arXiv subjects

Ivan Kitov

Publications and source records attributed to Ivan Kitov.

33 records · Page 2Linked to original sources

arXiv2013

Inflation, unemployment, and labor force. Phillips curves and long-term projections for Japan

The evolution of the rate of price inflation and unemployment in Japan has been modeled within the Phillips curve framework. As an extension to the Phillips curve, we represent both variables as linear functions of the change rate of labor force. All models were first estimated in 2005 for the period between 1980 and 2003. Here we update these original models with data through 2012. The revisited models accurately describe disinflation during the 1980s and 1990s as well as the whole deflationary period started in the late 1990s. The Phillips curve for Japan confirms the original concept that growing unemployment results in decreasing inflation. A linear and lagged generalized Phillips curve expressed as a link between inflation, unemployment, and labor force has been also re-estimated and validated by new data. Labor force projections allow a long-term inflation and unemployment forecast: the GDP deflator will be negative (between -0.5% and -2% per year) during the next 40 years. The rate of unemployment will increase from 4.3% in 2012 to 5.5% in 2050.

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arXiv2013

Waveform cross correlation applied to earthquakes in the Atlantic Ocean

We assess the level of cross correlation between P-waves generated by earthquakes in the Atlantic Ocean and measured by 22 array stations of the International Monitoring System (IMS). There are 931 events with 6,411 arrivals in 2011 and 2012. Station TORD was the most sensitive and detected 868 from 931 events. We constructed several 931 by 931 matrices of cross correlation coefficients (CCs) for individual stations and also for average and cumulative CCs. These matrices characterize the detection performance of the involved stations and the IMS. Sixty earthquakes located in the northern hemisphere were selected as master events for signal detection and building of events populating a cross correlation Standard Event List (XSEL) for the first halves of 2009 and 2012. High-quality signals (SNR>5.0) recorded by 10 most sensitive stations were used as waveform templates. In order to quantitatively estimate the gain in the completeness and resolution of the XSEL we compared it with the Reviewed Event Bulletin (REB) of the International Data Centre (IDC) for the North Atlantic (NA) and with the ISC Bulletin. Machine learning and classification algorithms were successfully applied to automatically reject invalid events in the XSEL for 2009.

physics.geo-ph↗

arXiv2013

Waveform cross correlation for seismic monitoring of underground nuclear explosions. Part II: Synthetic master events

Waveform cross correlation is an efficient tool for detection and characterization of seismic signals. The efficiency critically depends on the availability of master events. For the purposes of the Comprehensive Nuclear-Test-Ban Treaty, cross correlation can globally reduce the threshold monitoring by 0.3 to 0.4 magnitude units. In seismically active regions, the optimal choice of master events is straightforward. There are two approaches to populate the global grid in aseismic areas: the replication of real masters and synthetic seismograms calculated for seismic arrays of the International Monitoring System. Synthetic templates depend on the accuracy of shape and amplitude predictions controlled by focal depth and mechanism, source function, velocity structure and attenuation along the master/station path. As in Part I, we test three focal mechanisms (explosion, thrust fault, and actual Harvard CMT solution for one of the April 11, 2012 Sumatera aftershocks) and two velocity structures (ak135 and CRUST 2.0). Sixteen synthetic master events were distributed over a 1ox1o grid. We built five cross correlation standard event lists (XSEL) and compared detections and events with those built using the real and grand master events as well as with the Reviewed Event Bulletin of the International Data Centre. The XSELs built using the source of explosion and ak135 and the reverse fault with isotropic radiation pattern demonstrate the performance similar to that of the real and grand masters. Therefore, it is possible to cover all aseismic areas with synthetic masters without significant loss in seismic monitoring capabilities based on cross correlation.

physics.geo-ph↗

arXiv2013

Waveform cross correlation for seismic monitoring of underground nuclear explosions. Part I: Grand master events

