Time-varying Risk Premiums and Conditional Market Risk: Empirical Evidence from European Stock Markets

This study investigates the relationship between the time-varying risk premiums and conditional market risk in the stock markets of the ten member countries of Economy and Monetary Union. Second, it examines whether the conditional second moments change over time and are there asymmetric effects in the conditional covariance matrix. Third, it analyzes the possible effects of the chosen testing framework. Empirical analysis is conducted using asymmetric univariate and multivariate GARCH-in-mean models and assuming three different degrees of market integration. For a daily sample period from 1999 to 2007, the study shows that the time-varying market risk alone is not enough to explain the dynamics of risk premiums and indications are found that the market risk is detected only when its price is allowed to change over time. Also asymmetric effects in the conditional covariance matrix, which is found to be time-varying, are clearly present and should be recognized in empirical asset pricing analyses.

The maximum voltage drop in an on-chip power distribution network: analysis of square, triangular and hexagonal power pad arrangements

A mathematical model of the voltage drop which arises in on-chip power distribution networks is used to compare the maximum voltage drop in the case of different geometric arrangements of the pads supplying power to the chip. These include the square or Manhattan power pad arrangement, which currently predominates, as well as equilateral triangular and hexagonal arrangements. In agreement with the findings in the literature and with physical and SPICE models, the equilateral triangular power pad arrangement is found to minimize the maximum voltage drop. This headline finding is a consequence of relatively simple formulas for the voltage drop, with explicit error bounds, which are established using complex analysis techniques, and elliptic functions in particular.

New delay-dependent stability criteria for uncertain neutral systems with mixed time-varying delays and nonlinear perturbations

The problem of stability analysis for a class of neutral systems with mixed time-varying neutral, discrete and distributed delays and nonlinear parameter perturbations is addressed. By introducing a novel Lyapunov-Krasovskii functional and combining the descriptor model transformation, the Leibniz-Newton formula, some free-weighting matrices, and a suitable change of variables, new sufficient conditions are established for the stability of the considered system, which are neutral-delay-dependent, discrete-delay-range dependent, and distributeddelay-dependent. The conditions are presented in terms of linear matrix inequalities (LMIs) and can be efficiently solved using convex programming techniques. Two numerical examples are given to illustrate the efficiency of the proposed method

Multiscale evolving complex network model of functional connectivity in neuronal cultures

Cultures of cortical neurons grown on multielectrode arrays exhibit spontaneous, robust and recurrent patterns of highly synchronous activity called bursts. These bursts play a crucial role in the development and topological selforganization of neuronal networks. Thus, understanding the evolution of synchrony within these bursts could give insight into network growth and the functional processes involved in learning and memory. Functional connectivity networks can be constructed by observing patterns of synchrony that evolve during bursts. To capture this evolution, a modelling approach is adopted using a framework of emergent evolving complex networks and, through taking advantage of the multiple time scales of the system, aims to show the importance of sequential and ordered synchronization in network function.

Regularization of time-varying descriptor systems by the asvd

We study linear variable coefficient control problems in descriptor form. Based on a behaviour approach and the general theory for linear differential algebraic systems we give the theoretical analysis and describe numerically stable methods to determine the structural properties of the system.

A numerical model of the ionospheric signatures of time-varying magnetic reconnection: II. Measuring expansions in the ionospheric flow response

A numerical model embodying the concepts of the Cowley-Lockwood (Cowley and Lockwood, 1992, 1997) paradigm has been used to produce a simple Cowley– Lockwood type expanding flow pattern and to calculate the resulting change in ion temperature. Cross-correlation, fixed threshold analysis and threshold relative to peak are used to determine the phase speed of the change in convection pattern, in response to a change in applied reconnection. Each of these methods fails to fully recover the expansion of the onset of the convection response that is inherent in the simulations. The results of this study indicate that any expansion of the convection pattern will be best observed in time-series data using a threshold which is a fixed fraction of the peak response. We show that these methods used to determine the expansion velocity can be used to discriminate between the two main models for the convection response to a change in reconnection.

