Predictability Research Papers - Academia.edu (original) (raw)

ABSTRACT We study whether option-implied conditional expectation of market loss due to tail events, or tail loss measure, contains information about future returns, especially the negative ones. Our tail loss measure predicts future... more

ABSTRACT We study whether option-implied conditional expectation of market loss due to tail events, or tail loss measure, contains information about future returns, especially the negative ones. Our tail loss measure predicts future market returns, magnitude, and probability of the market crashes, beyond and above other option-implied variables. Stock-specific tail loss measure predicts individual expected returns and magnitude of realized stock-specific crashes in the cross-section of stocks. An investor, especially the one who cares about the left tail of her wealth distribution (e.g., disappointment-averse), benefits from using the tail loss measure as an information variable to construct managed portfolios of a risk-free asset and market index. The tail loss measure is motivated by the results of the extreme value theory, and it is computed from observed prices of out-of-the-money put as the risk-neutral expected value of a loss beyond a given relative threshold.

The main purpose of this work is to provide a broad assessment of the influence of the El Niño–southern oscillation (ENSO) on the frequency of extreme temperature events throughout the year in Argentina. The cold and warm events, defined... more

The main purpose of this work is to provide a broad assessment of the influence of the El Niño–southern oscillation (ENSO) on the frequency of extreme temperature events throughout the year in Argentina. The cold and warm events, defined by the persistence of significant anomalies arising from the maximum and minimum temperatures, are more intense in the subtropical latitudes, north of Argentina (northeast for cold events and northwest for warm events), during the coldest months, and in the south (higher latitudes) in the warmest months. The persistence of the air masses is always greater in the north. The warm (cold) events have a preferential region of dissipation in the northwest (northeast) of Argentina, close to the Andes. The effect of the ENSO phases on the probability of occurrences of these events has a large inter-monthly variability. The different La Niña episodes are more homogeneous in relation to their effects and feasibility for the prediction of extreme temperatures within the region, especially for cold events. During La Niña episodes, all 2 month periods (except August–September) present a higher occurrence probability of very persistent and intense cold events, compared with Neutral months in different regions of the country. Conversely, the different El Niño episodes are more heterogeneous and, therefore, their effects on temperature are more varied and so less predictable. However, El Niño episodes exhibit a stronger signal, which is associated with the tropical air incursions that generate extreme warm events, particularly in winter. These events have a higher occurrence probability in the north and a lower one in the south during the months of June to November. Cold events have a lower occurrence probability in different regions, during the El Niño phase, in the period April to September. In some cases, the ENSO signal is stronger in daily temperature values than in monthly ones over Argentina. Copyright © 2002 Royal Meteorological Society

Embedded system is an engineering artifact involving computation that is subject to physical constraints, the physical constraints arise through two kinds of interactions of computational processes with the physical world reaction to a... more

Embedded system is an engineering artifact involving computation that is subject to physical constraints, the physical constraints arise through two kinds of interactions of computational processes with the physical world reaction to a physical environment, and execution on a physical platform. In this paper, we describe the physical constraints and the challenges in the embedded system design and their impact on the embedded system.

Recent research in large-scale hydroclimatic variability is surveyed, focusing on five topics: (i) variability in general, (ii) droughts, (iii) floods, (iv) land–atmosphere coupling , and (v) hydroclimatic prediction. Each surveyed topic... more

Recent research in large-scale hydroclimatic variability is surveyed, focusing on five topics: (i) variability in general, (ii) droughts, (iii) floods, (iv) land–atmosphere coupling , and (v) hydroclimatic prediction. Each surveyed topic is supplemented by illustrative examples of recent research, as presented at a 2016 symposium honoring the career of Professor Eric Wood. Taken together, the recent literature and the illustrative examples clearly show that current research into hydroclimatic variability is strong, vibrant, and multi-faceted.

Essay review of Florin Diacu and Philip Holmes, Celestial Encounters: The Origins of Chaos and Stability.

