Anomalous volatility scaling in high frequency financial data

Volatility of intra-day stock market indices computed at various time horizons exhibits a scaling behaviour that differs from what would be expected from fractional Brownian motion (fBm). We investigate this anomalous scaling by using empirical mode decomposition (EMD), a method which separates time series into a set of cyclical components at different time-scales. By applying the EMD to fBm, we retrieve a scaling law that relates the variance of the components to a power law of the oscillating period. In contrast, when analysing 22 different stock market indices, we observe deviations from the fBm and Brownian motion scaling behaviour. We discuss and quantify these deviations, associating them to the characteristics of financial markets, with larger deviations corresponding to less developed markets.Comment: 25 pages, 11 figure, 5 table

Time-dependent scaling patterns in high frequency financial data

We measure the influence of different time-scales on the intraday dynamics of financial markets. This is obtained by decomposing financial time series into simple oscillations associated with distinct time-scales. We propose two new time-varying measures of complexity: 1) an amplitude scaling exponent and 2) an entropy-like measure. We apply these measures to intraday, 30-second sampled prices of various stock market indices. Our results reveal intraday trends where different time-horizons contribute with variable relative amplitudes over the course of the trading day. Our findings indicate that the time series we analysed have a non-stationary multifractal nature with predominantly persistent behaviour at the middle of the trading session and anti-persistent behaviour at the opening and at the closing of the session. We demonstrate that these patterns are statistically significant, robust, reproducible and characteristic of each stock market. We argue that any modelling, analytics or trading strategy must take into account these non-stationary intraday scaling patterns

Dynamic correlations at different time-scales with empirical mode decomposition

We introduce a simple approach which combines Empirical Mode Decomposition (EMD) and Pearson’s cross-correlations over rolling windows to quantify dynamic dependency at different time scales. The EMD is a tool to separate time series into implicit components which oscillate at different time-scales. We apply this decomposition to intraday time series of the following three financial indices: the S&P 500 (USA), the IPC (Mexico) and the VIX (volatility index USA), obtaining time-varying multidimensional cross-correlations at different time-scales. The correlations computed over a rolling window are compared across the three indices, across the components at different time-scales and across different time lags. We uncover a rich heterogeneity of interactions, which depends on the time-scale and has important lead–lag relations that could have practical use for portfolio management, risk estimation and investment decisions

Financial time series forecasting using empirical mode decomposition and support vector regression

We introduce a multistep-ahead forecasting methodology that combines empirical mode decomposition (EMD) and support vector regression (SVR). This methodology is based on the idea that the forecasting task is simplified by using as input for SVR the time series decomposed with EMD. The outcomes of this methodology are compared with benchmark models commonly used in the literature. The results demonstrate that the combination of EMD and SVR can outperform benchmark models significantly, predicting the Standard & Poor’s 500 Index from 30 s to 25 min ahead. The high-frequency components better forecast short-term horizons, whereas the low-frequency components better forecast long-term horizons

