arXiv subjects

Nick James

Publications and source records attributed to Nick James.

At least 37 records · Page 2Linked to original sources

arXiv2022

Temporal and spectral governing dynamics of Australian hydrological streamflow time series

We use new and established methodologies in multivariate time series analysis to study the dynamics of 414 Australian hydrological stations' streamflow. First, we analyze our collection of time series in the temporal domain, and compare the similarity in hydrological stations' candidate trajectories. Then, we introduce a Whittle Likelihood-based optimization framework to study the collective similarity in periodic phenomena among our collection of stations. Having identified noteworthy similarity in the temporal and spectral domains, we introduce an algorithmic procedure to estimate a governing hydrological streamflow process across Australia. To determine the stability of such behaviours over time, we then study the evolution of the governing dynamics and underlying time series with time-varying applications of principal components analysis (PCA) and spectral analysis.

stat.AP↗

arXiv2022

Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities

This paper uses new and recently established methodologies to study the evolutionary dynamics of the cryptocurrency market, and compares the findings with that of the equity market. We begin by applying random matrix theory and principal components analysis (PCA) to correlation matrices of both collections, highlighting clear differences in the eigenspectra exhibited. We then explore the heterogeneity of both asset classes, studying the time-varying dynamics of underlying sector behaviours, and determine the collective similarity within each collection. We then turn to a study of structural break dynamics and evolutionary power spectra, where we quantify the collective affinity in structural breaks and evolutionary behaviours of underlying sector time series. Finally, we implement two algorithms simulating `portfolio choice' dynamics to compare the effectiveness of stock selection and sector allocation in cryptocurrency portfolios. There, we highlight the importance of both endeavours and comment on noteworthy implications for cryptocurrency portfolio management.

q-fin.ST↗

arXiv2022

In search of peak human athletic potential: A mathematical investigation

This paper applies existing and new approaches to study trends in the performance of elite athletes over time. We study both track and field scores of men and women athletes on a yearly basis from 2001 to 2019, revealing several trends and findings. First, we perform a detailed regression study to reveal the existence of an "Olympic effect", where average performance improves during Olympic years. Next, we study the rate of change in athlete performance and fail to reject the notion that athlete scores are leveling off, at least among the top 100 annual scores. Third, we examine the relationship in performance trends among men and women's categories of the same event, revealing striking similarity, together with some anomalous events. Finally, we analyze the geographic composition of the world's top athletes, attempting to understand how the diversity by country and continent varies over time across events. We challenge a widely held conception of athletics, that certain events are more geographically dominated than others. Our methods and findings could be applied more generally to identify evolutionary dynamics in group performance and highlight spatio-temporal trends in group composition.

physics.soc-ph↗

arXiv2022

Comparing the dynamics of COVID-19 infection and mortality in the United States, India, and Brazil

This paper compares and contrasts the spread and impact of COVID-19 in the three countries most heavily impacted by the pandemic: the United States (US), India and Brazil. All three of these countries have a federal structure, in which the individual states have largely determined the response to the pandemic. Thus, we perform an extensive analysis of the individual states of these three countries to determine patterns of similarity within each. First, we analyse structural similarity and anomalies in the trajectories of cases and deaths as multivariate time series. Next, we study the lengths of the different waves of the virus outbreaks across the three countries and their states. Finally, we investigate suitable time offsets between cases and deaths as a function of the distinct outbreak waves. In all these analyses, we consistently reveal more characteristically distinct behaviour between US and Indian states, while Brazilian states exhibit less structure in their wave behaviour and changing progression between cases and deaths.

physics.soc-ph↗

arXiv2022

On the systemic nature of global inflation, its association with equity markets and financial portfolio implications

