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Assessing influential trade effects via high-frequency market reactions

JOURNAL OF APPLIED STATISTICS 2015年第7期42卷 1458-1471页

作者： Guo, Meihui Guo, Yi-Ting Wang, Chi-Jeng Lin, Liang-Ching Natl Sun Yat Sen Univ Dept Appl Math Kaohsiung 80424 Taiwan Natl Sun Yat Sen Univ Dept Finance Kaohsiung 80424 Taiwan

In the literature, traders are often classified into informed and uninformed and the trades from informed traders have market impacts. We investigate these trades by first establishing a scheme to identify the influential trades from the ordinary trades under certain criteria. The differential properties between these two types of trades are examined via the four transaction states classified by the trade price, trade volume, quotes, and quoted depth. Marginal distribution of the four states and the transition probability between different states are shown to be distinct for informed trades and ordinary liquidity trades. Furthermore, four market reaction factors are introduced and logistic regression models of the influential trades are established based on these four factors. Empirical study on the high-frequency transaction data from the NYSE TAQ database show supportive evidence for high correct classification rates of the logistic regression models.

关键词： high-frequency data transition probability influential trade odds ratio logistic regression model quoted depth

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Effects of medical co-morbidities on severe maternal morbidities in China: a multicenter clinic register study

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ACTA OBSTETRICIA ET GYNECOLOGICA SCANDINAVICA 2015年第8期94卷 861-868页

作者： Tan, Jing Liu, Xing-Hui Yu, Chuan Chen, Meng Chen, Xiao-Fan Sun, Xin Li, You-Ping Sichuan Univ West China Hosp Chinese Evidence Based Med Ctr Chengdu 610041 Peoples R China Chengdu Univ Tradit Chinese Med Chengdu Peoples R China Sichuan Univ West China Womens & Childrens Hosp Chengdu 610041 Peoples R China

ObjectiveTo investigate the incidence of severe maternal morbidities (SMM) in China and explore effects of medical co-morbidities on SMM. DesignProactive multicenter clinic register collaboration. SettingData on all deliveries at eight hospitals in Sichuan province, China, collected from 1 January 2009 to 12 December 2010. Population33993 delivering women and 34547 live births. MethodsWe defined SMM as a combination indicator of severe maternal complications, critical interventions, admission to the intensive care unit and maternal near-miss instances. We randomly selected 80% of the data from the entire database to build a logistic regression model. The remaining 20% were used to test the predictive power of the model. Main outcome measuresSMM incidence, adjusted odds ratios (aORs), and area under a receiver operating characteristic (ROC) curve. ResultsSevere maternal morbidities incidence was 43.4/1000 live births [confidence interval (CI) 41.24-45.56]. Fifteen variables were independent contributors to the model. Seven medical co-morbidities significantly affected the occurrence of SMM, including iron-deficiency anemia (aOR 3.07, CI 2.47-3.83) and other hematological diseases (aOR 5.82, CI 3.50-9.69), hepatitis-B virus infection (aOR 1.48, CI 1.12-1.97) and other hepatic diseases (aOR 3.81, CI 1.61-9.04), cardiopathy (aOR 3.59, CI 2.62-4.93), hypertension (aOR 5.23, CI 4.06-6.75), and respiratory diseases (aOR 2.10, CI 1.25-3.52). The area under the ROC curve was 0.8127. ConclusionsThe incidence of SMM was typical of a low resource area. There is a need to identify medical co-morbidities and to adopt prophylactic measures and interventions.

关键词： Severe maternal morbidities medical co-morbidities multicenter clinic register study China logistic regression model

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Determinant factors of tobacco use among ever-married men in Bangladesh

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DRUG HEALTHCARE AND PATIENT SAFETY 2015年 7卷 77-85页

作者： Rahman, Md Shafiur Mondal, Md Nazrul Islam Islam, Md Rafiqul Rahman, Md Mizanur Hoque, M. Nazrul Alam, Md Shamsher First Capital Univ Bangladesh Dept Publ Hlth Chuadanga Bangladesh Univ Rajshahi Dept Populat Sci & Human Resource Dev Rajshahi 6205 Bangladesh Univ Houston Hobby Ctr Publ Policy Houston TX USA Peoples Friendship Univ Russia Fac Ecol Moscow Russia

