In financial time series there are time periods in which market indices values or assets prices increase or decrease monotonically. We call those events "price runs", "elementary uninterrupted ...trends" or just "uninterrupted trends". In this paper we study the distribution of the duration of uninterrupted trends for the daily indices DJIA, NASDAQ, IPC and Nikkei 225 during the period of time from 10/30/1978 to 08/07/2020 and we compare the simple geometric statistical model with p = 1 2 consistent with the EMH to the empirical data. By a fitting procedure, it is found that the geometric distribution with parameter p = 1 2 provides a good model for uninterrupted trends of short and medium duration for the more mature markets; however, longest duration events still need to be statistically characterized. Estimated values of the parameter p were also obtained and confirmed by calculating the mean value of p fluctuations from empirical data. Additionally, the observed trend duration distributions for the different studied markets are compared over time by means of the Anderson-Darling (AD) test, to the expected geometric distribution with parameter p = 1 2 and to a geometric distribution with a free parameter p, making possible to assess and compare different market geometric behavior for different dates as well as to measure the fraction of time runs duration from studied markets are consistent with the geometric distribution with p = 1 2 and in parametric free way.
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The Boltzmann–Gibbs and Tsallis entropies are essential concepts in statistical physics, which have found multiple applications in many engineering and science areas. In particular, we focus our ...interest on their applications to image processing through information theory. We present in this article a novel numeric method to calculate the Tsallis entropic index q characteristic to a given image, considering the image as a non-extensive system. The entropic index q is calculated through q-redundancy maximization, which is a methodology that comes from information theory. We find better results in the image processing in the grayscale by using the Tsallis entropy and thresholding q instead of the Shannon entropy.
In this paper a comparative, coarse grained, entropy data analysis of multi-scale log-returns distribution, produced by an ideal “optimal trader” and one thousand “noise traders” performing “bucket ...shop” trading, by following four different financial daily indices, is presented. A sole optimal trader is assigned to each one of these four analyzed markets, DJIA, IPC, Nikkei and DAX. Distribution of differential entropies of the corresponding multi-scale log-returns of the optimal and noise traders are calculated. Kullback-Leiber distances between the different optimal traders returns distributions are also calculated and results discussed. We show that the entropy of returns distribution of optimal traders for each analyzed market indeed reaches minimum values with respect to entropy distribution of noise traders and we measure this distance in σ units for each analyzed market. We also include a discussion on stationarity of the introduced multi-scale log-returns observable. Finally, a practical application of the obtained results related with ranking markets by their entropy measure as calculated here is presented.
4th National Meeting in Chaos, Complex System and Time Series Hernández Montoya, Alejandro Raúl; Hernández Lemus, Enrique; Luévano Enríquez, José Rubén ...
Journal of physics. Conference series,
12/2013, Letnik:
475, Številka:
1
Journal Article
Recenzirano
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The fourth edition of the National Meeting on Chaos, Complex Systems and Time Series (NMCCSTS4), or in Spanish 4a. Reunión Nacional de Caos, Sistemas Complejos y Series de Tiempo, was held from 29 ...November to 2 December 2011 in the University of Veracruz (Universidad Veracruzana), Campus Xalapa, at Xalapa Veracruz, México, in the beautiful House of the Lake (Casa del Lago), a late XIX century former textile factory situated in the edge of an also ancient former dam, currently a park containing three small lakes, very emblematic of Xalapa, City, the capital of the state of Veracruz, México. The previous editions of this meeting, were held in Mérida (2006), Pachuca (2008) and Puebla (2009). A clear uptrend is observed in the number of participants in this academic event from all Universities of México and abroad, going from about 15 participants in the first meeting to more than 90 in the last one. On this occasion, about 90 participants from three countries attended our event, where 29 papers (10 master lectures from top recognized national and international leaders in the fields of complexity, and 19 invited papers), one course for students and 42 posters were presented. A look at the scientific program of the NMCCSTS4, allows us to appreciate the wide range of topics and recent advances that were covered during our event; topics and recent results in the areas of biology, econophysics, sociophysics, genomics and bioinformatics, complex networks, thermodynamics, etc, were presented and discussed rigorously in a friendly, dynamical and informal atmosphere. Also, on this occasion, we celebrated Professor Miguel Angel Jiménez Montaño, for his very distinguished