This paper uses new and recently introduced mathematical techniques to undertake a data-driven study on the systemic nature of global inflation. We start by investigating country CPI inflation over the past 70 years. There, we highlight the systemic nature of global inflation with a judicious application of eigenvalue analysis and determine which countries exhibit most "centrality" with an inner-product based optimization method. We then turn to inflationary impacts on financial market securities, where we explore country equity indices' equity robustness and the varied performance of equity sectors during periods of significant inflationary pressure. Finally, we implement a time-varying portfolio optimization to determine which asset classes were most beneficial in increasing portfolio Sharpe ratio when an investor must hold a core (and constant) allocation to equities.

q-fin.MF↗

arXiv2022

Estimating a continuously varying offset between multivariate time series with application to COVID-19 in the United States

This paper introduces new methods to track the offset between two multivariate time series on a continuous basis. We then apply this framework to COVID-19 counts on a state-by-state basis in the United States to determine the progression from cases to deaths as a function of time. Across multiple approaches, we reveal an "up-down-up" pattern in the estimated offset between reported cases and deaths as the pandemic progresses. This analysis could be used to predict imminent increased load on a healthcare system and aid the allocation of additional resources in advance.

physics.soc-ph↗

arXiv2021

Collective correlations, dynamics, and behavioural inconsistencies of the cryptocurrency market over time

This paper introduces new methods to study behaviours among the 52 largest cryptocurrencies between 01-01-2019 and 30-06-2021. First, we explore evolutionary correlation behaviours and apply a recently proposed turning point algorithm to identify regimes in market correlation. Next, we inspect the relationship between collective dynamics and the cryptocurrency market size - revealing an inverse relationship between the size of the market and the strength of collective dynamics. We then explore the time-varying consistency of the relationships between cryptocurrencies' size and their returns and volatility. There, we demonstrate that there is greater consistency between size and volatility than size and returns. Finally, we study the spread of volatility behaviours across the market changing with time by examining the structure of Wasserstein distances between probability density functions of rolling volatility. We demonstrate a new phenomenon of increased uniformity in volatility during market crashes, which we term \emph{volatility dispersion}.

q-fin.ST↗

arXiv2021

A new measure between sets of probability distributions with applications to erratic financial behavior

This paper introduces a new framework to quantify distance between finite sets with uncertainty present, where probability distributions determine the locations of individual elements. Combining this with a Bayesian change point detection algorithm, we produce a new measure of similarity between time series with respect to their structural breaks. First, we demonstrate the algorithm's effectiveness on a collection of piecewise autoregressive processes. Next, we apply this to financial data to study the erratic behavior profiles of 19 countries and 11 sectors over the past 20 years. Our measure provides quantitative evidence that there is greater collective similarity among sectors' erratic behavior profiles than those of countries, which we observe upon individual inspection of these time series. Our measure could be used as a new framework or complementary tool for investors seeking to make asset allocation decisions for financial portfolios.

q-fin.ST↗

arXiv2021

Structural clustering of volatility regimes for dynamic trading strategies

We develop a new method to find the number of volatility regimes in a nonstationary financial time series by applying unsupervised learning to its volatility structure. We use change point detection to partition a time series into locally stationary segments and then compute a distance matrix between segment distributions. The segments are clustered into a learned number of discrete volatility regimes via an optimization routine. Using this framework, we determine a volatility clustering structure for financial indices, large-cap equities, exchange-traded funds and currency pairs. Our method overcomes the rigid assumptions necessary to implement many parametric regime-switching models, while effectively distilling a time series into several characteristic behaviours. Our results provide significant simplification of these time series and a strong descriptive analysis of prior behaviours of volatility. Finally, we create and validate a dynamic trading strategy that learns the optimal match between the current distribution of a time series and its past regimes, thereby making online risk-avoidance decisions in the present.

q-fin.ST↗

arXiv2021

Understanding spatial propagation using metric geometry with application to the spread of COVID-19 in the United States

