on the Confucian tradition. In doing so, it is hoped that the current paper can initiate a relatively uncharted field in philosophy of technology and ethics of technology