Seismic monitoring of the Comprehensive Nuclear-Test-Ban Treaty using waveform cross correlation requires a uniform coverage of the globe with master events well recorded at array stations of the International Monitoring System. The essence of cross correlation as a monitoring tool consists in a continuous comparison of digital waveforms at a given station with waveform templates from the global set of master events. At array stations, cross correlation demonstrates a higher resolution because the time delays at individual sensors from master and slave events are the same but they may differ from theoretical ones used in standard beamforming. In the regions where master events and thus waveform templates are available, one can reduce the amplitude threshold of signal detection by a factor of 2 to 3 relative to standard beamforming and STA/LTA detector used at the International Data Centre. The gain in sensitivity corresponds to a body wave magnitude reduction by 0.3 to 0.4 units and doubles the number of detected events. This gain is crucial for seismic monitoring under the CTBT. The coverage by real master events is sparse and confined to areas with historical seismicity, however. In two parts of this study, we investigate the possibility to populate the global grid with real and synthetic master events. In Part I, we replicate a high-quality master event over a regular grid several hundred kilometers from its actual position. In Part II, we model waveform templates using synthetic seismograms with the aim to apply them in aseismic zones. Both approaches are tested using the aftershock sequence of the April 11, 2012 Sumatera earthquake (Ms(IDC)=8.2). We used sixteen master events to recover the aftershocks in the Reviewed Event Bulletin of the IDC.

physics.geo-ph↗

arXiv2012

Cross comparison and modelling of Goldman Sachs, Morgan Stanley, JPMorgan Chase, Bank of America, and Franklin Resources

We have studied statistical characteristics of five share price time series. For each stock price, we estimated a best fit quantitative model for the monthly closing price as based on the decomposition into two defining consumer price indices selected from a large set of CPIs. It was found that there are two pairs of similar models (Bank of America/Morgan Stanley and Goldman Sachs/JPMorgan Chase) with a standalone model for Franklin Resources. From each pair, one can choose the company with the highest return depending on the future evolution of defining CPIs

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arXiv2012

International Data Centre: Reviewed Event Bulletin vs. Waveform Cross Correlation Bulletin

Our objective is to assess the performance of waveform cross-correlation technique, as applied to automatic and interactive processing of the aftershock sequence of the 2012 Sumatera earthquake relative to the Reviewed Event Bulletin (REB) issued by the International Data Centre. The REB includes 1200 aftershocks between April 11 and May 25 with body wave magnitudes from 3.05 to 6.19. To automatically recover the sequence, we selected sixteen aftershocks with mb between 4.5 and 5.0. These events evenly but sparsely cover the area of the most intensive aftershock activity as recorded during the first two days after the main shock. In our study, waveform templates from only seven IMS array stations with the largest SNRs estimated for the signals from the main shock were used to calculate cross-correlation coefficients over the entire period of 44 days. Approximately 1000000 detections obtained using cross-correlation were then used to build events according to the IDC definition. After conflict resolution between events with similar arrivals built by more than one master all qualified event hypotheses populated the automatic cross-correlation Standard Event List (aXSEL). The total number of distinct hypotheses was 2763. To evaluate the quality of new events in the aXSEL, we randomly selected a small portion of XSEL events and analysts reviewed them according to standard IDC rules and guidelines. After the interactive review of a small portion of the final product of cross correlation was obtained which we call the interactive XSEL. We have constructed relevant frequency and probability density distributions for all detections, all associated detection,and for those which were associated with the aXSEL and final XSEL events. These distributions are also station and master dependent.

