Modelling financial time series with switching state space models

The deficiencies of stationary models applied to financial time series are well documented. A special form of non-stationarity, where the underlying generator switches between (approximately) stationary regimes, seems particularly appropriate for financial markets. We use a dynamic switching (modelled by a hidden Markov model) combined with a linear dynamical system in a hybrid switching state space model (SSSM) and discuss the practical details of training such models with a variational EM algorithm due to [Ghahramani and Hilton,1998]. The performance of the SSSM is evaluated on several financial data sets and it is shown to improve on a number of existing benchmark methods.

Complex temporal patterns in molecular dynamics:a direct measure of the phase-space exploration by the trajectory at macroscopic time scales

Computer simulated trajectories of bulk water molecules form complex spatiotemporal structures at the picosecond time scale. This intrinsic complexity, which underlies the formation of molecular structures at longer time scales, has been quantified using a measure of statistical complexity. The method estimates the information contained in the molecular trajectory by detecting and quantifying temporal patterns present in the simulated data (velocity time series). Two types of temporal patterns are found. The first, defined by the short-time correlations corresponding to the velocity autocorrelation decay times (â‰0.1â€ps), remains asymptotically stable for time intervals longer than several tens of nanoseconds. The second is caused by previously unknown longer-time correlations (found at longer than the nanoseconds time scales) leading to a value of statistical complexity that slowly increases with time. A direct measure based on the notion of statistical complexity that describes how the trajectory explores the phase space and independent from the particular molecular signal used as the observed time series is introduced. © 2008 The American Physical Society.

Developing a complex intervention to reduce time to presentation with symptoms of lung cancer

Background - Lung cancer is the commonest cause of cancer in Scotland and is usually advanced at diagnosis. Median time between symptom onset and consultation is 14 weeks, so an intervention to prompt earlier presentation could support earlier diagnosis and enable curative treatment in more cases. Aim - To develop and optimise an intervention to reduce the time between onset and first consultation with symptoms that might indicate lung cancer. Design and setting - Iterative development of complex healthcare intervention according to the MRC Framework conducted in Northeast Scotland. Method - The study produced a complex intervention to promote early presentation of lung cancer symptoms. An expert multidisciplinary group developed the first draft of the intervention based on theory and existing evidence. This was refined following focus groups with health professionals and high-risk patients. Results - First draft intervention components included: information communicated persuasively, demonstrations of early consultation and its benefits, behaviour change techniques, and involvement of spouses/partners. Focus groups identified patient engagement, achieving behavioural change, and conflict at the patient–general practice interface as challenges and measures were incorporated to tackle these. Final intervention delivery included a detailed self-help manual and extended consultation with a trained research nurse at which specific action plans were devised. Conclusion -The study has developed an intervention that appeals to patients and health professionals and has theoretical potential for benefit. Now it requires evaluation.

Space and time modelling of clouds

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Integral Transforms Method to Solve a Time-Space Fractional Diffusion Equation

Mathematical Subject Classification 2010: 35R11, 42A38, 26A33, 33E12.

A hybrid molecular dynamics/fluctuating hydrodynamics method for modelling liquids at multiple scales in space and time

A new 3D implementation of a hybrid model based on the analogy with two-phase hydrodynamics has been developed for the simulation of liquids at microscale. The idea of the method is to smoothly combine the atomistic description in the molecular dynamics zone with the Landau-Lifshitz fluctuating hydrodynamics representation in the rest of the system in the framework of macroscopic conservation laws through the use of a single "zoom-in" user-defined function s that has the meaning of a partial concentration in the two-phase analogy model. In comparison with our previous works, the implementation has been extended to full 3D simulations for a range of atomistic models in GROMACS from argon to water in equilibrium conditions with a constant or a spatially variable function s. Preliminary results of simulating the diffusion of a small peptide in water are also reported.

