Feature-based Groundwater Hydrograph Clustering Using Unsupervised Self-Organizing Map-Ensembles

Hydrograph clustering helps to identify dynamic patterns within aquifers systems, an important foundation of characterizing groundwater systems and their influences, which is necessary to effectively manage groundwater resources. We develope an unsupervised modeling approach to characterize and cluster hydrographs on regional scale according to their dynamics. We apply feature-based clustering to improve the exploitation of heterogeneous datasets, explore the usefulness of existing features and propose new features specifically useful to describe groundwater hydrographs. The clustering itself is based on a powerful combination of Self-Organizing Maps with a modified DS2L-Algorithm, which automatically derives the cluster number but also allows to influence the level of detail of the clustering. We further develop a framework that combines these methods with ensemble modeling, internal cluster validation indices, resampling and consensus voting to finally obtain a robust clustering result and remove arbitrariness from the feature selection process. Further we propose a measure to sort hydrographs within clusters, useful for both interpretability and visualization. We test the framework with weekly data from the Upper Rhine Graben System, using more than 1800 hydrographs from a period of 30 years (1986-2016). The results show that our approach is adaptively capable of identifying homogeneous groups of hydrograph dynamics. The resulting clusters show both spatially known and unknown patterns, some of which correspond clearly to external controlling factors, such as intensive groundwater management in the northern part of the test area. This framework is easily transferable to other regions and, by adapting the describing features, also to other time series-clustering applications.

     

Commons,Collective Action,and Corruption

John R. Commons tried to save capitalism by making it good. His career was characterized by a sustained attempt to reduce social inequality by promoting collective action. Thanks to his proximity to the terrain, Commons often found himself close to authentic examples of corruption. Indeed, in his published works, corruption was treated exclusively from this perspective. His analysis reveals that collective action is not only the cause, but also the consequence of corruption, and that, in addition, the struggle against corruption is dependent on collective action for its success. I argue that Commons’s position is diametrically opposed to the theses developed later by Nathaniel Leff and Samuel Huntington. For Commons, the main issue is not that there is too much control over individual actions, but that there is too little.     

Stable mixture GARCH models

A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate context for portfolio selection. The model nests numerous ones currently in use, and is shown to outperform all its special cases. In particular, an extensive out-of-sample risk forecasting exercise for seven major FX and equity indices confirms the superiority of the general model compared to its special cases and other competitors. Estimation issues related to problems associated with mixture models are discussed, and a new, general, method is proposed to successfully circumvent these. The model is straightforwardly extended to the multivariate setting by using an independent component analysis framework. The tractability of the relevant characteristic function then facilitates portfolio optimization using expected shortfall as the downside risk measure.     

Exchange rate regimes and national price levels

This paper explores the role of exchange rate regimes in explaining deviations from the classic theory of purchasing power parity. Examining a broad panel of countries, I find that developing countries with fixed exchange rate regimes have national price levels that are 20 percent higher than those with flexible regimes. For industrial countries, the relation between regimes and price levels is qualitatively similar but weaker. I investigate several explanations for this pattern, and find that exchange-rate overshooting in floats, inflation inertia in pegs and expansionary policies can explain only 5 percentage points of the observed differences. I also show that even though the observed pattern could be the outcome of a class of open economy models pioneered by Obstfeld and Rogoff, the data provides limited empirical support for the predictions of this model.     

THE EXPECTED SHORTFALL OF QUADRATIC PORTFOLIOS WITH HEAVY‐TAILED RISK FACTORS

Computable expressions are derived for the Expected Shortfall of portfolios whose value is a quadratic function of a number of risk factors, as arise from a Delta–Gamma–Theta approximation. The risk factors are assumed to follow an elliptical multivariate t distribution, reflecting the heavy‐tailed nature of asset returns. Both an exact expression and a uniform asymptotic expansion are presented. The former involves only a single rapidly convergent integral. The latter is essentially explicit, and numerical experiments suggest that its error is negligible compared to that incurred by the Delta–Gamma–Theta approximation.