Bio: Shixuan Wang is an academic researcher from University of Reading. The author has contributed to research in topics: Futures contract & Stock market. The author has an hindex of 9, co-authored 37 publications receiving 396 citations. Previous affiliations of Shixuan Wang include Cardiff University & University of Birmingham.
TL;DR: In this paper, the authors apply different techniques and uncover the quantile conditional dependence between the global financial stress index and Bitcoin returns from July 18, 2010, to December 29, 2017.
Abstract: We apply different techniques and uncover the quantile conditional dependence between the global financial stress index and Bitcoin returns from July 18, 2010, to December 29, 2017. The results from the copula-based dependence show evidence of right-tail dependence between the global financial stress index and Bitcoin returns. We focus on the conditional quantile dependence and indicate that the global financial stress index strongly Granger-causes Bitcoin returns at the left and right tail of the distribution of the Bitcoin returns, conditional on the global financial stress index. Finally, we use a bivariate cross-quantilogram approach and show only limited directional predictability from the global financial stress index to Bitcoin returns in the medium term, for which Bitcoin can act as a safe-haven against global financial stress.
TL;DR: In this article, the authors investigated the relationship between white precious metals and gold, oil and global equity by means of spillovers and volatility transmission, and provided insights into the characteristics of white precious metal markets using a hidden semi-Markov model.
Abstract: This paper investigates the relationship between white precious metals and gold, oil and global equity by means of spillovers and volatility transmission. Relying on the recently introduced ETFs, this study is the first to analyse return spillovers derived from an E-GARCH model and to take into account frequency dynamics to understand changes in connectedness across periods of time. Results uncover numerous channels of return transmission across the selected ETF markets over the last 10years and highlight the role of gold ETFs as the most influential market in the sample. Furthermore, our work provides insights into the characteristics of white precious metal markets using a hidden semi-Markov model. Finally, we argue that even though silver and platinum have gained more importance as investment assets over the last few years, palladium still very much remains an industrial metal.
TL;DR: This work systematically review the literature in the field of closed-loop supply chain dynamics, which explores the time-varying interactions of material and information flows in the different elements of remanufacturing supply chains, and supplements this with further reviews of what it is called the three ‘pillars’ of such systems.
Abstract: Recent years have witnessed companies abandon traditional open-loop supply chain structures in favour of closed-loop variants, in a bid to mitigate environmental impacts and exploit economic opportunities. Central to the closed-loop paradigm is remanufacturing: the restoration of used products to useful life. While this operational model has huge potential to extend product life-cycles, the collection and recovery processes diminish the effectiveness of existing control mechanisms for open-loop systems. We systematically review the literature in the field of closed-loop supply chain dynamics, which explores the time-varying interactions of material and information flows in the different elements of remanufacturing supply chains. We supplement this with further reviews of what we call the three ‘pillars’ of such systems, i.e. forecasting, collection, and inventory and production control. This provides us with an interdisciplinary lens to investigate how a ‘boomerang’ effect (i.e. sale, consumption, and return processes) impacts on the behaviour of the closed-loop system and to understand how it can be controlled. To facilitate this, we contrast closed-loop supply chain dynamics research to the well-developed research in each pillar; explore how different disciplines have accommodated the supply, process, demand, and control uncertainties; and provide insights for future research on the dynamics of remanufacturing systems.
TL;DR: In this article, the authors consider the asymptotic properties when N→∞ while keeping T fixed and propose a general approach for testing for break(s) in this setup.
Abstract: The detection of (structural) breaks or the so called change point problem has drawn increasing attention from the theoretical, applied economic and financial fields. Much of the existing research concentrates on the detection of change points and asymptotic properties of their estimators in panels when N, the number of panels, as well as T, the number of observations in each panel are large. In this paper we pursue a different approach, i.e., we consider the asymptotic properties when N→∞ while keeping T fixed. This situation is typically related to large (firm-level) data containing financial information about an immense number of firms/stocks across a limited number of years/quarters/months. We propose a general approach for testing for break(s) in this setup. In particular, we obtain the asymptotic behavior of test statistics. We also propose a wild bootstrap procedure that could be used to generate the critical values of the test statistics. The theoretical approach is supplemented by numerous simulations and by an empirical illustration. We demonstrate that the testing procedure works well in the framework of the four factors CAPM model. In particular, we estimate the breaks in the monthly returns of US mutual funds during the period January 2006 to February 2010 which covers the subprime crises.
TL;DR: A new approach called Cox proportional hazard deep learning (CoxPHDL) is proposed to tackle the issues of data sparsity and data censoring that are common in the analysis of operational maintenance data and offers an integrated solution by taking advantage of deep learning and reliability analysis.
