Multivariate Extremes in Financial Markets: New Statistical Testing Methods and Applications

This thesis studies dependence of extreme events in financial markets. Statistical tests, detecting peculiar properties of tail dependence, are proposed. Statistical properties are derived. Comprehensive simulation experiments illustrate the tests\u27 usefulness. Empirically, unknown tail structures in financial time series are revealed

Detecting structural differences in tail dependence of financial time series

An accurate assessment of tail inequalities and tail asymmetries of financial returns is key for risk management and portfolio allocation. We propose a new test procedure for detecting the full extent of such structural differences in the dependence of bivariate extreme returns. We decompose the testing problem into piecewise multiple comparisons of Cramér-von Mises distances of tail copulas. In this way, tail regions that cause differences in extreme dependence can be located and consequently be targeted by financial strategies. We derive the asymptotic properties of the test and provide a bootstrap approximation for finite samples. Moreover, we account for the multiplicity of the piecewise tail copula comparisons by adjusting individual p-values according to multiple testing techniques. Monte Carlo simulations demonstrate the test’s superior finite-sample properties for common financial tail risk models, both in the i.i.d. and the sequentially dependent case. During the last 90 years in US stock markets, our test detects up to 20% more tail asymmetries than competing tests. This can be attributed to the presence of non-standard tail dependence structures. We also find evidence for diminishing tail asymmetries during every major financial crisis – except for the 2007-09 crisis – reflecting a risk-return trade-off for extreme returns

Virtual reassembly buffers in 6LoWPAN - draft-ietf-lwig-6lowpan-virtual-reassembly-00

International audienc

From 6LoWPAN to 6Lo: expanding the universe of IPv6-supported technologies for the Internet of Things

© 2017 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other worksLeveraging 6LoWPAN, the IETF 6Lo Working Group has targeted adaptation of IPv6 over a new generation of communication technologies for the IoT. These comprise Bluetooth LE, ITU-T G.9959, DECT ULE, MS/TP, NFC, IEEE 1901.2, and IEEE 802.11ah. This article comprehensively analyzes the 6Lo technologies and adaptation layers, giving the motivation for critical design decisions, highlighting crucial aspects for performance, and presenting main challenges.Postprint (author's final draft

Trace Clustering for User Behavior Mining

Business information systems support a large variety of business processes and tasks, yet organizations rarely understand how users interact with these systems. User Behavior Mining aims to address this by applying process mining techniques to UI logs, i.e., detailed records of interactions with a system\u27s user interface. Insights gained from this type of data hold great potential for usability engineering and task automation, but the complexity of UI logs can make them challenging to analyze. In this paper, we explore trace clustering as a means to structure UI logs and reduce this complexity. In particular, we apply different trace clustering approaches to a real-life UI log and show that the cluster-level process models reveal useful information about user behavior. At the same time, we find configurations in which trace clustering fails to generate satisfactory partitions. Our results also demonstrate that recently proposed representation learning techniques for process traces can be effectively employed in a realistic setting

RFC 8930: On Forwarding 6LoWPAN Fragments over a Multi-Hop IPv6 Network: IETF Standard

Il s'agit d'un standard IETF.International audienceThis document provides generic rules to enable the forwarding of an IPv6 over Low-Power Wireless Personal Area Network (6LoWPAN) fragment over a route-over network. Forwarding fragments can improve both end-to-end latency and reliability as well as reduce the buffer requirements in intermediate nodes; it may be implemented using RFC 4944 and Virtual Reassembly Buffers (VRBs)

A global experiment on motivating social distancing during the COVID-19 pandemic

Finding communication strategies that effectively motivate social distancing continues to be a global public health priority during the COVID-19 pandemic. This cross-country, preregistered experiment (n = 25,718 from 89 countries) tested hypotheses concerning generalizable positive and negative outcomes of social distancing messages that promoted personal agency and reflective choices (i.e., an autonomy-supportive message) or were restrictive and shaming (i.e., a controlling message) compared with no message at all. Results partially supported experimental hypotheses in that the controlling message increased controlled motivation (a poorly internalized form of motivation relying on shame, guilt, and fear of social consequences) relative to no message. On the other hand, the autonomy-supportive message lowered feelings of defiance compared with the controlling message, but the controlling message did not differ from receiving no message at all. Unexpectedly, messages did not influence autonomous motivation (a highly internalized form of motivation relying on one’s core values) or behavioral intentions. Results supported hypothesized associations between people’s existing autonomous and controlled motivations and self-reported behavioral intentions to engage in social distancing. Controlled motivation was associated with more defiance and less long-term behavioral intention to engage in social distancing, whereas autonomous motivation was associated with less defiance and more short- and long-term intentions to social distance. Overall, this work highlights the potential harm of using shaming and pressuring language in public health communication, with implications for the current and future global health challenges

The Newscaster experiment: Distributing Usenet news via many-to-more multicast. http://citeseer.nj. nec.com/251970.html

Newscaster is an architecture and a set of protocols for distributing Usenet Netnews via IP multicast enabled networks. The architecture is designed to be useful in the global Internet. In particular, it allows multiple news servers to cooperate on multicasting each new article only once. To facilitate scalability to tens of thousands of news servers, it also provides for receive-only multicast participants (that continue to send articles via conventional NNTP). First results from an experiment using the Newscaster system for global news distribution are reported. 1