Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a time-varying network for cryptocurrencies, based on the evolution of ret
urn cross-predictability and technological similarities. We develop a dynamic covariate-assisted spectral clustering method to consistently estimate the latent community structure of cryptocurrencies network that accounts for both sets of information. We demonstrate that investors can achieve better risk diversification by investing in cryptocurrencies from different communities. A cross-sectional portfolio that implements an inter-crypto momentum trading strategy earns a 1.08% daily return. By dissecting the portfolio returns on behavioral factors, we confirm that our results are not driven by behavioral mechanisms.
This paper proposes a novel model for predicting subgraphs in dynamic graphs, an extension of traditional link prediction. This proposed end-to-end model learns a mapping from the subgraph structures in the current snapshot to the subgraph structures
in the next snapshot directly, i.e., edge existence among multiple nodes in the subgraph. A new mechanism named cross-attention with a twin-tower module is designed to integrate node attribute information and topology information collaboratively for learning subgraph evolution. We compare our model with several state-of-the-art methods for subgraph prediction and subgraph pattern prediction in multiple real-world homogeneous and heterogeneous dynamic graphs, respectively. Experimental results demonstrate that our model outperforms other models in these two tasks, with a gain increase from 5.02% to 10.88%.
Datasets from field experiments with covariate-adaptive randomizations (CARs) usually contain extra baseline covariates in addition to the strata indicators. We propose to incorporate these extra covariates via auxiliary regressions in the estimation
and inference of unconditional QTEs under CARs. We establish the consistency, limiting distribution, and validity of the multiplier bootstrap of the regression-adjusted QTE estimator. The auxiliary regression may be estimated parametrically, nonparametrically, or via regularization when the data are high-dimensional. Even when the auxiliary regression is misspecified, the proposed bootstrap inferential procedure still achieves the nominal rejection probability in the limit under the null. When the auxiliary regression is correctly specified, the regression-adjusted estimator achieves the minimum asymptotic variance. We also derive the optimal pseudo true values for the potentially misspecified parametric model that minimize the asymptotic variance of the corresponding QTE estimator. We demonstrate the finite sample performance of the new estimation and inferential methods using simulations and provide an empirical application to a well-known dataset in education.
In complex multivariate data sets, different features usually include diverse associations with different variables, and different variables are associated within different regions. Therefore, exploring the associations between variables and voxels l
ocally becomes necessary to better understand the underlying phenomena. In this paper, we propose a co-analysis framework based on biclusters, which are two subsets of variables and voxels with close scalar-value relationships, to guide the process of visually exploring multivariate data. We first automatically extract all meaningful biclusters, each of which only contains voxels with a similar scalar-value pattern over a subset of variables. These biclusters are organized according to their variable sets, and biclusters in each variable set are further grouped by a similarity metric to reduce redundancy and support diversity during visual exploration. Biclusters are visually represented in coordinated views to facilitate interactive exploration of multivariate data based on the similarity between biclusters and the correlation of scalar values with different variables. Experiments on several representative multivariate scientific data sets demonstrate the effectiveness of our framework in exploring local relationships among variables, biclusters and scalar values in the data.
Multivariate spatial data plays an important role in computational science and engineering simulations. The potential features and hidden relationships in multivariate data can assist scientists to gain an in-depth understanding of a scientific proce
ss, verify a hypothesis and further discover a new physical or chemical law. In this paper, we present a comprehensive survey of the state-of-the-art techniques for multivariate spatial data visualization. We first introduce the basic concept and characteristics of multivariate spatial data, and describe three main tasks in multivariate data visualization: feature classification, fusion visualization, and correlation analysis. Finally, we prospect potential research topics for multivariate data visualization according to the current research.