Rapid, automated detection of stem canker symptoms in woody perennials using artificial neural network analysis

Background Pseudomonas syringae can cause stem necrosis and canker in a wide range of woody species including cherry, plum, peach, horse chestnut and ash. The detection and quantification of lesion progression over time in woody tissues is a key trait for breeders to select upon for resistance. Results In this study a general, rapid and reliable approach to lesion quantification using image recognition and an artificial neural network model was developed. This was applied to screen both the virulence of a range of P. syringae pathovars and the resistance of a set of cherry and plum accessions to bacterial canker. The method developed was more objective than scoring by eye and allowed the detection of putatively resistant plant material for further study. Conclusions Automated image analysis will facilitate rapid screening of material for resistance to bacterial and other phytopathogens, allowing more efficient selection and quantification of resistance responses.

Shape classification using complex network and Multi-scale Fractal Dimension

Shape provides one of the most relevant information about an object. This makes shape one of the most important visual attributes used to characterize objects. This paper introduces a novel approach for shape characterization, which combines modeling shape into a complex network and the analysis of its complexity in a dynamic evolution context. Descriptors computed through this approach show to be efficient in shape characterization, incorporating many characteristics, such as scale and rotation invariant. Experiments using two different shape databases (an artificial shapes database and a leaf shape database) are presented in order to evaluate the method. and its results are compared to traditional shape analysis methods found in literature. (C) 2009 Published by Elsevier B.V.

A complex network approach to text summarization

Automatic summarization of texts is now crucial for several information retrieval tasks owing to the huge amount of information available in digital media, which has increased the demand for simple, language-independent extractive summarization strategies. In this paper, we employ concepts and metrics of complex networks to select sentences for an extractive summary. The graph or network representing one piece of text consists of nodes corresponding to sentences, while edges connect sentences that share common meaningful nouns. Because various metrics could be used, we developed a set of 14 summarizers, generically referred to as CN-Summ, employing network concepts such as node degree, length of shortest paths, d-rings and k-cores. An additional summarizer was created which selects the highest ranked sentences in the 14 systems, as in a voting system. When applied to a corpus of Brazilian Portuguese texts, some CN-Summ versions performed better than summarizers that do not employ deep linguistic knowledge, with results comparable to state-of-the-art summarizers based on expensive linguistic resources. The use of complex networks to represent texts appears therefore as suitable for automatic summarization, consistent with the belief that the metrics of such networks may capture important text features. (c) 2008 Elsevier Inc. All rights reserved.

Complex networks analysis of manual and machine translations

Complex networks have been increasingly used in text analysis, including in connection with natural language processing tools, as important text features appear to be captured by the topology and dynamics of the networks. Following previous works that apply complex networks concepts to text quality measurement, summary evaluation, and author characterization, we now focus on machine translation (MT). In this paper we assess the possible representation of texts as complex networks to evaluate cross-linguistic issues inherent in manual and machine translation. We show that different quality translations generated by NIT tools can be distinguished from their manual counterparts by means of metrics such as in-(ID) and out-degrees (OD), clustering coefficient (CC), and shortest paths (SP). For instance, we demonstrate that the average OD in networks of automatic translations consistently exceeds the values obtained for manual ones, and that the CC values of source texts are not preserved for manual translations, but are for good automatic translations. This probably reflects the text rearrangements humans perform during manual translation. We envisage that such findings could lead to better NIT tools and automatic evaluation metrics.

Comparing time-varying autoregressive structures of locally stationary processes

In this paper, a novel statistical test is introduced to compare two locally stationary time series. The proposed approach is a Wald test considering time-varying autoregressive modeling and function projections in adequate spaces. The covariance structure of the innovations may be also time- varying. In order to obtain function estimators for the time- varying autoregressive parameters, we consider function expansions in splines and wavelet bases. Simulation studies provide evidence that the proposed test has a good performance. We also assess its usefulness when applied to a financial time series.

From the road network database to a graph for localization purposes

The problems of finding best facility locations require complete and accurate road network with the corresponding population data in a specific area. However the data obtained in road network databases usually do not fit in this usage. In this paper we propose our procedure of converting the road network database to a road graph which could be used in localization problems. The road network data come from the National road data base in Sweden. The graph derived is cleaned, and reduced to a suitable level for localization problems. The population points are also processed in ordered to match with that graph. The reduction of the graph is done maintaining most of the accuracy for distance measures in the network.

