Joint Occurrence Research Articles

Assessing jump and cojumps in financial asset returns with applications in futures markets

Price jumps and extreme dependence in financial asset prices are both very important issues in Finance since both would distort the decisions in asset allocation and risk management. Cojumps, as joint occurrence of extreme price movements, share even relevant financial implications about systematic risk. This paper aims to unravel the empirical relationship between cojumps and tail dependence. We first propose a simple approach for identifying jumps and co-jumps in asset prices utilizing the recent realized measures of variation in high frequency finance. The framework is informative in testing the existence of jumps, dating jump days, and quantifying jump contributions to price variations. Our identification approach improves the over-alarm detection of jumps from previous formal tests. Applying the idea to test the presence of cojumps in realized covariances allows us to disentangle the nature of cojumps and the real source of extreme tail dependence. For the empirically investigated S&P 500 spot and futures indices, we find asymmetries in both the frequencies and magnitudes among those downward or upward abrupt comovements. Perhaps surprisingly, we find that it is covolatility instead of cojumps in asset prices that counter-intuitively contributes to the observed extreme tail dependence. However, when the tests are applied in the Taiwanese TAIEX futures and spot indices, a completely different picture emerged. We found evidence of prevailing cojumps, and moreover, it is these cojumps that triggered the marginal jumps within each index returns and contributed to the extreme returns. When further examined cross-sectionally with Taiwanese and Chinese future indices, we documented a pattern of cojump induced tail dependence in futures returns across the Taiwan straits.

A generalized procedure for joint monitoring and probabilistic quantification of extreme climate events at regional level.

Droughts and heat waves are currently recognized as two of the most serious threats associated with climate changes. Drought is characterized by prolonged dry periods, low precipitation, and high temperature, while heat wave refers to an extended period of exceptionally high temperature, surpassing the region's average for that time of year. There is a close relationship between droughts and heat waves, as both are often caused by similar weather patterns and can exacerbate each other's impacts. Therefore, it is crucial to monitor and quantify both droughts and heat waves jointly at a regional level in order to develop sustainable policies and effectively manage water resources. This article develops a new index, the standardized composite index for climate extremes (SCICE), for joint monitoring and probabilistic quantification of extreme climate events at regional level. The procedure of SCICE is mainly based on the joint standardization of standardized precipitation index (SPI) and standardized temperature index (STI). In the application of SCICE, results reveal that the long-term probabilities of the joint occurrence of dry and hot events are significantly greater than those of wet and cold events. Furthermore, the outcomes of the comparative assessment support the validity of using SCICE as a compact statistical approach in regional drought analysis. In summation, the study demonstrates the capability of SCICE to effectively characterize and assess the joint monitoring of drought and heat waves at a regional level, providing a comprehensive approach to understanding the joint impact of climate extremes.

Compound hot and ozone extremes in urban China

Hot extremes and ozone pollution have long been known detrimental to public health, but until very recently disproportionate health impacts from their joint occurrence—compound hot and ozone extremes (CHOEs)—have not been sufficiently aware of. Based on high-quality observations of air temperature and surface ozone concentration, we here examined the features of urban CHOEs and their dependence on city population and background climates. Results show the ozone-temperature slope (mO3-T) is significantly correlated with city population size, and the correlation is much weaker (0.38) in moister and cloudier cities (Cluster I) as opposed to that (0.69) in drier and sunnier cities (Cluster II). Larger cities are more susceptible to CHOEs with Cluster II megacities (population > 10 million) registering about 8 days of CHOEs during ozone season but ∼3 days for small cities (population ≤ 1 million). Most cities experience elevated risks of CHOEs in urban areas relative to surrounding rural areas, especially so for densely-populated cities and those located in drier and sunnier environments. This study emphasizes the importance and urgency of emission reduction to mitigate the health burden from not only hot extremes but also their hazardous compounding with surface ozone.

