Aggregate volatility risk and the cross-section of stock returns: Australian evidence

This study examines the relation between aggregate volatility risk and the cross-section of stock returns in Australia. We use a stock's sensitivity to innovations in the ASX200 implied volatility (VIX) as a proxy for aggregate volatility risk. Consistent with theoretical predictions, aggregate volatility risk is negatively related to the cross-section of stock returns only when market volatility is rising. The asymmetric volatility effect is persistent throughout the sample period and is robust after controlling for size, book-to-market, momentum, and liquidity issues. There is some evidence that aggregate volatility risk is a priced factor, especially in months with increasing market volatility.

SECC: simultaneous extraction of context and community from pervasive signals

Understanding user contexts and group structures plays a central role in pervasive computing. These contexts and community structures are complex to mine from data collected in the wild due to the unprecedented growth of data, noise, uncertainties and complexities. Typical existing approaches would first extract the latent patterns to explain the human dynamics or behaviors and then use them as the way to consistently formulate numerical representations for community detection, often via a clustering method. While being able to capture high-order and complex representations, these two steps are performed separately. More importantly, they face a fundamental difficulty in determining the correct number of latent patterns and communities. This paper presents an approach that seamlessly addresses these challenges to simultaneously discover latent patterns and communities in a unified Bayesian nonparametric framework. Our Simultaneous Extraction of Context and Community (SECC) model roots in the nested Dirichlet process theory which allows nested structure to be built to explain data at multiple levels. We demonstrate our framework on three public datasets where the advantages of the proposed approach are validated.