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1.
J Environ Manage ; 357: 120699, 2024 Apr.
Artigo em Inglês | MEDLINE | ID: mdl-38552516

RESUMO

The US National Park System encompasses diverse environmental and tourism management regimes, together governed by the 1916 Organic Act and its dual mandate of conservation and provision of public enjoyment. However, with the introduction of transformative science policy in the 2000's, the mission scope has since expanded to promote overarching science-based objectives. Yet despite this paradigm shift instituting "science for parks, parks for science", there is scant research exploring the impact of the National Park Science Policy on the provision of knowledge. We address this gap by developing a spatiotemporal framework for evaluating research alignment, here operationalized via quantifiable measures of supply and demand for scientific knowledge. Specifically, we apply a machine learning algorithm (Latent Dirichlet analysis) to a comprehensive park-specific text corpus (combining official needs statements -i.e. demand- and scientific research metadata -i.e. supply-) to define a joint topic space, which thereby facilitates quantifying the direction and degree of alignment at multiple levels. Results indicate an overall robust degree of research alignment, with misaligned topics tending to be over-researched (as opposed to over-demanded), which may be favorable to many parks, but is inefficient from the park system perspective. Results further indicate that the transformative science policy exacerbated the misalignment in mandated research domains. In light of these results, we argue for improved decision support mechanisms to achieve more timely alignment of research efforts towards distinctive park needs, thereby fostering convergent knowledge co-production and leveraging the full value of National Parks as living laboratories.


Assuntos
Conservação dos Recursos Naturais , Parques Recreativos , Conservação dos Recursos Naturais/métodos , Políticas
2.
Front Res Metr Anal ; 4: 6, 2019.
Artigo em Inglês | MEDLINE | ID: mdl-33870038

RESUMO

The ability to objectively assess academic performance is critical to rewarding academic merit, charting academic policy, and promoting science. Quintessential to performing these functions is first the ability to collect valid and current data through increasingly automated online interfaces. Moreover, it is crucial to remove disciplinary and other biases from these data, presenting them in ways that support insightful analysis at various levels. Existing systems are lacking in some of these respects. Here we present Scholar Plot (SP), an interface that harvests bibliographic and research funding data from online sources. SP addresses systematic biases in the collected data through nominal and normalized metrics. Eventually, SP combines synergistically these metrics in a plot form for expert appraisal, and an iconic form for broader consumption. SP's plot and iconic forms are scalable, representing equally well individual scholars and their academic units, thus contributing to consistent ranking practices across the university organizational structure. In order to appreciate the design principles underlying SP, in particular the informativeness of nominal vs. normalized metrics, we also present the results of an evaluation survey taken by senior faculty (n = 28) with significant promotion and tenure assessment experience.

3.
J R Soc Interface ; 15(146)2018 09 26.
Artigo em Inglês | MEDLINE | ID: mdl-30257927

RESUMO

International mobility facilitates the exchange of scientific, institutional and cultural knowledge. Yet whether globalization and advances in virtual communication technologies have altered the impact of researcher mobility is a relevant and open question that we address by analysing a broad international set of 26 170 physicists from 1980 to 2009, focusing on the 10-year period centred around each mobility event to assess the impact of mobility on research outcomes. We account for secular globalization trends by splitting the analysis into three periods, measuring for each period the effect of mobility on researchers' citation impact, research topic diversity, collaboration networks and geographical coordination. In order to identify causal effects we leverage statistical matching methods that pair mobile researchers with non-mobile researchers that are similar in research profile attributes prior the mobility event. We find that mobile researchers gain up to a 17% increase in citations relative to their non-mobile counterparts, which can be explained by the simultaneous increase in their diversity of co-authors, topics and geographical coordination in the period immediately following migration. Nevertheless, we also observe that researcher's completely curtail prior collaborations with their source country in 11% of the cross-border mobility events. As such, these individual-level perturbations fuel multiscale churning in scientific networks, e.g. rewiring the connectivity of individuals and ideas and affecting international integration. Together these results provide additional clarity on the complex relationship between human capital mobility and the dynamics of social capital investment, with implications for immigration and national innovation system policy.