Como se explica a emergência de padrões ordenados de atos e relacionamentos protagonizados por indivíduos autónomos, criativos e livres? Que consequências têm sobre esses mesmos indivíduos aqueles padrões de atos e relacionamentos? Estas... more

Como se explica a emergência de padrões ordenados de atos e relacionamentos protagonizados por indivíduos autónomos, criativos e livres? Que consequências têm sobre esses mesmos indivíduos aqueles padrões de atos e relacionamentos? Estas questões integram o que podemos designar como o “problema da ordem”. Neste artigo, contesta-se a associação entre aquele problema e as ideias de reprodução, consenso e determinismo, argumenta-se que a previsibilidade da vida social é maior do que muitas vezes reconhecido e sustenta-se que a reflexividade dos agentes humanos não se opõe lógica ou empiricamente à emergência de regularidades sociais. Por fim, define-se ordem social em termos factuais como a padronização que emerge dos processos relacionais de interação, de agrupamento e de interdependência sistémica.

This work describes a large-scale experiment aimed at a study of certain aspects of literary text perception by readers. The experiment is implemented as a Web-based literary game where players guess words in fragments of real texts. Its... more

This work describes a large-scale experiment aimed at a study of certain aspects of literary text perception by readers. The experiment is implemented as a Web-based literary game where players guess words in fragments of real texts. Its goal is to quantify the degree of unpredictability (unexpectedness) and constrainedness (irreplaceability) of individual words within the fragments. I argue that these quantities represent a measure of foregrounding on the lexical level. The results shed new light on the nature of the distinction between poetry and prose and on the role of formal constraints in poetry.

Transparency is a widely used but poorly defined term within the explainable artificial intelligence literature. This is due, in part, to the lack of an agreed definition and the overlap between the connected — sometimes used synonymously... more

Transparency is a widely used but poorly defined term within the explainable artificial intelligence literature. This is due, in part, to the lack of an agreed definition and the overlap between the connected — sometimes used synonymously — concepts of interpretability and explainability. We assert that transparency is the overarching concept, with the tenets of interpretability, explainability, and predictability subordinate. We draw on a portfolio of definitions for each of these distinct concepts to propose a human-swarm-teaming transparency and trust architecture (HST3-Architecture). The architecture reinforces transparency as a key contributor towards situation awareness, and consequently as an enabler for effective trustworthy human-swarm teaming (HST).

摘 要：透明和责任、可预测性和一致性以及法律面前人人平等，是各国普遍认可的法治价值观。预编程规则系统和从历史数据中衍生规则系统，是两类典型的自动化系统。澳大利亚、美国、瑞典和中国的公共机构已经在社会福利分配、刑事审判和社会信用评级等领域，应用自动化系统进行决策。政府决策自动化，在增强法治价值的同时也给法治价值带来新的挑战，反映出法治与技术快速变革之间的紧张关系。缓和法治与政府决策自动化之间的紧张关系，需要精心设计、有效实施和持续评估自动化决策系统，需要将自动化决策系统的形式与应用场景相匹配并限制自动化决策在某些场景的应用。然而，将法治价值观转化为自动化系统的技术规范并加以实施，是一项艰巨的技术和法律挑战。
关键词：法治；自动化决策；法治价值观；专家系统；机器学习
作者简介：莫妮卡·佐尼鲁特（Monika Zalnieriute），新南威尔士大学法学院阿朗技术、法律与创新中心博士后研究人员；莉亚·本内特·摩西（Lyria Bennett Moses），教授、新南威尔士大学法学院阿朗技术、法律与创新中心主任；乔治·威廉姆斯（George Williams），教授、新南威尔士大学法学院院长
译者简介：廖建凯，湖南株洲人，法学博士，西南政法大学人工智能法学院教师

Η παρούσα διατριβή διερευνά τον ρόλο της τοπολογίας επικοινωνίας στο μοντέλο πολλαπλών κανονιστικών ισορροπιών (MER model). Συμπεριλαμβάνει επίσης και μια εισαγωγή στις δραστοστρεφείς προσομοιώσεις καθώς και την παρουσίαση κάποιων από τα... more

Η παρούσα διατριβή διερευνά τον ρόλο της τοπολογίας επικοινωνίας στο μοντέλο πολλαπλών κανονιστικών ισορροπιών (MER model). Συμπεριλαμβάνει επίσης και μια εισαγωγή στις δραστοστρεφείς προσομοιώσεις καθώς και την παρουσίαση κάποιων από τα σημαντικότερα μοντέλα που αφορούν στη δυναμική εξέλιξη των γνωμών μιας τεχνητής κοινωνίας.