Pedagogía para la práctica educativa del siglo XXI

La obra es coordinada por el doctor René Pedroza Flores, investigador del Instituto de Estudios Sobre la Universidad (iesu), de la uaem; miembro del Sistema Nacional de Investigadores (sni), nivel 2, e integrante regular en la Academia Mexicana de las Ciencias. En este libro participan profesoresinvestigadores miembros expertos en la temática y pertenecientes a nuestra universidad, así como investigadores de importante prestigio internacional en diversas disciplinas. En este sentido, destacan las investigaciones de los españoles Clara Ventura Obrador, Gloria Alguacil Buchna y el colombiano Carlos Alberto Jiménez Vélez; además de la colaboración de la antropóloga francesa Noemí Paymal. Asimismo, son relevantes las contribuciones de los investigadores mexicanos Salvador Soriano y Mónica E. Soriano. Las propuestas incluidas en Pedagogía para la práctica educativa del siglo xxi están encaminadas a conformar mejores sociedades en nuestra era, considerando que la comprensión de estas posturas y su aplicación en diversos contextos específicos representará una posibilidad para edificar sociedades mucho más justas, equitativas y humanas; sobre todo en ámbitos profesionales y universitarios urgentes de subsanar problemáticas en los procesos mundiales educativos de hoy.Pedagogía para la práctica educativa del siglo xxi es una obra que muestra cómo la dinámica de la sociedad actual lleva a concebir la educación de una forma diferente de la visión prevaleciente en la actualidad, la cual reconoce en las competencias y las habilidades el único medio para lograr en los individuos su desarrollo e inserción social. El presente libro otorga al lector un panorama epistemológico, metodológico y teórico del nacimiento de un nuevo paradigma pedagógico, al considerar que una pedagogía humana implica la enseñanza integral y holística posible, mediante el uso de diversos recursos de enseñanza-aprendizaje acordes con la formación de las sociedades de nuestro siglo.UAE

Vocabulario de la sociedad civil, la ruralidad y los movimientos sociales en América Latina

El Vocabulario de la Sociedad Civil, la Ruralidad y los Movimientos Sociales en América Latina tiene como objetivo desarrollar vocablos relacionados con temas de gran trascendencia para la vida colectiva de la población Latinoamericana; pretende introducir a estudiantes, personas del ámbito académico y activistas en la comprensión de estas categorías de análisis. A través de la mirada de 70 especialistas que participaron en este vocabulario, es posible comprender muchos de los términos que se utilizan dentro de la investigación social y áreas relacionadas con las ciencias políticas, ambientales y rurales, a partir de una mayor explicación y detalle. Es por ello que se inserta este trabajo desde una mirada colectiva y amplia de los conceptos que se exponen. En este libro podrá encontrar las ideas de varios autores y autoras de distintas universidades, con una visión multi, inter y transdisciplinaria. El esfuerzo que se realizó para conjuntar varios términos y analizar su compleja red de interpretaciones, permitirá que este manuscrito pueda ser consultado por estudiantes, personas del ámbito científico-académico, y ciudadanía; porque contiene el estado del arte, la historia del paulatino avance de múltiples conceptos y su vigencia en el contexto actual

Financial Time Series Forecasting Using Empirical Mode Decomposition and Support Vector Regression

We introduce a multistep-ahead forecasting methodology that combines empirical mode decomposition (EMD) and support vector regression (SVR). This methodology is based on the idea that the forecasting task is simplified by using as input for SVR the time series decomposed with EMD. The outcomes of this methodology are compared with benchmark models commonly used in the literature. The results demonstrate that the combination of EMD and SVR can outperform benchmark models significantly, predicting the Standard & Poor’s 500 Index from 30 s to 25 min ahead. The high-frequency components better forecast short-term horizons, whereas the low-frequency components better forecast long-term horizons

Analysis of the tick communities associated to domestic mammals in rural areas of the Yungas montane forest from Argentina