Assuntos
Migração Humana , Conhecimento , Física/organização & administração , Física/tendências , Pesquisadores , Algoritmos , Geografia , Humanos , Internacionalidade , Prêmio Nobel , Pesquisa , Viagem
4.
Sci Adv ; 4(8): eaat4211, 2018 08.
Artigo em Inglês | MEDLINE | ID: mdl-30116784

RESUMO

Born out of the Human Genome Project (HGP), the field of genomics evolved with phenomenal speed into a dominant scientific and business force. While other efforts were intent on estimating the economic impact of the genomics revolution, we shift focus to the social and cultural capital generated by bridging together biology and computing-two of the constitutive disciplines of "genomics". We quantify this capital by measuring the pervasiveness of bio-computing cross-disciplinarity (XD) in genomics research during and after the HGP. To provide interlocking perspectives at the career and epistemic levels, we assembled three data sets to measure XD via (i) the collaboration network between 4190 biology and computing faculty from 155 departments in the United States, (ii) cross-departmental affiliations within a comprehensive set of human genomics publications, and (iii) the application of computational concepts and methods in research published in a preeminent genomics journal. Our results show the following: First, research featuring XD collaborations has higher citation impact than other disciplinary research-an effect observed at both the career and individual article levels. Second, genomics articles featuring XD methods tend to have higher citation impact than epistemically pure articles. Third, XD researchers of computing pedigree are drawn to the biology culture. This statistical evidence acquires deeper meaning when viewed against the organizational and knowledge transfer mechanisms revealed by the data models. With cross-disciplinary initiatives set to dominate the agenda of funding agencies, our case study provides a framework for appreciating the long-term effects of these initiatives on science and its standard-bearers.


Assuntos
Disciplinas das Ciências Biológicas/tendências , Pesquisa Biomédica/tendências , Comportamento Cooperativo , Genômica/tendências , Comunicação Interdisciplinar , Editoração/estatística & dados numéricos , Biologia de Sistemas/tendências , Comportamento de Escolha , Biologia Computacional/métodos , Biologia Computacional/tendências , Eficiência Organizacional , Evolução Molecular , Genoma Humano , Humanos
5.
Science ; 359(6379)2018 03 02.
Artigo em Inglês | MEDLINE | ID: mdl-29496846

RESUMO

Identifying fundamental drivers of science and developing predictive models to capture its evolution are instrumental for the design of policies that can improve the scientific enterprise-for example, through enhanced career paths for scientists, better performance evaluation for organizations hosting research, discovery of novel effective funding vehicles, and even identification of promising regions along the scientific frontier. The science of science uses large-scale data on the production of science to search for universal and domain-specific patterns. Here, we review recent developments in this transdisciplinary field.

6.
Sci Adv ; 3(4): e1602232, 2017 Apr.
Artigo em Inglês | MEDLINE | ID: mdl-28439544

RESUMO

The 2004/2007 European Union (EU) enlargement by 12 member states offers a unique opportunity to quantify the impact of EU efforts to expand and integrate the scientific competitiveness of the European Research Area (ERA). We apply two causal estimation schemes to cross-border collaboration data extracted from millions of academic publications from 1996 to 2012, which are disaggregated across 14 subject areas and 32 European countries. Our results illustrate the unintended consequences following the 2004/2007 enlargement, namely, its negative impact on cross-border collaboration in science. First, we use the synthetic control method to show that levels of European cross-border collaboration would have been higher without EU enlargement, despite the 2004/2007 EU entrants gaining access to EU resources incentivizing cross-border integration. Second, we implement a difference-in-difference panel regression, incorporating official intra-European high-skilled mobility statistics, to identify migration imbalance-principally from entrant to incumbent EU member states-as a major factor underlying the divergence in cross-border integration between Western and Eastern Europe. These results challenge central tenets underlying ERA integration policies that unifying labor markets will increase the international competitiveness of the ERA, thereby calling attention to the need for effective home-return incentives and policies.


