937 resultados para Algoritmic pairs trading, statistical arbitrage, Kalman filter, mean reversion.
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In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian (including Student t) errors. The univariate tests studied extend existing exact procedures by allowing for unspecified parameters in the error distributions (e.g., the degrees of freedom in the case of the Student t distribution). The multivariate tests are based on properly standardized multivariate residuals to ensure invariance to MLR coefficients and error covariances. We consider tests for serial correlation, tests for multivariate GARCH and sign-type tests against general dependencies and asymmetries. The procedures proposed provide exact versions of those applied in Shanken (1990) which consist in combining univariate specification tests. Specifically, we combine tests across equations using the MC test procedure to avoid Bonferroni-type bounds. Since non-Gaussian based tests are not pivotal, we apply the maximized MC (MMC) test method [Dufour (2002)], where the MC p-value for the tested hypothesis (which depends on nuisance parameters) is maximized (with respect to these nuisance parameters) to control the tests significance level. The tests proposed are applied to an asset pricing model with observable risk-free rates, using monthly returns on New York Stock Exchange (NYSE) portfolios over five-year subperiods from 1926-1995. Our empirical results reveal the following. Whereas univariate exact tests indicate significant serial correlation, asymmetries and GARCH in some equations, such effects are much less prevalent once error cross-equation covariances are accounted for. In addition, significant departures from the i.i.d. hypothesis are less evident once we allow for non-Gaussian errors.
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We discuss statistical inference problems associated with identification and testability in econometrics, and we emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on weakly identified models (or weak instruments). We point out that many hypotheses, for which test procedures are commonly proposed, are not testable at all, while some frequently used econometric methods are fundamentally inappropriate for the models considered. Such situations lead to ill-defined statistical problems and are often associated with a misguided use of asymptotic distributional results. Concerning nonparametric hypotheses, we discuss three basic problems for which such difficulties occur: (1) testing a mean (or a moment) under (too) weak distributional assumptions; (2) inference under heteroskedasticity of unknown form; (3) inference in dynamic models with an unlimited number of parameters. Concerning weakly identified models, we stress that valid inference should be based on proper pivotal functions a condition not satisfied by standard Wald-type methods based on standard errors and we discuss recent developments in this field, mainly from the viewpoint of building valid tests and confidence sets. The techniques discussed include alternative proposed statistics, bounds, projection, split-sampling, conditioning, Monte Carlo tests. The possibility of deriving a finite-sample distributional theory, robustness to the presence of weak instruments, and robustness to the specification of a model for endogenous explanatory variables are stressed as important criteria assessing alternative procedures.
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In this paper, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error distributions. The normality assumption on the distribution of stock returns is usually rejected in empirical studies, due to excess kurtosis and asymmetry. To model such data, we propose a comprehensive statistical approach which allows for alternative - possibly asymmetric - heavy tailed distributions without the use of large-sample approximations. The methods suggested are based on Monte Carlo test techniques. Goodness-of-fit tests are formally incorporated to ensure that the error distributions considered are empirically sustainable, from which exact confidence sets for the unknown tail area and asymmetry parameters of the stable error distribution are derived. Tests for the efficiency of the market portfolio (zero intercepts) which explicitly allow for the presence of (unknown) nuisance parameter in the stable error distribution are derived. The methods proposed are applied to monthly returns on 12 portfolios of the New York Stock Exchange over the period 1926-1995 (5 year subperiods). We find that stable possibly skewed distributions provide statistically significant improvement in goodness-of-fit and lead to fewer rejections of the efficiency hypothesis.
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The paper investigates the pricing of derivative securities with calendar-time maturities.
