Time series analysis for minority game simulations of financial markets

The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model employing tools from statistics, dynamical systems theory and stochastic processes. Using benchmark systems and a financial index for comparison, several conclusions are obtained about the generating mechanism for this kind of evolution. The motion is deterministic, driven by occasional random external perturbation. When the interval between two successive perturbations is sufficiently large, one can find low dimensional chaos in this regime. However, the full motion of the MG model is found to be similar to that of the first differences of the SP500 index: stochastic, nonlinear and (unit root) stationary. (C) 2002 Elsevier B.V. B.V. All rights reserved.

Comparison between the complete Bayesian method and empirical Bayesian method for ARCH models using Brazilian financial time series

In this work we compared the estimates of the parameters of ARCH models using a complete Bayesian method and an empirical Bayesian method in which we adopted a non-informative prior distribution and informative prior distribution, respectively. We also considered a reparameterization of those models in order to map the space of the parameters into real space. This procedure permits choosing prior normal distributions for the transformed parameters. The posterior summaries were obtained using Monte Carlo Markov chain methods (MCMC). The methodology was evaluated by considering the Telebras series from the Brazilian financial market. The results show that the two methods are able to adjust ARCH models with different numbers of parameters. The empirical Bayesian method provided a more parsimonious model to the data and better adjustment than the complete Bayesian method.

Short-term energy forecasting using time series techniques: Chile, a case study

Includes bibliography

The bias in reversing the Box-Cox transformation in time series forecasting: An empirical study based on neural networks

The Box-Cox transformation is a technique mostly utilized to turn the probabilistic distribution of a time series data into approximately normal. And this helps statistical and neural models to perform more accurate forecastings. However, it introduces a bias when the reversion of the transformation is conducted with the predicted data. The statistical methods to perform a bias-free reversion require, necessarily, the assumption of Gaussianity of the transformed data distribution, which is a rare event in real-world time series. So, the aim of this study was to provide an effective method of removing the bias when the reversion of the Box-Cox transformation is executed. Thus, the developed method is based on a focused time lagged feedforward neural network, which does not require any assumption about the transformed data distribution. Therefore, to evaluate the performance of the proposed method, numerical simulations were conducted and the Mean Absolute Percentage Error, the Theil Inequality Index and the Signal-to-Noise ratio of 20-step-ahead forecasts of 40 time series were compared, and the results obtained indicate that the proposed reversion method is valid and justifies new studies. (C) 2014 Elsevier B.V. All rights reserved.

A time series sequestration and storage model of atmospheric carbon dioxide

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Time series analysis of jaw muscle contraction and tissue deformation during mastication in miniature pigs

Masticatory muscle contraction causes both jaw movement and tissue deformation during function. Natural chewing data from 25 adult miniature pigs were studied by means of time series analysis. The data set included simultaneous recordings of electromyography (EMG) from bilateral masseter (MA), zygomaticomandibularis (ZM) and lateral pterygoid muscles, bone surface strains from the left squamosal bone (SQ), condylar neck (CD) and mandibular corpus (MD), and linear deformation of the capsule of the jaw joint measured bilaterally using differential variable reluctance transducers. Pairwise comparisons were examined by calculating the cross-correlation functions. Jaw-adductor muscle activity of MA and ZM was found to be highly cross-correlated with CD and SQ strains and weakly with MD strain. No muscle’s activity was strongly linked to capsular deformation of the jaw joint, nor were bone strains and capsular deformation tightly linked. Homologous muscle pairs showed the greatest synchronization of signals, but the signals themselves were not significantly more correlated than those of non-homologous muscle pairs. These results suggested that bone strains and capsular deformation are driven by different mechanical regimes. Muscle contraction and ensuing reaction forces are probably responsible for bone strains, whereas capsular deformation is more likely a product of movement.