Assuntos
União Europeia , Pesquisa , Mobilidade Social , Humanos
7.
J R Soc Interface ; 14(128)2017 03.
Artigo em Inglês | MEDLINE | ID: mdl-28298610

RESUMO

The extent to which international high-skilled mobility channels are forming is a question of great importance in an increasingly global knowledge-based economy. One factor facilitating the growth of high-skilled labour markets is the standardization of certifiable degrees meriting international recognition. Within this context, we analysed an extensive high-skilled mobility database comprising roughly 382 000 individuals from five broad profession groups (Medical, Education, Technical, Science & Engineering and Business & Legal) over the period 1997-2014, using the 13-country expansion of the European Union (EU) to provide insight into labour market integration. We compare the periods before and after the 2004 enlargement, showing the emergence of a new east-west migration channel between the 13 mostly eastern EU entrants (E) and the rest of the western European countries (W). Indeed, we observe a net directional loss of human capital from E → W, representing 29% of the total mobility after 2004. Nevertheless, the counter-migration from W → E is 7% of the total mobility over the same period, signalling the emergence of brain circulation within the EU. Our analysis of the country-country mobility networks and the country-profession bipartite networks provides timely quantitative evidence for the convergent integration of the EU, and highlights the central role of the UK and Germany as high-skilled labour hubs. We conclude with two data-driven models to explore the structural dynamics of the mobility networks. First, we develop a reconfiguration model to explore the potential ramifications of Brexit and the degree to which redirection of high-skilled labourers away from the UK may impact the integration of the rest of the European mobility network. Second, we use a panel regression model to explain empirical high-skilled mobility rates in terms of various economic 'push-pull' factors, the results of which show that government expenditure on education, per capita wealth, geographical proximity and labour force size are significant attractive features of destination countries.


Assuntos
Mobilidade Ocupacional , Bases de Dados Factuais , União Europeia/economia , Migração Humana , Modelos Econômicos , União Europeia/história , Feminino , História do Século XXI , Humanos , Masculino
8.
Soc Sci Inf (Paris) ; 56(1): 4-27, 2017 Mar.
Artigo em Inglês | MEDLINE | ID: mdl-28232771

RESUMO

Following a suggestion from Warren Weaver, we extend the Shannon model of communication piecemeal into a complex systems model in which communication is differentiated both vertically and horizontally. This model enables us to bridge the divide between Niklas Luhmann's theory of the self-organization of meaning in communications and empirical research using information theory. First, we distinguish between communication relations and correlations among patterns of relations. The correlations span a vector space in which relations are positioned and can be provided with meaning. Second, positions provide reflexive perspectives. Whereas the different meanings are integrated locally, each instantiation opens global perspectives - 'horizons of meaning' - along eigenvectors of the communication matrix. These next-order codifications of meaning can be expected to generate redundancies when interacting in instantiations. Increases in redundancy indicate new options and can be measured as local reduction of prevailing uncertainty (in bits). The systemic generation of new options can be considered as a hallmark of the knowledge-based economy.


Suivant une suggestion de Warren Weaver, nous étendons le modèle de communication au coup par coup de Shannon à un modèle de systèmes complexes où la communication est différenciée à la fois verticalement et horizontalement. Ce modèle nous permet de combler le fossé entre la théorie de l'auto-organisation du sens dans les communications de Luhmann et la recherche empirique qui utilise la théorie de l'information. Tout d'abord, nous établissons une distinction entre relations de communication et corrélations entre distributions de relations. Les corrélations couvrent un espace vectoriel où les relations sont positionnées et où l'on peut leur attribuer un sens. Deuxièmement, les positions offrent des perspectives réflexives. Alors que les différents sens sont intégrés localement, chaque instanciation ouvre des perspectives globales ­ des horizons de sens ­ le long des vecteurs propres de la matrice de communication. On peut s'attendre à ce que ces codifications de sens voisines puissent générer des redondances mutuelles lorsqu'elles interagissent en instanciations. L'augmentation des redondances indique de nouvelles options et peut être mesurée comme une réduction locale de la prévalence de l'incertitude (en bits). La génération systémique de nouvelles options peut être considérée comme la marque de fabrique de l'économie de la connaissance.