Nous ouvrons la présente étude par une élucidation de la teneur du « mythe de Laplace », que nous interprétons comme l’inférence prenant pied sur la conjonction de deux prémisses, l’hypothèse d’une intelligence illimitée et l’hypothèse... more

Nous ouvrons la présente étude par une élucidation de la teneur du « mythe de Laplace », que nous interprétons comme l’inférence prenant pied sur la conjonction de deux prémisses, l’hypothèse d’une intelligence illimitée et l’hypothèse d’un univers ontologiquement déterministe, et aboutissant à la thèse du déterminisme épistémologique. Nous nous donnons ensuite comme objectif de démontrer qu’une telle inférence est invalide. À cette fin, nous partons à la recherche d’un cadre métaphysique particulier au sein duquel il est possible de soutenir la conjonction des hypothèses de l’inférence Laplacienne avec la négation de sa thèse. En particulier, après avoir évalué – puis écarté – la possibilité que le bergsonnisme convienne à cet égard, nous montrons qu’une philosophie spécifique de l’évolution s’étant inspirée – mais aussi distanciée – du bergsonnisme constitue le cadre recherché. La mise en évidence de l’existence et de la consistance même d’une telle philosophie constitue l’occasion de mettre fin au mythe de Laplace.

Prevedibilità e giustizia predittiva, come opportunità di prevedere l’esito del processo attraverso l’uso di algoritmi; nonostante i rischi delle decisioni robotiche. Lo studio nasce da una domanda: un giudice può essere sostituito da un... more

Prevedibilità e giustizia predittiva, come opportunità di prevedere
l’esito del processo attraverso l’uso di algoritmi; nonostante i rischi
delle decisioni robotiche.
Lo studio nasce da una domanda: un giudice può essere sostituito da
un robot?
La tesi è che la decisione robotica e quella umana possono commettere
errori e le decisioni robotiche non possono essere considerate “giuste”,
anche quando sono logicamente “corrette”: non ci sono macchine
infallibili.
Tuttavia, si dovrebbe valutare positivamente che l’automazione del
processo decisionale consenta di ottenere vantaggi significativi in termini
di uniformità, affidabilità e controllabilità della decisione.

Purpose – Analyze how the characteristics of the business environment generates differences in the quality of accounting information in the international context. Design/methodology/approach – Descriptive research with a quantitative... more

Purpose – Analyze how the characteristics of the business environment
generates differences in the quality of accounting information in the
international context.
Design/methodology/approach – Descriptive research with a
quantitative approach. Documentation collection in the Thomson
Datastream Index Service database in a sample of 1,406 companies
located in twelve countries, from 2005 to 2012.
Findings – Companies located in countries with lower tax burden,
stronger legal environment, greater economic and financial development
index, common law legal origin and higher degree of internationalization
presented higher averages and significant differences in the aggregate
ranking of the quality of accounting information. The type of standard
accounting used also influenced the position in the aggregate ranking
of the accounting information quality.
Originality/value – The interaction of companies with external
markets influences the choices of accounting policies. The countries’
environmental characteristics, related to transparency, economic
nature, legal and tax environment, lead to various levels of the quality
of accounting information reported by companies.

Background: Among the most important modifiable risky behaviou rs for health are smoking and alcohol use and abuse beginning at early age. The importance of identifying the presence and the severity of these... more

Background:
Among the most important modifiable risky behaviou
rs for health are smoking and alcohol use
and abuse beginning at early age. The importance of
identifying the presence and the severity of these
unhealthy
behaviours is in the focus of this research study w
ith the aim of preventing them via psychological in
terventions
of health.
Aim:
Τ
he original investigation, detection and modificati
on of psychological factors that contribute to smok
ing
behaviour and alcohol use on postadolescent age and
furthermore the intention of future use. This will
be useful
to identify both high-risk groups and future users
of tobacco and alcohol.
Material-Method:
For the purpose of the research part to be present
ed a prototype questionnaire was
constructed, with the conduction of three pilot stu
dies preceded, for both tobacco and alcohol use, ba
sed on the
health model “Theory of Planned Behaviour” (Ajzen,
1991). The most significant factors are behavioural
attitudes, social norms, perceived behavioral contr
ol and self-efficacy. All parameters mentioned abov
e lead to
intention to smoke and drink alcohol. Present behav
iours of smoking and alcohol drinking are also eval
uated.
The sample consists of 791 students of postadolesce
nt age, 18-25 years of both sexes, who study in fac
ulties of
the University of Peloponnese and Technological Ins
titute of Kalamata, in Greece.
Results:
The results conducting a series of statistical ana
lyses, via statistical program SPSS 21.0, revealed
that
the reliability coefficient for the scales of both
alcohol consumption and smoking were fairly high (C
ronbach
a>0.85).
Factor analyses revealed that the items of the subs
cales loaded on few factors, which accounted for at
least 53.1% of the total variance”.
Conclusion:
Τ
he application of the above research tool is demons
trated in the context of best prevention
practices in health care in collaboration with the
academic community. Ultimate goal is the design of
appropriate primary preventive health interventions
in students.