The aim of this work was to describe the tick community associated to domestic mammals in rural areas from the Yungas lower montane forest of Argentina. The circulation of tick-borne pathogens was also analyzed. Samples of ticks parasitizing cattle, horses, sheep and dogs were carried out in different seasons, and questing ticks were collected from vegetation and analyzed to detect the presence of Rickettsia, Ehrlichia, Borrelia and Babesia by a battery of different PCRs. The structure of the tick communities was analyzed through the Chao1 species richness estimator, the Shannon–Wiener index and the Horn index of community similarity. Eight tick species were collected in the study area: Amblyomma sculptum, Rhipicephalus microplus, Amblyomma hadanii, Dermacentor nitens, Amblyomma ovale, Haemaphysalis juxtakochi, Ixodes pararicinus and Rhipicephalus sanguineus sensu stricto. However, A. sculptum was by far the dominant species in the tick assemblages analyzed, and this was reflected in the low diversity values obtained. Dermacentor nitens, A. sculptum and R. microplus were the three species associated to horses. The predominance of A. sculptum was also observed in the tick samples obtained from dogs, even on two tick species, namely A. ovale and R. sanguineus s.s., which have dogs as the principal domestic host. Rhipicephalus microplus and A. sculptum were the most abundant ticks on cattle, while few specimens of I. pararicinus, A. hadanii and D. nitens were found on bovines. Dermacentor nitens ticks were found to be infected with B. caballi, which indicate the circulation of this pathogen of horses in the Yungas area. The detection of a strain of Borrelia sp. belonging to the B. burgdorferi s.l. complex in I. pararicinus is consistent with previous findings made in Argentina, but the public health relevance of this vector-microorganism association is far from being similar to that occurs in the northern hemisphere because there are practically no records of these tick species parasitizing humans in South America. The tick community of rural areas of the Yungas lower montane forest is composed by species which are potential vectors of pathogenic microorganism with veterinary and public health importance, circulating in a human-wildlife-livestock interface.Fil: Copa, Griselda Noemi. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad Nacional de Salta. Facultad de Ciencias Naturales. Escuela de Biología. Cátedra de Química Biológica; ArgentinaFil: Flores, Fernando Sebastián. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad Nacional de Córdoba. Facultad de Ciencias Exactas, Físicas y Naturales. Centro de Investigaciones Entomológicas de Córdoba; ArgentinaFil: Tarragona, Evelina Luisa. Consejo Nacional de Investigaciones Cientificas y Tecnicas. Centro Cientifico Tecnologico Conicet - Santa Fe. Instituto de Investigacion de la Cadena Lactea. - Instituto Nacional de Tecnologia Agropecuaria. Centro Regional Santa Fe. Estacion Experimental Agropecuaria Rafaela. Instituto de Investigacion de la Cadena Lactea.; ArgentinaFil: Lamattina, Daniela. Dirección Nacional de Instituto de Investigación. Administración Nacional de Laboratorio e Instituto de Salud "Dr. C. G. Malbrán"; ArgentinaFil: Sebastian, Patrick Stephan. Consejo Nacional de Investigaciones Cientificas y Tecnicas. Centro Cientifico Tecnologico Conicet - Santa Fe. Instituto de Investigacion de la Cadena Lactea. - Instituto Nacional de Tecnologia Agropecuaria. Centro Regional Santa Fe. Estacion Experimental Agropecuaria Rafaela. Instituto de Investigacion de la Cadena Lactea.; ArgentinaFil: Gil, José Fernando. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Salta. Instituto de Investigaciones en Energía no Convencional. Universidad Nacional de Salta. Facultad de Ciencias Exactas. Departamento de Física. Instituto de Investigaciones en Energía no Convencional; Argentina. Universidad Nacional de Salta. Sede Regional Orán. Instituto de Investigación de Enfermedades Tropicales; ArgentinaFil: Mangold, Atilio Jose. Consejo Nacional de Investigaciones Cientificas y Tecnicas. Centro Cientifico Tecnologico Conicet - Santa Fe. Instituto de Investigacion de la Cadena Lactea. - Instituto Nacional de Tecnologia Agropecuaria. Centro Regional Santa Fe. Estacion Experimental Agropecuaria Rafaela. Instituto de Investigacion de la Cadena Lactea.; ArgentinaFil: Venzal, José M.. Universidad Nacional de San Martín. Instituto de Investigaciones e Ingeniería Ambiental. Laboratorio de Ecología de Enfermedades Transmitidas por Vectores; ArgentinaFil: Nava, Santiago. Consejo Nacional de Investigaciones Cientificas y Tecnicas. Centro Cientifico Tecnologico Conicet - Santa Fe. Instituto de Investigacion de la Cadena Lactea. - Instituto Nacional de Tecnologia Agropecuaria. Centro Regional Santa Fe. Estacion Experimental Agropecuaria Rafaela. Instituto de Investigacion de la Cadena Lactea.; Argentin