9.
Sci Eng Ethics ; 20(4): 923-45, 2014 Dec.
Artigo em Inglês | MEDLINE | ID: mdl-24919946

RESUMO

The gradual crowding out of singleton and small team science by large team endeavors is challenging key features of research culture. It is therefore important for the future of scientific practice to reflect upon the individual scientist's ethical responsibilities within teams. To facilitate this reflection we show labor force trends in the US revealing a skewed growth in academic ranks and increased levels of competition for promotion within the system; we analyze teaming trends across disciplines and national borders demonstrating why it is becoming difficult to distribute credit and to avoid conflicts of interest; and we use more than a century of Nobel prize data to show how science is outgrowing its old institutions of singleton awards. Of particular concern within the large team environment is the weakening of the mentor-mentee relation, which undermines the cultivation of virtue ethics across scientific generations. These trends and emerging organizational complexities call for a universal set of behavioral norms that transcend team heterogeneity and hierarchy. To this end, our expository analysis provides a survey of ethical issues in team settings to inform science ethics education and science policy.


Assuntos
Comportamento Cooperativo , Princípios Morais , Organizações , Pesquisadores/ética , Ciência/ética , Conflito de Interesses , Emprego/tendências , Ética em Pesquisa , Necessidades e Demandas de Serviços de Saúde , Humanos , Cooperação Internacional , Mentores , Cultura Organizacional , Ciência/métodos , Estados Unidos , Virtudes
10.
Sci Rep ; 3: 3052, 2013 Oct 29.
Artigo em Inglês | MEDLINE | ID: mdl-24165898

RESUMO

Correctly assessing a scientist's past research impact and potential for future impact is key in recruitment decisions and other evaluation processes. While a candidate's future impact is the main concern for these decisions, most measures only quantify the impact of previous work. Recently, it has been argued that linear regression models are capable of predicting a scientist's future impact. By applying that future impact model to 762 careers drawn from three disciplines: physics, biology, and mathematics, we identify a number of subtle, but critical, flaws in current models. Specifically, cumulative non-decreasing measures like the h-index contain intrinsic autocorrelation, resulting in significant overestimation of their "predictive power". Moreover, the predictive power of these models depend heavily upon scientists' career age, producing least accurate estimates for young researchers. Our results place in doubt the suitability of such models, and indicate further investigation is required before they can be used in recruiting decisions.

11.
Sci Rep ; 2: 943, 2012.
Artigo em Inglês | MEDLINE | ID: mdl-23230508

RESUMO

We analyze the occurrence frequencies of over 15 million words recorded in millions of books published during the past two centuries in seven different languages. For all languages and chronological subsets of the data we confirm that two scaling regimes characterize the word frequency distributions, with only the more common words obeying the classic Zipf law. Using corpora of unprecedented size, we test the allometric scaling relation between the corpus size and the vocabulary size of growing languages to demonstrate a decreasing marginal need for new words, a feature that is likely related to the underlying correlations between words. We calculate the annual growth fluctuations of word use which has a decreasing trend as the corpus size increases, indicating a slowdown in linguistic evolution following language expansion. This "cooling pattern" forms the basis of a third statistical regularity, which unlike the Zipf and the Heaps law, is dynamical in nature.

