Just an Update on PMING Distance for Web-based Semantic Similarity in Artificial Intelligence and Data Mining

One of the main problems that emerges in the classic approach to semantics is the difficulty in acquisition and maintenance of ontologies and semantic annotations. On the other hand, the Internet explosion and the massive diffusion of mobile smart devices lead to the creation of a worldwide system, which information is daily checked and fueled by the contribution of millions of users who interacts in a collaborative way. Search engines, continually exploring the Web, are a natural source of information on which to base a modern approach to semantic annotation. A promising idea is that it is possible to generalize the semantic similarity, under the assumption that semantically similar terms behave similarly, and define collaborative proximity measures based on the indexing information returned by search engines. The PMING Distance is a proximity measure used in data mining and information retrieval, which collaborative information express the degree of relationship between two terms, using only the number of documents returned as result for a query on a search engine. In this work, the PMINIG Distance is updated, providing a novel formal algebraic definition, which corrects previous works. The novel point of view underlines the features of the PMING to be a locally normalized linear combination of the Pointwise Mutual Information and Normalized Google Distance. The analyzed measure dynamically reflects the collaborative change made on the web resources

Where is beta going ? the riskiness of value and small stocks

This paper finds that the market betas of value and small stocks have decreased by about 75% in the second half of the twentieth century. The decline in beta can be related to a long-term improvement in economic conditions that made these companies less risky.value; stocks; beta; risk; financial market

Soft behaviour modelling of user communities

A soft modelling approach for describing behaviour in on-line user communities is introduced in this work. Behaviour models of individual users in dynamic virtual environments have been described in the literature in terms of timed transition automata; they have various drawbacks. Soft multi/agent behaviour automata are defined and proposed to describe multiple user behaviours and to recognise larger classes of user group histories, such as group histories which contain unexpected behaviours. The notion of deviation from the user community model allows defining a soft parsing process which assesses and evaluates the dynamic behaviour of a group of users interacting in virtual environments, such as e-learning and e-business platforms. The soft automaton model can describe virtually infinite sequences of actions due to multiple users and subject to temporal constraints. Soft measures assess a form of distance of observed behaviours by evaluating the amount of temporal deviation, additional or omitted actions contained in an observed history as well as actions performed by unexpected users. The proposed model allows the soft recognition of user group histories also when the observed actions only partially meet the given behaviour model constraints. This approach is more realistic for real-time user community support systems, concerning standard boolean model recognition, when more than one user model is potentially available, and the extent of deviation from community behaviour models can be used as a guide to generate the system support by anticipation, projection and other known techniques. Experiments based on logs from an e-learning platform and plan compilation of the soft multi-agent behaviour automaton show the expressiveness of the proposed model

Learning about Beta: time-varying factor loadings, expected returns and the conditional CAPM

This paper explores the theoretical and empirical implications of time-varying and unobservable beta. Investors infer factor loadings from the history of returns via the Kalman filter. Due to learning, the history of beta matters. Even though the conditional CAPM holds, standard OLS tests can reject the model if the evolution of investor's expectations is not properly modelled. The authors use their methodology to explain returns on the twenty-five size and book-to-market sorted portfolios. Their learning version of the conditional CAPM produces pricing errors that are significantly smaller than standard conditional or unconditional CAPM and the model is not rejected by the data.Capital Asset Pricing Model; CAPM; investments