Another Look to the Price-Dividend Ratio: A Markov-Switching Approach

This paper analyzes the stationarity of this ratio in the context of a Markov-switching model à la Hamilton (1989) where an asymmetric speed of adjustment is introduced. This particular specification robustly supports a nonlinear reversion process and identifies two relevant episodes: the post-war period from the mid-50’s to the mid-70’s and the so called “90’s boom” period. A three-regime Markov-switching model displays the best regime identification and reveals that only the first part of the 90’s boom (1985-1995) and the post-war period are near-nonstationary states. Interestingly, the last part of the 90’s boom (1996-2000), characterized by a growing price-dividend ratio, is entirely attributed to a regime featuring a highly reverting process.

Markov Switching Risk Premium and the term structure of interest rates. Empirical evidence from US post-war interest rates

This paper considers the basic present value model of interest rates under rational expectations with two additional features. First, following McCallum (1994), the model assumes a policy reaction function where changes in the short-term interest rate are determined by the long-short spread. Second, the short-term interest rate and the risk premium processes are characterized by a Markov regime-switching model. Using US post-war interest rate data, this paper finds evidence that a two-regime switching model fits the data better than the basic model. The estimation results also show the presence of two alternative states displaying quite different features.

New methods for generating populations in Markov network based EDAs: Decimation strategies and model-based template recombination

Methods for generating a new population are a fundamental component of estimation of distribution algorithms (EDAs). They serve to transfer the information contained in the probabilistic model to the new generated population. In EDAs based on Markov networks, methods for generating new populations usually discard information contained in the model to gain in efficiency. Other methods like Gibbs sampling use information about all interactions in the model but are computationally very costly. In this paper we propose new methods for generating new solutions in EDAs based on Markov networks. We introduce approaches based on inference methods for computing the most probable configurations and model-based template recombination. We show that the application of different variants of inference methods can increase the EDAs’ convergence rate and reduce the number of function evaluations needed to find the optimum of binary and non-binary discrete functions.

Dialog Systems based on Markov decision processes over two real tasks

In this work the state of the art of the automatic dialogue strategy management using Markov decision processes (MDP) with reinforcement learning (RL) is described. Partially observable Markov decision processes (POMDP) are also described. To test the validity of these methods, two spoken dialogue systems have been developed. The first one is a spoken dialogue system for weather forecast providing, and the second one is a more complex system for train information. With the first system, comparisons between a rule-based system and an automatically trained system have been done, using a real corpus to train the automatic strategy. In the second system, the scalability of these methods when used in larger systems has been tested.

A genealogical map of the concept of habit

The notion of information processing has dominated the study of the mind for over six decades. However, before the advent of cognitivism, one of the most prominent theoretical ideas was that of Habit. This is a concept with a rich and complex history, which is again starting to awaken interest, following recent embodied, enactive critiques of computationalist frameworks. We offer here a very brief history of the concept of habit in the form of a genealogical network-map. This serves to provide an overview of the richness of this notion and as a guide for further re-appraisal. We identify 77 thinkers and their influences, and group them into seven schools of thought. Two major trends can be distinguished. One is the associationist trend, starting with the work of Locke and Hume, developed by Hartley, Bain, and Mill to be later absorbed into behaviorism through pioneering animal psychologists (Morgan and Thorndike). This tradition conceived of habits atomistically and as automatisms (a conception later debunked by cognitivism). Another historical trend we have called organicism inherits the legacy of Aristotle and develops along German idealism, French spiritualism, pragmatism, and phenomenology. It feeds into the work of continental psychologists in the early 20th century, influencing important figures such as Merleau-Ponty, Piaget, and Gibson. But it has not yet been taken up by mainstream cognitive neuroscience and psychology. Habits, in this tradition, are seen as ecological, self-organizing structures that relate to a web of predispositions and plastic dependencies both in the agent and in the environment. In addition, they are not conceptualized in opposition to rational, volitional processes, but as transversing a continuum from reflective to embodied intentionality. These are properties that make habit a particularly attractive idea for embodied, enactive perspectives, which can now re-evaluate it in light of dynamical systems theory and complexity research.