We introduce a new factor model for log volatilities that performs dimensionality reduction and considers contributions globally through the market, and locally through cluster structure and their interactions. We do not assume a-priori the number of clusters in the data, instead using the Directed Bubble Hierarchical Tree (DBHT) algorithm to fix the number of factors. We use the factor model and a new integrated non parametric proxy to study how volatilities contribute to volatility clustering. Globally, only the market contributes to the volatility clustering. Locally for some clusters, the cluster itself contributes statistically to volatility clustering. This is significantly advantageous over other factor models, since the factors can be chosen statistically, whilst also keeping economically relevant factors. Finally, we show that the log volatility factor model explains a similar amount of memory to a Principal Components Analysis (PCA) factor model and an exploratory factor model.

Abstract-In opportunistic networks the existence of a simultaneous path is not assumed to transmit a message between a sender and a receiver. Information about the context in which the users communicate is a key piece of knowledge to design efficient routing protocols in opportunistic networks. But this kind of information is not always available. When users are very isolated, context information cannot be distributed, and cannot be used for taking efficient routing decisions. In such cases, context oblivious based schemes are only way to enable communication between users. As soon as users become more social, context data spreads in the network, and context based routing becomes an efficient solution. In this paper we design an integrated routing protocol that is able to use context data as soon as it becomes available and falls back to disseminationbased routing when context information is not available. Then, we provide a comparison between Epidemic and PROPHET, these are representative of context oblivious and context aware routing protocols. Our results show that integrated routing protocol is able to provide better result in term of message delivery probability and message delay in both cases when context information about users is available or not.

No abstract

In recent years, an enormous amount of text data from diversified sources has been emerged day-by-day. This huge amount of data carries essential information and knowledge that needs to be effectively summarized to be useful. Hence, the main contribution of this paper is twofold. We first introduce some concepts related to extractive text summarization and then provide a systematic analysis of various text summarization techniques. In particular, some challenges in extractive summarization of single as well as multiple documents are introduced. The problems focus on the textual assessment and similarity measurement between the text documents are addressed. The challenges discussed are generic and applicable to every possible scenario in text summarization. Then, existing state-of-the-art of extractive summarization techniques are discussed that focus on the identified challenges.

No abstract