Forecasting Bitcoin with technical analysis: A not-so-random forest?

This paper uses data sampled at hourly and daily frequencies to predict Bitcoin returns. We consider various advanced non-linear models based on a multitude of popular technical indicators that represent market trend, momentum, volume, and sentiment. We run a robust empirical exercise to observe the impact of forecast horizon, model type, time period, and the choice of inputs (predictors) on the forecast performance of the competing models. We find that Bitcoin prices are weakly efficient at the hourly frequency. In contrast, technical analysis combined with non-linear forecasting models becomes statistically significantly dominant relative to the random walk model on a daily horizon. Our comparative analysis identifies the random forest model as the most accurate at predicting Bitcoin. The estimated measures of the relative importance of predictors reveal that the nature of investing in the Bitcoin market evolved from trend-following to excessive momentum and sentiment in the most recent time period.     

自然资源丰裕度与中国区域经济增长——对“资源诅咒”假说的质疑

本文利用中国省际截面数据,通过构建联立方程模型,对中国区域经济层面是否存在"资源诅咒"现象进行了实证研究。计量结果显示:资源依赖度受资源丰裕度和制度质量的影响显著,具有内生性;在控制各地区的制度质量、区位变量等因素的影响后,资源丰裕度与区域经济发展并无显著相关性,因此,"资源诅咒"假说在中国区域经济层面是否成立仍然值得商榷。     

军备控制中的随机瞬发事件无人值守电子监测技术

本文介绍了军备控制中的随机瞬发事件无人值守电子监测技术及其关键设备－随机瞬发信号实时采集器和中心测控处理器的设计。     

Equilibria in systems of social interactions

In this paper, we establish existence and uniqueness results for equilibria in systems with an infinite number of agents and with local and global social interactions. We also examine the structure of the equilibrium distribution and derive a “Markov”property for the equilibrium distribution of a class of spatially homogeneous systems.     

The Development and Empirical Testing of Extended Input-Output Price Models

The focus in this paper is on the input-output price model as initially developed by Leontief nearly 60 years ago. A number of methodological refinements are proposed, including the formulation, for the first time, of an extended price model, with a disaggregated household sector. This model is presented in both static and dynamic versions. The effects of these refinements are investigated empirically by reference to an example of policy analysis. This relates to a hypothetical proposal to remove energy subsidies at the national level in Iran. The paper reports on the different results produced by each form of price model and also provides evidence on the sensitivity of individual parameter values. The paper concludes by considering the feasibility of constructing more comprehensive versions of the price model and identifying those elements of the model for which data are likely to be more difficult to obtain at national and regional levels.     

人民币实际有效汇率波动与我国地区经济增长差异

本文从国际贸易理论的视角构建了实际有效汇率变动影响一国地区经济增长差异的简单机理模型，得出三个命题，并基于1986-2003年中国相关数据，运用系统回归法对联立方程进行估算，通过经验研究论证了以上命题，即人民币汇率升值有利于改善我国地区经济增长差异加剧的趋势，反之将加剧我国地区差异较大的现象。最后，文章认为在人民币汇率合理变动，即实现外部均衡的同时，我们还需要注意兼顾国家总体经济增长和内部各地区经济增长的平衡发展。     

Environmental Statistics: Current and Future

Since 1900, statistics has prospered and established for itself a central place in science and technology, as can be seen from the wide application of its methods to almost all facets of life. The primary concern of statistics is to develop a logical and efficient system for information acquisition and analysis that is geared towards broad applications. Such a system has its roots and extensions in case studies from many scientific disciplines and in the collaboration between statisticians and other scientists. During the past three decades statisticians have become actively involved in the development and use of quantitative methods to understand and solve environmental problems. These activities are commonly called Environmetrics. In this paper we review the main features of current Environmetrics research and outreach activities. The paper is structured around typical examples drawn mainly from water quality and climate change to illustrate the type of problems involved, the statistical approaches used to address them, and the new statistical methods required for their solution. In addition we shall also briefly describe efforts made at the international level to link the statisticians working in the field together and with environmental scientists.     

Updating Choquet beliefs

We apply Pires’s coherence property between unconditional and conditional preferences that admit a CEU representation. In conjunction with consequentialism (only those outcomes on states which are still possible can matter for conditional preference) this implies that the conditional preference may be obtained from the unconditional preference by taking the Full Bayesian Update of the capacity.     

A voted based random forests algorithm for smart grid distribution network faults prediction

ABSTRACT

In this paper, we focus on fault prediction in the smart distribution network. modified version of voted random forest algorithm (VRF) is proposed for enhancing the predicting accuracy of the faults. We change the decision process by redesigning the voting algorithm by introducing multiple SVM models for voting model training. Based on the trained models, a simple NSGA algorithm is applied to find the best voting model. Results showed that the new algorithm could improve the accuracy and recall rate of the fault prediction, especially for the recall rate of the negative samples.     

The Optimality of Single-group Designs for Certain Mixed Models

In this paper optimal designs for the estimation of the fixed effects (population parameters) in a certain class of mixed models are investigated. Two classes of designs are compared: the class of single-group designs, where all individuals are observed under the same approximate design, and the class of more-group designs with the same mean number of observations per individual as before, where each individual can be observed under a different approximate design. It is shown that any design that is Φ-optimal in the class of single-group designs is also Φ-optimal in the larger class of more-group designs. The considered optimality criteria only have to satisfy mild assumptions, which is eg the case for the D-criterion and all linear criteria.