This paper introduces a novel approach to spatio-temporal data analysis using metric geometry to study the propagation of COVID-19 across the United States. Using a geodesic Wasserstein metric, we analyse discrepancies between the density functions of new case counts on any given day, incorporating the geographic spread of cases. First, we apply this to identify the periods during which the changes in the geographic distribution of COVID-19 were most profound. The greatest shift occurred between May and June of 2020, when COVID-19 shifted from mostly dominating the Northeastern states to a wider distribution across the country. We support our findings with a new measure of the extent of geodesic variance of a distribution, demonstrating that the geographic imprint of COVID-19 was most concentrated in May 2020. Next, we investigate whether the epidemic exhibited meaningful patterns of spatial reversion, where similar geographic distributions return later. We identify broad similarity between the spread of COVID-19 across the US between the second and third waves, and to a lesser extent, the reemergence of the first wave's Northeastern dominance closer to the present day. This methodology could provide new insights for analysts to monitor the dynamical spread of epidemics and enable regional policymakers to protect their localities. More broadly, the framework we introduce could be applied to a variety of problems evolving over space and time.

physics.soc-ph↗

arXiv2021

Efficiency of communities and financial markets during the 2020 pandemic

This paper investigates the relationship between the spread of the COVID-19 pandemic, the state of community activity, and the financial index performance across 20 countries. First, we analyze which countries behaved similarly in 2020 with respect to one of three multivariate time series: daily COVID-19 cases, Apple mobility data and national equity index price. Next, we study the trajectories of all three of these attributes in conjunction to determine which exhibited greater similarity. Finally, we investigate whether country financial indices or mobility data responded quicker to surges in COVID-19 cases. Our results indicate that mobility data and national financial indices exhibited the most similarity in their trajectories, with financial indices responding quicker. This suggests that financial market participants may have interpreted and responded to COVID-19 data more efficiently than governments. Further, results imply that efforts to study community mobility data as a leading indicator for financial market performance during the pandemic were misguided.

physics.soc-ph↗

arXiv2021

Trends in COVID-19 prevalence and mortality: a year in review

This paper introduces new methods to study the changing dynamics of COVID-19 cases and deaths among the 50 worst-affected countries throughout 2020. First, we analyse the trajectories and turning points of rolling mortality rates to understand at which times the disease was most lethal. We demonstrate five characteristic classes of mortality rate trajectories and determine structural similarity in mortality trends over time. Next, we introduce a class of \emph{virulence matrices} to study the evolution of COVID-19 cases and deaths on a global scale. Finally, we introduce \emph{three-way inconsistency analysis} to determine anomalous countries with respect to three attributes: countries' COVID-19 cases, deaths and human development indices. We demonstrate the most anomalous countries across these three measures are Pakistan, the United States and the United Arab Emirates.

physics.soc-ph↗

arXiv2021

Dynamics, behaviours, and anomaly persistence in cryptocurrencies and equities surrounding COVID-19

This paper uses new and recently introduced methodologies to study the similarity in the dynamics and behaviours of cryptocurrencies and equities surrounding the COVID-19 pandemic. We study two collections; 45 cryptocurrencies and 72 equities, both independently and in conjunction. First, we examine the evolution of cryptocurrency and equity market dynamics, with a particular focus on their change during the COVID-19 pandemic. We demonstrate markedly more similar dynamics during times of crisis. Next, we apply recently introduced methods to contrast trajectories, erratic behaviours, and extreme values among the two multivariate time series. Finally, we introduce a new framework for determining the persistence of market anomalies over time. Surprisingly, we find that although cryptocurrencies exhibit stronger collective dynamics and correlation in all market conditions, equities behave more similarly in their trajectories, extremes, and show greater persistence in anomalies over time.

