A Random Matrix Approach to Dynamic Factors in macroeconomic data

We show how random matrix theory can be applied to develop new algorithms to extract dynamic factors from macroeconomic time series. In particular, we consider a limit where the number of random variables N and the number of consecutive time measurements T are large but the ratio N / T is fixed. In this regime the underlying random matrices are asymptotically equivalent to Free Random Variables (FRV).Application of these methods for macroeconomic indicators for Poland economy is also presented.Comment: arXiv admin note: text overlap with arXiv:physics/0512090 by other author

A simple mechanism causing wealth concentration

We study mechanisms leading to wealth condensation. As a natural starting point, our model adopts a neoclassical point of view, i.e., we completely ignore work, production, and productive relations, and focus only on bilateral link between two randomly selected agents. We propose a simple matching process with deterministic trading rules and random selection of trading agents. Furthermore, we also neglect the internal characteristic of traded goods and analyse only the relative wealth changes of each agent. This is often the case in financial markets, where a traded good is money itself in various forms and various maturities. We assume that agents trade according to the rules of utility and decision theories. Agents possess incomplete knowledge about market conditions, but the market is in equilibrium. We show that these relatively frugal assumptions naturally lead to a wealth condensation. Moreover, we discuss the role of wealth redistribution in such a model

Are emerging markets efficient? Evidence from informational content of dividend changes in Polish stock market

Purpose: The objective of this paper is to present the dividend signaling hypothesis, in particular, an empirical analysis of the relationship between the current changes in the level of a dividend paid (t0) and the future profitability of the companies. Design/Methodology/Approach: The dividend signaling hypothesis is empirically tested using the dynamic causality analysis based on the regression approach monitoring for expected earnings changes and past returns with a set of linear and non-linear controls. The conducted analyses comprised the domestic companies quoted on the Warsaw Stock Exchange, which paid dividends in 2001-2016. Findings: The empirical results confirm that in the audited period, dividend decisions bring some information about the current situation (t = 0) and future (t = 1, t = 2) of the analyzed companies. It is also worth noting that among the analyzed indicators, the gross profit ratio (PBT) referred either to the market value or the book value of equity was most often in the statistically significant analyzes. In general, our results confirm the validity of the signaling hypothesis in the case of continuation-growth and initiation of payments in the Polish capital market as in the developed market. Practical Implications: We can say that investors, based on "signals" coming out of dividends advertisements, may conclude the future-income potential of a given company. Originality/value: As mentioned, the gross profit ratio (PBT) referred either to the market value or the book value of equity was most often in the statistically significant analyses. Thus, it seems that, contrary to the adopted assumptions in the literature, gross profit (PBT) in dividend signaling is more important than net profit (E).peer-reviewe

Ocena EKG i parametrów holterowskich u pacjentów z zapaleniem wielomięśniowym i skórno-mięśniowym

Introduction. The aim of our study was to determine the electrocardiography (ECG) and holter abnormalities among patients with dermatomyositis (DM) or polymyositis (PM). Material and methods. We examined 19 patients with PM and 11 patients with DM (23 females) and 30 healthy subjects (22 females). Mean disease duration was 6.5 ± 4.7 years. ECG parameters (QRS, PQ, P wave, conduction disturbances) and heart rate variability data, QT/QTc, ventricular extra beats, creatine kinase, aldolase and lactate dehydrogenase activities were assessed. Results. We did not observe any statistically significant differences in parameters assessing the autonomic system function, the QT/QTc, ventricular rhythm disorders. Intraventricular conduction disturbances were observed in 16.6% of patients with PM/DM. Finally, there were significant differences when comparing enzyme activities. Higher enzyme activities in DM/PM did not correlate with the diurnal variability of cardiac rhythm. Conclusions. This suggests no tendency of DM and PM to involve the autonomic nervous system. Conduction disturbances in DM and PM affect mainly the His-Purkinje system.  Wstęp. Badanie przeprowadzono w celu określenia nieprawidłowości w badaniu elektrokardiografi cznym (EKG) i holterowskim u pacjentów z zapaleniem wielomięśniowym (DM, dermatomyositis) i zapaleniem skórno-mięśniowym (PM, polymyositis). Materiał i metody. Autorzy przebadali 19 chorych z PM i 11 chorych z DM (23 kobiety) oraz 30 zdrowych osób (22 kobiety). Średni czas trwania choroby wynosił 6,5 ± 4,7 roku. Oceniono parametry EKG (zespół QRS, odcinek PQ, załamek P, zaburzenia przewodnictwa) oraz zmienność rytmu serca, QT/QTc i dodatkowe skurcze komorowe, a także zmierzono aktywności kinazy kreatynowej, aldolazy i dehydrogenazy mleczanowej. Wyniki. Nie stwierdzono żadnych statystycznie istotnych różnic w zakresie parametrów służących do oceny czynności układu autonomicznego, QT/QTc i zaburzeń rytmu serca. U 16,6% chorych z PM/PD obserwowano zaburzenia przewodnictwa wewnątrzkomorowego. Ponadto stwierdzono istotne różnice, porównując aktywności enzymów. Wyższe aktywności enzymów u osób z DM/PM nie korelowały z dobową zmiennością rytmu serca. Wnioski. Uzyskane wyniki wskazują, że DM i PM mogą powodować zaburzenia czynności autonomicznego układu nerwowego. Zaburzenia przewodnictwa w DM i PM wpływają głównie na układ His-Purkinjego.

A Random Matrix Approach to VARMA Processes

We apply random matrix theory to derive spectral density of large sample covariance matrices generated by multivariate VMA(q), VAR(q) and VARMA(q1,q2) processes. In particular, we consider a limit where the number of random variables N and the number of consecutive time measurements T are large but the ratio N/T is fixed. In this regime the underlying random matrices are asymptotically equivalent to Free Random Variables (FRV). We apply the FRV calculus to calculate the eigenvalue density of the sample covariance for several VARMA-type processes. We explicitly solve the VARMA(1,1) case and demonstrate a perfect agreement between the analytical result and the spectra obtained by Monte Carlo simulations. The proposed method is purely algebraic and can be easily generalized to q1>1 and q2>1.Comment: 16 pages, 6 figures, submitted to New Journal of Physic

On Geometric Ergodicity of Skewed - SVCHARME models

Markov Chain Monte Carlo is repeatedly used to analyze the properties of intractable distributions in a convenient way. In this paper we derive conditions for geometric ergodicity of a general class of nonparametric stochastic volatility models with skewness driven by hidden Markov Chain with switching