A factor analytical approach to price discovery

Existing econometric approaches for studying price discovery presume that the number of markets are small, and their properties become suspect when this restriction is not met. They also require making identifying restrictions and are in many cases not suitable for statistical inference. The current paper takes these shortcomings as a starting point to develop a factor analytical approach that makes use of the cross-sectional variation of the data, yet is very user-friendly in that it does not involve any identifying restrictions or obstacles to inference.

Validation of patient health questionnaire (PHQ) for major depression in Chinese outpatients with multiple somatic symptoms: A multicenter cross-sectional study

Background: Despite the high co-morbidity of depressive symptoms in patients with multiple somatic symptoms, the validity of the 9-item Patient Health Questionnaire (PHQ-9) has not yet been investigated in Chinese patients with multiple somatic symptoms. Methods: The multicenter cross-sectional study was conducted in ten outpatient departments located in four cities in China. The psychometric properties of the PHQ-9 were examined by confirmative factor analysis (CFA). Criterion validation was undertaken by comparing results with depression diagnoses obtained from the Mini International Neuropsychiatric Interview (MINI) as the gold standard. Results: Overall, 491 patients were recruited of whom 237 had multiple somatic symptoms (SOM+ group, PHQ-15 ≥ 10). Cronbach's α of the PHQ-9 was 0.87, 0.87, and 0.90 for SOM+ patients, SOM- patients, and total sample respectively. All items and the total score were moderately correlated. The factor models of PHQ-9 tested by CFA yielded similar diagnostic performance when compared to sum score estimation. Multi-group confirmatory factor analysis based on unidimensional model showed similar psychometric properties over the groups with low and high somatic symptom burden. The optimal cut-off point to detect depression in Chinese outpatients was 10 for PHQ-9 (sensitivity=0.77, specificity=0.76) and 3 for PHQ-2 (sensitivity=0.77, specificity=0.74). Limitations: Potential selection bias and nonresponse bias with applied sampling method. Conclusions: PHQ-9 (cut-off point=10) and PHQ-2 (cut-off point=3) were reliable and valid to detect major depression in Chinese patients with multiple somatic symptoms.

Estimation of factor-augmented panel regressions with weakly influential factors

The use of factor-augmented panel regressions has become very popular in recent years. Existing methods for such regressions require that the common factors are strong, such that their cumulative loadings rise proportionally to the number of cross-sectional units, which of course need not be the case in practice. Motivated by this, the current paper offers an indepth analysis of the effect of non-strong factors on two of the most popular estimators for factor-augmented regressions, namely, principal components (PC) and common correlated effects (CCE).

Software engineering for multi-tenancy computing challenges and implications

Multi-tenancy is a cloud computing phenomenon. Multiple instances of an application occupy and share resources from a large pool, allowing different users to have their own version of the same application running and coexisting on the same hardware but in isolated virtual spaces. In this position paper we survey the current landscape of multi-tenancy, laying out the challenges and complexity of software engineering where multi-tenancy issues are involved. Multitenancy allows cloud service providers to better utilise computing resources, supporting the development of more exible services to customers based on economy of scale, reducing overheads and infrastructural costs. Nevertheless, there are major challenges in migration from single tenant applications to multi-tenancy. These have not been fully explored in research or practice to date. In particular, the reengineering effort of multi-tenancy in Software-as-a-Service cloud applications requires many complex and important aspects that should be taken into consideration, such as security, scalability, scheduling, data isolation, etc. Our study emphasizes scheduling policies and cloud provisioning and deployment with regards to multi-tenancy issues. We employ CloudSim and MapReduce in our experiments to simulate and analyse multi-tenancy models, scenarios, performance, scalability, scheduling and reliability on cloud platforms.

Constructing common-factor portfolios

In this paper we construct common-factor portfolios using a novel linear transformation of standard factor models extracted from large data sets of asset returns. The simple transformation proposed here keeps the basic properties of the usual factor transformations, although some new interesting properties are further attached to them. Some theoretical advantages are shown to be present. Also, their practical importance is confirmed in two applications: the performance of common-factor portfolios are shown to be superior to that of asset returns and factors commonly employed in the finance literature.