Correlation and Joint Distribution of Spectral Accelerations of Vertical Ground Motions

ABSTRACT This paper estimates a correlation model and joint distribution model of spectral accelerations of vertical ground motions based on the NGA-West2 ground motion database. The correlation model calculated via BC16 vertical GMPE in this study is compared with those published models via other vertical NGA-West2 GMPEs. It is verified that the calculated residuals of vertical ground motions at multiple periods follow the multivariate normal distributions via both a qualitative validation method and a set of quantitative validation methods. The correlation model and the joint distribution model of vertical spectral accelerations are the theoretical basis for research on the joint occurrence of spectral accelerations of vertical ground motions, and an example of applied research on joint occurrence of spectral accelerations of vertical ground motions is studied: the conditional mean spectrum of vertical ground motions. Finally, the effects of different vertical correlation models and ground motion prediction equations on vertical conditional spectra are investigated for wide application of the correlation model and the joint distribution model of spectral accelerations of vertical ground motions.

Позднесарматское клинковое оружие из погребений Березовского курганного могильника

Introduction. One of the main types of Sarmatian weapons is bladed weapons, represented by daggers and swords. The relatively small number of Late Sarmatian burials in the forest-steppe Podonye determines the importance of publishing new materials – daggers and swords. Materials. The materials for the analysis were artifacts (iron daggers and swords) discovered during the study of kurgan burial ground 4 near the village of Berezovka in the Vorobyevsky district of the Voronezh region (left bank of the Middle Don). In four of the seven burials examined, bladed weapons were found. The dead were buried under separate mounds in elongated rectangular pits and chambers clogged with continental clay. The heads of the buried were directed to the southern sector (three burials) and to the east-northeast (one burial). Bladed weapons were located according to the tradition of the Scythians and Sarmatians – at the right hand with the tip to the extremities of the legs. Methods. The study used a comparative typological method that allowed us to distinguish the found daggers and swords into a separate type of bladed weapons; the method of analogies, which was used to compare the type with similar finds in the Sarmatian culture; and the chronological method, which made it possible to attribute the discovered blades to the late Sarmatian culture. Analysis. During the analysis of artifacts, typical signs of bladed weapons characteristic of the late Sarmatian culture were identified; although the time of their appearance belongs to the early and Middle Sarmatian periods, their chronological framework was determined (mid-2nd – 4th centuries AD). A dagger and a sword were found together in two burials. Results. All burials in which bladed weapons were found belong to men (age range from 25–30 years to 35–40 years). Judging by the available data, the joint occurrence of a dagger and a sword in the burial may indicate in favor of the opinion that there are burials of professional soldiers in the burial ground.

Exome sequencing to explore the possibility of predicting genetic susceptibility to the joint occurrence of polycystic ovary syndrome and Hashimoto's thyroiditis.

A large body of evidence indicates that women with polycystic ovary syndrome (PCOS) have a higher risk of developing Hashimoto's thyroiditis (HT) than healthy individuals. Given the strong genetic impact on both diseases, common predisposing genetic factors are possibly involved but are not fully understood. Here, we performed whole-exome sequencing (WES) for 250 women with sporadic PCOS, HT, combined PCOS and HT (PCOS+HT), and healthy controls to explore the genetic background of the joint occurrence of PCOS and HT. Based on relevant comparative analyses, multivariate logistic regression prediction modeling, and the most informative feature selection using the Monte Carlo feature selection and interdependency discovery algorithm, 77 variants were selected for further validation by TaqMan genotyping in a group of 533 patients. In the allele frequency test, variants in RAB6A, GBP3, and FNDC7 genes were found to significantly (padjusted < 0.05) differentiated the PCOS+HT and PCOS groups, variant in HIF3A differentiated the PCOS+HT and HT groups, whereas variants in CDK20 and CCDC71 differentiated the PCOS+HT and both single disorder groups. TaqMan genotyping data were used to create final prediction models, which differentiated between PCOS+HT and PCOS or HT with a prediction accuracy of AUC = 0.78. Using a 70% cutoff of the prediction score improved the model parameters, increasing the AUC value to 0.87. In summary, we demonstrated the polygenic burden of both PCOS and HT, and many common and intersecting signaling pathways and biological processes whose disorders mutually predispose patients to the development of both diseases.

