Nonlinear Noise Estimation in International Capital Markets

We analyzed six stock exchange markets through the nonlinear dynamics concept. We used daily data from the Toronto Stock Exchange, NYSE, London Stock Exchange, Hong Kong Stock Market, Tokyo Stock Exchange, and the Singapore Stock Exchange. The period studied is from January 1, 1988 to June 30, 1999. We performed Local Principal Components Analysis in order to estimate the dimension of each underlying attractor. Our main interest is the noise level estimation of each time series. The results indicate weak determinism and strong noise influence. The noise-to-signal ratio for almost all time series is above 50%. Noise is leptokurtic in the eastern stock markets, and mesokurtic in western ones

Accounting for outliers and calendar effects in surrogate simulations of stock return sequences

Surrogate Data Analysis (SDA) is a statistical hypothesis testing framework for the determination of weak chaos in time series dynamics. Existing SDA procedures do not account properly for the rich structures observed in stock return sequences, attributed to the presence of heteroscedasticity, seasonal effects and outliers. In this paper we suggest a modification of the SDA framework, based on the robust estimation of location and scale parameters of mean-stationary time series and a probabilistic framework which deals with outliers. A demonstration on the NASDAQ Composite index daily returns shows that the proposed approach produces surrogates that faithfully reproduce the structure of the original series while being manifestations of linear-random dynamics.Comment: 21 pages, 7 figure

Relations between Computational Intelligence and Non Linear Science

In this work the underlying question is if Local Analysis, which is part of Nonlinear Science, is also capable to be considered as a branch of Computational Intelligence. Each branch of Computational Intelligence is analytically described, emphasizing on Neural Networks and Genetic Algorithms. Next, Nonlinear Science also described emphasizing on systems that give rise to chaotic time series and way they are treated under the prism of Local Analysis. Given that the noise factor of fuzziness and uncertainty, a comparison takes place on problems information recovery, mainly on noisy chaotic time series. In these cases, noise uncorrelated and follows the normal distribution. The general conclusion, taking into account the above comparisons, is Local Analysis is indeed capable to be considered a branch of Computational Intelligence, because it is able to compete its methods. Finally, there will be extensions to the problem of biological intelligence. biological behavior of humans and the organisms is explained in a better way nearest neighbors are considered as sources of learning.Στην εργασία αυτή εξετάζεται το ερώτηµα εάν η Τοπική Ανάλυση, η οποία αποτελεί κλάδο της Μη Γραµµικής Επιστήµης είναι ικανή να αποτελέσει κλάδο και της Υπολογιστικής Νοηµοσύνης. Περιγράφεται αναλυτικά ο κάθε κλάδος της Υπολογιστικής Νοηµοσύνης, µε έµφαση στα Τεχνητά Νευρωνικά ?ίκτυα και στους Γενετικούς Αλγόριθµους. Στη συνέχεια περιγράφεται η Μη Γραµµική Επιστήµη και δίνεται έµφαση σε συστήµατα τα οποία παράγουν χαοτικές χρονολογικές σειρές και στον τρόπο αντιµετώπισης των χρονοσειρών αυτών κάτω από το πρίσµα της Τοπικής Ανάλυσης. ?εδοµένου ότι ο θόρυβος αποτελεί παράγοντα ασάφειας και αβεβαιότητας, γίνεται σύγκριση των δύο παραπάνω σκεπτικών σε προβλήµατα ανάκτησης πληροφορίας, κυρίως από χαοτικές χρονοσειρές µε θόρυβο. Ο θόρυβος στις περιπτώσεις αυτές είναι ασυσχέτιστος µε κανονική κατανοµή. Η γενική διαπίστωση από τις παραπάνω συγκρίσεις θα είναι ότι η Τοπική Ανάλυση µπορεί να αποτελέσει ένα ακόµη κλάδο της Υπολογιστικής Νοηµοσύνης, αφού καταφέρνει µε επιτυχία να συµπληρώσει τις µεθόδους που χρησιµοποιεί η Υπολογιστική Νοηµοσύνη. Τέλος, θα γίνει αναφορά στις πιθανές επιπτώσεις των ευρηµάτων σε σχέση µε την βιολογική νοηµοσύνη. ?ιαπιστώνεται δηλαδή ότι η βιολογική συµπεριφορά των ανθρώπων και των οργανισµών εξηγείται καλύτερα αν θεωρηθούν ως πηγές µάθησης οι κοντινότερες καταστάσεις

Nonlinear forecast of financial time series through dynamical calendar correction

A method is presented that takes into account the day-of-the-week and the turn-of-the-month effect and the holiday effect and embodies them to neural network forecasting. It adjusts the time series in order to make its dynamics less distorted. After a predicted value is calculated by the network, the inverse adjustment is made to obtain the final predicted value. If there are no calendar effects on the time series this method has approximately the same performance as its classic counterpart. Empirical results are presented, based on NASDAQ Composite, and TSE 300 Composite indices using daily returns form 1984 to 2003.

Accounting for outliers and calendar effects in surrogate simulations of stock return sequences

Surrogate Data Analysis (SDA) is a statistical hypothesis testing framework for the determination of weak chaos in time series dynamics. Existing SDA procedures do not account properly for the rich structures observed in stock return sequences, attributed to the presence of heteroscedasticity, seasonal effects and outliers. In this paper we suggest a modification of the SDA framework, based on the robust estimation of location and scale parameters of mean-stationary time series and a probabilistic framework which deals with outliers. A demonstration on the NASDAQ Composite index daily returns shows that the proposed approach produces surrogates that faithfully reproduce the structure of the original series while being manifestations of linear-random dynamics.

