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analysis of cryptocurrency connectedness based on network to transaction volume ratios

Digital Finance 2022年第2-3期4卷 187-216页

作者： Hafner, Christian M. Majeri, Sabrine Louvain Institute of Data Analysis and Modelling in Economics and Statistics (LIDAM) UCLouvain Louvain-la-Neuve Belgium

Network to Transaction (NVT) ratio is a measure that describes the relationship between transaction volume and market capitalization, and that may serve as an indicator for the valuation of a cryptocurrency. We build a connectedness network connecting 39 cryptocurrencies based on mutual contributions to the variances of forecast errors for NVT ratios. We find that NVT connectedness is not related to market capitalization, as we have large and small cryptocurrencies by market cap that propagate large NVT shocks (e.g. Litecoin, Dogecoin, Bitcoin Cash(bch), OMG Network and Decentraland). The largest transmitter of NVT shocks is OMG Network, which receives little public attention. Cryptocurrencies relying on proof of stake as a consensus mechanism are the smallest receivers of NVT spillovers from other cryptocurrencies. These assets are also the least interconnected, which makes them attractive from a risk diversification point of view. This complements the energy efficiency of PoS compared with proof of work. © The Author(s), under exclusive licence to Springer Nature Switzerland AG 2022.

关键词： C14 C43 Cryptocurrencies ICA LASSO Networks Vector autoregressions Z11

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Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications

arXiv

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arXiv 2023年

作者： Bouamara, Nabil Laurent, Sébastien Shi, Shuping Louvain Institute of Data Analysis and Modeling in economics and statistics Université catholique de Louvain Belgium Aix-Marseille University Aix-Marseille School of Economics CNRS & EHESS Aix-Marseille Graduate School of Management – IAE France Department of Economics Macquarie University Australia

We introduce a simple tool to control for false discoveries and identify individual signals in scenarios involving many tests, dependent test statistics, and potentially sparse signals. The tool applies the Cauchy combination test recursively on a sequence of expanding subsets of p-values and is referred to as the sequential Cauchy combination test. While the original Cauchy combination test aims to make a global statement about a set of null hypotheses by summing transformed p-values, our sequential version determines which p-values trigger the rejection of the global null. The sequential test achieves strong familywise error rate control, exhibits less conservatism compared to existing controlling procedures when dealing with dependent test statistics, and provides a power boost. As illustrations, we revisit two well-known large-scale multiple testing problems in finance for which the test statistics have either serial dependence or cross-sectional dependence, namely monitoring drift bursts in asset prices and searching for assets with a nonzero alpha. In both applications, the sequential Cauchy combination test proves to be a preferable alternative. It overcomes many of the drawbacks inherent to inequality-based controlling procedures, extreme value approaches, resampling and screening methods, and it improves the power in simulations, leading to distinct empirical outcomes. Copyright © 2023, The Authors. All rights reserved.

关键词： Statistical tests

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Corrigendum and addendum to “From risk sharing to pure premium for a large number of heterogeneous losses” [Insurance: Mathematics and economics 96 (2021) 116–126]

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Insurance: Mathematics and economics 2021年 101卷 640-644页

作者： Michel Denuit Christian Y. Robert Institute of Statistics Biostatistics and Actuarial Science - ISBA Louvain Institute of Data Analysis and Modeling - LIDAM UCLouvain Louvain-la-Neuve Belgium Laboratory in Finance and Insurance - LFA CREST - Center for Research in Economics and Statistics ENSAE Paris France

This paper supplements the previous contribution by Denuit and Robert (2021) . First, the compound Poisson case is revisited and the strong law of large number is rigorously established for the conditional expectations defining the conditional mean risk allocation. Then, a weak law of large numbers is proposed, providing the actuary with a criterion ensuring that the variance of individual contributions tends to 0. This is appealing for applications since this behavior is a key success factor for collaborative insurance pools.

