This paper forecasts the future spread of COVID-19 by exploiting the identified lead-lag effects between different countries. Specifically, we first determine the past relation among nations with the aid of dynamic time warping. This procedure allows an elastic adjustment of the time axis to find similar but phase-shifted sequences. Afterwards, the established framework utilizes information about the leading country to predict the Coronavirus spread of the following nation. The presented methodology is applied to confirmed Coronavirus cases from 1 January 2020 to 28 March 2020. Our results show that China leads all other countries in the range of 29 days for South Korea and 44 days for the United States. Finally, we predict a future collapse of the healthcare systems of the United Kingdom and Switzerland in case of our explosion scenario.
This paper develops a pairs trading framework based on a mean-reverting jump-diffusion model and applies it to minute-by-minute data of the S&P 500 oil companies from 1998 to 2015. The established statistical arbitrage strategy enables us to perform intraday and overnight trading. Essentially, we conduct a 3-step calibration procedure to the spreads of all pair combinations in a formation period. Top pairs are selected based on their spreads' meanreversion speed and jump behavior. Afterwards, we trade the top pairs in an out-of-sample trading period with individualized entry and exit thresholds. In the back-testing study, the strategy produces statistically and economically significant returns of 60.61 percent p.a. and an annualized Sharpe ratio of 5.30, after transaction costs. We benchmark our pairs trading strategy against variants based on traditional distance and time-series approaches and find its performance to be superior relating to risk-return characteristics. The mean-reversion speed is a main driver of successful and fast termination of the pairs trading strategy.
This paper develops the optimal causal path algorithm and applies it within a fully-fledged statistical arbitrage framework to minute-by-minute data of the S&P 500 constituents from 1998 to 2015. Specifically, the algorithm efficiently determines the optimal non-linear mapping and the corresponding lead-lag structure between two time series. Afterwards, this study explores the use of optimal causal paths as a means for identifying promising stock pairs and for generating buy and sell signals. For this purpose, the established trading strategy exploits information about the leading stock to predict future returns of the following stock. The value-add of the proposed framework is assessed by benchmarking it with variants relying on classic similarity measures and a buy-and-hold investment in the S&P 500 index. In the empirical back-testing study, the trading algorithm generates statistically and economically significant returns of 54.98 percent p.a. and an annualized Sharpe ratio of 3.57 after transaction costs. Returns are well superior to the benchmark approaches and do not load on any common sources of systematic risk. The strategy outperforms in the context of cryptocurrencies even in recent times due to the fact that stock returns contain substantial information about the future bitcoin returns.
This paper systematically reviews the top 200 Google Scholar publications in the area of smart city with the aid of data-driven methods from the fields natural language processing and time series forecasting. Specifically, our algorithm crawls the textual information of the considered articles and uses the created ad-hoc database to identify the most relevant streams “smart infrastructure”, “smart economy & policy”, “smart technology”, “smart sustainability”, and “smart health”. Next, we automatically assign each manuscript into these subject areas by dint of several interdisciplinary scientific methods. Each stream is evaluated in a deep-dive analysis by (i) creating a word cloud to find the most important keywords, (ii) examining the main contributions, and (iii) applying time series methodologies to determine the past and future relevance. Due to our large-scaled literature, an in-depth evaluation of each stream is possible, which ultimately reveals strengths and weaknesses. We hereby acknowledge that smart sustainability will come to the fore in the next years—this fact confirms the current trend, as minimizing the required input of energy, water, food, waste, heat output and air pollution is becoming increasingly important.
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