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"Mmoire prsent la Facult des tudes suprieures en vue de l'obtention du grade de Matrise en droit (LLM)"
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"Mmoire prsent la Facult des tudes suprieures en vue de l'obtention du grade de LL.M. en droit option droit des affaires"
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Les squences protiques naturelles sont le rsultat net de linteraction entre les mcanismes de mutation, de slection naturelle et de drive stochastique au cours des temps volutifs. Les modles probabilistes dvolution molculaire qui tiennent compte de ces diffrents facteurs ont t substantiellement amliors au cours des dernires annes. En particulier, ont t proposs des modles incorporant explicitement la structure des protines et les interdpendances entre sites, ainsi que les outils statistiques pour valuer la performance de ces modles. Toutefois, en dpit des avances significatives dans cette direction, seules des reprsentations trs simplifies de la structure protique ont t utilises jusqu prsent. Dans ce contexte, le sujet gnral de cette thse est la modlisation de la structure tridimensionnelle des protines, en tenant compte des limitations pratiques imposes par lutilisation de mthodes phylogntiques trs gourmandes en temps de calcul. Dans un premier temps, une mthode statistique gnrale est prsente, visant optimiser les paramtres dun potentiel statistique (qui est une pseudo-nergie mesurant la compatibilit squence-structure). La forme fonctionnelle du potentiel est par la suite raffine, en augmentant le niveau de dtails dans la description structurale sans alourdir les cots computationnels. Plusieurs lments structuraux sont explors : interactions entre pairs de rsidus, accessibilit au solvant, conformation de la chane principale et flexibilit. Les potentiels sont ensuite inclus dans un modle dvolution et leur performance est value en termes dajustement statistique des donnes relles, et contraste avec des modles dvolution standards. Finalement, le nouveau modle structurellement contraint ainsi obtenu est utilis pour mieux comprendre les relations entre niveau dexpression des gnes et slection et conservation de leur squence protique.
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Cette thse comporte trois essais en macroconomie en conomie ouverte et commerce international. Je considre tour tour les questions suivantes: sous quelles conditions est-il optimal pour un pays de former une union conomique? (essai 1); l'augmentation de la dispersion transversale des avoirs extrieurs nets des pays est-elle compatible avec une dispersion relativement stable des taux d'investissement? (essai 2); le risque de perte de march l'exportation du fait de l'existence des zones de commerce prfrentiel joue t-il un rle dans la dcision des pays exclus de ngocier des accords commerciaux leur tour? (essai 3). Le premier essai examine les conditions d'optimalit d'une union conomique. Il s'intresse une motivation particulire: le partage du risque li aux fluctuations du revenu. Dans la situation initiale, les pays ont trs peu d'opportunits pour partager le risque cause des frictions: les marchs financiers internationaux sont incomplets et il n'y pas de mcanisme pour faire respecter les contrats de crdit entre pays. Dans ce contexte, une union conomique apparait comme un arrangement qui pallie ces frictions entre les pays membres seulement. Cependant, l'union dans son ensemble continue de faire face ces frictions lorsqu'elle change avec le reste du monde. L'arbitrage cl dans le modle est le suivant. D'un cot, l'intgration conomique permet un meilleur partage du risque entre pays membres et la possibilit pour le partenaire pauvre d'utiliser la ligne de crdit du partenaire riche en cas de besoin. De l'autre cot, l'union peut faire face une limite de crdit plus restrictive parce que rsilier la dette extrieure est moins coteux pour les membres l'union. De plus, le fait que le partenaire pauvre peut utiliser la limite de crdit du partenaire riche gnre une externalit ngative pour ce dernier qui se retrouve plus frquemment contraint au niveau des marchs internationaux des capitaux. En conformit avec les faits observs sur l'intgration conomique, le modle prdit que les unions conomiques sont relativement peu frquentes, sont plus susceptibles d'tre cres parmi des pays homognes, et gnralement riches. Le deuxime essai porte sur la dispersion des avoirs extrieurs nets et la relation avec la dispersion des taux d'investissement. Au cours des rcentes dcennies, la dispersion croissante des dsquilibres extrieurs et les niveaux record atteints par certaines grandes conomies ont reu une attention