Showing 1 - 10 of 35
We study the size distribution of business cycles phases, that is expansions and contractions, for a sample of 16 industrialized countries over 120 years. We find that the best-fitting distribution for both expansions and contractions is Weibull, meaning that business cycles possess a...
Persistent link: https://www.econbiz.de/10010874310
Time complexity is associated with sensitive dependence on initial conditions and severe intrinsic predictability … predictability time. This was believed to be the universal long-time asymptotic predictability limit of complex systems. However …, systems that are complex both in space and time (e.g. turbulence and geophysics) have rather different predictability limits …
Persistent link: https://www.econbiz.de/10010874624
predictable. Here, we show that predictability alone is not a sufficient measure of market efficiency because of the influence an … efficiency can coexist with predictability. …
Persistent link: https://www.econbiz.de/10010588812
A parametric approach, to measure randomness in time series, is presented. Time series are modelled by a kernel machine performing regularized least squares and the leave-one-out (LOO) error is used to quantify unpredictability. On analyzing simulated data sets, we find that structure in data...
Persistent link: https://www.econbiz.de/10010588993
In this paper, high frequency (per 5min) data of Shanghai Stock Exchange Composite index (SSEC) from January 1999 to July 2001 is analyzed by multifractal. We find that the correlation of the parameters of the multifractal spectra with the variation of daily return Z in SSEC is noticeably...
Persistent link: https://www.econbiz.de/10010589620
We introduce the concept of virtual volatility. This simple but new measure shows how to quantify the uncertainty in the forecast of the drift component of a random walk. The virtual volatility also is a useful tool in understanding the stochastic process for a given portfolio. In particular,...
Persistent link: https://www.econbiz.de/10010590099
cell-phone calls can be used to investigate the predictability of communication partners’ patterns, because these three are … have apparent predictability in partners’ patterns, and moreover, the short message users’ sequences have the highest … predictability among the three. We also reveal that people with fewer communication partners have higher predictability. Finally, we …
Persistent link: https://www.econbiz.de/10010709970
–2010 has attracted more attention to its predictability. Previous analyses (Fernández et al. (2003) [16] and Caldeira et … authors address a predictability study of the NAO index by applying the “detrended fluctuation analysis” (DFA) to a composite … series, completed with a bootstrap spectral analysis. The DFA provides a quantitative measure of predictability by computing …
Persistent link: https://www.econbiz.de/10011059210
be very close to 20% at the big negative Δf region. The predictability decreases with the increasing number of the …
Persistent link: https://www.econbiz.de/10011063335
In this paper the authors address the problem of predictability for the NAO index series. The spectral analysis …
Persistent link: https://www.econbiz.de/10011063371