Publications associées à Analyse technique

Portfolio Construction with Hierarchical Momentum

This article presents a portfolio construction approach that combines the hierarchical clustering of a large asset universe with the stock price momentum. On one hand, investing in high-momentum stocks enhances returns by capturing the momentum premium. On ...

Pageant Media Ltd2024

A Combination Technique for Optimal Control Problems Constrained by Random PDEs

Fabio Nobile, Tommaso Vanzan

We present a combination technique based on mixed differences of both spatial approximations and quadrature formulae for the stochastic variables to solve efficiently a class of optimal control problems (OCPs) constrained by random partial differential equ ...

2024

Timing and spatial selection bias in rapid extreme event attribution

Anthony Christopher Davison, Ophélia Mireille Anna Miralles

Selection bias may arise when data have been chosen in a way that subsequent analysis does not account for. Such bias can arise in climate event attribution studies that are performed rapidly after a devastating "trigger event'', whose occurrence correspon ...

ELSEVIER2023

A taxonomy of surprise definitions

Wulfram Gerstner, Johanni Michael Brea, Alireza Modirshanechi

Surprising events trigger measurable brain activity and influence human behavior by affecting learning, memory, and decision-making. Currently there is, however, no consensus on the definition of surprise. Here we identify 18 mathematical definitions of su ...

2022

Self-Exciting Point Processes: Identification and Control

Michael Mark

This thesis addresses theoretical and practical aspects of identification and subsequent control of self-exciting point processes. The main contributions correspond to four separate scientific papers. In the first paper, we address the challenge of robust ...

EPFL2022

A New Lighting on Analytical Discrete Sensitivities in the Context of IsoGeometric Shape Optimization

Thibaut Hirschler

Isogeometric shape optimization has been now studied for over a decade. This contribution aims at compiling the key ingredients within this promising framework, with a particular attention to sensitivity analysis. Based on all the researches related to iso ...

2021

Technical note: Evaluation of a low-cost evaporation protection method for portable water samplers

Jana Freiin von Freyberg

Automated field sampling of streamwater or precipitation for subsequent analysis of stable water isotopes (H-2 and O-18) is often conducted with off-the-shelf automated samplers. However, when water samples are stored in the field for days and weeks in ope ...

2020

Exchange Rate Analysis by Nonlinear Time Series Method

Maria-Alexandra Paun

A financial data analysis using the time series method has been performed. At the same time a correct interpretation of daily exchange rates fluctuations, for Eur foreign currencies is presented. The fractal dimension evaluation has been performed using th ...

AMER INST PHYSICS2020

Yield strength and misfit volumes of NiCoCr and implications for short-range-order

William Curtin, Binglun Yin

The face-centered cubic medium-entropy alloy NiCoCr has received considerable attention for its good mechanical properties, uncertain stacking fault energy, etc, some of which have been attributed to chemical short-range order (SRO). Here, we examine the y ...

Nature Research2020

Oclussion-Aware Motion Planning at Roundabouts

Denis Gillet

In this work, we present a motion planning framework for automated vehicles to drive safely through intersections despite occlusions and the uncertain behavior of the surrounding vehicles. A context representation based on probably-free gaps is proposed as ...

2021

Vlogging Over Time: Longitudinal Impressions and Behavior in YouTube

Daniel Gatica-Perez, Dinesh Babu Jayagopi, Dairazalia Sanchez Cortes

YouTube vlogging, as a popular genre of ubiquitous social video, engages people in entertainment, civic, and social activities. Although several aspects of vlogging have been studied in media studies and multimedia analysis, the longitudinal angle of vlogg ...

ASSOC COMPUTING MACHINERY2018

Exploring Data Partitions for What-if Analysis

Quoc Viet Hung Nguyen, Thành Tâm Nguyên

What-if analysis is a data-intensive exploration to inspect how changes in a set of input parameters of a model influence some outcomes. It is motivated by a user trying to understand the sensitivity of a model to a certain parameter in order to reach a se ...

2018

Three Essays on Predictability and Seasonality in the Cross-Section of Stock Returns

Vincent Jean Bogousslavsky

This thesis examines predictability and seasonality in the cross-section of stock returns. The first chapter, titled ``Infrequent Rebalancing, Return Autocorrelation, and Seasonality,'' shows that a model of infrequent rebalancing can explain specific pred ...

EPFL2017

Infrequent Rebalancing, Return Autocorrelation, and Seasonality

Vincent Jean Bogousslavsky

A model of infrequent rebalancing can explain specific predictability patterns in the time series and cross-section of stock returns. First, infrequent rebalancing produces return autocorrelations that are consistent with empirical evidence from intraday r ...

Wiley-Blackwell2016

Acquiring Broad Commonsense Knowledge for Sentiment Analysis Using Human Computation

Marina Boia

While artificial intelligence is successful in many applications that cover specific domains, for many commonsense problems there is still a large gap with human performance. Automated sentiment analysis is a typical example: while there are techniques tha ...

EPFL2016

Adaptive sentiment-aware one-class collaborative filtering

Andrei Popescu-Belis, Nikolaos Pappas

This paper presents a novel application of sentiment analysis to recommender systems relying on explicit one-class user feedback (favorites or likes), namely joint models of unary feedback and sentiment of free-form user comments. This combination is achie ...

Elsevier2016

Robust Growth-Optimal Portfolios

Daniel Kuhn, Napat Rujeerapaiboon, Wolfram Wiesemann

The growth-optimal portfolio is designed to have maximum expected log-return over the next rebalancing period. Thus, it can be computed with relative ease by solving a static optimization problem. The growth-optimal portfolio has sparked fascination among ...

Informs2016

Space Odyssey - Efficient Exploration of Scientific Data

Anastasia Ailamaki, Darius Sidlauskas, Thomas Heinis, Mirjana Pavlovic, Eleni Tzirita Zacharatou

Advances in data acquisition—through more powerful supercomputers for simulation or sensors with better resolution—help scientists tremendously to understand natural phenomena. At the same time, however, it leaves them with a plethora of data and the chall ...

ACM2016

MOVING ALONG In biomechanics, rehabilitation engineering, and movement analysis, Italian researchers are making great strides

Silvestro Micera

In Italy, biomechanics research and the analysis of human and animal movement have had a very long history, beginning with the exceptional pioneering work of Leonardo da Vinci. In 1489, da Vinci began investigating human anatomy, including an examination o ...

Ieee-Inst Electrical Electronics Engineers Inc2015

Dividend Dynamics and the Term Structure of Dividend Strips

Pierre Collin Dufresne

Many leading asset pricing models are specified so that the term structure of dividend volatility is either flat or upward sloping. These models predict that the term structures of expected returns and volatilities on dividend strips (i.e., claims to divid ...

Wiley-Blackwell2015