Development of an Extreme Wind-Driven Rain Climatology for the Southeastern United States Using 1-Min Rainfall and Peak Wind Speed Data

Abstract A method is presented to obtain the climatology of extreme wind speeds coincident with the occurrence of rain. The simultaneous occurrence of wind and rain can force water through building wall components such as windows, resulting in building damage and insured loss. To quantify this hazard, extreme value distributions are fit to peak 3-s wind speed data recorded during 1-min intervals with specific reported rain intensities. This improves upon previous attempts to quantify the wind-driven rain hazard that computed wind speed and rainfall-intensity probabilities independently and used hourly data that cannot assure the simultaneous occurrence of peak wind that represents only a several-second interval within the hour and rain that is accumulated over the entire hour. The method is applied across the southeastern United States, where the wind-driven rain hazard is most pronounced. For the lowest rainfall intensities, the computed wind speed extremes agree with published values that ignore rainfall occurrence. Such correspondence is desirable for aligning the rain-intensity-dependent wind speed return periods with established extreme wind statistics. Maximum 50-yr return-period wind speeds in conjunction with rainfall intensities ≥0.254 mm min−1 exceed 45 m s−1 in a swath from Oklahoma to the Gulf Coast and at stations along the immediate Atlantic coast. For rainfall intensities &gt;2.54 mm min−1 maximum, 50-yr return-period wind speeds decrease to 35 m s−1 but occur over a similar area. The methodology is also applied to stations outside the Southeast to demonstrate its applicability for incorporating the wind-driven rain hazard in U.S. building standards. Significance Statement Rainfall driven horizontally by strong winds can penetrate building components and cladding. If unmanaged, this can directly damage the building and its contents and become a substantial component of insured losses to buildings. A climatology of wind-driven rain is developed from recently available 1-min weather observations that better represent the joint occurrence of the extremes that define wind-driven rain occurrence than hourly data. This work is a first implementation of 1-min data into extreme-value statistical models, providing a basis for including wind-driven rain in United States building codes. This inclusion would be most significant in the hurricane-prone regions of the southeastern United States. The omission of wind-driven rain in U.S. building codes contrasts to its inclusion in Europe and Canada.

Joint Model-Order and Robust DoA Estimation for Underwater Sensor Arrays

The direction-of-arrival (DoA) estimation algorithms have a fundamental role in target bearing estimation by sensor array systems. Recently, compressive sensing (CS)-based sparse reconstruction techniques have been investigated for DoA estimation due to their superior performance relative to the conventional DoA estimation methods, for a limited number of measurement snapshots. In many underwater deployment scenarios, the acoustic sensor arrays must perform DoA estimation in the presence of several practical problems such as unknown source number, faulty sensors, low values of the received signal-to-noise ratio (SNR), and access to a limited number of measurement snapshots. In the literature, CS-based DoA estimation has been investigated for the individual occurrence of some of these errors but the estimation under joint occurrence of these errors has not been studied. This work investigates the CS-based robust DoA estimation to account for the joint impact of faulty sensors and low SNR conditions experienced by a uniform linear array of underwater acoustic sensors. Most importantly, the proposed CS-based DoA estimation technique does not require a priori knowledge of the source order, which is replaced in the modified stopping criterion of the reconstruction algorithm by taking into account the faulty sensors and the received SNR. Using Monte Carlo techniques, the DoA estimation performance of the proposed method is comprehensively evaluated in relation to other techniques.

Geometric Probability Analysis of Meeting Probability and Intersection Duration for Triple Event Concurrency

This study investigates the dynamics of three discrete independent events occurring randomly and repeatedly within the interval [0,T]. Each event spans a predetermined fraction γ of the total interval length T before concluding. Three independent continuous random variables represent the starting times of these events, uniformly distributed over the time interval [0,T]. By employing a geometric probability approach, we derive a rigorous closed-form expression for the probability of the joint occurrence of these three events, taking into account various values of the fraction γ. Additionally, we determine the expected value of the intersection duration of the three events within the time interval [0,T]. Furthermore, we provide a comprehensive solution for evaluating the expected number of trials required for the simultaneous occurrence of these events. Numerous numerical examples support the theoretical analysis presented in this paper, further validating our findings.