Affine processes, arbitrage-Free Term structures of legendre polynomials,and option pricing

Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate is an affine function of this vector. The model is characterized by a specific form for the stochastic differential equation (SDE) for the evolution of the state vector. This SDE presents restrictions on its drift term which rule out arbitrages in the market. In this paper we solve the following inverse problem: Suppose the term structure of interest rates is modeled by a linear combination of Legendre polynomials with random coefficients. Is there any SDE for these coefficients which rules out arbitrages? This problem is of particular empirical interest because the Legendre model is an example of factor model with clear interpretation for each factor, in which regards movements of the term structure. Moreover, the Affine structure of the Legendre model implies knowledge of its conditional characteristic function. From the econometric perspective, we propose arbitrage-free Legendre models to describe the evolution of the term structure. From the pricing perspective, we follow Duffie et al. (2000) in exploring Legendre conditional characteristic functions to obtain a computational tractable method to price fixed income derivatives. Closing the article, the empirical section presents precise evidence on the reward of implementing arbitrage-free parametric term structure models: The ability of obtaining a good approximation for the state vector by simply using cross sectional data.

Sobrevivência e tamanho populacional do Tiê-preto Tachyphonus Rufus (aves: thraupidae) em fragmento de restinga no extremo Norte da Mata Atlântica

For a long time, we believed in the pattern that tropical and south hemisphere species have high survival. Nowadays results began to contradict this pattern, indicating the need for further studies. Despite the advanced state of the study of bird population parameters, little is known about their variation throughout the year and the factors affecting them. Reproduction, for example, is one factor that may alter adult survival rates, because during this process the breeding pair allocates resources to maintain itself to maintain offspring, making itself more susceptible to diseases and predation. The aim of this study was to estimate survival and population size of a Central and South America passerine, Tachyphonus rufus (Boddaert, 1783), testing hypotheses about the factors that define these parameters. We performed data collection between Nov/2010 and ago/2012 in 12 ha plot, in a fragment of Atlantic Forest in northeastern Brazil. We used capture-mark-recapture methods to generate estimates using Closed Design Robust model in the program MARK. We generated Multi-state models to test some assumptions inherent to Closed Robust Design. The influence of co-variables (time, rain and reproductive cycle) and the effect of transient individuals were measured. Capture, recapture and apparent survival parameters were defined by reproductive cycle, while temporary dispersal was influence by rain. The estimates showed a higher apparent survival during the non-breeding period (92% ± 1%) than during breeding (40% ± 9%), revealing a cost of reproduction and suggesting a trade-off between surviving and reproducing. The low annual survival observed (34%) did not corroborate the pattern of high rates expected for a tropical bird. The largest population size was estimated to be 56 individuals in Nov/11, explained by high recruitment of juveniles, while the lowest observed in May/12: 10 individuals, probably as a result of massive influx of competitor species. Results from this study add to the growing literature on life history of Neotropical species. We encourage studies like this especially in Brazil, where there are few information, and suggest that covariates related to habitat quality and environmental changes should be tested, so that we can generate increasingly reliable models

Genetic parameter estimates for live weight and daily live weight gain obtained for Nellore bulls in a test station using different models

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

Neutrinos masses in a multi-higgs model with A 4 symmetry

Presently it is well known that neutrino oscillation data are well described by massive neutrinos and their mixing. This suggests changes in the standard model (SM) and makes the flavor physics even more interesting. Recently, it has been proposed a multi-Higgs extension of the SM with Abelian and non-Abelian discrete symmetries which seeks to explain the origin of the masses and mixing matrices in all charge sectors. © 2012 Elsevier B.V.