Background: The burden of tobacco use is shifting from developed to developing countries. This study aimed to explore the different types of tobacco use, and to identify the determinant factors associated with the tobacco use among ever-married men in Bangladesh. Data and methods: Data of 3,771 ever-married men, 15-54 years of age were extracted from the Bangladesh Demographic and Health Survey 2007. Prevalence rate, chi-square (chi(2)) test, and binary logistic regression analysis were used as the statistical tools to analyze the data. Results: Tobacco use through smoking (58.68%) was found to be higher than that of chewing (21.63%) among men, which was significantly more prevalent among the poorest, less educated, and businessmen. In bivariate analysis, all the socioeconomic factors were found significantly associated with tobacco use;while in multivariate analysis, age, education, wealth index, and occupation were identified as the significant predictors. Conclusion: Tobacco use was found to be remarkably common among males in Bangladesh. The high prevalence of tobacco use suggests that there is an urgent need for developing intervention plans to address this major public health problem in Bangladesh.

关键词： tobacco use smoking tobacco chewing tobacco prevalence rate logistic regression model

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An analysis of factors affecting access to credit in Lesotho's smallholder agricultural sector

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DEVELOPMENT SOUTHERN AFRICA 2015年第5期32卷 592-602页

作者： Motsoari, Charmaine Cloete, Philippus C. van Schalkwyk, Herman D. Univ Orange Free State Fac Nat & Agr Sci Dept Agr Econ ZA-9300 Bloemfontein South Africa North West Univ Sch Environm Sci & Management ZA-2538 Potchefstroom South Africa North West Univ Off Rector ZA-2538 Potchefstroom South Africa

The agricultural sector in Lesotho is underperforming mainly due to the inability of smallholders to move from traditional agriculture to a more scientific and technology-based one. Among the challenges inhibiting the ability of smallholders to make the step up is access to financial services, especially credit. The purpose of this study was to examine the factors that may influence the ability of smallholders to access finance by making use of a logistic regression model within the principle component regression framework. The results revealed that the ability of smallholders to access finance, and the potential to make the transition towards a more scientific and technology-based agriculture sector, is influenced by the level of farm and non-farm income, remittances and pension, farm size, availability of family labour, land ownership, savings and repayment ability. The results present important information in terms of guiding institutional arrangements needed to improve credit availability in Lesotho.

关键词： agricultural credit accessibility smallholders logistic regression model

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A Study on the Growth Characteristics of Green Algae Blooms in the Yellow Sea using Categorical Analysis

A Study on the Growth Characteristics of Green Algae Blooms ...

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OCEANS MTS/IEEE Conference

作者： Tang, Yingli He, Shijun He, Peimin He, Haiyang Qi, Hairong Shanghai Ocean Univ Coll Informat Shanghai Peoples R China Shanghai Ocean Univ Inst Marine Sci Shanghai Peoples R China East China Univ Sci & Technol Informat Sci & Engn Shanghai Peoples R China Univ Tennessee Elect Engn & Comp Sci Knoxville TN 37996 USA

ISBN: (纸本)9780933957435

Green algae (Enteromorpha prolifera) bloom, also known as the green tide, is becoming a new type of marine ecological disaster. More and more studies have been conducted to investigate the cause of green tide as well as its growth and drifting characteristics. However, most existing works either rely on single factor analysis or support vector machine-based multi-factor analysis that do not have an appropriate mechanism to handle categorical data. In this paper, categorical data analysis is adopted to study the effect of multiple environmental factors to the green algae evolution. Among the five factors we studied, temperature, wind force, and wave height have numerical values but weather condition and wind direction are nominal variables. We focus on the study of the correlation between these environmental factors and the size of distribution area of the green tide. logistic regression models are built using remote sensing data from the Southern Yellow Sea acquired in 2013. Comprehensive analysis and evaluation are carried out, showing the main factors that affect the size of the bloom to be temperature and wave height, as well as their interaction. We also obtain the influence level of each main factor such that accurate prediction and early warnings of green tide can be made possible to alleviate the damage of the bloom.

