Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation

Technical analysis, also known as "charting", has been a part of financial practice for many decades, yet little academic research has been devoted to a systematic evaluation of this discipline. One of the main obstacles is the highly subjective nature of technical analysis---the presence of geometric shapes in historical price charts is often in the eyes of the beholder. In this paper, we propose a systematic and automatic approach to technical pattern recognition using nonparametric kernel regression, and apply this method to a large number of US stocks from 1962 to 1996 to evaluate the effectiveness of technical analysis. By comparing the unconditional empirical distribution of daily stock returns to the conditional distribution---conditioned on specific technical indicators such as head-and-shoulders or double-bottoms---we find that over the 31-year sample period, several technical indicators do provide incremental information and may have some practical value.

Towards a minimal order distributed observer for linear systems

In this paper we consider the distributed estimation problem for continuous-time linear time-invariant (LTI) systems. A single linear plant is observed by a network of local observers. Each local observer in the network has access to only part of the output of the observed system, but can also receive information on the state estimates of its neigbours. Each local observer should in this way generate an estimate of the plant state. In this paper we study the problem of existence of a reduced order distributed observer. We show that if the observed system is observable and the network graph is a strongly connected directed graph, then a distributed observer exists with state space dimension equal to $Nn - \sum_{i =1}^N p_i$, where $N$ is the number of network nodes, $n$ is the state space dimension of the observed plant, and $p_i$ is the rank of the output matrix of the observed output received by the $i$th local observer. In the case of a single observer, this result specializes to the well-known minimal order observer in classical observer design.Comment: 12 pages, 1 figur

Social contagions on interdependent lattice networks

Although an increasing amount of research is being done on the dynamical processes on interdependent spatial networks, knowledge of how interdependent spatial networks influence the dynamics of social contagion in them is sparse. Here we present a novel non-Markovian social contagion model on interdependent spatial networks composed of two identical two-dimensional lattices. We compare the dynamics of social contagion on networks with different fractions of dependency links and find that the density of final recovered nodes increases as the number of dependency links is increased. We use a finite-size analysis method to identify the type of phase transition in the giant connected components (GCC) of the final adopted nodes and find that as we increase the fraction of dependency links, the phase transition switches from second-order to first-order. In strong interdependent spatial networks with abundant dependency links, increasing the fraction of initial adopted nodes can induce the switch from a first-order to second-order phase transition associated with social contagion dynamics. In networks with a small number of dependency links, the phase transition remains second-order. In addition, both the second-order and first-order phase transition points can be decreased by increasing the fraction of dependency links or the number of initially-adopted nodes.This work was partially supported by National Natural Science Foundation of China (Grant Nos 61501358, 61673085), and the Fundamental Research Funds for the Central Universities. (61501358 - National Natural Science Foundation of China; 61673085 - National Natural Science Foundation of China; Fundamental Research Funds for the Central Universities)Published versio

Simple spatial scaling rules behind complex cities

Although most of wealth and innovation have been the result of human interaction and cooperation, we are not yet able to quantitatively predict the spatial distributions of three main elements of cities: population, roads, and socioeconomic interactions. By a simple model mainly based on spatial attraction and matching growth mechanisms, we reveal that the spatial scaling rules of these three elements are in a consistent framework, which allows us to use any single observation to infer the others. All numerical and theoretical results are consistent with empirical data from ten representative cities. In addition, our model can also provide a general explanation of the origins of the universal super- and sub-linear aggregate scaling laws and accurately predict kilometre-level socioeconomic activity. Our work opens a new avenue for uncovering the evolution of cities in terms of the interplay among urban elements, and it has a broad range of applications.This work is supported by the National Natural Science Foundation of China under Grant Nos. 61673070, 61773069, 71731002 and the Fundamental Research Funds for the Central Universities with the Grant No. 2015KJJCB13, and also partially supported by NSF Grants PHY-1505000, CMMI-1125290, CHE-1213217, DTRA Grant HDTRA1-14-1-0017, DOE Grant DE-AC07-05Id14517. J.Z. acknowledges discussions with Prof. Bettencourt of the Santa Fe Institute, Dr. Lingfei Wu of Arizona State University, and Profs. Yougui Wang and Qinghua Chen of Beijing Normal University. R.L. acknowledges helpful discussions with and comments from Dr. Remi Louf in CASA, University College London, Dr. Longfeng Zhao from Huazhong (Central China) Normal University, and selfless help from Prof. Yougui Wang. R.L. is also supported by the Chinese Scholarship Council. (61673070 - National Natural Science Foundation of China; 61773069 - National Natural Science Foundation of China; 71731002 - National Natural Science Foundation of China; 2015KJJCB13 - Fundamental Research Funds for the Central Universities; PHY-1505000 - NSF; CMMI-1125290 - NSF; CHE-1213217 - NSF; HDTRA1-14-1-0017 - DTRA Grant; DE-AC07-05Id14517 - DOE; Chinese Scholarship Council)Published versio

Introduction to GenAI: A Hands-on Teaching Workshop

Generative AI (GenAI) experienced a boom in 2022 with highlights such as the releases of Stable Diffusion for image generation and ChatGPT for conversational text generation. Since then, GenAI has continued to evolve and expand at a rapid pace, resulting in additional models capable of producing impressive highquality outputs, such as Large Language Models (LLMs) including Llama 2, Claude, Bard, and Falcon, and Diffusion Models including ControlNet, and Stable Diffusion XL. GenAI technologies and systems have revolutionized various business sectors, leading to the need for education to adapt and prepare the future workforce. In this workshop, you will learn the basics of LLMs and Diffusion Models using ChatGPT and Stable Diffusion

Implications of evidence-based understanding of benefits and risks for cancer prevention strategy

No abstract available