Mass Volume Curves and Anomaly Ranking

This paper aims at formulating the issue of ranking multivariate unlabeled observations depending on their degree of abnormality as an unsupervised statistical learning task. In the 1-d situation, this problem is usually tackled by means of tail estimation techniques: univariate observations are viewed as all the more `abnormal' as they are located far in the tail(s) of the underlying probability distribution. It would be desirable as well to dispose of a scalar valued `scoring' function allowing for comparing the degree of abnormality of multivariate observations. Here we formulate the issue of scoring anomalies as a M-estimation problem by means of a novel functional performance criterion, referred to as the Mass Volume curve (MV curve in short), whose optimal elements are strictly increasing transforms of the density almost everywhere on the support of the density. We first study the statistical estimation of the MV curve of a given scoring function and we provide a strategy to build confidence regions using a smoothed bootstrap approach. Optimization of this functional criterion over the set of piecewise constant scoring functions is next tackled. This boils down to estimating a sequence of empirical minimum volume sets whose levels are chosen adaptively from the data, so as to adjust to the variations of the optimal MV curve, while controling the bias of its approximation by a stepwise curve. Generalization bounds are then established for the difference in sup norm between the MV curve of the empirical scoring function thus obtained and the optimal MV curve

Can Internet search queries help to predict stock market volatility?

This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search queries. We find a strong co-movement of stock market indices' realized volatility and the search queries for their names. Furthermore, Granger causality is bi-directional: high searches follow high volatility, and high volatility follows high searches. Using the latter feedback effect to predict volatility we find that search queries contain additional information about market volatility. They help to improve volatility forecasts in-sample and out-of-sample as well as for different forecasting horizons. Search queries are particularly useful to predict volatility in high-volatility phases. --realized volatility,forecasting,investor behavior,noise trader,search engine data

Financial requirements for nationwide fibre access coverage

It is common knowledge that Next Generation Access (NGA) networks require significant investments and that for many regions, especially in more rural areas, there is no viable business case. Taking note of the broadband strategies formulated by European governments the deployment cost is analysed to assess options for extending the profitable coverage of FTTH. In this paper a bottom-up cost model is applied to determine the investment and cost of deploying and operating a FTTH network in Germany on a national level. The monthly cost per subscriber at rising penetration is compared with the Average Revenue Per User (ARPU) to determine the required penetration level or the required revenue for profitable operation in a steady market state. Those regions for which there is no business case are analysed with regard to the level of required subsidies. All modelling is based on differentiated geotypes reflecting urban and rural areas. The basic cost model used has been applied to numerous case studies before and was adapted to determine different forms of subsidies. The research questions addressed are. What is the limit of profitable FTTH coverage in Germany? What is the level of prices, internal subsidisation or investment subsidy necessary to increase the coverage of FTTH in Germany? These results inform policy makers and operators of the relevant investment deltas and/or price levels needed to increase the coverage of next generation broadband access infrastructure. --Next Generation Access,FTTH,cost modelling,GPON,P2P,broadband strategy

Can internet search queries help to predict stock market volatility?

This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search queries. We find a strong co-movement of stock market indices' realized volatility and the search queries for their names. Furthermore, Granger causality is bi-directional: high searches follow high volatility, and high volatility follows high searches. Using the latter feedback effect to predict volatility we find that search queries contain additional information about market volatility. They help to improve volatility forecasts in-sample and out-of-sample as well as for different forecasting horizons. Search queries are particularly useful to predict volatility in high-volatility phases. --realized volatility,forecasting,investor behavior,noise trader,search engine data

Modeling the hall-petch effect with a gradient crystal plasticity theory including a grain boundary yield criterion

Abstract. A strain gradient crystal plasticity theory including the gradient of the equiv- alent plastic strain ∇γeq is discussed. A grain boundary yield condition is proposed in order to account for the influence of the grain boundaries. Periodic tensile test simulations show the mechanical predictions of the numerical model

Anelastic Versus Fully Compressible Turbulent Rayleigh-B\'enard Convection

Numerical simulations of turbulent Rayleigh-B\'enard convection in an ideal gas, using either the anelastic approximation or the fully compressible equations, are compared. Theoretically, the anelastic approximation is expected to hold in weakly superadiabatic systems with $\epsilon = \Delta T / T_r \ll 1$, where $\Delta T$ denotes the superadiabatic temperature drop over the convective layer and $T_r$ the bottom temperature. Using direct numerical simulations, a systematic comparison of anelastic and fully compressible convection is carried out. With decreasing superadiabaticity $\epsilon$, the fully compressible results are found to converge linearly to the anelastic solution with larger density contrasts generally improving the match. We conclude that in many solar and planetary applications, where the superadiabaticity is expected to be vanishingly small, results obtained with the anelastic approximation are in fact more accurate than fully compressible computations, which typically fail to reach small $\epsilon$ for numerical reasons. On the other hand, if the astrophysical system studied contains $\epsilon\sim O(1)$ regions, such as the solar photosphere, fully compressible simulations have the advantage of capturing the full physics. Interestingly, even in weakly superadiabatic regions, like the bulk of the solar convection zone, the errors introduced by using artificially large values for $\epsilon$ for efficiency reasons remain moderate. If quantitative errors of the order of $10\%$ are acceptable in such low $\epsilon$ regions, our work suggests that fully compressible simulations can indeed be computationally more efficient than their anelastic counterparts.Comment: 24 pages, 9 figure

Costly Inflation Misperceptions

One of the consequences of the euro changeover in 2002 was that for a period of several years people considerably overestimated actual inflation. The goal of this paper is to study whether misperceptions of this kind may have real effects, that is, whether they induce people to alter their behaviour. We also discuss the question how far the euro changeover and the ensuing discussion about price stability contributed to the recession that followed the changeover. Looking at the German restaurant sector, we find that people’s misperceptions can have significant negative effects. The contraction this sector experienced in the months after the changeover was too pronounced to be explained by normal business cycle movements. We provide a discussion about the causes of these misperceptions and how to avoid them in future changeovers.euro changeover, perceived inflation

On the noncommutative standard model

We propose a pedestrian review of the noncommutative standard model in its present state.Comment: dedicated to Alain Connes on the occasion of his 60th birthda