Complex networks analysis of language complexity

Methods from statistical physics, such as those involving complex networks, have been increasingly used in the quantitative analysis of linguistic phenomena. In this paper, we represented pieces of text with different levels of simplification in co-occurrence networks and found that topological regularity correlated negatively with textual complexity. Furthermore, in less complex texts the distance between concepts, represented as nodes, tended to decrease. The complex networks metrics were treated with multivariate pattern recognition techniques, which allowed us to distinguish between original texts and their simplified versions. For each original text, two simplified versions were generated manually with increasing number of simplification operations. As expected, distinction was easier for the strongly simplified versions, where the most relevant metrics were node strength, shortest paths and diversity. Also, the discrimination of complex texts was improved with higher hierarchical network metrics, thus pointing to the usefulness of considering wider contexts around the concepts. Though the accuracy rate in the distinction was not as high as in methods using deep linguistic knowledge, the complex network approach is still useful for a rapid screening of texts whenever assessing complexity is essential to guarantee accessibility to readers with limited reading ability. Copyright (c) EPLA, 2012

Large-scale Network Analysis on Distributed Architectures

Questa dissertazione esamina le sfide e i limiti che gli algoritmi di analisi di grafi incontrano in architetture distribuite costituite da personal computer. In particolare, analizza il comportamento dell'algoritmo del PageRank così come implementato in una popolare libreria C++ di analisi di grafi distribuiti, la Parallel Boost Graph Library (Parallel BGL). I risultati qui presentati mostrano che il modello di programmazione parallela Bulk Synchronous Parallel è inadatto all'implementazione efficiente del PageRank su cluster costituiti da personal computer. L'implementazione analizzata ha infatti evidenziato una scalabilità negativa, il tempo di esecuzione dell'algoritmo aumenta linearmente in funzione del numero di processori. Questi risultati sono stati ottenuti lanciando l'algoritmo del PageRank della Parallel BGL su un cluster di 43 PC dual-core con 2GB di RAM l'uno, usando diversi grafi scelti in modo da facilitare l'identificazione delle variabili che influenzano la scalabilità. Grafi rappresentanti modelli diversi hanno dato risultati differenti, mostrando che c'è una relazione tra il coefficiente di clustering e l'inclinazione della retta che rappresenta il tempo in funzione del numero di processori. Ad esempio, i grafi Erdős–Rényi, aventi un basso coefficiente di clustering, hanno rappresentato il caso peggiore nei test del PageRank, mentre i grafi Small-World, aventi un alto coefficiente di clustering, hanno rappresentato il caso migliore. Anche le dimensioni del grafo hanno mostrato un'influenza sul tempo di esecuzione particolarmente interessante. Infatti, si è mostrato che la relazione tra il numero di nodi e il numero di archi determina il tempo totale.

A Social Network Analysis Of Hamadryas Baboons

The study of animal sociality investigates the immediate and long-term consequences that a social structure has on its group members. Typically, social behavior is observed from interactions between two individuals at the dyadic level. However, a new framework for studying social behavior has emerged that allows the researcher to assess social complexity at multiple scales. Social Network Analysis has been recently applied in the field of ethology, and this novel tool enables an approach of focusing on social behavior in context of the global network rather than limited to dyadic interactions. This new technique was applied to a group of captive hamadryas baboons (Papio hamadryas hamadryas) in order to assess how overall network topology of the social group changes over time with the decline of an aging leader male. Observations on aggressive, grooming, and proximity spatial interactions were collected from three separate years in order to serve as `snapshots¿ of the current state of the group. Data on social behavior were collected from the group when the male was in prime health, when the male was at an old age, and after the male¿s death. A set of metrics was obtained from each time period for each type of social behavior and quantified a change in the patterns of interactions. The results suggest that baboon social behavior varies across context, and changes with the attributes of its individual members. Possible mechanisms for adapting to a changing social environment were also explored.