关键词： G22 Conditional expectation Risk pooling Law of large number

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Equal compensations under actuarially fair contributions in endowment contingency funds

Risk Sciences

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Risk Sciences 2025年 1卷

This paper considers risk-sharing schemes, aiming to demonstrate that it is possible to enforce equal compensations by charging actuarially fair contributions. Specifically, consider a group of individuals exposed to the occurrence of a predefined event with adverse financial consequences such as death, survival or being diagnosed with a critical illness for instance. All members of the group agree to contribute in advance a fixed amount to a pool constituted over a reference period with the understanding that the sum of the contributions is shared in arrear among those participants having experienced the predefined event. This allocation is either uniform among claiming participants, each one receiving an equal share of total contributions, or participants are offered the choice to select a desired protection level. In the latter case, participants are free to subscribe one or several units of protection from the fund, and the total amount collected in advance is shared in arrear, equally among all units held by those participants who experienced the predefined event. Endowment contingency funds aim to provide participants with a cheap and effective protection compared to commercial insurance. The reason is that the proposed system is fully funded so that there is no risk borne by the organizer. The benefits in case the event occurs are therefore random but the volatility of the terminal payouts turns out to be limited when the number of participants gets large enough. Under independence, insurance at fair price is recovered at the limit, within infinitely large pools. As an application, the paper considers mutual aid funds and survivor funds. A comparison with takaful insurance is performed.

关键词： Risk pooling Conditional mean risk-sharing Actuarial fairness Mutual inheritance Insurance at fair price

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More efficient estimation of multivariate additive models based on tensor decomposition and penalization

The Journal of Machine Learning Research

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The Journal of Machine Learning Research 2024年第1期25卷 7659-7685页

作者： Xu Liu Heng Lian Jian Huang School of Statistics and Management Shanghai University of Finance and Economics Shanghai China and Yunnan Key Laboratory of Statistical Modeling and Data Analysis Yunnan University Kunming China City University of Hong Kong Shenzhen Research Institute Shenzhen China and Department of Mathematics City University of Hong Kong Kowloon Tong Hong Kong China Department of Applied Mathematics The Hong Kong Polytechnic University Hong Kong China

We consider parsimonious modeling of high-dimensional multivariate additive models using regression splines, with or without sparsity assumptions. The approach is based on treating the coefficients in the spline expansions as a third-order tensor. Note the data does not have tensor predictors or tensor responses, which distinguishes our study from the existing ones. A Tucker decomposition is used to reduce the number of parameters in the tensor. We also combined the Tucker decomposition with penalization to enable variable selection. The proposed method can avoid the statistical inefficiency caused by estimating a large number of nonparametric functions. We provide sufficient conditions under which the proposed tensor-based estimators achieve the optimal rate of convergence for the nonparametric regression components. We conduct simulation studies to demonstrate the effectiveness of the proposed novel approach in fitting high-dimensional multivariate additive models and illustrate its application on a breast cancer copy number variation and gene expression data set.

关键词： high dimensionality sparse models splines tensor estimation tucker decomposition

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Salud física y cognitiva y capacidad de trabajo después de los 50 años: evidencia internacional sobre los márgenes extensivo e intensivo

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Revista Internacional del Trabajo 2021年第2期140卷

作者： Vincent VANDENBERGHE Institute of Economic and Social Research Louvain Institute of Data Analysis and Modelling in Economics and Statistics (IRES-LIDAM) Universidad Católica de Lovaina

Con datos de la Encuesta de Salud, Envejecimiento y Jubilación en Europa (SHARE) se analiza la conveniencia de las recientes reformas para retrasar la edad de jubilación. Los resultados indican que la salud física y el desempeño cognitivo se deterioran con la edad, con efectos negativos en la tasa de empleo del grupo de 50-54 años. El deterioro cognitivo tiene menor impacto que el de la salud, y ambos tienen mayores efectos sobre el empleo que sobre las horas trabajadas, pero dicho deterioro explica como mucho el 35 por ciento de la reducción del trabajo observada. Ello apunta a una considerable capacidad de trabajo infrautilizada entre los trabajadores europeos de más edad.