Estimativas de parâmetros genéticos para produção de leite em búfalas por modelos de repetibilidade, multi-característica e de regressão aleatória

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Measurement of the elastic electron-proton cross section and separation of the electric and magnetic form factor in the Q 2 range from 0.004 to 1 (GeV/c) 2

The electromagnetic form factors of the proton are fundamental quantities sensitive to the distribution of charge and magnetization inside the proton. Precise knowledge of the form factors, in particular of the charge and magnetization radii provide strong tests for theory in the non-perturbative regime of QCD. However, the existing data at Q^2 below 1 (GeV/c)^2 are not precise enough for a hard test of theoretical predictions.rnrnFor a more precise determination of the form factors, within this work more than 1400 cross sections of the reaction H(e,e′)p were measured at the Mainz Microtron MAMI using the 3-spectrometer-facility of the A1-collaboration. The data were taken in three periods in the years 2006 and 2007 using beam energies of 180, 315, 450, 585, 720 and 855 MeV. They cover the Q^2 region from 0.004 to 1 (GeV/c)^2 with counting rate uncertainties below 0.2% for most of the data points. The relative luminosity of the measurements was determined using one of the spectrometers as a luminosity monitor. The overlapping acceptances of the measurements maximize the internal redundancy of the data and allow, together with several additions to the standard experimental setup, for tight control of systematic uncertainties.rnTo account for the radiative processes, an event generator was developed and implemented in the simulation package of the analysis software which works without peaking approximation by explicitly calculating the Bethe-Heitler and Born Feynman diagrams for each event.rnTo separate the form factors and to determine the radii, the data were analyzed by fitting a wide selection of form factor models directly to the measured cross sections. These fits also determined the absolute normalization of the different data subsets. The validity of this method was tested with extensive simulations. The results were compared to an extraction via the standard Rosenbluth technique.rnrnThe dip structure in G_E that was seen in the analysis of the previous world data shows up in a modified form. When compared to the standard-dipole form factor as a smooth curve, the extracted G_E exhibits a strong change of the slope around 0.1 (GeV/c)^2, and in the magnetic form factor a dip around 0.2 (GeV/c)^2 is found. This may be taken as indications for a pion cloud. For higher Q^2, the fits yield larger values for G_M than previous measurements, in agreement with form factor ratios from recent precise polarized measurements in the Q2 region up to 0.6 (GeV/c)^2.rnrnThe charge and magnetic rms radii are determined as rn⟨r_e⟩=0.879 ± 0.005(stat.) ± 0.004(syst.) ± 0.002(model) ± 0.004(group) fm,rn⟨r_m⟩=0.777 ± 0.013(stat.) ± 0.009(syst.) ± 0.005(model) ± 0.002(group) fm.rnThis charge radius is significantly larger than theoretical predictions and than the radius of the standard dipole. However, it is in agreement with earlier results measured at the Mainz linear accelerator and with determinations from Hydrogen Lamb shift measurements. The extracted magnetic radius is smaller than previous determinations and than the standard-dipole value.

Factor Structure of the Neck Disability Index

BACKGROUND CONTEXT: The Neck Disability Index frequently is used to measure outcomes of the neck. The statistical rigor of the Neck Disability Index has been assessed with conflicting outcomes. To date, Confirmatory Factor Analysis of the Neck Disability Index has not been reported for a suitably large population study. Because the Neck Disability Index is not a condition-specific measure of neck function, initial Confirmatory Factor Analysis should consider problematic neck patients as a homogenous group. PURPOSE: We sought to analyze the factor structure of the Neck Disability Index through Confirmatory Factor Analysis in a symptomatic, homogeneous, neck population, with respect to pooled populations and gender subgroups. STUDY DESIGN: This was a secondary analysis of pooled data. PATIENT SAMPLE: A total of 1,278 symptomatic neck patients (67.5% female, median age 41 years), 803 nonspecific and 475 with whiplash-associated disorder. OUTCOME MEASURES: The Neck Disability Index was used to measure outcomes. METHODS: We analyzed pooled baseline data from six independent studies of patients with neck problems who completed Neck Disability Index questionnaires at baseline. The Confirmatory Factor Analysis was considered in three scenarios: the full sample and separate sexes. Models were compared empirically for best fit. RESULTS: Two-factor models have good psychometric properties across both the pooled and sex subgroups. However, according to these analyses, the one-factor solution is preferable from both a statistical perspective and parsimony. The two-factor model was close to significant for the male subgroup (p<.07) where questions separated into constructs of mental function (pain, reading headaches and concentration) and physical function (personal care, lifting, work, driving, sleep, and recreation). CONCLUSIONS: The Neck Disability Index demonstrated a one-factor structure when analyzed by Confirmatory Factor Analysis in a pooled, homogenous sample of neck problem patients. However, a two-factor model did approach significance for male subjects where questions separated into constructs of mental and physical function. Further investigations in different conditions, subgroup and sex-specific populations are warranted.