Joint Flood Risks in the Grand River Watershed

According to the World Meteorological Organization, since 2000, there has been an increase in global flood-related disasters by 134 percent compared to the previous decades. Efficient flood risk management strategies necessitate a holistic approach to evaluating flood vulnerabilities and risks. Catastrophic losses can occur when the peak flow values in the rivers in a basin coincide. Therefore, estimating the joint flood risks in a region is vital, especially when frequent occurrences of extreme events are experienced. This study focuses on estimating the joint flood risks due to river flow extremes in the Grand River watershed in Canada. For this purpose, the study uses copula analysis to investigate the joint occurrence of extreme river flow events in the Speed and Grand Rivers in the Grand River Watershed in Ontario, Canada. By estimating the joint return period for extreme flows in both rivers, we demonstrate the interdependence of the two river flows and how this interdependence influences the behavior of river flow extreme patterns. Our findings suggest that the interdependence between the two river flows leads to changes in the river flow extreme pattern. Determining the interdependence of floods at multiple locations using state-of-the-art tools will benefit various stakeholders, such as the insurance industry, the disaster management sector, and most importantly, the public.

On the role of antecedent meteorological conditions on flash drought initialization in Europe

The fast depletion of soil moisture in the top soil layers characterizes flash drought events. Due to their rapid onset and intensification, flash droughts severely impact ecosystem productivity. Thus understanding their initialization mechanisms is essential for improving the skill of drought forecasting systems. Here, we examine the role of antecedent meteorological conditions that lead to flash droughts across Europe over the last 70 years (1950–2019) using ERA5 dataset. We find two major flash-drought types based on a sequence of development of antecedent hydro-meteorological conditions. The first type is characterized by a joint occurrence of two mechanisms, a decline of precipitation in conjunction with an increase of the evaporative demand, both occurring before the onset of a flash drought event. The second type, on the contrary, is characterized by high precipitation preceding the event’s start, followed by a sudden precipitation deficit combined with an increase in evaporative demand at the onset of the drought. Both drought types showed increased occurrence and higher spatial coverage over the last 70 years; the second drought type has increased at a much faster rate compared to the first one specifically, over Central Europe and the Mediterranean region. Overall our study highlights the differences between the two types of flash droughts, related to varying antecedent meteorological conditions, and their changes under recent climate warming.

Compound flood events: analysing the joint occurrence of extreme river discharge events and storm surges in northern and central Europe

Abstract. The simultaneous occurrence of extreme events gained more and more attention from scientific research in the last couple of years. Compared to the occurrence of single extreme events, co-occurring or compound extremes may substantially increase risks. To adequately address such risks, improving our understanding of compound flood events in Europe is necessary and requires reliable estimates of their probability of occurrence together with potential future changes. In this study compound flood events in northern and central Europe were studied using a Monte Carlo-based approach that avoids the use of copulas. Second, we investigate if the number of observed compound extreme events is within the expected range of 2 standard deviations of randomly occurring compound events. This includes variations of several parameters to test the stability of the identified patterns. Finally, we analyse if the observed compound extreme events had a common large-scale meteorological driver. The results of our investigation show that rivers along the west-facing coasts of Europe experienced a higher amount of compound flood events than expected by pure chance. In these regions, the vast majority of the observed compound flood events seem to be related to the cyclonic westerly general weather pattern (Großwetterlage).

Joint Occurrence of Spectral Accelerations Between Horizontal and Vertical Ground Motions

ABSTRACT This paper estimates the joint occurrence of spectral accelerations (SA) between horizontal (HGM) and vertical ground motions (VGM) based on the NGA-West2 ground motion database, which includes the correlation model and joint distribution model. In this study, the correlation model calculated via CB14 horizontal ground motion prediction equation (GMPE) and BC16 vertical GMPE is obtained. It is verified that the joint distribution of residuals follows a multivariate normal distribution via both a set of quantitative validation methods and a qualitative validation method. Conditional mean spectra of VGMs conditioned on SAs of HGMs are studied as an application of joint occurrence of SA V–SA H.