physics.geo-ph↗

arXiv2012

Why price inflation in developed countries is systematically underestimated

There is an extensive historical dataset on real GDP per capita prepared by Angus Maddison. This dataset covers the period since 1870 with continuous annual estimates in developed countries. All time series for individual economies have a clear structural break between 1940 and 1950. The behavior before 1940 and after 1950 can be accurately (R2 from 0.7 to 0.99) approximated by linear time trends. The corresponding slopes of regressions lines before and after the break differ by a factor of 4 (Switzerland) to 19 (Spain). We have extrapolated the early trends into the second interval and obtained much lower estimates of real GDP per capita in 2011: from 2.4 (Switzerland) to 5.0 (Japan) times smaller than the current levels. When the current linear trends are extrapolated into the past, they intercept the zero line between 1908 (Switzerland) and 1944 (Japan). There is likely an internal conflict between the estimating procedures before 1940 and after 1950. A reasonable explanation of the discrepancy is that the GDP deflator in developed countries has been highly underestimated since 1950. In the USA, the GDP deflator is underestimated by a factor of 1.4. This is exactly the ratio of the interest rate controlled by the Federal Reserve and the rate of inflation. Hence, the Federal Reserve actually retains its interest rate at the level of true price inflation when corrected for the bias in the GDP deflator.

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arXiv2012

Real GDP per capita since 1870

The growth rate of real GDP per capita in the biggest OECD countries is represented as a sum of two components - a steadily decreasing trend and fluctuations related to the change in some specific age population. The long term trend in the growth rate is modelled by an inverse function of real GDP per capita with a constant numerator. This numerator is equivalent to a constant annual increment of real GDP per capita. For the most advanced economies, the GDP estimates between 1950 and 2007 have shown very weak and statistically insignificant linear trends (both positive and negative) in the annual increment. The fluctuations around relevant mean increments are characterized by practically normal distribution. For many countries, there exist historical estimates of real GDP since 1870. These estimates extend the time span of our analysis together with a few new estimates from 2008 to 2011. There are severe structural breaks in the corresponding time series between 1940 and 1950, with the slope of linear regression increasing by a factor of 4.0 (Switzerland) to 22.1 (Spain). Therefore, the GDP estimates before 1940 and after 1950 have been analysed separately. All findings of the original study are validated by the newly available data. The most important is that all slopes (except that for Australia after 1950) of the regression lines obtained for the annual increments of real GDP per capita are small and statistically insignificant, i.e. one cannot reject the null hypothesis of a zero slope and thus constant increment. Hence the growth in real GDP per capita is a linear one since 1870 with a break in slope between 1940 and 1950.

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arXiv2012

ConocoPhillips' share price model revisited

Three years ago we found a statistically reliable link between ConocoPhillips' (NYSE: COP) stock price and the difference between the core and headline CPI in the United States. In this article, the original relationship is revisited with new data available since 2009. The agreement between the observed monthly closing price (adjusted for dividends and splits) and that predicted from the CPI difference is confirmed. The original quantitative link is validated. In order to improve the accuracy of the COP price prediction a series of advanced models is developed. The original set of two major CPIs is extended by smaller components of the headline CPIs (e.g. the CPIs of motor fuel and housing energy) and several PPIs (e.g. the PPIs of crude oil and coal) which may be inherently related to ConocoPhillips and other energy companies. These advanced models have demonstrated much lower modeling errors with better statistical properties. The earlier reported quasi-linear trend in the CPI difference is also revisited. This trend allows for an accurate prediction of the COP prices at a five to ten year horizon.

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arXiv2011

Perspectives of cross correlation in seismic monitoring at the International Data Centre

We demonstrate that several techniques based on cross correlation are able to significantly reduce the detection threshold of seismic sources worldwide and to improve the reliability of IDC arrivals by a more accurate estimation of their defining parameters. More than ninety per cent of smaller REB events can be built in automatic processing while completely fitting the REB event definition criteria. The rate of false alarms, as compared to the events rejected from the SEL3 in the current interactive processing, has also been dramatically reduced by several powerful filters. The principal filter is the difference of arrival times between the master events and newly built events at three or more primary stations, which should lie in a narrow range of a few seconds. Two effective pre-filters are f-k analysis and Fprob based on correlation traces instead of original waveforms. As a result, cross correlation may reduce the overall workload related to IDC interactive analysis and provide a precise tool for quality check for both arrivals and events. Some major improvements in automatic and interactive processing achieved by cross correlation are illustrated by an aftershock sequence of a large continental earthquake. Exploring this sequence, we describe schematically the next steps for the development of a processing pipeline parallel to the existing IDC one in order to improve the quality of the REB together with the reduction of the magnitude threshold. The current IDC processing pipeline should be focused on the events in areas without historical seismicity which are not properly covered by REB events.

