A brief history of long memory: Hurst, Mandelbrot and the road to ARFIMA [PDF]
, 2016 Long memory plays an important role in many fields by determining the behaviour and predictability of systems; for instance, climate, hydrology, finance, networks and DNA sequencing.
Franzke, Christian +3 more
core +2 more sources
Market Efficiency, Roughness and Long Memory in PSI20 Index Returns: Wavelet and Entropy Analysis
Entropy, 2014 In this study, features of the financial returns of the PSI20index, related to market efficiency, are captured using wavelet- and entropy-based techniques. This characterization includes the following points.
Rui Pascoal, Ana Margarida Monteiro
doaj +1 more source
Statistical Arbitrage in Emerging Markets: A Global Test of Efficiency
Mathematics, 2021 In this paper, we use a statistical arbitrage method in different developed and emerging countries to show that the profitability of the strategy is based on the degree of market efficiency.
Karen Balladares +3 more
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Generalized Memory: Fractional Calculus Approach
Fractal and Fractional, 2018 The memory means an existence of output (response, endogenous variable) at the present time that depends on the history of the change of the input (impact, exogenous variable) on a finite (or infinite) time interval.
Vasily E. Tarasov
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Long-Lasting Economic Effects of Pandemics:Evidence on Growth and Unemployment
Econometrics, 2020 This paper studies long economic series to assess the long-lasting effects of pandemics. We analyze if periods that cover pandemics have a change in trend and persistence in growth, and in level and persistence in unemployment.
C. Vladimir Rodríguez-Caballero +1 more
doaj +1 more source
Long Time No See! Open-Domain Conversation with Long-Term Persona Memory [PDF]
Findings, 2022 Most of the open-domain dialogue models tend to perform poorly in the setting of long-term human-bot conversations. The possible reason is that they lack the capability of understanding and memorizing long-term dialogue history information.
Xinchao Xu +6 more
semanticscholar +1 more source
Structural MRI Correlates of Episodic Memory Processes in Parkinson's Disease Without Mild Cognitive Impairment. [PDF]
, 2015 BackgroundChanges in episodic memory are common early in Parkinson's disease (PD) and may be a risk factor for future cognitive decline. Although medial temporal lobe (MTL) memory and frontostriatal (FS) executive systems are thought to play different ...
Filoteo, J Vincent +3 more
core +2 more sources
A Time Series is Worth 64 Words: Long-term Forecasting with Transformers [PDF]
International Conference on Learning Representations, 2022 We propose an efficient design of Transformer-based models for multivariate time series forecasting and self-supervised representation learning. It is based on two key components: (i) segmentation of time series into subseries-level patches which are ...
Yuqi Nie +3 more
semanticscholar +1 more source
Investigation of Fractal Market Hypothesis in Emerging Markets: Evidence from the MINT Stock Markets
Organizations and Markets in Emerging Economies, 2022 This study aims to investigate the market efficiency of emerging stock markets, namely the Mexico, Indonesia, Nigeria, and Turkey (MINT) stock markets based on the Fractal Market Hypothesis.
Yunus Karaömer
doaj +1 more source