considrable. On pourrait attribuer ce phnomne une rduction des barrires aux mouvements internationaux des capitaux. Mais dans ce cas, il est lgitime de s'attendre une augmentation de la dispersion au niveau des taux d'investissement; ceci, parce que le financement des besoins en investissements constitue une raison fondamentale pour laquelle les pays changent les capitaux. Les donnes indiquent cependant que la dispersion des taux d'investissement est reste relativement stable au cours des rcentes dcennies. Pour rconcilier ces faits, je construis un modle d'quilibre gnral dynamique et stochastique o les pays sont htrognes en raison des chocs idiosyncratiques leurs niveaux de productivit totale des facteurs. Au niveau des marchs internationaux des capitaux, le menu des actifs disponibles est restreint une obligation sans risque et il n'y a pas de mcanisme pour faire respecter les contrats de crdit entre pays. A tout moment, un pays peut choisir de rsilier sa dette extrieure sous peine d'exclusion financire et d'un cot direct. Ce cot direct reflte les canaux autres que l'exclusion financire travers lesquels les pays en dfaut sont pnaliss. Lorsque le modle est calibr pour reproduire l'volution de la dispersion transversale des avoirs extrieurs nets, il produit une dispersion relativement stable des taux d'investissement. La raison principale est que les incitations que les pays ont investir sont lies la productivit. Avec l'intgration financire, mme si les opportunits d'emprunt se sont multiplies, les incitations investir n'ont pas beaucoup chang. Ce qui permet de gnrer une dispersion accrue de la position des avoirs extrieurs nets des pays avec une dispersion relativement stable des taux d'investissement. Le troisime essai analyse un aspect de l'interdpendance dans la formation des accords commerciaux prfrentiels: j'examine empiriquement si le risque de diversion des exportations en faveur des pays membres des zones de commerce prfrentiel est un facteur dterminant dans la dcision des pays exclus de ces accords de ngocier un accord leur tour. Je construis un indicateur qui mesure le potentiel de diversion des exportations auquel font face les pays et estime un modle probit de formation des zones de commerce prfrentiel cres entre 1961 et 2005. Les rsultats confirment que les pays confronts un plus grand potentiel de dtournement des changes sont plus susceptibles de former une zone de commerce prfrentiel leur tour.
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Problmatique : La majorit des tudes publies sur la rhabilitation par mise en charge immdiate de deux implants non jumels avec une prothse totale mandibulaire de recouvrement nont rapport que des mesures cliniques objectives et trs peu ont valu les mesures centres sur le patient, et ce, avec des erreurs de mesure. Aucune tude na valu les attentes des patients vis--vis d'un tel protocole. Objectifs : valuer les attentes, le niveau de satisfaction ainsi que la qualit de vie relie la sant bucco-dentaire des dents complets suite un protocole de mise en charge immdiate. Mthodologie : Cet essai clinique de phase 1 utilise un design pr-post afin dvaluer les mesures centres sur le patient. Dix-huit individus, compltement dents et gs en moyenne de 62,39 7,65 ans, ont reu une prothse totale mandibulaire de recouvrement sur deux implants non jumels suite un protocole de mise en charge immdiate, conjointement une prothse totale conventionnelle maxillaire. Un instrument adapt pour mesurer leurs attentes laide dchelles visuelles analogues, le questionnaire McGill Denture Satisfaction Instrument ainsi que le questionnaire OHIP-20 ont t remis aux patients avant de procder aux traitements (T0), ainsi quaux rendez-vous de suivi 2 semaines (T1), 1 mois (T2) et 4 mois (T3). De plus, linventaire de personnalit rvis (NO PI-R) ainsi quun questionnaire sociodmographique ont t remplis par les participants. Les change scores ont t calculs puis des tests non paramtriques et des analyses de variances en mesures rptes suivies de comparaisons par paires ont t utiliss afin danalyser les donnes recueillies. La taille deffet a t estime. Rsultats : Les participants avaient diffrentes attentes par rapport la mise en charge immdiate. Certains sattendaient un effet positif court terme par rapport leur apparence esthtique (83,3 %) et leur vie sociale (55,7 %), alors que dautres avaient des craintes envers leur confort (5,6 %), leur habilet mastiquer (11,1 %) et nettoyer leur prothse infrieure (11,1 %). 