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1 – 10 of 618Mucahit Aydin, Ugur Korkut Pata and Veysel Inal
The aim of this study is to investigate the relationship between economic policy uncertainty (EPU) and stock prices during the period from March 2003 to March 2021.
Abstract
Purpose
The aim of this study is to investigate the relationship between economic policy uncertainty (EPU) and stock prices during the period from March 2003 to March 2021.
Design/methodology/approach
The study uses asymmetric and symmetric frequency domain causality tests and focuses on BRIC countries, namely, Brazil, Russia, India and China.
Findings
The findings of the symmetric causality test confirm unidirectional permanent causality from EPU to stock prices for Brazil and India and bidirectional causality for China. However, according to the asymmetric causality test, the findings for China show that there is no causality between the variables. The results for Brazil and India indicate that there is unidirectional permanent causality from positive components of EPU to positive components of stock prices. Moreover, for Brazil, there is unidirectional temporary causality from the negative components of EPU to the negative components of stock prices. For India, there is temporary causality in the opposite direction.
Originality/value
The reactions of financial markets to positive and negative shocks differ. In this context, to the best of the authors’ knowledge, this study is the first attempt to examine the causal relationships between stock prices and uncertainty using an asymmetric frequency domain approach. Thus, the study enables the analysis of the effects of positive and negative shocks in the stock market separately.
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Markus Neumayer, Thomas Suppan and Thomas Bretterklieber
The application of statistical inversion theory provides a powerful approach for solving estimation problems including the ability for uncertainty quantification (UQ) by means of…
Abstract
Purpose
The application of statistical inversion theory provides a powerful approach for solving estimation problems including the ability for uncertainty quantification (UQ) by means of Markov chain Monte Carlo (MCMC) methods and Monte Carlo integration. This paper aims to analyze the application of a state reduction technique within different MCMC techniques to improve the computational efficiency and the tuning process of these algorithms.
Design/methodology/approach
A reduced state representation is constructed from a general prior distribution. For sampling the Metropolis Hastings (MH) Algorithm and the Gibbs sampler are used. Efficient proposal generation techniques and techniques for conditional sampling are proposed and evaluated for an exemplary inverse problem.
Findings
For the MH-algorithm, high acceptance rates can be obtained with a simple proposal kernel. For the Gibbs sampler, an efficient technique for conditional sampling was found. The state reduction scheme stabilizes the ill-posed inverse problem, allowing a solution without a dedicated prior distribution. The state reduction is suitable to represent general material distributions.
Practical implications
The state reduction scheme and the MCMC techniques can be applied in different imaging problems. The stabilizing nature of the state reduction improves the solution of ill-posed problems. The tuning of the MCMC methods is simplified.
Originality/value
The paper presents a method to improve the solution process of inverse problems within the Bayesian framework. The stabilization of the inverse problem due to the state reduction improves the solution. The approach simplifies the tuning of MCMC methods.
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Elisa Verna and Domenico Augusto Maisano
Nowadays, companies are increasingly adopting additive manufacturing (AM) technologies due to their flexibility and product customization, combined with non-dramatic increases in…
Abstract
Purpose
Nowadays, companies are increasingly adopting additive manufacturing (AM) technologies due to their flexibility and product customization, combined with non-dramatic increases in per unit cost. Moreover, many companies deploy a plurality of distributed AM centers to enhance flexibility and customer proximity. Although AM centers are characterized by similar equipment and working methods, their production mix and volumes may be variable. The purpose of this paper is to propose a novel methodology to (1) monitor the quality of the production of individual AM centers and (2) perform a benchmarking of different AM centers.
Design/methodology/approach
This paper analyzes the quality of the production output of AM centers in terms of compliance with specifications. Quality is assessed through a multivariate statistical analysis of measurement data concerning several geometric quality characteristics. A novel operational methodology is suggested to estimate the fraction nonconforming of each AM center at three different levels: (1) overall production, (2) individual product typologies in the production mix and (3) individual quality characteristics.
Findings
The proposed methodology allows performing a benchmark analysis on the quality performance of distributed AM centers during regular production, without requiring any ad hoc experimental test.
Originality/value
This research assesses the capability of distributed AM centers to meet crucial quality requirements. The results can guide production managers toward improving the quality of the production of AM centers, in order to meet customer expectations and enhance business performance.
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Turan G. Bali, Stephen J. Brown and Yi Tang
This paper investigates the role of economic disagreement in the cross-sectional pricing of individual stocks. Economic disagreement is quantified with ex ante measures of…
Abstract
Purpose
This paper investigates the role of economic disagreement in the cross-sectional pricing of individual stocks. Economic disagreement is quantified with ex ante measures of cross-sectional dispersion in economic forecasts from the Survey of Professional Forecasters (SPF), determining the degree of disagreement among professional forecasters over changes in economic fundamentals.
Design/methodology/approach
The authors introduce a broad index of economic disagreement based on the innovations in the cross-sectional dispersion of economic forecasts for output, inflation and unemployment so that the index is a shock measure that captures different aspects of disagreement over economic fundamentals and also reflects unexpected news or surprise about the state of the aggregate economy. After building the broad index of economic disagreement, the authors test out-of-sample performance of the index in predicting the cross-sectional variation in future stock returns.
