MaschinenMartina Heßler

Heßler, Martina

doi:10.5771/9783845287959-256

Cited by 7 publications

(3 citation statements)

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“…Inspired by the formalism of linear stability analysis for both models, we calculate the drift slope

per window as a Bayesian parametric resilience measure. For the Markovian model, the calculations are performed with the open-source Python toolkit antiCPy [ 42 , 43 ]. In this modelling framework, a stable state corresponds to a negative drift slope

, whereas a changing sign indicates destabilisation via a bifurcation.…”

Section: Methodsmentioning

confidence: 99%

Memory Effects, Multiple Time Scales and Local Stability in Langevin Models of the S&P500 Market Correlation

Wand,

Heßler,

Kamps

2023

Entropy

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The analysis of market correlations is crucial for optimal portfolio selection of correlated assets, but their memory effects have often been neglected. In this work, we analyse the mean market correlation of the S&P500, which corresponds to the main market mode in principle component analysis. We fit a generalised Langevin equation (GLE) to the data whose memory kernel implies that there is a significant memory effect in the market correlation ranging back at least three trading weeks. The memory kernel improves the forecasting accuracy of the GLE compared to models without memory and hence, such a memory effect has to be taken into account for optimal portfolio selection to minimise risk or for predicting future correlations. Moreover, a Bayesian resilience estimation provides further evidence for non-Markovianity in the data and suggests the existence of a hidden slow time scale that operates on much slower times than the observed daily market data. Assuming that such a slow time scale exists, our work supports previous research on the existence of locally stable market states.

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“…Inspired by the formalism of linear stability analysis for both models, we calculate the drift slope

, whereas a changing sign indicates destabilisation via a bifurcation.…”

Section: Methodsmentioning

confidence: 99%

Memory Effects, Multiple Time Scales and Local Stability in Langevin Models of the S&P500 Market Correlation

Wand,

Heßler,

Kamps

2023

Entropy

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“…Therefore, we use a tool that considers the CPs of linear trends over time t . The open-source Python package antiCPy [ 13 , 14 , 15 ] implements the Bayesian analysis of changing linear trends, introduced by von der Linden et al [ 16 , 17 ]. By assuming m CPs in the trend, the time series data

are modelled by linear segments

of different slopes, formally given by

with

and the CP vector

with the entries

for

, whereby N denotes the size of the correlation time series

and the vector

contains the design ordinates

of the assumed CP positions, i.e., the positions where consecutive segments are connected with each other.…”

Section: Methodsmentioning

confidence: 99%

Efficient Multi-Change Point Analysis to Decode Economic Crisis Information from the S&P500 Mean Market Correlation

Heßler,

Wand,

Kamps

2023

Entropy

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Identifying macroeconomic events that are responsible for dramatic changes of economy is of particular relevance to understanding the overall economic dynamics. We introduce an open-source available efficient Python implementation of a Bayesian multi-trend change point analysis, which solves significant memory and computing time limitations to extract crisis information from a correlation metric. Therefore, we focus on the recently investigated S&P500 mean market correlation in a period of roughly 20 years that includes the dot-com bubble, the global financial crisis, and the Euro crisis. The analysis is performed two-fold: first, in retrospect on the whole dataset and second, in an online adaptive manner in pre-crisis segments. The online sensitivity horizon is roughly determined to be 80 up to 100 trading days after a crisis onset. A detailed comparison to global economic events supports the interpretation of the mean market correlation as an informative macroeconomic measure by a rather good agreement of change point distributions and major crisis events. Furthermore, the results hint at the importance of the U.S. housing bubble as a trigger of the global financial crisis, provide new evidence for the general reasoning of locally (meta)stable economic states, and could work as a comparative impact rating of specific economic events.

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“…53 To the contrary, "status-quo assumptions are just as value-laden as feminist ones." 54 To illustrate: judge Francoise Tulkens of the ECtHR has criticized how courts handle alleged conflicts between women's rights and standards of nondiscrimination and rights concerning religion, without even hearing the opinion of the women of concern. 55 Other findings may also be relevant, such that that men are on average less averse than women to economic risk, 56 and that female domestic judges appear more concerned to incorporate a variety of perspectives.…”

Section: Føllesdalmentioning

confidence: 99%

How many women judges are enough on international courts?

Føllesdal

2021

Journal of Social Philosophy

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The African Court of Human and Peoples' Rights (ACtHPR) made history on August 27, 2018. The majority of its judges were female-six of 11, and the first among international courts and tribunals (ICs) to secure sex parity-that is, numerical equality. 1 This achievement is even more remarkable given that only 23% of the judges and arbitrators of the ICs are women. 2 The milestone also prompts us to consider more closely what considerations of legitimacy entail about the proportion of women international judges.The present composition of ICs is clearly under legal, social, and political control, and ICs have profound effects. The persistent underrepresentation of women is especially striking since not only civil society groups, but also the states who nominate and establish election procedures have agreed several treaties that require or urge a balance of gender representation. 3 So it would seem that the parity achieved by the ACtHPR should be applauded. However, that IC may now be even more gender equal than we may have reason to require of a legitimate IC-or so this article argues. A less egalitarian composition within a "parity zone" of approximately 40% of either of the main sexes seems to suffice.The present reflections considers various possible arguments offered concerning the impact of gender inequality on the international bench, drawing in part on studies of domestic judiciaries, as well as on available research and reflections by practitioners and women international judges. 4 Several arguments support calls to increase the proportion of female international judges-but how far? Section 2 addresses some background issues: first concerning the terms "feminism," "sex," and "gender," then, the tasks of ICs that should lead us to question the present sex inequality on the international bench.

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MaschinenMartina Heßler

Cited by 7 publications

References 0 publications

Memory Effects, Multiple Time Scales and Local Stability in Langevin Models of the S&P500 Market Correlation

Memory Effects, Multiple Time Scales and Local Stability in Langevin Models of the S&P500 Market Correlation

Efficient Multi-Change Point Analysis to Decode Economic Crisis Information from the S&P500 Mean Market Correlation

How many women judges are enough on international courts?

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