q-fin.ST↗

arXiv2021

COVID-19 second wave mortality in Europe and the United States

This paper introduces new methods to analyze the changing progression of COVID-19 cases to deaths in different waves of the pandemic. First, an algorithmic approach partitions each country or state's COVID-19 time series into a first wave and subsequent period. Next, offsets between case and death time series are learned for each country via a normalized inner product. Combining these with additional calculations, we can determine which countries have most substantially reduced the mortality rate of COVID-19. Finally, our paper identifies similarities in the trajectories of cases and deaths for European countries and U.S. states. Our analysis refines the popular conception that the mortality rate has greatly decreased throughout Europe during its second wave of COVID-19; instead, we demonstrate substantial heterogeneity throughout Europe and the U.S. The Netherlands exhibited the largest reduction of mortality, a factor of 16, followed by Denmark, France, Belgium, and other Western European countries, greater than both Eastern European countries and U.S. states. Some structural similarity is observed between Europe and the United States, in which Northeastern states have been the most successful in the country. Such analysis may help European countries learn from each other's experiences and differing successes to develop the best policies to combat COVID-19 as a collective unit.

physics.soc-ph↗

arXiv2020

Association between COVID-19 cases and international equity indices

This paper analyzes the impact of COVID-19 on the populations and equity markets of 92 countries. We compare country-by-country equity market dynamics to cumulative COVID-19 case and death counts and new case trajectories. First, we examine the multivariate time series of cumulative cases and deaths, particularly regarding their changing structure over time. We reveal similarities between the case and death time series, and key dates that the structure of the time series changed. Next, we classify new case time series, demonstrate five characteristic classes of trajectories, and quantify discrepancy between them with respect to the behavior of waves of the disease. Finally, we show there is no relationship between countries' equity market performance and their success in managing COVID-19. Each country's equity index has been unresponsive to the domestic or global state of the pandemic. Instead, these indices have been highly uniform, with most movement in March.

physics.soc-ph↗

arXiv2020

Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19

This paper introduces new methods for analysing the extreme and erratic behaviour of time series to evaluate the impact of COVID-19 on cryptocurrency market dynamics. Across 51 cryptocurrencies, we examine extreme behaviour through a study of distribution extremities, and erratic behaviour through structural breaks. First, we analyse the structure of the market as a whole and observe a reduction in self-similarity as a result of COVID-19, particularly with respect to structural breaks in variance. Second, we compare and contrast these two behaviours, and identify individual anomalous cryptocurrencies. Tether (USDT) and TrueUSD (TUSD) are consistent outliers with respect to their returns, while Holo (HOT), NEXO (NEXO), Maker (MKR) and NEM (XEM) are frequently observed as anomalous with respect to both behaviours and time. Even among a market known as consistently volatile, this identifies individual cryptocurrencies that behave most irregularly in their extreme and erratic behaviour and shows these were more affected during the COVID-19 market crisis.

q-fin.MF↗

arXiv2020

COVID-19 in the United States: Trajectories and second surge behavior

This paper introduces a mathematical framework for determining second surge behavior of COVID-19 cases in the United States. Within this framework, a flexible algorithmic approach selects a set of turning points for each state, computes distances between them, and determines whether each state is in (or over) a first or second surge. Then, appropriate distances between normalized time series are used to further analyze the relationships between case trajectories on a month-by-month basis. Our algorithm shows that 31 states are experiencing second surges, while 4 of the 10 largest states are still in their first surge, with case counts that have never decreased. This analysis can aid in highlighting the most and least successful state responses to COVID-19.

physics.soc-ph↗

arXiv2020

Novel semi-metrics for multivariate change point analysis and anomaly detection

This paper proposes a new method for determining similarity and anomalies between time series, most practically effective in large collections of (likely related) time series, by measuring distances between structural breaks within such a collection. We introduce a class of \emph{semi-metric} distance measures, which we term \emph{MJ distances}. These semi-metrics provide an advantage over existing options such as the Hausdorff and Wasserstein metrics. We prove they have desirable properties, including better sensitivity to outliers, while experiments on simulated data demonstrate that they uncover similarity within collections of time series more effectively. Semi-metrics carry a potential disadvantage: without the triangle inequality, they may not satisfy a "transitivity property of closeness." We analyse this failure with proof and introduce an computational method to investigate, in which we demonstrate that our semi-metrics violate transitivity infrequently and mildly. Finally, we apply our methods to cryptocurrency and measles data, introducing a judicious application of eigenvalue analysis.

cs.LG↗