TAC Method for Fitting Exponential Autoregressive Models and Others: Applications in Economy and Finance

Round 1

Reviewer 1 Report

The paper: Method for Fitting Exponential Autoregressive Models and Others: Applications in Economy and Finance, is providing less then it states in the title and this is a serious issue.

 

Sections 1-5 are nicely and clearly written but when it comes to Examples the paper completely miss the point it was written for.

 

In the text for some reasons there are harts and spades.

 

In the Example session instead of using economics or financial data authors use:

We are going to fit data coming from a thermometer achieving thermal balance at the bottom of the ocean. (after line 382 page 14)

 

Again, on page 14

395 5.2. Exponential decay attaining the max-norm in 4 indices

 

Again, data is coming from a thermometer

399 -also coming from a thermometer achieving thermal balance.

 

 

Finally, most troubling application is:

 

efficacy of commodities including drugs of abuse, and have been shown to be

412 related to other markers of addiction

 

There is no verifiable source of drugs of abuse and again that has nothing to do with economics and finance.

The title is misleading.

 

The figures on page 15:  this is not clear enough and I don't see caption of the figure and it is in the middle of the page 15

What data do they actually represent?

 

Page 17: Figure 4: Observation points from what?

 

Page 17 line 447:  every observation depends on the previous ones. Would you please explain what is this data that depends on previous ones? In the previous example you were talking about drug abuse. Are you here using some other data? If so please explain which data and why do they depend on previous ones.

 

If this paper is to be accepted the whole section 6 has to be rewritten using economics or financial data.

 

Author Response

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Author Response File: Author Response.pdf

Reviewer 2 Report

The study solves a problem of approximation 2 with exponential functions. The results that completely solve the problem of the best approximation by means of exponential functions. The authors proposed  a numerical algorithm for fitting data by exponential patterns. The mathematical side is carefully prepared and clearly presented.

 

Major concern - the problem definition

The paper focuses on the demand curve. The way of problem definition reveals pure economic background on that fact. It is one of the fundamental economic laws that with the price increase, the demand decreases. However, it does not apply to each good or service. The paper by Hursh and Silberbeg (2008) touches on a specific situation put in behavioral economics. It does not represent the typical case. The problem of addiction is psychological, and its consequences are often economic (but not only). This reference provides very weak relevance to economic issues. The reference to papers [9], [10], and [11] confirms my concern.

The second problem, nonlinearity in time series models, is not specific to economics and finance. It can appear in different areas. So the problem authors want to address is to show the relevance of their algorithm defined in [1] to the exponential autoregressive model.

Also the conclusion is absent from the text it should be added

The authors need to describe the economic applications of their mathematical solutions more carefully. Please bear in mind the economists reading the text know the demand curves very well. In this context, the authors' algorithm and economic applications can be of little relevance.

 

 

Minor concerns

TAC – the abbreviation should be revealed

Footnote no two is written in Spanish.

¿No sería conveniente tirar aquí del Corolario 4.2?

The title of figure 2: In the numerical analysis – a typo appears

 

Author Response

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Author Response File: Author Response.pdf

Reviewer 3 Report

The structure of paper has not been chosen appropriately because it complicates comprehensiveness for readers. The aim of the paper does not seem clear because its explanation has not been provided. The paper itself just only provides the theoretical framework for the algorithms of fitting exponential autoregressive models. Although the paper title already mentions possible applications in economy and finance. These applications are just marginal and do not provide any practical guidelines for economists. The paper misses conclusion, discussion of limitations, further steps of research etc.

The authors should pay more attention to the formal style of paper. There are many places in the paper where the numbers counting lines are missing. Figures and tables miss titles and their sources. Descriptions below figures do not follow scientific style. They are written in the form of informal speech between colleagues. There is too much space above Figure 2. Paper contains two footnotes which are not written in English. Data availability statement should be modified according the current situation. The list of abbreviations contains only one abbreviation.

If the paper is recommended by reviewers it seems necessary to rewrite the abstract. The aim of the paper has to be clear from the abstract as well as from introduction (line 14 does not explain the aim). Abstract does not contain any conclusions, possible applications should be pointed out in economics and finance.

The presented paper is a scientific text and therefore I would recommend not to use personal pronouns (we, our) and present it less subjectively and more objectively.

 

References

              The number of references is limited and current scientific papers are based on more references.

 

Language/grammar

              There are several language issues which should be checked or corrected.

• The verb focus is used with a wrong preposition – the correct collocation is focus on. This repeats in the paper several times.
• Line 21 – the word a good does not exist, it is used in a form of goods.
• Line 176 – there should be a comma after First
• The dash – is many times used in the text. The dash should be separated by space on left as well as on right.
• Lines 328 and 336 contain unfinished sentences.
• Line 366 – the word namely: is not connected with the following text.

Author Response

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Author Response File: Author Response.pdf

Round 2

Reviewer 1 Report

I cannot go into algorithms because I don’t have sufficient knowledge, but at least one economical example is given that allows you too use the title. Since I don’t know that much about algorithms, could you please add another fit of S&P500 data with the textbook Arima model (also autoregressive and used widely for prediction) and check the performance of your model against this simple one and show the superiority of your algorithm.

Author Response

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Author Response File: Author Response.pdf

Reviewer 3 Report

The paper has not been significantly modified. Abstract should be rewritten and conclusion should be added to the paper. The paper seems unfinished in this way. Some economic applications have been added but their advantages and applicability is questionable. From the formal point of view, the paper still does not follow the journal template. Authors provided the response to reviewers comments but majority of comments was not reflected in the updated version. The key points is following. The aim of the paper does not seem clear because its explanation has not been provided. 

Lines 478, 479 are empty.

Line 480 – We have consider – inappropriete form.

 

Author Response

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Author Response File: Author Response.pdf