Out-of-sample comparison of copula specifications in multivariate density forecasts

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation uncertainty and for the copulas to be nested or non-nested. Monte Carlo simulations demonstrate that the proposed test has satisfactory size and power properties in finite samples. Applying the test to daily exchange rate returns of several major currencies against the US dollar we find that the Student's t copula is favored over Gaussian, Gumbel and Clayton copulas. This suggests that these exchange rate returns are characterized by symmetric tail dependence.

Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails

We propose new scoring rules based on partial likelihood for assessing the relative out-of-sample predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management. By construction, existing scoring rules based on weighted likelihood or censored normal likelihood favor density forecasts with more probability mass in the given region, rendering predictive accuracy tests biased towards such densities. Our novel partial likelihood-based scoring rules do not suffer from this problem, as illustrated by means of Monte Carlo simulations and an empirical application to daily S\&P 500 index returns.

The marginally stable Bethe lattice spin glass revisited

Bethe lattice spins glasses are supposed to be marginally stable, i.e. their equilibrium probability distribution changes discontinuously when we add an external perturbation. So far the problem of a spin glass on a Bethe lattice has been studied only using an approximation where marginally stability is not present, which is wrong in the spin glass phase. Because of some technical difficulties, attempts at deriving a marginally stable solution have been confined to some perturbative regimes, high connectivity lattices or temperature close to the critical temperature. Using the cavity method, we propose a general non-perturbative approach to the Bethe lattice spin glass problem using approximations that should be hopeful consistent with marginal stability.Comment: 23 pages Revised version, hopefully clearer that the first one: six pages longe

Efficiency of Continuous Double Auctions under Individual Evolutionary Learning with Full or Limited Information

In this paper we explore how specific aspects of market transparency and agents' behavior affect the efficiency of the market outcome. In particular, we are interested whether learning behavior with and without information about actions of other participants improves market efficiency. We consider a simple market for a homogeneous good populated by buyers and sellers. The valuations of the buyers and the costs of the sellers are given exogenously. Agents are involved in consecutive trading sessions, which are organized as a continuous double auction with electronic book. Using Individual Evolutionary Learning agents submit price bids and offers, trying to learn the most profitable strategy by looking at their realized and counterfactual or "foregone" payoffs. We find that learning outcomes heavily depend on information treatments. Under full information about actions of others, agents' orders tend to be similar, while under limited information agents tend to submit their valuations/costs. This behavioral outcome results in higher price volatility for the latter treatment. We also find that learning improves allocative efficiency when compared with to outcomes with Zero-Intelligent traders.

Short-range spin glasses and Random Overlap Structures

Properties of Random Overlap Structures (ROSt)'s constructed from the Edwards-Anderson (EA) Spin Glass model on $\Z^d$ with periodic boundary conditions are studied. ROSt's are $\N\times\N$ random matrices whose entries are the overlaps of spin configurations sampled from the Gibbs measure. Since the ROSt construction is the same for mean-field models (like the Sherrington-Kirkpatrick model) as for short-range ones (like the EA model), the setup is a good common ground to study the effect of dimensionality on the properties of the Gibbs measure. In this spirit, it is shown, using translation invariance, that the ROSt of the EA model possesses a local stability that is stronger than stochastic stability, a property known to hold at almost all temperatures in many spin glass models with Gaussian couplings. This fact is used to prove stochastic stability for the EA spin glass at all temperatures and for a wide range of coupling distributions. On the way, a theorem of Newman and Stein about the pure state decomposition of the EA model is recovered and extended.Comment: 27 page

Fighting with the Sparsity of Synonymy Dictionaries

Graph-based synset induction methods, such as MaxMax and Watset, induce synsets by performing a global clustering of a synonymy graph. However, such methods are sensitive to the structure of the input synonymy graph: sparseness of the input dictionary can substantially reduce the quality of the extracted synsets. In this paper, we propose two different approaches designed to alleviate the incompleteness of the input dictionaries. The first one performs a pre-processing of the graph by adding missing edges, while the second one performs a post-processing by merging similar synset clusters. We evaluate these approaches on two datasets for the Russian language and discuss their impact on the performance of synset induction methods. Finally, we perform an extensive error analysis of each approach and discuss prominent alternative methods for coping with the problem of the sparsity of the synonymy dictionaries.Comment: In Proceedings of the 6th Conference on Analysis of Images, Social Networks, and Texts (AIST'2017): Springer Lecture Notes in Computer Science (LNCS

Analyzing X-Ray Pulsar Profiles: Geometry and Beam Pattern of Her X-1

We report on our analysis of a large sample of energy dependent pulse profiles of the X-ray binary pulsar Hercules X-1. We find that all data are compatible with the assumption of a slightly distorted magnetic dipole field as sole cause of the asymmetry of the observed pulse profiles. Further the analysis provides evidence that the emission from both poles is equal. We determine an angle of 20 deg between the rotation axis and the local magnetic axis. One pole has an offset of 5 deg from the antipodal position of the other pole. The beam pattern shows structures that can be interpreted as pencil- and fan-beam configurations. Since no assumptions on the polar emission are made, the results can be compared with various emission models. A comparison of results obtained from pulse profiles of different phases of the 35-day cycle indicates different attenuation of the radiation from the poles being responsible for the change of the pulse shape during the main-on state. These results also suggest the resolution of an ambiguity within a previous analysis of pulse profiles of Cen X-3, leading to a unique result for the beam pattern of this pulsar as well. The analysis of pulse profiles of the short-on state indicates that a large fraction of the radiation cannot be attributed to the direct emission from the poles. We give a consistent explanation of both the evolution of the pulse profile and the spectral changes with the 35-day cycle in terms of a warped precessing accretion disk.Comment: 24 pages, 12 figures. To appear in ApJ 529 #2, 1 Feb 200