Homicide and public security indicator trends in the city of Sao Paulo between 1996 and 2008: a time-series ecological study

The scope of this paper was to analyze the association between homicides and public security indicators in Sao Paulo between 1996 and 2008, after monitoring the unemployment rate and the proportion of youths in the population. A time-series ecological study for 1996 and 2008 was conducted with Sao Paulo as the unit of analysis. Dependent variable: number of deaths by homicide per year. Main independent variables: arrest-incarceration rate, access to firearms, police activity. Data analysis was conducted using Stata. IC 10.0 software. Simple and multivariate negative binomial regression models were created. Deaths by homicide and arrest-incarceration, as well as police activity were significantly associated in simple regression analysis. Access to firearms was not significantly associated to the reduction in the number of deaths by homicide (p>0,05). After adjustment, the associations with both the public security indicators were not significant. In Sao Paulo the role of public security indicators are less important as explanatory factors for a reduction in homicide rates, after adjustment for unemployment rate and a reduction in the proportion of youths. The results reinforce the importance of socioeconomic and demographic factors for a change in the public security scenario in Sao Paulo.

Evaluation of physiologic complexity in time series using generalized sample entropy and surrogate data analysis

Complexity in time series is an intriguing feature of living dynamical systems, with potential use for identification of system state. Although various methods have been proposed for measuring physiologic complexity, uncorrelated time series are often assigned high values of complexity, errouneously classifying them as a complex physiological signals. Here, we propose and discuss a method for complex system analysis based on generalized statistical formalism and surrogate time series. Sample entropy (SampEn) was rewritten inspired in Tsallis generalized entropy, as function of q parameter (qSampEn). qSDiff curves were calculated, which consist of differences between original and surrogate series qSampEn. We evaluated qSDiff for 125 real heart rate variability (HRV) dynamics, divided into groups of 70 healthy, 44 congestive heart failure (CHF), and 11 atrial fibrillation (AF) subjects, and for simulated series of stochastic and chaotic process. The evaluations showed that, for nonperiodic signals, qSDiff curves have a maximum point (qSDiff(max)) for q not equal 1. Values of q where the maximum point occurs and where qSDiff is zero were also evaluated. Only qSDiff(max) values were capable of distinguish HRV groups (p-values 5.10 x 10(-3); 1.11 x 10(-7), and 5.50 x 10(-7) for healthy vs. CHF, healthy vs. AF, and CHF vs. AF, respectively), consistently with the concept of physiologic complexity, and suggests a potential use for chaotic system analysis. (C) 2012 American Institute of Physics. [http://dx.doi.org/10.1063/1.4758815]

Calibration of a Species-Specific Spectral Vegetation Index for Leaf Area Index (LAI) Monitoring: Example with MODIS Reflectance Time-Series on Eucalyptus Plantations

The leaf area index (LAI) is a key characteristic of forest ecosystems. Estimations of LAI from satellite images generally rely on spectral vegetation indices (SVIs) or radiative transfer model (RTM) inversions. We have developed a new and precise method suitable for practical application, consisting of building a species-specific SVI that is best-suited to both sensor and vegetation characteristics. Such an SVI requires calibration on a large number of representative vegetation conditions. We developed a two-step approach: (1) estimation of LAI on a subset of satellite data through RTM inversion; and (2) the calibration of a vegetation index on these estimated LAI. We applied this methodology to Eucalyptus plantations which have highly variable LAI in time and space. Previous results showed that an RTM inversion of Moderate Resolution Imaging Spectroradiometer (MODIS) near-infrared and red reflectance allowed good retrieval performance (R-2 = 0.80, RMSE = 0.41), but was computationally difficult. Here, the RTM results were used to calibrate a dedicated vegetation index (called "EucVI") which gave similar LAI retrieval results but in a simpler way. The R-2 of the regression between measured and EucVI-simulated LAI values on a validation dataset was 0.68, and the RMSE was 0.49. The additional use of stand age and day of year in the SVI equation slightly increased the performance of the index (R-2 = 0.77 and RMSE = 0.41). This simple index opens the way to an easily applicable retrieval of Eucalyptus LAI from MODIS data, which could be used in an operational way.