Findings
Univariate portfolio analyses indicate that decile portfolios that are long in stocks with the lowest disagreement beta and short in stocks with the highest disagreement beta yield a risk-adjusted annual return of 7.2%. The results remain robust after controlling for well-known pricing effects. The results are consistent with a preference-based explanation that ambiguity-averse investors demand extra compensation to hold stocks with high disagreement risk and the investors are willing to pay high prices for stocks with large hedging benefits. The results also support the mispricing hypothesis that the high disagreement beta provides an indirect way to measure dispersed opinion and overpricing.
Originality/value
Most literature measures disagreement about individual stocks with the standard deviation of earnings forecasts made by financial analysts and examines the cross-sectional relation between this measure and individual stock returns. Unlike prior studies, the authors focus on disagreement about the economy instead of disagreement about earnings growth. The authors' argument is that disagreement about the economy is a major factor that would explain disagreement about stock fundamentals. The authors find that disagreement in economic forecasts does indeed have a significant impact on the cross-sectional pricing of individual stocks.
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Babitha Philip and Hamad AlJassmi
To proactively draw efficient maintenance plans, road agencies should be able to forecast main road distress parameters, such as cracking, rutting, deflection and International…
Abstract
Purpose
To proactively draw efficient maintenance plans, road agencies should be able to forecast main road distress parameters, such as cracking, rutting, deflection and International Roughness Index (IRI). Nonetheless, the behavior of those parameters throughout pavement life cycles is associated with high uncertainty, resulting from various interrelated factors that fluctuate over time. This study aims to propose the use of dynamic Bayesian belief networks for the development of time-series prediction models to probabilistically forecast road distress parameters.
Design/methodology/approach
While Bayesian belief network (BBN) has the merit of capturing uncertainty associated with variables in a domain, dynamic BBNs, in particular, are deemed ideal for forecasting road distress over time due to its Markovian and invariant transition probability properties. Four dynamic BBN models are developed to represent rutting, deflection, cracking and IRI, using pavement data collected from 32 major road sections in the United Arab Emirates between 2013 and 2019. Those models are based on several factors affecting pavement deterioration, which are classified into three categories traffic factors, environmental factors and road-specific factors.
Findings
The four developed performance prediction models achieved an overall precision and reliability rate of over 80%.
Originality/value
The proposed approach provides flexibility to illustrate road conditions under various scenarios, which is beneficial for pavement maintainers in obtaining a realistic representation of expected future road conditions, where maintenance efforts could be prioritized and optimized.
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Ali Doostvandi, Mohammad HajiAzizi and Fatemeh Pariafsai
This study aims to use regression Least-Square Support Vector Machine (LS-SVM) as a probabilistic model to determine the factor of safety (FS) and probability of failure (PF) of…
Abstract
Purpose
This study aims to use regression Least-Square Support Vector Machine (LS-SVM) as a probabilistic model to determine the factor of safety (FS) and probability of failure (PF) of anisotropic soil slopes.
Design/methodology/approach
This research uses machine learning (ML) techniques to predict soil slope failure. Due to the lack of analytical solutions for measuring FS and PF, it is more convenient to use surrogate models like probabilistic modeling, which is suitable for performing repetitive calculations to compute the effect of uncertainty on the anisotropic soil slope stability. The study first uses the Limit Equilibrium Method (LEM) based on a probabilistic evaluation over the Latin Hypercube Sampling (LHS) technique for two anisotropic soil slope profiles to assess FS and PF. Then, using one of the supervised methods of ML named LS-SVM, the outcomes (FS and PF) were compared to evaluate the efficiency of the LS-SVM method in predicting the stability of such complex soil slope profiles.
Findings
This method increases the computational performance of low-probability analysis significantly. The compared results by FS-PF plots show that the proposed method is valuable for analyzing complex slopes under different probabilistic distributions. Accordingly, to obtain a precise estimate of slope stability, all layers must be included in the probabilistic modeling in the LS-SVM method.
Originality/value
Combining LS-SVM and LEM offers a unique and innovative approach to address the anisotropic behavior of soil slope stability analysis. The initiative part of this paper is to evaluate the stability of an anisotropic soil slope based on one ML method, the Least-Square Support Vector Machine (LS-SVM). The soil slope is defined as complex because there are uncertainties in the slope profile characteristics transformed to LS-SVM. Consequently, several input parameters are effective in finding FS and PF as output parameters.
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This paper aims to offer a tutorial/introduction to new statistics arising from the theory of optimal transport to empirical researchers in econometrics and machine learning.
Abstract
Purpose
This paper aims to offer a tutorial/introduction to new statistics arising from the theory of optimal transport to empirical researchers in econometrics and machine learning.
Design/methodology/approach
Presenting in a tutorial/survey lecture style to help practitioners with the theoretical material.
Findings
The tutorial survey of some main statistical tools (arising from optimal transport theory) should help practitioners to understand the theoretical background in order to conduct empirical research meaningfully.
Originality/value
This study is an original presentation useful for new comers to the field.
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