关键词： envejecimiento salud cognición capacidad de trabajo trabajador de edad SHARE

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Santé, cognition et capacité de travail après 50 ans: données internationales sur les marges extensive et intensive du travail

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Revue internationale du Travail 2021年第2期160卷

作者： Vincent VANDENBERGHE Institut de recherche économique et sociale Louvain Institute of Data Analysis and Modelling in Economics and Statistics (IRES-LIDAM) Université catholique de Louvain (UCL)

L'auteur utilise l'Enquête sur la santé, le vieillissement et la retraite en Europe (SHARE) pour analyser le bien-fondé des réformes récentes visant à relever l'âge de la... 详细信息

L'auteur utilise l'Enquête sur la santé, le vieillissement et la retraite en Europe (SHARE) pour analyser le bien-fondé des réformes récentes visant à relever l'âge de la retraite. Il constate que la santé physique et les capacités cognitives se dégradent avec l'âge, ce qui abaisse les taux d'emploi des 50-54 ans. L'effet de la cognition est moins fort que celui de la santé. En outre, ces deux éléments influent plus sur l'emploi que sur les heures travaillées. Cependant, ils expliquent au plus 35 pour cent de la réduction du travail observée. La capacité de travail des seniors européens semble donc largement sous-utilisée.

关键词： vieillissement santé cognition capacité de travail seniors enquête SHARE

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Worldwide Soundscapes: A Synthesis of Passive Acoustic Monitoring Across Realms

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Global Ecology and Biogeography 2025年第5期34卷