关键词： categorical analysis green algae blooms environmental monitoring multi-factor analysis logistic regression model

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Addressing urban expansion using feature-oriented spatial data in a peripheral area of Ulaanbaatar, Mongolia

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HABITAT INTERNATIONAL 2015年 47卷 196-204页

作者： Tsutsumida, Narumasa Saizen, Izuru Matsuoka, Masayuki Ishii, Reiichiro Kyoto Univ Grad Sch Global Environm Studies Kyoto 6068501 Japan Univ Leicester Dept Geog Leicester LE1 7RH Leics England Kochi Univ Nat Sci Cluster Kochi 7838505 Japan Japan Agcy Marine Earth Sci & Technol Res Inst Global Change Tokyo 2360001 Japan

Because of the lack of time-series spatial data on urban components, urban expansion in developing countries has usually been studied using a pixel-based approach, despite the coarse spatial resolution associated with this technique. To understand the residential-scale processes involved in urban expansion, we developed feature-oriented GIS data extracted from very high spatial resolution satellite images (IKONOS for 2000 and Quickbird for 2006 and 2008). We selected a fringe area of Ulaanbaatar, the capital municipality of Mongolia, as a case study. Residential plots in this area have developed in an unplanned manner owing to the poor execution of land reform policy. This study facilitated the residential-scale delineation of the significantly expanding area occupied by private land plots in time series. It also permitted the identification of geographical factors driving the expansion. Using a logistic regression model, we found that such expansion is related to social infrastructure rather than to natural landforms. In particular, new plots of private land tended to be built near pre-existing plots and in proximity to roads and water kiosks (which provide essential drinking water for residents). These findings and the probability map predicted by the model have implications for urban planners and decision makers. (C) 2015 Elsevier Ltd. All rights reserved.

关键词： Urban expansion Feature-oriented GIS data logistic regression model Get area Ulaanbaatar

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Factors affecting farm growth intentions of family farms in mountain regions: Empirical evidence for Central Switzerland

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LAND USE POLICY 2015年 47卷 188-197页

作者： Huber, Robert Flury, Christian Finger, Robert Swiss Fed Inst Forest Snow & Landscape Res WSL Birmensdorf Switzerland Flury & Giuliani GmBH Agrar & Reg Wirtschaftl Beratung Zurich Switzerland Res Stn Agroscope Reckenholz Tanikon ART Birmensdorf Switzerland Univ Bonn Prod Econ Grp Bonn Germany

Family farms in mountain regions are undergoing a progressive structural change and an ongoing shift in the allocation of production factors land, capital and labor. In Switzerland, various policy measures influence the re-allocation of these production factors. To understand the effectiveness of these schemes and to assess future farm structural change, it is useful to analyze the underlying drivers which support and hinder the emergence of individual farm growth strategies. We study the family farms' growth intentions using a logistic regression model based on a combination of census and survey data on family characteristics from two mountain case study regions in Central Switzerland. Factors supporting farm growth intentions are the relative change in farm size in recent years, farm related sunk costs, farm diversification and farm size. We found no support for the hypothesis that farm growth intention is also influenced by the perceived personal situation represented by indicators for the perceived workload, psychological stress and financial problems. In addition, off-farm labor did not prevent farmers from stating growth intentions. Our empirical findings suggest that (i) the most important factors which support farm growth intentions correspond with factors driving observed patterns of structural change;(ii) limited availability of family labor may result in a new critical threshold for farm growth strategies;(iii) aims and non-pecuniary preferences of farmers will impede a rapid structural change in the near future. (C) 2015 Elsevier Ltd. All rights reserved.

关键词： Farm structural change Farm survey logistic regression model Agricultural policy Swiss mountain region Stated intentions

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An Enhanced Cerebral Recovery Index For Coma Prognostication Following Cardiac Arrest 37

An Enhanced Cerebral Recovery Index For Coma Prognostication...