Analysis of NDVI time series using cross-correlation and forecasting methods for monitoring sugarcane fields in Brazil

Brazil is the largest sugarcane producer in the world and has a privileged position to attend to national and international market places. To maintain the high production of sugarcane, it is fundamental to improve the forecasting models of crop seasons through the use of alternative technologies, such as remote sensing. Thus, the main purpose of this article is to assess the results of two different statistical forecasting methods applied to an agroclimatic index (the water requirement satisfaction index; WRSI) and the sugarcane spectral response (normalized difference vegetation index; NDVI) registered on National Oceanic and Atmospheric Administration Advanced Very High Resolution Radiometer (NOAA-AVHRR) satellite images. We also evaluated the cross-correlation between these two indexes. According to the results obtained, there are meaningful correlations between NDVI and WRSI with time lags. Additionally, the adjusted model for NDVI presented more accurate results than the forecasting models for WRSI. Finally, the analyses indicate that NDVI is more predictable due to its seasonality and the WRSI values are more variable making it difficult to forecast.

Stochastic simulation of time-series models combined with geostatistics to predict water-table scenarios in a Guarani Aquifer System outcrop area, Brazil

Stochastic methods based on time-series modeling combined with geostatistics can be useful tools to describe the variability of water-table levels in time and space and to account for uncertainty. Monitoring water-level networks can give information about the dynamic of the aquifer domain in both dimensions. Time-series modeling is an elegant way to treat monitoring data without the complexity of physical mechanistic models. Time-series model predictions can be interpolated spatially, with the spatial differences in water-table dynamics determined by the spatial variation in the system properties and the temporal variation driven by the dynamics of the inputs into the system. An integration of stochastic methods is presented, based on time-series modeling and geostatistics as a framework to predict water levels for decision making in groundwater management and land-use planning. The methodology is applied in a case study in a Guarani Aquifer System (GAS) outcrop area located in the southeastern part of Brazil. Communication of results in a clear and understandable form, via simulated scenarios, is discussed as an alternative, when translating scientific knowledge into applications of stochastic hydrogeology in large aquifers with limited monitoring network coverage like the GAS.

Comparing non-stationary and irregularly spaced time series

In this paper, we present approximate distributions for the ratio of the cumulative wavelet periodograms considering stationary and non-stationary time series generated from independent Gaussian processes. We also adapt an existing procedure to use this statistic and its approximate distribution in order to test if two regularly or irregularly spaced time series are realizations of the same generating process. Simulation studies show good size and power properties for the test statistic. An application with financial microdata illustrates the test usefulness. We conclude advocating the use of these approximate distributions instead of the ones obtained through randomizations, mainly in the case of irregular time series. (C) 2012 Elsevier B.V. All rights reserved.

Solar-Terrestrial Signal Record in Tree Ring Width Time Series from Brazil

This work investigates the behavior of the sunspot number and Southern Oscillation Index (SOI) signal recorded in the tree ring time series for three different locations in Brazil: Humaita in Amaznia State, Porto Ferreira in So Paulo State, and Passo Fundo in Rio Grande do Sul State, using wavelet and cross-wavelet analysis techniques. The wavelet spectra of tree ring time series showed signs of 11 and 22 years, possibly related to the solar activity, and periods of 2-8 years, possibly related to El Nio events. The cross-wavelet spectra for all tree ring time series from Brazil present a significant response to the 11-year solar cycle in the time interval between 1921 to after 1981. These tree ring time series still have a response to the second harmonic of the solar cycle (5.5 years), but in different time intervals. The cross-wavelet maps also showed that the relationship between the SOI x tree ring time series is more intense, for oscillation in the range of 4-8 years.

Constraint-based analysis of gene interactions using restricted boolean networks and time-series data

Abstract Background A popular model for gene regulatory networks is the Boolean network model. In this paper, we propose an algorithm to perform an analysis of gene regulatory interactions using the Boolean network model and time-series data. Actually, the Boolean network is restricted in the sense that only a subset of all possible Boolean functions are considered. We explore some mathematical properties of the restricted Boolean networks in order to avoid the full search approach. The problem is modeled as a Constraint Satisfaction Problem (CSP) and CSP techniques are used to solve it. Results We applied the proposed algorithm in two data sets. First, we used an artificial dataset obtained from a model for the budding yeast cell cycle. The second data set is derived from experiments performed using HeLa cells. The results show that some interactions can be fully or, at least, partially determined under the Boolean model considered. Conclusions The algorithm proposed can be used as a first step for detection of gene/protein interactions. It is able to infer gene relationships from time-series data of gene expression, and this inference process can be aided by a priori knowledge available.