Treefrogs in Forested Swamps at the La Selva Biological Station: Assemblage Variation through Space and Time

Swamp-breeding treefrogs form conspicuous components of many tropical forest sites, yet remain largely understudied. The La Selva Biological Station, a rainforest reserve in Costa Rica, harbors a rich swamp-breeding treefrog fauna that has been studied in only one of the many swamps found at the site. To understand if the species composition of treefrogs at La Selva varies over space or time, frogs were censused in 1982-83, 1994-95, 2005 and 2011 at two ponds located in the reserve. Data on treefrog habitat utilization were also collected. Species composition varied spatially only in 2011. Temporal variation was observed at both ponds for all groups tested. Habitat use varied among species and between swamps. The pattern of variation suggests that temporally dynamic systems such as temporary Neotropical forest swamps will converge and diverge in species composition over time.

Diversity and knowledge in the age of nation-building: Space and time in the thought of Yanagita Kunio

The study examines the thought of Yanagita Kunio (1875–1962), an influential Japanese nationalist thinker and a founder of an academic discipline named minzokugaku. The purpose of the study is to bring into light an unredeemed potential of his intellectual and political project as a critique of the way in which modern politics and knowledge systematically suppresses global diversity. The study reads his texts against the backdrop of the modern understanding of space and time and its political and moral implications and traces the historical evolution of his thought that culminates in the establishment of minzokugaku. My reading of Yanagita’s texts draws on three interpretive hypotheses. First, his thought can be interpreted as a critical engagement with John Stuart Mill’s philosophy of history, as he turns Mill’s defense of diversity against Mill’s justification of enlightened despotism in non-Western societies. Second, to counter Mill’s individualistic notion of progressive agency, he turns to a Marxian notion of anthropological space, in which a laboring class makes history by continuously transforming nature, and rehabilitates the common people (jomin) as progressive agents. Third, in addition to the common people, Yanagita integrates wandering people as a countervailing force to the innate parochialism and conservatism of agrarian civilization. To excavate the unrecorded history of ordinary farmers and wandering people and promote the formation of national consciousness, his minzokugaku adopts travel as an alternative method for knowledge production and political education. In light of this interpretation, the aim of Yanagita’s intellectual and political project can be understood as defense and critique of the Enlightenment tradition. Intellectually, he attempts to navigate between spurious universalism and reactionary particularism by revaluing diversity as a necessary condition for universal knowledge and human progress. Politically, his minzokugaku aims at nation-building/globalization from below by tracing back the history of a migratory process cutting across the existing boundaries. His project is opposed to nation-building from above that aims to integrate the world population into international society at the expense of global diversity.

Space-for-Time Substitution Works in Everglades Ecological Forecasting Models

Space-for-time substitution is often used in predictive models because long-term time-series data are not available. Critics of this method suggest factors other than the target driver may affect ecosystem response and could vary spatially, producing misleading results. Monitoring data from the Florida Everglades were used to test whether spatial data can be substituted for temporal data in forecasting models. Spatial models that predicted bluefin killifish (Lucania goodei) population response to a drying event performed comparably and sometimes better than temporal models. Models worked best when results were not extrapolated beyond the range of variation encompassed by the original dataset. These results were compared to other studies to determine whether ecosystem features influence whether space-for-time substitution is feasible. Taken in the context of other studies, these results suggest space-for-time substitution may work best in ecosystems with low beta-diversity, high connectivity between sites, and small lag in organismal response to the driver variable.

Space-for-Time Substitution Works in Everglades Ecological Forecasting Models

Space-for-time substitution is often used in predictive models because long-term time-series data are not available. Critics of this method suggest factors other than the target driver may affect ecosystem response and could vary spatially, producing misleading results. Monitoring data from the Florida Everglades were used to test whether spatial data can be substituted for temporal data in forecasting models. Spatial models that predicted bluefin killifish (Lucania goodei) population response to a drying event performed comparably and sometimes better than temporal models. Models worked best when results were not extrapolated beyond the range of variation encompassed by the original dataset. These results were compared to other studies to determine whether ecosystem features influence whether space-for-time substitution is feasible. Taken in the context of other studies, these results suggest space-fortime substitution may work best in ecosystems with low beta-diversity, high connectivity between sites, and small lag in organismal response to the driver variable.

Randomisation before consent : Avoiding delay to time-critical intervention and ensuring informed consent

Peer reviewed