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Common factor components versus information shares: a reply

Frederick H.deB. Harris, Thomas H. McInish, Robert A. Wood
2002 Journal of financial markets  
In addition, we investigate the role of stochastic process assumptions in estimating price discovery parameters by generalizing the sources of volatility in the implicit efficient price and the level of  ...  Common factor components and information shares provide competing approaches to estimating the parameters of price discovery in cointegrated security markets or trading channels.  ...  In addition, we investigate the role of stochastic process assumptions in price discovery research by generalizing the level of the signal to noise ratio in P t to allow 1XlX0 and 8Xs 2 w X0: l s 2 w c  ... 
doi:10.1016/s1386-4181(02)00030-7 fatcat:cxiiv7gni5egndmh5khg3nuax4

Security price adjustment across exchanges: an investigation of common factor components for Dow stocks

Frederick H. deB. Harris, Thomas H. McInish, Robert A. Wood
2002 Journal of financial markets  
By 1995, the NYSE's common factor weight had recovered, averaging 62.9% on 84% of the trades. We discuss three alternative microstructure-theoretic hypotheses that can confront this evidence. r  ...  However, by 1992 f NYSE had declined precipitously for 27 Dow stocks, averaging only 49.6%, despite an unchanged 86% share of the trades.  ...  In particular, GG factor weights multiplied by cointegrated prices form a common stochastic trend that is orthogonal to the error-correction process by which each security price adjusts to disparities  ... 
doi:10.1016/s1386-4181(01)00017-9 fatcat:byzapxx4ovf6ricszjfezoubqq

How to implement doubly-stochastic matrices for consensus-based distributed algorithms

Sergio Valcarcel Macua, Carlos Moreno Leon, Jhoan Samuel Romero, Silvana Silva Pereira, Javier Zazo, Alba Pages-Zamora, Roberto Lopez-Valcarce, Santiago Zazo
2014 2014 IEEE 8th Sensor Array and Multichannel Signal Processing Workshop (SAM)  
Doubly-stochastic matrices are usually required by consensus-based distributed algorithms.  ...  The proposed ideas are validated with the deployment of a wireless sensor network, in which nodes run a distributed algorithm for robust estimation in the presence of nodes with faulty sensors.  ...  In particular, left-stochasticity (i.e., A 1 = 1) means that the weights given by each agent to all its neighbors add up to one.  ... 
doi:10.1109/sam.2014.6882409 dblp:conf/ieeesam/MacuaLRPZPLZ14 fatcat:szl46qvrevaodlqctxhdi4xn6i

Discovering Stochastic Petri Nets with Arbitrary Delay Distributions from Event Logs [chapter]

Andreas Rogge-Solti, Wil M. P. van der Aalst, Mathias Weske
2014 Lecture Notes in Business Information Processing  
In this paper, we present and evaluate process discovery algorithms for each of the execution policies.  ...  The introduced approach uses raw event execution data to discover various classes of stochastic Petri nets.  ...  Besides the discovery of process models, process mining can also be used to enrich existing models with information gathered from event logs.  ... 
doi:10.1007/978-3-319-06257-0_2 fatcat:pp3eov5yafdq3bxpfgsslqfnhi

Discovery Radiomics for Multi-Parametric MRI Prostate Cancer Detection [article]

Audrey G. Chung, Mohammad Javad Shafiee, Devinder Kumar, Farzad Khalvati, Masoom A. Haider, Alexander Wong
2015 arXiv   pre-print
screening, such as magnetic resonance imaging (MRI), requires an experienced medical professional to extensively review the data and perform a diagnosis, radiomics-driven methods help streamline the process  ...  The use of discovery radiomics shows potential for more efficient and reliable automatic prostate cancer detection.  ...  Radiomic Sequencer Discovery Given the standardized multi-parametric MRI data from past patients and pathology-verified radiologist tissue annotations, the radiomic sequencer discovery process discovers  ... 
arXiv:1509.00111v3 fatcat:ysou3y4m5bbeliq7o7nz2t7mli

The impact of multilateral trading facilities on price discovery

Mike Buckle, Jing Chen, Qian Guo, Xiaoxi Li
2018 Financial Markets, Institutions & Instruments  
To do this, we employ the Common Factor Weight and Weighted Price Contribution methods to study relative price discovery for three major MTFs-LSE, BATS, and Turquoise, using intra-day, five-minute transaction  ...  The estimated average daily price contributions are consistent with this result.  ...  Stoll and Whaley (1990) suggested that the discovery process can be better facilitated by greater transparency, and this view is supported by Boehmer, Saar, and Yu (2005) , who found evidence that greater  ... 
doi:10.1111/fmii.12096 fatcat:qkne6uk4cvgzfkknfgc2ts2mpu

Do futures lead price discovery in electronic foreign exchange markets?

Juan Cabrera, Tao Wang, Jian Yang
2009 Journal of futures markets  
Contrary to evidence in equity markets and more recent evidence in foreign exchange markets, the spot market is found to consistently lead the price discovery process for both currencies during the sample  ...  Furthermore, E-mini futures do not contribute more to the price discovery than the electronically traded regular futures. JEL Classifications: C32, F31, G13, G14  ...  process by using a longer period of intraday data.  ... 
doi:10.1002/fut.20352 fatcat:rvcdxqwhnfcdneym2tm6cdy2c4

Do Futures Lead Price Discovery in Electronic Foreign Exchange Markets?