Abstract: Predictive maintenance (PdM) has become prevalent in the industry in order to reduce maintenance cost and to achieve sustainable operational management. The core of PdM is to predict the next failure so corresponding maintenance can be scheduled before it happens. The purpose of this study is to establish a Time-Between-Failure (TBF) prediction model through a data-driven approach. For PdM, data sparsity is regarded as a critical issue which can jeopardize algorithm performance for the modelling based on maintenance data. Meanwhile, data censoring has imposed another challenge for handling maintenance data because the censored data is only partially labelled. Furthermore, data sparsity may affect algorithm performance of existing approaches when addressing the data censoring issue. In this study, a new approach called Cox proportional hazard deep learning (CoxPHDL) is proposed to tackle the aforementioned issues of data sparsity and data censoring that are common in the analysis of operational maintenance data. The idea is to offer an integrated solution by taking advantage of deep learning and reliability analysis. To start with, an autoencoder is adopted to convert the nominal data into a robust representation. Secondly, a Cox proportional hazard model (Cox PHM) is researched to estimate the TBF of the censored data. A long-short-term memory (LSTM) network is then established to train the TBF prediction model based on the pre-processed maintenance data. Experimental studies using a sizable real-world fleet maintenance data set provided by a UK fleet company have demonstrated the merits of the proposed approach where the algorithm performance based on the proposed LSTM network has been improved respectively in terms of MCC and RMSE.
01 Jan 2011
TL;DR: Weakconvergence methods in metric spaces were studied in this article, with applications sufficient to show their power and utility, and the results of the first three chapters are used in Chapter 4 to derive a variety of limit theorems for dependent sequences of random variables.
Abstract: The author's preface gives an outline: "This book is about weakconvergence methods in metric spaces, with applications sufficient to show their power and utility. The Introduction motivates the definitions and indicates how the theory will yield solutions to problems arising outside it. Chapter 1 sets out the basic general theorems, which are then specialized in Chapter 2 to the space C[0, l ] of continuous functions on the unit interval and in Chapter 3 to the space D [0, 1 ] of functions with discontinuities of the first kind. The results of the first three chapters are used in Chapter 4 to derive a variety of limit theorems for dependent sequences of random variables. " The book develops and expands on Donsker's 1951 and 1952 papers on the invariance principle and empirical distributions. The basic random variables remain real-valued although, of course, measures on C[0, l ] and D[0, l ] are vitally used. Within this framework, there are various possibilities for a different and apparently better treatment of the material. More of the general theory of weak convergence of probabilities on separable metric spaces would be useful. Metrizability of the convergence is not brought up until late in the Appendix. The close relation of the Prokhorov metric and a metric for convergence in probability is (hence) not mentioned (see V. Strassen, Ann. Math. Statist. 36 (1965), 423-439; the reviewer, ibid. 39 (1968), 1563-1572). This relation would illuminate and organize such results as Theorems 4.1, 4.2 and 4.4 which give isolated, ad hoc connections between weak convergence of measures and nearness in probability. In the middle of p. 16, it should be noted that C*(S) consists of signed measures which need only be finitely additive if 5 is not compact. On p. 239, where the author twice speaks of separable subsets having nonmeasurable cardinal, he means "discrete" rather than "separable." Theorem 1.4 is Ulam's theorem that a Borel probability on a complete separable metric space is tight. Theorem 1 of Appendix 3 weakens completeness to topological completeness. After mentioning that probabilities on the rationals are tight, the author says it is an
TL;DR: In this article, a computer program for modelling financial time series is presented, based on the Random Walk Hypothesis, which is used to forecast trends in prices in futures markets.
Abstract: Features of Financial Returns Modelling Price Volatility Forecasting Standard Deviations The Accuracy of Autocorrelation Estimates Testing the Random Walk Hypothesis Forecasting Trends in Prices Evidence Against the Efficiency of Futures Markets Valuing Options Appendix: A Computer Program for Modelling Financial Time Series.
01 Jan 2016
TL;DR: In this article, the authors analyse the relationship between three popular cryptocurrencies and a variety of other financial assets and find evidence of the relative isolation of these assets from the financial and economic assets.
Abstract: We analyse, in the time and frequency domains, the relationships between three popular cryptocurrencies and a variety of other financial assets. We find evidence of the relative isolation of these assets from the financial and economic assets. Our results show that cryptocurrencies may offer diversification benefits for investors with short investment horizons. Time variation in the linkages reflects external economic and financial shocks.