Bivariate logistic regression model diagnostics applied to analysis of outlier cancer patients with comorbid diabetes and hypertension in Malawi

The joint occurrence of diabetes and hypertension conditions in a patient is common. The two diseases share a number of risk factors, and are hence usually modelled concurrently using bivariate logistic regression. However, the postestimation assessment for the model, such as analysis of outlier observations, is seldom carried out. In this article, we apply outlier detection methods for multivariate data models to study characteristics of cancer patients with joint outlying diabetes and hypertension outcomes observed from among 398 randomly selected cancer patients at Queen Elizabeth and Kamuzu Central Hospitals in Malawi. We used R software version 4.2.2 to perform the analyses and STATA version 12 for data cleaning. The results showed that one patient was an outlier to the bivariate diabetes and hypertension logit model. The patient had both diabetes and hypertension and was based in rural area of the study population, where it was observed that comorbidity of the two diseases was uncommon. We recommend thorough analysis of outlier patients to comorbid diabetes and hypertension before rolling out interventions for managing the two diseases in cancer patients to avoid misaligned interventions. Future research could perform the applied diagnostic assessments for the bivariate logit model on a wider and larger dataset of the two diseases.

Exoduster Entrepreneurs: Distinctiveness and Segregation in Minority Communities

Abstract This study examines the creation of Black communities in the context of the Exoduster movement, the first major migration of African Americans out of the southern and border states. We focus initially on Nicodemus, Kansas, a site with well-preserved archival information, and then turn to census microdata on roughly three-hundred African-American communities that emerged in Kansas, Colorado, and Oklahoma between 1880 and 1920. Analysis of these communities informs a general model of minority-majority group relations that is differentiated along two dimensions: spatial segregation and the distinctiveness of business activities. Under conditions of prejudice from the majority ethno-racial group, the model predicts that rates of minority business proprietorship and community growth will increase with segregation and distinctiveness, but that the joint occurrence of these conditions presents an existential threat. We draw conclusions for the trajectories of several well-known Black communities, including Nicodemus, Tulsa, and Langston, Oklahoma.

Increased likelihood of compound dry and hot extremes in India

Compound dry and hot extremes (CDHE) are periods of prolonged dry and hot weather. Their joint occurrence typically impacts society and nature stronger compared to the occurrence of the single hazards. Understanding the likelihood, variability and drivers of CDHE is challenging due to the complexity of the climate system involving interactions and feedbacks among atmosphere-land processes. In this study, we first investigate the role of the dependence between precipitation and temperature for the likelihood of CDHEs. We demonstrate that both the dependence strength and its type, i.e. the degree of tail dependence, substantially affect the CDHE likelihood. We then analyze the space-time variation of CDHE characteristics during the Indian Summer Monsoon across India for the period 1961–2014. We find strong negative association and substantial tail dependence between precipitation and temperature in some regions. Event coincidence analysis reveals that low soil moisture preconditioned by dry extremes is responsible for 55–65% of CDHE occurrence. Our analysis of the temporal evolution of CDHE characteristics finds an increasing negative association between precipitation and temperature leading to a 2 to 3-fold rise of CDHE frequency for some regions of India.

Validation of short-term prediction of added resistance in head seas considering wave steepness nonlinearity with probability density function method

The added resistance in waves, which is an important component in the estimation of actual sea performance of ships, has been evaluated as the average value by short-term prediction methods. In this paper, a novel probabilistic method to account for non-linearities of added resistance with respect to wave height in short-term sea conditions is proposed using the joint occurrence probability distribution of wave height and period and non-linear added resistance response in the frequency region. It is a method of averaging the combination of crest and trough that ships encounter in irregular waves, which is considered as one wave of the regular waves, and the resulting added resistance is combined stochastically. The non-linearity with respect to wave height is empirically expressed as a “correction coefficient” obtained from the comparison of CFD data and potential-based linear calculation results in regular waves. The results of the proposed method have a reasonable agreement in the acceptable range of accuracy with results of RANSE based CFD numerical simulations in long crested irregular waves and the experimental model tests. As a result, the proposed method is applicable for obtaining added resistance in irregular head waves having the non-linearity with respect to wave height with a scope of further improvement in the method.