physics.geo-ph↗

arXiv2011

Employment, unemployment and real economic growth

We have modeled the employment/population ratio in the largest developed countries. Our results show that the evolution of the employment rate since 1970 can be predicted with a high accuracy by a linear dependence on the logarithm of real GDP per capita. All empirical relationships estimated in this study need a structural break somewhere between 1975 and 1995. Such breaks might be caused by revisions to monetary policy (e.g. inflation targeting) or/and changes in measurement units. Statistically, the link between measured and predicted rate of employment is characterized by the coefficient of determination from 0.84 (Australia) to 0.95 (Japan). The model residuals are likely to be associated with measurement errors.

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arXiv2011

A win-win monetary policy in Canada

The Lucas critique has exposed the problem of the trade-off between changes in monetary policy and structural breaks in economic time series. The search for and characterisation of such breaks has been a major econometric task ever since. We have developed an integral technique similar to CUSUM using an empirical model quantitatively linking the rate of inflation and unemployment to the change in the level of labour force in Canada. Inherently, our model belongs to the class of Phillips curve models, and the link between the involved variables is a linear one with all coefficients of individual and generalized models obtained by empirical calibration. To achieve the best LSQ fit between measured and predicted time series cumulative curves are used as a simplified version of the 1-D boundary elements (integral) method. The distance between the cumulative curves (in L2 metrics) is very sensitive to structural breaks since it accumulates true differences and suppresses uncorrelated noise and systematic errors. Our previous model of inflation and unemployment in Canada is enhanced by the introduction of structural breaks and is validated by new data in the past and future. The most exiting finding is that the introduction of inflation targeting as a new monetary policy in 1991 resulted in a structural break manifested in a lowered rate of price inflation accompanied by a substantial fall in the rate of unemployment. Therefore, the new monetary policy in Canada is a win-win one.

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arXiv2011

Inflation and unemployment in Switzerland: from 1970 to 2050

An empirical model is presented linking inflation and unemployment rate to the change in the level of labour force in Switzerland. The involved variables are found to be cointegrated and we estimate lagged linear deterministic relationships using the method of cumulative curves, a simplified version of the 1D Boundary Elements Method. The model yields very accurate predictions of the inflation rate on a three year horizon. The results are coherent with the models estimated previously for the US, Japan, France and other developed countries and provide additional validation of our quantitative framework based solely on labour force. Finally, given the importance of inflation forecasts for the Swiss monetary policy, we present a prediction extended into 2050 based on official projections of the labour force level.

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arXiv2011

The Australian Phillips curve and more

A quantitative model is presented linking the rate of inflation and unemployment to the change in the level of labor force. The link between the involved variables is a linear one with all coefficients of individual and generalized models obtained empirically. To achieve the best fit between measured and predicted time series cumulative curves are used as a simplified version of the 1-D boundary elements method. All models for Australia are similar to those obtained for the US, France, Japan and other developed countries and thus validate the concept and related quantitative model.

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arXiv2009

Unemployment and inflation in Western Europe: solution by the boundary element method

Using an analog of the boundary element method in engineering and science, we analyze and model unemployment rate in Austria, Italy, the Netherlands, Sweden, Switzerland, and the United States as a function of inflation and the change in labor force. Originally, the model linking unemployment to inflation and labor force was developed and successfully tested for Austria, Canada, France, Germany, Japan, and the United States. Autoregressive properties of neither of these variables are used to predict their evolution. In this sense, the model is a self-consistent and completely deterministic one without any stochastic component (external shocks) except that associated with measurement errors and changes in measurement units. Nevertheless, the model explains between 65% and 95% of the variability in unemployment and inflation. For Italy, the rate of unemployment is predicted at a time horizon of nine years with pseudo out-of-sample root-mean-square forecasting error of 0.55% for the period between 1973 and 2006. One can expect that the u nemployment will be growing since 2008 and will reach 11.4% near 2012. After 2012, unemployment in Italy will start to descend.

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