academic career throughout more that 50 years and as a founding member of the Faculty of Physics and AI of University of Veracruz. Prizes were awarded for the best poster presentations. The winner was Porfirio Toledo, from Faculty of Mathematics, University of Veracruz (Game theory to characterize solutions of a discrete-time Hamilton--Jacobi equation). The present volume contains a rigorous selection of the lectures presented at the NMCCSTS4. All papers were peer reviewed and we consider the high quality and the wide range of topics covered here displays the high level that the community of complexity sciences is reaching in our country. We would like to thank all of the speakers, participants and the members of the Organizing Committee, also we would like to express our gratitude to all students and support personal involved with the logistic and technical aspects of the organization of our event. This IV edition of the National Meeting on Caos, Complex System and Time Series was sponsored by the following organizations and institutions, we warmly thank all of them: Universidad Veracruzana, IF-BUAP, UAM Azcapotzalco, INMEGEN, Conacyt (155492), all them from México and the Ministero degli Affari Esteri (MAE) from Italy. A R Hernández Montoya University of Veracruz M E Rodríguez Achach University of Veracruz E Hernández Lemus National Institute of Genomic Medicine J R Luévano Enríquez Universidad Autónoma Metropolitana-Azcapotzalco C E Vargas Madrazo University of Veracruz Organizing Committee José Luis Carrillo Estrada Instituto de Física, Benemerita Universidad Autónoma de Puebla, carrillo@sirio.ifuap.buap.mx José Rubén Luévano Enríquez Universidad Autónoma Metropolitana-Azcapotzalco, jrle@correo.azc.uam.mx Enrique Hernández Lemus National Institute of Genomic Medicine, ehernandez@inmegen.gob.mx Alejandro Raúl Hernández Montoya University of Veracruz, alhernandez@uv.mx Norma Bagatella Flores University of Veracruz, nbagatella@uv.mx Adrian Arturo Huerta Hernández University of Veracruz, adhuerta@uv.mx Manuel Enrique Rodríguez Achach University of Veracruz, manurodriguez@uv.mx Carlos Ernesto Vargas Madrazo University of Veracruz, cavargas@uv.mx Sol Haret Baez Barrios University of Veracruz, arbaez@uv.mx Héctor Francisco Coronel Brizio University of Veracruz, hcoronel@uv.mx Sergio Adrian Lerma Hernández University of Veracruz, slerma@uv.mx Rodrígo Huerta Quintanilla CINVESTAV U. Mérida, rhuerta@mda.cinvestav.mx
We compared the financial performance of 319 BIOTECH companies focused on developing therapeutics with IPOs from 1997-2016, to that of paired, non-biotech CONTROL companies with concurrent IPO dates. ...BIOTECH companies had a distinctly different financial structure with high R&D expense, little revenue, and negative profits (losses), but a similar duration of listing on public markets and frequency of acquisitions. Through 2016, BIOTECH and CONTROL companies had equivalent growth in market cap and shareholder value (>$100 billion), but BIOTECH companies had lower net value creation ($93 billion vs $411 billion). Both cohorts exhibited a high-risk/high reward pattern of return, with the majority losing value, but many achieving growth multiples. While investments in biotechnology are often considered to be distinctively risky, we conclude that value creation by biotech companies after IPO resembles that of non-biotech companies at a similar stage and does not present a disproportionate investment risk.
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Foot-and-mouth disease (FMD) models—analytical models for tracking and analyzing FMD outbreaks—are known as dominant tools for examining the spread of the disease under various conditions and ...assessing the effectiveness of countermeasures. There has been some remarkable progress in modeling research since the UK epidemic in 2001. Several modeling methods have been introduced, developed, and are still growing. However, in 2010 when a FMD outbreak occurred in the Miyazaki prefecture, a crucial problem reported: Once a regional FMD outbreak occurs, municipal officials in the region must make various day-to-day decisions throughout this period of vulnerability. The deliverables of FMD modeling research in its current state appear insufficient to support the daily judgments required in such cases. FMD model can be an efficient support tool for prevention decisions. It requires being conversant with modeling and its preconditions. Therefore, most municipal officials with no knowledge or experience found full use of the model difficult. Given this limitation, the authors consider methods and systems to support users of FMD models who must make real-time epidemic-related judgments in the infected areas. We propose a virtual sensor, designated “FMD-VS,” to index FMD virus scattering in conditions where there is once a notion of FMD; and (2) shows how we apply the developed FMD-VS technique during an outbreak. In (1), we show our approach to constructing FMD-VS based on the existing FMD model and offer an analysis and evaluation method to assess its performance. We again present the results produced when the technique applied to 2010 infection data from the Miyazaki Prefecture. For (2), we outline the concept of a method that supports the prevention judgment of municipal officials and show how to use FMD-VS.
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