Formation of Exchange Rates on the Russian Market: Dynamics and Modelling

Galina Kovaleva. The Formation of the Exchange Rate on the Russian Market: Dynamics and Modelling. The Russian financial market is fast becoming one of the major sectors of the Russian economy. Assets have been increasing steadily, while new market segments and new financial market instruments have emerged. Kovaleva attempted to isolate the factors influencing exchange rates, determine patterns in the dynamic changes to the rouble/dollar exchange rate, construct models of the processes, and on the basis of these activities make forecasts. She studied the significance of economic indicators influencing the rouble/dollar exchange rate at different times, and developed multi-factor econometric models. In order to reveal the inner structure of the financial indicators and to work out ex-post forecasts for different time intervals, she carried out a series of calculations with the aim of constructing trend-cyclical (TC) and harmonic models, and Box and Jenkins models. She found that: 1. The Russian financial market is dependant on the rouble/dollar exchange rate. Its dynamics are formed under the influence of the short-term state treasury notes and government bonds markets, interbank loans, the rouble/DM exchange rate, the inflation rate, and the DM/dollar exchange rate. The exchange rate is influenced by sales on the Moscow Interbank Currency Exchange and the mechanism of those sales. 2. The TC model makes it possible to conduct an in-depth study of the structure of the processes and to make forecasts of the dynamic changes to currency indicators. 3. The Russian market is increasingly influenced by the world currency market and its prospects are of crucial interest for the world financial community.

The performance of single- and multi-proxy transfer functions (testate amoebae, bryophytes, vascular plants) for reconstructing mire surface wetness and pH

Peatlands are widely exploited archives of paleoenvironmental change. We developed and compared multiple transfer functions to infer peatland depth to the water table (DWT) and pH based on testate amoeba (percentages, or presence/absence), bryophyte presence/absence, and vascular plant presence/absence data from sub-alpine peatlands in the SE Swiss Alps in order to 1) compare the performance of single-proxy vs. multi-proxy models and 2) assess the performance of presence/absence models. Bootstrapping cross-validation showing the best performing single-proxy transfer functions for both DWT and pH were those based on bryophytes. The best performing transfer functions overall for DWT were those based on combined testate amoebae percentages, bryophytes and vascular plants; and, for pH, those based on testate amoebae and bryophytes. The comparison of DWT and pH inferred from testate amoeba percentages and presence/absence data showed similar general patterns but differences in the magnitude and timing of some shifts. These results show new directions for paleoenvironmental research, 1) suggesting that it is possible to build good-performing transfer functions using presence/absence data, although with some loss of accuracy, and 2) supporting the idea that multi-proxy inference models may improve paleoecological reconstruction. The performance of multi-proxy and single-proxy transfer functions should be further compared in paleoecological data.

An Economic Derivation on Trade Coefficients under the Framework of Multi-regional I-O Analysis

The gravity model, entropy model, potential type model and others like these have been adopted to formulate interregional trade coefficients under the framework of Multi-Regional I-O (MRIO) analysis. Since most of these models are based upon analogies in physics or on statistical principles, they do not provide a theoretical explanation from the view of a firm's or individual's rational and deterministic decision making. In this paper, according to the deterministic choice theory, not only is an alternative formulation of the trade coefficients presented, but also a discussion of an appropriate definition for purchasing prices indices. Since this formulation is consistent with the MRIO system, it can be employed as a useful model-building tool in multi-regional models such as the spatial CGE model.