Juan Cabrera, Tao Wang, Jian Yang
2008 Social Science Research Network  
Contrary to evidence in equity markets and more recent evidence in foreign exchange markets, the spot market is found to consistently lead the price discovery process for both currencies during the sample  ...  Furthermore, E-mini futures do not contribute more to the price discovery than the electronically traded regular futures. JEL Classifications: C32, F31, G13, G14  ...  process by using a longer period of intraday data.  ... 
doi:10.2139/ssrn.1115056 fatcat:rtjyni5egfarfoqaysogmsv5gq

Hierarchical Clustering of Complex Symbolic Data and Application for Emitter Identification

Xin Xu, Jiaheng Lu, Wei Wang
2018 Journal of Computer Science and Technology  
Therefore, we bring forward a novel hierarchical clustering method with weighted general Jaccard distance and effective global pruning strategy for complex symbolic data and apply it to emitter identification  ...  It is well-known that the values of symbolic variables may take various forms such as an interval, a set of stochastic measurements of some underlying patterns or qualitative multi-values and so on.  ...  Inspired by the above problems, we bring forward a novel hierarchical clustering method for complex symbolic pattern discovery and apply it to emitter identification.  ... 
doi:10.1007/s11390-018-1857-9 fatcat:mjl7dhisijd2xmbo244rmcoc3m

What Can the Duration of Discovered Cartels Tell Us About the Duration of All Cartels?

Joseph E. Harrington, Yanhao Wei
2017 Economic Journal  
This paper constructs a birth-death-discovery process to investigate the source and direction of possible biases.  ...  Estimates of average cartel duration and the annual probability of cartel death are based on data for discovered cartels.  ...  Section 1 describes the stochastic process governing cartel birth, death, and discovery.  ... 
doi:10.1111/ecoj.12359 fatcat:h4g4f6iih5aazchjlxwr4rsibm

Combining Restricted Boltzmann Machines with Neural Networks for Latent Truth Discovery [article]

Klaus Broelemann, Gjergji Kasneci
2018 arXiv   pre-print
function, and thus (3) enabling the estimation of source reliability even for sources that have provided no or very few claims, (4) by building on efficient and scalable stochastic inference algorithms  ...  Latent truth discovery, LTD for short, refers to the problem of aggregating ltiple claims from various sources in order to estimate the plausibility of atements about entities.  ...  Update the weights by adding the gradient multiplied with the learning rate.  ... 
arXiv:1807.10680v1 fatcat:c7syo6ijlfhsflyofsl26nkgme

The financial econometrics of price discovery and predictability

Seema Narayan, Russell Smyth
2015 International Review of Financial Analysis  
This paper reviews recent econometric developments in the literature on price discovery and price predictability.  ...  Second, future research in econometric modelling needs to combine/synthesize recent developments across multiple econometric issues rather than proceeding in a piecemeal manner, for instance, by integrating  ...  Here, predictions form by integrating parameters from the meta-distribution that characterizes the stochastic break-point process.  ... 
doi:10.1016/j.irfa.2015.09.003 fatcat:hkzuht3elneadoxbzrywu226c4

Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?

Philipp Adämmer, Martin T. Bohl, Christian Gross
2015 Journal of futures markets  
For this purpose, we investigate the price discovery process of two thinly traded agricultural futures contracts traded at the European Exchange in Frankfurt.  ...  It is still an unanswered question how much trading activity is needed for efficient price discovery in commodity futures markets.  ...  We determine the relative contribution of each futures market to the price discovery process by estimating price discovery measures that are frequently applied in the literature.  ... 
doi:10.1002/fut.21760 fatcat:uj7pvgbqrfbhjiayxngqpliqqe

Stochastic-Aware Conformance Checking: An Entropy-Based Approach [chapter]

Sander J. J. Leemans, Artem Polyvyanyy
2020 Lecture Notes in Computer Science  
Artem Polyvyanyy was partly supported by the Australian Research Council Discovery Project DP180102839.  ...  automatically (stochastic process discovery techniques) [11] .  ...  Model S 1 was discovered by a stochastic process discovery technique [11] from L. Model S 2 is a manually created SPN that is similar to S 1 but has different probabilities.  ... 
doi:10.1007/978-3-030-49435-3_14 fatcat:egd3babphrb67nowpqj4yywoua

What Can the Duration of Discovered Cartels Tell Us About the Duration of Cartels?

Joseph E. Harrington Jr, Yanhao Wei
2014 Social Science Research Network  
This paper constructs a simple birth-death-discovery process to theoretically investigate what it is we can learn about cartels from data on discovered cartels.  ...  It is recognized, however, that these estimates could be biased because the population of discovered cartels may not be a representative sample of the population of cartels.  ...  di¤erent realizations of the death-discovery stochastic process.  ... 
doi:10.2139/ssrn.2526324 fatcat:bffqgwskrnbifo7gaq6ddg6k3q
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