4 mois, le protocole de mise en charge immdiate avait rencontr la majorit des attentes des patients par rapport lesthtique (94.4 %), la mastication (83.3 %), la phontique (61.1 %), le confort (94.4 %), lhygine (88.9 %) et leur vie sociale (88.9 %). Une amlioration statistiquement significative de la satisfaction en gnrale, du confort, de lesthtique, de la stabilit de la prothse infrieure et de lhabilet mastiquer a t note 2 semaines (p<0,001). galement, les comparaisons par paires ont rvl une diminution statistiquement significative du score total de lOHIP-20 (p < 0,001) de mme que la majorit des domaines de lOHIP (p < 0.01), sauf pour lhandicap social qui na diminu significativement quaprs 1 mois (p = 0.01). Ces changements (pour la satisfaction et la qualit de vie) sont rests stables au cours des suivis subsquents. Indpendamment des traits de personnalit et des variables sociodmographiques, le protocole immdiat a satisfait 94,4 % des participants et a amlior leur qualit de vie avec une large magnitude deffet (d = 1.9; p < 0.001). Bien que deux patients aient perdu des implants au cours du traitement, 100 % des participants taient daccord pour recommander cette procdure leurs pairs. Conclusions: Le protocole de mise en charge immdiate semble satisfaire les patients quelles que soient leurs attentes. Le protocole MCI peut amliorer, court terme, la qualit de vie des patients totalement dents. Les rsultats prometteurs de la phase 1 devraient tre corrobors lors de la 2e phase de cette tude.
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Learning Disability (LD) is a general term that describes specific kinds of learning problems. It is a neurological condition that affects a child's brain and impairs his ability to carry out one or many specific tasks. The learning disabled children are neither slow nor mentally retarded. This disorder can make it problematic for a child to learn as quickly or in the same way as some child who isn't affected by a learning disability. An affected child can have normal or above average intelligence. They may have difficulty paying attention, with reading or letter recognition, or with mathematics. It does not mean that children who have learning disabilities are less intelligent. In fact, many children who have learning disabilities are more intelligent than an average child. Learning disabilities vary from child to child. One child with LD may not have the same kind of learning problems as another child with LD. There is no cure for learning disabilities and they are life-long. However, children with LD can be high achievers and can be taught ways to get around the learning disability. In this research work, data mining using machine learning techniques are used to analyze the symptoms of LD, establish interrelationships between them and evaluate the relative importance of these symptoms. To increase the diagnostic accuracy of learning disability prediction, a knowledge based tool based on statistical machine learning or data mining techniques, with high accuracy,according to the knowledge obtained from the clinical information, is proposed. The basic idea of the developed knowledge based tool is to increase the accuracy of the learning disability assessment and reduce the time used for the same. Different statistical machine learning techniques in data mining are used in the study. Identifying the important parameters of LD prediction using the data mining techniques, identifying the hidden relationship between the symptoms of LD and estimating the relative significance of each symptoms of LD are also the parts of the objectives of this research work. The developed tool has many advantages compared to the traditional methods of using check lists in determination of learning disabilities. For improving the performance of various classifiers, we developed some preprocessing methods for the LD prediction system. A new system based on fuzzy and rough set models are also developed for LD prediction. Here also the importance of pre-processing is studied. A Graphical User Interface (GUI) is designed for developing an integrated knowledge based tool for prediction of LD as well as its degree. The designed tool stores the details of the children in the student database and retrieves their LD report as and when required. The present study undoubtedly proves the effectiveness of the tool developed based on various machine learning techniques. It also identifies the important parameters of LD and accurately predicts the learning disability in school age children. This thesis makes several major contributions in technical, general and social areas. The results are found very beneficial to the parents, teachers and the institutions. They are able to diagnose the childs problem at an early stage and can go for the proper treatments/counseling at the correct time so as to avoid the academic and social losses.
