References of "Physica A: Statistical Mechanics and its Applications"
     in
Bookmark and Share    
Full Text
Peer Reviewed
See detailRegime switching model for financial data: empirical risk analysis
Khaled, Salhi; Deaconu, Madalina; Lejay, Antoine et al

in Physica A: Statistical Mechanics and its Applications (2016), 461

This paper constructs a regime switching model for the univariate Value-at-Risk estimation. Extreme value theory (EVT) and hidden Markov models (HMM) are combined to estimate a hybrid model that takes ... [more ▼]

This paper constructs a regime switching model for the univariate Value-at-Risk estimation. Extreme value theory (EVT) and hidden Markov models (HMM) are combined to estimate a hybrid model that takes volatility clustering into account. In the first stage, HMM is used to classify data in crisis and steady periods, while in the second stage, EVT is applied to the previously classified data to rub out the delay between regime switching and their detection. This new model is applied to prices of numerous stocks exchanged on NYSE Euronext Paris over the period 2001–2011. We focus on daily returns for which calibration has to be done on a small dataset. The relative performance of the regime switching model is benchmarked against other well-known modeling techniques, such as stable, power laws and GARCH models. The empirical results show that the regime switching model increases predictive performance of financial forecasting according to the number of violations and tail-loss tests. This suggests that the regime switching model is a robust forecasting variant of power laws model while remaining practical to implement the VaR measurement. [less ▲]

Detailed reference viewed: 719 (10 UL)
Full Text
Peer Reviewed
See detailThe generation of respiratory rhythms in birds
Granada, A.; Gabitto, M.; Garcia, Guadalupe Clara UL et al

in Physica A: Statistical Mechanics and its Applications (2006), 371(1), 84-87

The generation of precise respiratory rhythms is vital for birds, which must generate specific pressure patterns to perform several activities, song being one of the most demanding ones. These rhythms ... [more ▼]

The generation of precise respiratory rhythms is vital for birds, which must generate specific pressure patterns to perform several activities, song being one of the most demanding ones. These rhythms emerge as the interaction between a peripheral system and a set of neural nuclei which control the action of expiratory and inspiratory muscles. A computational model was proposed recently to account for this interaction. In this work, we describe the set of solutions that this model can display as its parameters are varied, and compare experimental records of air sac pressure patterns with the predictions of the model. © 2006 Elsevier B.V. All rights reserved. [less ▲]

Detailed reference viewed: 103 (2 UL)