Simulation of the Erosion-Corrosion Destruction Process of Steam Turbine Low-Pressure Cylinder Blades

This paper is devoted to the important problem of creating a method for predicting the intensity of erosion-corrosion destruction of the working blades material of low-pressure stages of powerful steam turbines, considering the complex physical processes that accompany the emergence, transformation of erosion-hazardous droplets and their interaction with elements of the flow path. The features of the construction of some existing erosion models are considered. The model that is developed at the Institute of Mechanical Engineering Problems of the National Academy of Sciences of Ukraine and based on a deterministic-statistical approach to its creation is analyzed in detail. The calculations performed during the research showed a satisfactory coincidence with the results of experimental tests by various authors, obtained on droplet impact stands, which contributed to the successful use of the model in creating a comprehensive method of predicting the wear of working blades. To do this, it was supplemented by the method of determining the parameters of the erosive environment based on the droplet movement equation, taking into account the size distribution law. Along with that, it is shown that the considered model, although it allows to carry out fairly accurate prediction of the development of erosive wear at the modern level, has difficulties in its construction due to the need to identify it from the data of full-scale experiments, the number of which is limited. It has been established that one of the important reasons for the discrepancies that arise is the failure to include of the electrophysical component of the processes occurring in a two-phase flow. In this regard, the results of comprehensive studies of steam electrization and its influence on the working processes of wet steam turbines are considered. It is shown that the change in the properties of the working medium as a functional erosive medium as a result of electrification causes a significant increase (relative to neutral wet steam) of electrochemical processes. At the same time, the kinetics of the damage accumulation to the metal surface layer changes due to the joint occurrence of several negative processes: droplet impact influence; electrochemical processes caused by mechanical and structural and chemical heterogeneity of the surface; hydrogen absorption; changes in mechanical properties under the electric field influence. It was noted that the contribution of hydrogen absorption to changes in mechanical properties is the greatest. According to a preliminary assessment, the complex negative droplet impact and electrophysical influence on the metal surface reduces the incubation period and intensifies the erosion-corrosion process by approximately 2 times

Problematic features of episode-based definitions of depression and a preliminary proposal for their replacement.

Episodes of depression are constructed by imposing temporal and symptom-severity thresholds onto symptom levels that vary over time, resulting in a loss of information. Consequently, it is widely acknowledged that binary categorization of depressive episodes is problematic. Binary classification can make similar symptom levels appear different and different symptom levels appear similar. Furthermore, symptom severity is only one of several thresholds that are applied in the construction of depressive episodes in DSM-5 and ICD-11, others being: a minimum duration of symptoms, the application of a "no significant symptoms" threshold for remission, and time requirements (e.g., 2 months) for remission. Application of each of these thresholds leads to a loss of information. The joint occurrence of these four thresholds creates a complex set of circumstances in which similar patterns of symptoms may be categorized differently and different patterns may be categorized as similar. The ICD-11 definition can be expected to lead to better classification than the DSM-5 approach since it does not require two symptom-free months for remission, eliminating one of four problematic thresholds. A more radical change would be to adopt a truly dimensional perspective which would need to incorporate new elements to reflect time spent at various levels of depression. Such an approach, however, seems feasible both in clinical practice and research.

Severe Microcytic Anemia Caused by Complex Hereditary Spherocytosis and X-Linked Sideroblastic Anemia with Mutations in SPTB and ALAS2 Genes

We report a case of severe anemia caused by complex hereditary spherocytosis (HS) and X-linked sideroblastic anemia (XLSA) with two mutations in the spectrin beta (SPTB) and 5-aminolevulinic acid synthase (ALAS2) genes. The proband was a 16-year-old male with severe jaundice and microcytic hypochromic anemia since his childhood. He had more severe anemia requiring erythrocyte transfusion, and had no response to vitamin B6 treatment. Next-generation sequencing (NGS) revealed double heterozygous mutations, one in exon 19 (c.3936G > A:p.W1312X) of the SPTB gene and another in exon 2 (c.37A > G:p.K13E) of the ALAS2 gene, and confirmed again by Sanger sequencing. The mutation of ALAS2 (c.37A > G) is inherited from his asymptomatic heterozygous mother, causing amino acid p.K13E, and the mutation has not yet been reported. The mutation of SPTB (c.3936G > A) is a nonsense mutation, leading to a premature termination codon in exon 19, and the mutation in the SPTB gene is not found in any of his relatives, which indicates a de novo monoallelic mutation. Conclusions: The double heterozygous mutations in the SPTB and ALAS2 genes lead to the joint occurrence of HS and XLSA in this patient, and are implicated in the more severe clinical phenotypes.