The question of whether asset price changes are predictable has long been the subject of many studies. This article assesses the predictability of the weekly returns of the Iranian Rial against the exchange rates of the US dollar, the... more

The question of whether asset price changes are predictable has long been the subject of many studies. This article assesses the predictability of the weekly returns of the Iranian Rial against the exchange rates of the US dollar, the euro, and the British pound during the period 2000 to 2011. It will be shown that the returns are not predictable using publicly available information, and they are martingale difference sequences. Therefore, the exchange rate returns do not seem to be predictable, in weak or semi-strong forms

Recent research in large-scale hydroclimatic variability is surveyed, focusing on five topics: (i) variability in general, (ii) droughts, (iii) floods, (iv) land-atmosphere interactions, and (v) hydroclimatic prediction. Each surveyed... more

Recent research in large-scale hydroclimatic variability is surveyed, focusing on five topics: (i) variability in general, (ii) droughts, (iii) floods, (iv) land-atmosphere interactions, and (v) hydroclimatic prediction. Each surveyed topic is supplemented by illustrative examples of recent research, as presented at a 2016 symposium honoring the career of Professor Eric Wood. Taken together, the recent literature and the illustrative examples clearly show that research into hydroclimatic variability continues to be strong, vibrant, and multifaceted.

There is growing evidence that heightened sensitivity to unpredictable threat is a core mechanism of dysfunction in anxiety disorders. However, it is unclear whether anxiety sensitivity is also associated with sensitivity to unpredictable... more

There is growing evidence that heightened sensitivity to unpredictable threat is a core mechanism of dysfunction in anxiety disorders. However, it is unclear whether anxiety sensitivity is also associated with sensitivity to unpredictable threat. In the present study, 131 participants completed the Anxiety Sensitivity Index-3, which includes physical concerns (PC), social concerns (SC), and cognitive concerns (CC) subscales, and a predictable vs. unpredictable threat-of-shock task. Startle eyeblink and ERP responses (N100, P300) to the acoustic startle probes were measured during the task. PC and CC were associated with heightened and attenuated, respectively, startle for the unpredictable (but not predictable) condition. CC were also associated with attenuated probe N100 for the unpredictable condition only, and PC were associated with increased P300 suppression across the predictable and unpredictable conditions. This study provides novel evidence that the different anxiety sensit...

The behavior of some systems is noncomputable in a precise new sense. One infamous problem is that of the stability of the solar system: Given the initial positions and velocities of several mutually gravitating bodies, will any... more

The behavior of some systems is noncomputable in a precise new sense. One infamous problem is that of the stability of the solar system: Given the initial positions and velocities of several mutually gravitating bodies, will any eventually collide or be thrown off to infinity? Many have made vague suggestions that this and similar problems are undecidable: No finite procedure can reliably determine whether a given configuration will eventually prove unstable. But taken in the most natural way, this is trivial. The state of a system corresponds to a point in a continuous space, and virtually no set of points in space is strictly decidable. A new, more pragmatic concept is therefore introduced: A set is decidable up to measure zero (d.m.z.) if there is a procedure to decide whether a point is in that set and it only fails on some points that form a set of zero volume. This is motivated by the intuitive correspondence between volume and probability: We can ignore a zero-volume set of states because the state of an arbitrary system almost certainly will not fall in that set. D.m.z. is also closer to the intuition of decidability than other notions in the literature, which are either less strict or apply only to special sets, like closed sets. Certain complicated sets are not d.m.z., most remarkably including the set of know stable orbits for planetary systems (the KAM tori). This suggests that the stability problem is indeed undecidable in the precise sense of d.m.z. Carefully extending decidability concepts from idealized models to actual systems, we see that even deterministic aspects of physical behaviour can be undecidable in a clear and significant sense.