12.
Proc Natl Acad Sci U S A ; 109(14): 5213-8, 2012 Apr 03.
Artigo em Inglês | MEDLINE | ID: mdl-22431620

RESUMO

Understanding how institutional changes within academia may affect the overall potential of science requires a better quantitative representation of how careers evolve over time. Because knowledge spillovers, cumulative advantage, competition, and collaboration are distinctive features of the academic profession, both the employment relationship and the procedures for assigning recognition and allocating funding should be designed to account for these factors. We study the annual production n(i)(t) of a given scientist i by analyzing longitudinal career data for 200 leading scientists and 100 assistant professors from the physics community. Our empirical analysis of individual productivity dynamics shows that (i) there are increasing returns for the top individuals within the competitive cohort, and that (ii) the distribution of production growth is a leptokurtic "tent-shaped" distribution that is remarkably symmetric. Our methodology is general, and we speculate that similar features appear in other disciplines where academic publication is essential and collaboration is a key feature. We introduce a model of proportional growth which reproduces these two observations, and additionally accounts for the significantly right-skewed distributions of career longevity and achievement in science. Using this theoretical model, we show that short-term contracts can amplify the effects of competition and uncertainty making careers more vulnerable to early termination, not necessarily due to lack of individual talent and persistence, but because of random negative production shocks. We show that fluctuations in scientific production are quantitatively related to a scientist's collaboration radius and team efficiency.

13.
Sci Rep ; 2: 313, 2012.
Artigo em Inglês | MEDLINE | ID: mdl-22423321

RESUMO

We analyze the dynamic properties of 10(7) words recorded in English, Spanish and Hebrew over the period 1800-2008 in order to gain insight into the coevolution of language and culture. We report language independent patterns useful as benchmarks for theoretical models of language evolution. A significantly decreasing (increasing) trend in the birth (death) rate of words indicates a recent shift in the selection laws governing word use. For new words, we observe a peak in the growth-rate fluctuations around 40 years after introduction, consistent with the typical entry time into standard dictionaries and the human generational timescale. Pronounced changes in the dynamics of language during periods of war shows that word correlations, occurring across time and between words, are largely influenced by coevolutionary social, technological, and political factors. We quantify cultural memory by analyzing the long-term correlations in the use of individual words using detrended fluctuation analysis.

14.
Proc Natl Acad Sci U S A ; 108(1): 18-23, 2011 Jan 04.
Artigo em Inglês | MEDLINE | ID: mdl-21173276

RESUMO

The Matthew effect refers to the adage written some two-thousand years ago in the Gospel of St. Matthew: "For to all those who have, more will be given." Even two millennia later, this idiom is used by sociologists to qualitatively describe the dynamics of individual progress and the interplay between status and reward. Quantitative studies of professional careers are traditionally limited by the difficulty in measuring progress and the lack of data on individual careers. However, in some professions, there are well-defined metrics that quantify career longevity, success, and prowess, which together contribute to the overall success rating for an individual employee. Here we demonstrate testable evidence of the age-old Matthew "rich get richer" effect, wherein the longevity and past success of an individual lead to a cumulative advantage in further developing his or her career. We develop an exactly solvable stochastic career progress model that quantitatively incorporates the Matthew effect and validate our model predictions for several competitive professions. We test our model on the careers of 400,000 scientists using data from six high-impact journals and further confirm our findings by testing the model on the careers of more than 20,000 athletes in four sports leagues. Our model highlights the importance of early career development, showing that many careers are stunted by the relative disadvantage associated with inexperience.


Assuntos
Mobilidade Ocupacional , Modelos Estatísticos , Classe Social , Atletas , Humanos , Pesquisadores , Sociologia , Processos Estocásticos , Fatores de Tempo
15.
Sci Rep ; 1: 181, 2011.
Artigo em Inglês | MEDLINE | ID: mdl-22355696

RESUMO

Recent science of science research shows that scientific impact measures for journals and individual articles have quantifiable regularities across both time and discipline. However, little is known about the scientific impact distribution at the scale of an individual scientist. We analyze the aggregate production and impact using the rank-citation profile c(i)(r) of 200 distinguished professors and 100 assistant professors. For the entire range of paper rank r, we fit each c(i)(r) to a common distribution function. Since two scientists with equivalent Hirsch h-index can have significantly different c(i)(r) profiles, our results demonstrate the utility of the ß(i) scaling parameter in conjunction with h(i) for quantifying individual publication impact. We show that the total number of citations C(i) tallied from a scientist's N(i) papers scales as [Formula: see text]. Such statistical regularities in the input-output patterns of scientists can be used as benchmarks for theoretical models of career progress.