作者： Kevin F. A. Darras Rodney A. Rountree Steven L. Van Wilgenburg Anna F. Cord Frederik Pitz Youfang Chen Lijun Dong Agnès Rocquencourt Camille Desjonquères Patrick Mauritz Diaz Tzu-Hao Lin Théophile Turco Louise Emmerson Tom Bradfer-Lawrence Amandine Gasc Sarah Marley Marcus Salton Laura Schillé Paul J. Wensveen Shih-Hung Wu Adriana C. Acero-Murcia Orlando Acevedo-Charry Matyáš Adam Jacopo Aguzzi Irmak Akoglu M. Clara P. Amorim Mina Anders Michel André Alexandre Antonelli Leandro Aparecido Do Nascimento Giulliana Appel Stephanie Archer Christos Astaras Andrey Atemasov Jamieson Atkinson Joël Attia Emanuel Baltag Luc Barbaro Fritjof Basan Carly Batist Julio Ernesto Baumgarten Just T. Bayle Sempere Kristen Bellisario Asaf Ben David Oded Berger-Tal Frédéric Bertucci Matthew G. Betts Iqbal S. Bhalla Thiago Bicudo Marta Bolgan Sara Bombaci Gerard Bota Martin Boullhesen Robert A. Briers Susannah Buchan Michal Budka Katie Burchard Giuseppa Buscaino Alice Calvente Marconi Campos-Cerqueira Maria Isabel Carvalho Gonçalves Maria Ceraulo Maite Cerezo-Araujo Gunnar Cerwén Adams A. Chaskda Maria Chistopolova Christopher W. Clark Kieran D. Cox Benjamin Cretois Chapin Czarnecki Luis P. da Silva Wigna da Silva Laurence H. De Clippele David de la Haye Ana Silvia de Oliveira Tissiani Devin de Zwaan M. Eugenia Degano Jessica Deichmann Joaquin del Rio Christian Devenish Ricardo Díaz-Delgado Pedro Diniz Dorgival Diógenes Oliveira-Júnior Thiago Dorigo Saskia Dröge Marina Duarte Adam Duarte Kerry Dunleavy Robert Dziak Simon Elise Hiroto Enari Haruka S. Enari Florence Erbs Britas Klemens Eriksson Pınar Ertör-Akyazi Nina C. Ferrari Luane Ferreira Abram B. Fleishman Paulo J. Fonseca Bárbara Freitas Nicholas R. Friedman Jérémy S. P. Froidevaux Svetlana Gogoleva Carolina Gonzaga José Miguel González Correa Eben Goodale Benjamin Gottesman Ingo Grass Jack Greenhalgh Jocelyn Gregoire Samuel Haché Jonas Hagge William Halliday Antonia Hammer Tara Hanf-Dressler Sylvain Haupert Samara Haver Becky Heath Daniel Hending Jose Hernandez-Blanco Dennis Higgs EFNO ECODIV INRAE Domaine des Barres Nogent-sur-Vernisson France Sustainable Agricultural Systems & Engineering Lab School of Engineering Westlake University Hangzhou Zhejiang China Chair of Computational Landscape Ecology Faculty of Environmental Sciences Dresden University of Technology Dresden Germany Biology Department University of Victoria Victoria British Columbia Canada The Fish Listener Waguoit Massachusetts USA Terrestrial Unit Prairie Region Canadian Wildlife Service Environment & Climate Change Canada Prairie & Northern Wildlife Research Centre Saskatoon Saskatchewan Canada Agro-ecological Modeling Group Faculty of Agriculture University of Bonn Bonn Germany Marine Mammal and Marine Bioacoustics Laboratory Department of Deep Sea Science Institute of Deep-sea Science and Engineering Chinese Academy of Sciences Sanya Hainan China Institut de Systématique Évolution Biodiversité Muséum National d’Histoire Naturelle Paris France Université Grenoble Alpes Université Savoie Mont Blanc CNRS LECA Grenoble France Climate Change and Biodiversity Hanns R. Neumann Stiftung Indonesia Muaradua Indonesia Biodiversity Research Center Academia Sinica Nankang Taipei Taiwan ENES Bioacoustics Research Laboratory University of Saint-Etienne CRNL CNRS UMR 5292 Inserm UMR_S 1028 Saint-Etienne France Australian Antarctic Division Science Branch Department of Climate Change Energy Environment and Water Channel Highway Kingston Tasmania Australia Biological and Environmental Sciences University of Stirling Stirling Scotland Centre for Conservation Science RSPB Edinburgh UK IMBE Aix Marseille Univ Avignon Univ CNRS IRD Aix-en-Provence France Scotland's Rural College Craibstone Estate Aberdeen UK BIOGECO INRAE University of Bordeaux Cestas France Westman Islands Research Centre University of Iceland Vestmannaeyjar Iceland Qigu Research Center Taiwan Biodiversity Research Institute Nantou County Taiwan Programa de Pós-graduação em Ecologia

Aim The urgency for remote, reliable and scalable biodiversity monitoring amidst mounting human pressures on ecosystems has sparked worldwide interest in Passive Acoustic Monitoring (PAM), which can track life underwater and on land. However, we lack a unified methodology to report this sampling effort and a comprehensive overview of PAM coverage to gauge its potential as a global research and monitoring tool. To address this gap, we created the Worldwide Soundscapes project, a collaborative network and growing database comprising metadata from 416 datasets across all realms (terrestrial, marine, freshwater and subterranean). Location Worldwide, 12,343 sites, all ecosystem types. Time Period 1991 to present. Major Taxa Studied All soniferous taxa. Methods We synthesise sampling coverage across spatial, temporal and ecological scales using metadata describing sampling locations, deployment schedules, focal taxa and audio recording parameters. We explore global trends in biological, anthropogenic and geophysical sounds based on 168 selected recordings from 12 ecosystems across all realms. Results Terrestrial sampling is spatially denser (46 sites per million square kilometre—Mkm 2 ) than aquatic sampling (0.3 and 1.8 sites/Mkm 2 in oceans and fresh water) with only two subterranean datasets. Although diel and lunar cycles are well sampled across realms, only marine datasets (55%) comprehensively sample all seasons. Across the 12 ecosystems selected for exploring global acoustic trends, biological sounds showed contrasting diel patterns across ecosystems, declined with distance from the Equator, and were negatively correlated with anthropogenic sounds. Main Conclusions PAM can inform macroecological studies as well as global conservation and phenology syntheses, but representation can be improved by expanding terrestrial taxonomic scope, sampling coverage in the high seas and subterranean ecosystems, and spatio-temporal replication in freshwater habitats. Overall, this