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We consider the effects of quantum fluctuations in mean-field quantum spin-glass models with pairwise interactions. We examine the nature of the quantum glass transition at zero temperature in a transverse field. In models (such as the random orthogonal model) where the classical phase transition is discontinuous an analysis using the static approximation reveals that the transition becomes continuous at zero temperature.
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During plastic deformation of crystalline materials, the collective dynamics of interacting dislocations gives rise to various patterning phenomena. A crucial and still open question is whether the long range dislocation-dislocation interactions which do not have an intrinsic range can lead to spatial patterns which may exhibit well-defined characteristic scales. It is demonstrated for a general model of two-dimensional dislocation systems that spontaneously emerging dislocation pair correlations introduce a length scale which is proportional to the mean dislocation spacing. General properties of the pair correlation functions are derived, and explicit calculations are performed for a simple special case, viz pair correlations in single-glide dislocation dynamics. It is shown that in this case the dislocation system exhibits a patterning instability leading to the formation of walls normal to the glide plane. The results are discussed in terms of their general implications for dislocation patterning.
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This paper underlines a methodology for translating text from English into the Dravidian language, Malayalam using statistical models. By using a monolingual Malayalam corpus and a bilingual English/Malayalam corpus in the training phase, the machine automatically generates Malayalam translations of English sentences. This paper also discusses a technique to improve the alignment model by incorporating the parts of speech information into the bilingual corpus. Removing the insignificant alignments from the sentence pairs by this approach has ensured better training results. Pre-processing techniques like suffix separation from the Malayalam corpus and stop word elimination from the bilingual corpus also proved to be effective in training. Various handcrafted rules designed for the suffix separation process which can be used as a guideline in implementing suffix separation in Malayalam language are also presented in this paper. The structural difference between the English Malayalam pair is resolved in the decoder by applying the order conversion rules. Experiments conducted on a sample corpus have generated reasonably good Malayalam translations and the results are verified with F measure, BLEU and WER evaluation metrics
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A methodology for translating text from English into the Dravidian language, Malayalam using statistical models is discussed in this paper. The translator utilizes a monolingual Malayalam corpus and a bilingual English/Malayalam corpus in the training phase and generates automatically the Malayalam translation of an unseen English sentence. Various techniques to improve the alignment model by incorporating the morphological inputs into the bilingual corpus are discussed. Removing the insignificant alignments from the sentence pairs by this approach has ensured better training results. Pre-processing techniques like suffix separation from the Malayalam corpus and stop word elimination from the bilingual corpus also proved to be effective in producing better alignments. Difficulties in translation process that arise due to the structural difference between the English Malayalam pair is resolved in the decoding phase by applying the order conversion rules. The handcrafted rules designed for the suffix separation process which can be used as a guideline in implementing suffix separation in Malayalam language are also presented in this paper. Experiments conducted on a sample corpus have generated reasonably good Malayalam translations and the results are verified with F measure, BLEU and WER evaluation metrics
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In Statistical Machine Translation from English to Malayalam, an unseen English sentence is translated into its equivalent Malayalam sentence using statistical models. A parallel corpus of English-Malayalam is used in the training phase. Word to word alignments has to be set among the sentence pairs of the source and target language before subjecting them for training. This paper deals with certain techniques which can be adopted for improving the alignment model of SMT. Methods to incorporate the parts of speech information into the bilingual corpus has resulted in eliminating many of the insignificant alignments. Also identifying the name entities and cognates present in the sentence pairs has proved to be advantageous while setting up the alignments. Presence of Malayalam words with predictable translations has also contributed in reducing the insignificant alignments. Moreover, reduction of the unwanted alignments has brought in better training results. Experiments conducted on a sample corpus have generated reasonably good Malayalam translations and the results are verified with F measure, BLEU and WER evaluation metrics.