Assuntos
Fator de Impacto de Revistas , Pesquisa/tendências , Estatística como Assunto , Bases de Dados Factuais , Humanos , Modelos Estatísticos , Modelos Teóricos , Editoração , Ciência
16.
Proc Natl Acad Sci U S A ; 107(43): 18325-30, 2010 Oct 26.
Artigo em Inglês | MEDLINE | ID: mdl-20937903

RESUMO

We analyze the size dependence and temporal stability of firm bankruptcy risk in the US economy by applying Zipf scaling techniques. We focus on a single risk factor--the debt-to-asset ratio R--in order to study the stability of the Zipf distribution of R over time. We find that the Zipf exponent increases during market crashes, implying that firms go bankrupt with larger values of R. Based on the Zipf analysis, we employ Bayes's theorem and relate the conditional probability that a bankrupt firm has a ratio R with the conditional probability of bankruptcy for a firm with a given R value. For 2,737 bankrupt firms, we demonstrate size dependence in assets change during the bankruptcy proceedings. Prepetition firm assets and petition firm assets follow Zipf distributions but with different exponents, meaning that firms with smaller assets adjust their assets more than firms with larger assets during the bankruptcy process. We compare bankrupt firms with nonbankrupt firms by analyzing the assets and liabilities of two large subsets of the US economy: 2,545 Nasdaq members and 1,680 New York Stock Exchange (NYSE) members. We find that both assets and liabilities follow a Pareto distribution. The finding is not a trivial consequence of the Zipf scaling relationship of firm size quantified by employees--although the market capitalization of Nasdaq stocks follows a Pareto distribution, the same distribution does not describe NYSE stocks. We propose a coupled Simon model that simultaneously evolves both assets and debt with the possibility of bankruptcy, and we also consider the possibility of firm mergers.

17.
Phys Rev E Stat Nonlin Soft Matter Phys ; 81(6 Pt 2): 066121, 2010 Jun.
Artigo em Inglês | MEDLINE | ID: mdl-20866492

RESUMO

We study the behavior of U.S. markets both before and after U.S. Federal Open Market Commission meetings and show that the announcement of a U.S. Federal Reserve rate change causes a financial shock, where the dynamics after the announcement is described by an analog of the Omori earthquake law. We quantify the rate n(t) of aftershocks following an interest-rate change at time T and find power-law decay which scales as n(t-T)∼(t-T)(-Ω) , with Ω positive. Surprisingly, we find that the same law describes the rate n'(|t-T|) of "preshocks" before the interest-rate change at time T . This study quantitatively relates the size of the market response to the news which caused the shock and uncovers the presence of quantifiable preshocks. We demonstrate that the news associated with interest-rate change is responsible for causing both the anticipation before the announcement and the surprise after the announcement. We estimate the magnitude of financial news using the relative difference between the U.S. Treasury Bill and the Federal Funds effective rate. Our results are consistent with the "sign effect," in which "bad news" has a larger impact than "good news." Furthermore, we observe significant volatility aftershocks, confirming a "market under-reaction" that lasts at least one trading day.