EXPLORING THE IMPACT OF CALENDAR EFFECTS ON THE DYNAMIC STRUCTURE AND FORECASTS OF FINANCIAL TIME SERIES

Several recently developed chaotic forecasting methods give better results than the random walk forecasts. However they do not take into account specific regularities of stock returns reported in empirical finance literature, such as the calendar effects. In this paper, we present a method for filtering the day-of-the-week and the holiday effect in a time series. Our main objective is twofold. On the one hand we study how the underlying dynamics of the Nasdaq Composite, and TSE 300 Composite returns series can be influenced by the presence of calendar effects. On the other hand we adapt our method to chaotic forecasting. Its computational advantages lead to significant improvements of forecasts.Mackey-Glass-GARCH, calendar effects, forecasting

Hydrogeological characters of the water district of Attica: the case study of Kalyvia basin

174 σ.Η παρούσα εργασία ασχολείται με το πολυδιάστατο και σημαντικό πρόβλημα της αρνητικής επίδρασης των ανθρωπογενών δραστηριοτήτων στα ποιοτικά κατά κύριο λόγο και ποσοτικά χαρακτηριστικά του υπόγειου υδροφορέα της περιοχής Παραλίας Καλυβίων Αττικής. Η περιοχή έρευνας ανήκει γεωτεκτονικά στην Αττικοκυκλαδική Ζώνη και δομείται κυρίως από σχιστόλιθους, δολομίτες, και μάρμαρα,πάνω στα οποία έχουν αποτεθεί νεογενή ιζήματα, που καλύπτουν την ευρύτερη λεκάνη των Μεσογείων.Ο υδροφόρος που εξετάστηκε στην παρούσα εργασία βρίσκεται στα νεογενή ιζήματα, μέσα σε ορίζοντες άμμου και χαλικιών, κροκαλοπαγή και μαργαϊκούς ασβεστόλιθους καθώς επίσης και στα μάρμαρα του υποβάθρου. Στο πλαίσιο της εργασίαςκαι με βάση τα στοιχεία των μετεωρολογικών σταθμών των Σπάτων και Μαρκόπουλου αξιολογήθηκαν τα κλιματολογικά και μετεωρολογικά χαρακτηριστικά της περιοχής.Επίσης εξετάστηκε η γεωμορφολογία της περιοχής και η υδρολογική συμπεριφορά των σχηματισμών της. Από την περιοχή ελήφθησαν δείγματα νερού από πηγάδια στο πεδινό τμήμα της Παραλίας Καλυβίων, στα οποία έγιναν χημικές αναλύσειςγια τον προσδιορισμό των παραμέτρων που επηρεάζουν κυρίως την ποιότητα του υπόγειου υδατικού δυναμικού μιας περιοχής.Παράλληλα εκτιμήθηκαν οι φυσικοχημικές παράμετροι του υπόγειου νερούκαι τα σπουδαιότερα χημικά στοιχεία και ενώσειςπου βρίσκονταιμέσα σε αυτό. Η εργασία ολοκληρώνεται με τη δημιουργία των αντίστοιχων υδροχημικών χαρτών. Τό κύριο συμπέρασματης εργασίας είναι ότι ο φρεάτιος ορίζοντας έχει υποστεί υφαλμύρινση και ποιοτικά υποβάθμιση.This work deals with the important and multidimensional problem of the negative impact of anthropogenic activities on quantitative mainly and qualitative characteristics of the underground aquifer in the region of Paralia Kalyvion of Attica distinct. The study area belongs geotectonically to the Atticocykladic massif which consists mainly of schists, dolomites and marbles, on which neogene sediments, covering the wider basin of Mesogeia basin, have been deposited. The aquifer examined in this work, is developed in the neogene sediments within the horizons of sand, gravel, conglomerates and marly limestones, as well as partly within the marbles of the basement. On the basis of the data of the meteorological stations of Spata and Markopoulo, the meteorological and climatic characteristics of the area were evaluated, while the geomorphology of the region and the hydrological behaviour of the geological formations were also considered. The water samples taken from wells in the plain of Paralia Kalyvion were examined by chemical analyses, in order to determine the main parameters that affect the quality of underground water resources of an area. In parallel, the physicochemical parameters and the most important chemical elements found of underground water in it were assessed. This dissertation includes also the compilation of the corresponding hydrochemical maps. The main conclusion of this study is that the phreatic horizon has been salinazation and water quality degradation.Φοίβος Γ. ΛεοντίτσηςΑλέξανδρος Γ. Πεχλιβανίδη

Cyclic stroke mortality variations follow sunspot patterns.

BACKGROUND: Mapping time-structures is a burgeoning scientific field enriching the (P4) medicine models. Local evidence in Mediterranean populations is underinvestigated. METHODS: The Censused stroke-related death events (D) in the largest East-Mediterranean port (Piraeus), during (1985-1989), when local population had diet (low fat/sugar, proteins and vegetables/fruits daily, and pure olive oil almost exclusively) and genetic homogeneity-later interrupted by the immigration into Greece in 1990; and Sunspot numbers were indexed by Wolf numbers (Rz) (1944-2004), and evaluated using Fast Fourier Analysis and Singular Spectrum Analysis in MATLAB. RESULTS: D were turned with fluctuations >35% in Rz. A non-anthropogenic 6.8 days cycle was recognized. CONCLUSIONS: This study may be taken into consideration in future public health planning and chronotherapy evaluations