关键词： ARU automated sound recorder biodiversity conservation biology ecoacoustics IUCN GET realm Passive Acoustic Monitoring phenology soundscape ecology

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Big data: Prospects and Challenges

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Vikalpa 2015年第1期40卷 74 - 96页

作者： Janakiraman Moorthy Rangin Lahiri Neelanjan Biswas Dipyaman Sanyal Jayanthi Ranjan Krishnadas Nanath Pulak Ghosh (Coordinator) Director and Professor of Marketing at the Institute of Management Technology Dubai. Earlier he was Professor of Marketing at the IIM Calcutta and IIM Lucknow. He received his PhD from IIM Ahmedabad. His recent research papers were published in the leading scholarly ournals such as Marketing Science British Food Journal Journal of Information Technology Case and Application Research Journal of Database Marketing & Customer Strategy Management. He has wide experience in the banking and investment industry. He was earlier the Global Research and Project Director of the Institute for Customer Relationship Management Atlanta USA. He was the Convener of the prestigious CAT Exam 2011. e-mail: Practice Director leading Atos India's CRM practice while supporting Strategic Business Development for North American Market. With an experience of more than 15 years Rangin has worked extensively as a Business Consultant in Information Technology (Sales Automation Marketing & Service Management area) Customer Data Management and CRM Analytics. e-mail: Business Consultant at Atos with extensive experience in Business Analysis Risk Management Analytics Business Development Presales Solution Ideation on Enterprise Data Management Enterprise Reference Data and Master Data Management area. e-mail: founder and CEO of dono consulting a boutique quantitative analytics and investment research firm. He has worked for leading financial firms in New York and India including Dow Jones Blackstone Sorin Capital (VP Quantitative Modeling) and Thomson Reuters (Head of Real Estate Analytics). A CFA charter holder and Commonwealth Scholar Deep has an MS (Applied Economics) from University of Texas Dallas and an MA (Economics) from Jadavpur University e-mail: Professor in the Information Systems Group of the Institute of Management Technology Ghaziabad. Her PhD is in the field of data mining from Jamia Millia Islamia Central University India. She has published five edited books. She is serving on the editorial b

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Nonparametric Spectral analysis of Multivariate Time Series

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statistics and Its Application 1000年第1期7卷 361-386页

作者： Rainer von Sachs Institute of Statistics Biostatistics and Actuarial Sciences Louvain Institute of Data Analysis and Modeling in Economics and Statistics Université catholique de Louvain B-1348 Louvain-la-Neuve Belgium email: rvs@uclouvain.be

Spectral analysis of multivariate time series has been an active field of methodological and applied statistics for the past 50 years. Since the success of the fast Fourier transform algorithm, the analysis of serial auto- and cross-correlation in the frequency domain has helped us to understand the dynamics in many serially correlated data without necessarily needing to develop complex parametric models. In this work, we give a nonexhaustive review of the mostly recent nonparametric methods of spectral analysis of multivariate time series, with an emphasis on model-based approaches. We try to give insights into a variety of complimentary approaches for standard and less standard situations (such as nonstationary, replicated, or high-dimensional time series), discuss estimation aspects (such as smoothing over frequency), and include some examples stemming from life science applications (such as brain data).

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