18.
Phys Rev E Stat Nonlin Soft Matter Phys ; 81(3 Pt 2): 036114, 2010 Mar.
Artigo em Inglês | MEDLINE | ID: mdl-20365822

RESUMO

Publication statistics are ubiquitous in the ratings of scientific achievement, with citation counts and paper tallies factoring into an individual's consideration for postdoctoral positions, junior faculty, and tenure. Citation statistics are designed to quantify individual career achievement, both at the level of a single publication, and over an individual's entire career. While some academic careers are defined by a few significant papers (possibly out of many), other academic careers are defined by the cumulative contribution made by the author's publications to the body of science. Several metrics have been formulated to quantify an individual's publication career, yet none of these metrics account for the collaboration group size, and the time dependence of citation counts. In this paper we normalize publication metrics in order to achieve a universal framework for analyzing and comparing scientific achievement across both time and discipline. We study the publication careers of individual authors over the 50-year period 1958-2008 within six high-impact journals: CELL, the New England Journal of Medicine (NEJM), Nature, the Proceedings of the National Academy of Science (PNAS), Physical Review Letters (PRL), and Science. Using the normalized metrics (i) "citation shares" to quantify scientific success, and (ii) "paper shares" to quantify scientific productivity, we compare the career achievement of individual authors within each journal, where each journal represents a local arena for competition. We uncover quantifiable statistical regularity in the probability density function of scientific achievement in all journals analyzed, which suggests that a fundamental driving force underlying scientific achievement is the competitive nature of scientific advancement.


Assuntos
Bibliometria , Modelos Estatísticos , Publicações Periódicas como Assunto , Editoração/estatística & dados numéricos , Ciência , Logro , Algoritmos , Autoria , Comportamento Competitivo , Bases de Dados Factuais , Humanos , Fator de Impacto de Revistas , Probabilidade , Fatores de Tempo
19.
Phys Rev E Stat Nonlin Soft Matter Phys ; 82(3 Pt 2): 036114, 2010 Sep.
Artigo em Inglês | MEDLINE | ID: mdl-21230146

RESUMO

We study the cascading dynamics immediately before and immediately after 219 market shocks. We define the time of a market shock T{c} to be the time for which the market volatility V(T{c}) has a peak that exceeds a predetermined threshold. The cascade of high volatility "aftershocks" triggered by the "main shock" is quantitatively similar to earthquakes and solar flares, which have been described by three empirical laws-the Omori law, the productivity law, and the Bath law. We analyze the most traded 531 stocks in U.S. markets during the 2 yr period of 2001-2002 at the 1 min time resolution. We find quantitative relations between the main shock magnitude M≡log{10} V(T{c}) and the parameters quantifying the decay of volatility aftershocks as well as the volatility preshocks. We also find that stocks with larger trading activity react more strongly and more quickly to market shocks than stocks with smaller trading activity. Our findings characterize the typical volatility response conditional on M , both at the market and the individual stock scale. We argue that there is potential utility in these three statistical quantitative relations with applications in option pricing and volatility trading.

20.
Proc Natl Acad Sci U S A ; 106(52): 22079-84, 2009 Dec 29.
Artigo em Inglês | MEDLINE | ID: mdl-20018772

RESUMO

In finance, one usually deals not with prices but with growth rates R, defined as the difference in logarithm between two consecutive prices. Here we consider not the trading volume, but rather the volume growth rate R, the difference in logarithm between two consecutive values of trading volume. To this end, we use several methods to analyze the properties of volume changes |R|, and their relationship to price changes |R|. We analyze 14,981 daily recordings of the Standard and Poor's (S & P) 500 Index over the 59-year period 1950-2009, and find power-law cross-correlations between |R| and |R| by using detrended cross-correlation analysis (DCCA). We introduce a joint stochastic process that models these cross-correlations. Motivated by the relationship between |R| and |R|, we estimate the tail exponent alpha of the probability density function P(|R|) approximately |R|(-1-alpha) for both the S & P 500 Index as well as the collection of 1819 constituents of the New York Stock Exchange Composite Index on 17 July 2009. As a new method to estimate alpha, we calculate the time intervals tau(q) between events where R > q. We demonstrate that tau(q), the average of tau(q), obeys tau(q) approximately q(alpha). We find alpha approximately 3. Furthermore, by aggregating all tau(q) values of 28 global financial indices, we also observe an approximate inverse cubic law.

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