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37th Annual International Conference of the IEEE-Engineering-in-Medicine-and-Biology-Society (EMBC)

作者： Ghassemi, Mohammad M. Amorim, Edilberto Pati, Sandipan B. Mark, Roger G. Brown, Emery N. Purdon, Patrick L. Westover, M. Brandon MIT 77 Massachusetts Ave Cambridge MA 02139 USA Massachusetts Gen Hosp Boston MA 02114 USA Univ Alabama Birmingham Sch Med Birmingham AL 35233 USA

ISBN: (纸本)9781424492701

Prognostication of coma outcomes following cardiac arrest is both qualitative and poorly understood in current practice. Existing quantitative metrics are powerful, but lack rigorous approaches to classification. This is due, in part, to a lack of available data on the population of interest. In this paper we describe a novel retrospective data set of 167 cardiac arrest patients (spanning three institutions) who received electroencephalography (EEG) monitoring. We utilized a subset of the collected data to generate features that measured the connectivity, complexity and category of EEG activity. A subset of these features was included in a logistic regression model to estimate a dichotomized cerebral performance category score at discharge. We compared the predictive performance of our method against an established EEG-based alternative, the Cerebral Recovery Index (CRI) [1] and show that our approach more reliably classifies patient outcomes, with an average increase in AUC of 0.27.

关键词： electroencephalography feature extraction medical signal processing patient monitoring regression analysis signal classification EEG activity cardiac arrest cardiac arrest patients cerebral recovery index coma prognostication dichotomized cerebral performance category score electroencephalography monitoring logistic regression model Brain modeling Cardiac arrest Computational modeling Electroencephalography Hospitals Indexes Standards

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Individual driver Safety awareness assessment using simulating experiment data 3

Individual driver Safety awareness assessment using simulati...

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3rd Int Conference Transportation Information Safety

作者： Gao Song Yan Lixin Qi Yuqian Wuhan Univ Technol Intelligent Transport Syst Res Ctr Natl Engn Res Ctr Water Transport Safety Wuhan Peoples R China Wuhan Univ Technol Engn Res Ctr Transportat Safety Minist Educ Intelligent Transport Syst Res Ctr Wuhan Peoples R China

ISBN: (纸本)9781479986941

Driver safety awareness level has important influence on traffic safety, in order to extract and analyze the factors and events which have a significant effect on driver safety awareness while driving. This research uses virtual reality technology to design and implement several kinds of typical virtual traffic scenarios for safety consciousness level evaluation, and sets the assessment scenarios of intersection as an example, carries out 80 groups of driving simulation experiments, collects several experimental data including driver status, vehicle status and traffic environment, etc. On this basis, logistic regression model is used to consider the three factors, namely human vehicle - road, and establish the driving safety awareness level evaluation model under the typical traffic scene. It is found that the driver experience has important influence on its security level of consciousness. The results show that the area under the ROC curve is 0.918, which shows that the established bi-level logistic model in terms of driver safety awareness evaluation and forecast has good adaptability and practicability.

关键词： traffic safety safety awareness logistic regression model simulating experiment ROC curve

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Detection of Edge Structures on Surface of Sedimentary Grains Acquired by Electron Microscope 38

Detection of Edge Structures on Surface of Sedimentary Grain...

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38th International Conference on Telecommunications and Signal Processing (TSP)

作者： Krupka, Ales Riha, Kamil Brno Univ Technol Fac Elect Engn & Commun Tech 12 Brno 60200 Czech Republic

ISBN: (纸本)9781479984985

This paper presents a method for edge detection on the surface of sedimentary grains that were acquired by an electron microscope. Local grain parts are described by textural co-occurrence features. Edges are then detected by classification of co-occurrence features corresponding to particular parts of image. For this classification, a logistic regression model is used. The precision and recall values of the cross-validated model are 82% and 77% respectively. Further, a measure that quantifies a maximal edge length detected on a grain is proposed. The purpose of this measure is to provide a high-level feature for comparing different grain sets. To evaluate a usability of the measure, the measure is computed for sets of grains of different geomorphological geneses and the differences arc compared. Because the results showed a specific measure range for some geneses, the proposed edge detection method can be considered as useful for description of sedimentary grains.

关键词： Edge structure co-occurrence matrix logistic regression model sedimentary grains edge length

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