Ebook Quantitative finance for physicists an introduction Part 2

... and integrity of this document Date: 2005.06.16 05:44:41 +08'00' QUANTITATIVE FINANCE FOR PHYSICISTS: AN INTRODUCTION This page intentionally left blank QUANTITATIVE FINANCE FOR PHYSICISTS: AN ... Econophysics and agent-based modeling of financial markets This book can be used for self-education or in an elective course on Quantitative Finance for science and e...

Ngày tải lên: 31/03/2014, 22:21

... QUANTITATIVE FINANCE FOR PHYSICISTS: AN INTRODUCTION This page intentionally left blank QUANTITATIVE FINANCE FOR PHYSICISTS: AN INTRODUCTION ANATOLY B SCHMIDT ... Physica A and Quantitative Finance. 2 The agent-based modeling of financial markets was introduced by mathematically inclined economists (see [12] for a review) Not surprisingly, physicists, being ... agent-based...

Ngày tải lên: 04/04/2017, 08:52

... MARKETERS RESPONDED TO DEMAND AND BRANDS GAINED ALL WE WANTED WAS A BIT OF CREDIT BUT THE OLD LAWS STILL SAID NO SHARING IS PERMITTED SO SOME OF THE WORLD’S MOST RESPECT AND MADE THIS c INTO THIS cc NOW ... TIME WHENEVER SOMETHING Let’s sa y yo u wrot a bo e ok IT WAS HARD FOR OTHERS TO YOUR WORK WAS 300 YEARS AGO COPYRIGHT LEGISLATION WAS INTRODUCED AS SOON AS YOU MADE SOMETHING TA...

Ngày tải lên: 29/05/2014, 17:05

... own right 1. 1 Who Should Take This Class The main goal of this class is to present a collection of mathematical tools for both understanding and solving problems in robotics and computer vision ... superposition of forces states that if force f1 produces acceleration a1 (both possibly vectors) and force f produces acceleration a2, then the combined force f1 + f2 produces accel...

Ngày tải lên: 10/08/2014, 02:20

... kck, and kb ; ck yields kb ; ck2 = kbk2 + kck2 ; 2kbk kck cos and from equation (2. 8) we obtain bT b + cT c ; 2bT c = bT b + cT c ; 2kbk kck cos : Canceling equal terms and dividing by -2 yields ... is j =2 j j m 2 X kbk = b1 + k j =2 bj ej k : Pythagoras’ theorem can now be applied again to the last sum by singling out its first term conclusion, kbk2 = m X j =1 b e2 , and so fo...

Ngày tải lên: 10/08/2014, 02:20

... Since we look for the minimum-norm solution, that is, for the shortest vector x, we also want the shortest y, because x and y are related by an orthogonal transformation We therefore set yr+1 ... therefore unique: minimum residual forces the choice of y1 : : : yr , and minimum-norm solution forces the other entries of y Thus, the minimum-norm, least-squares solution to the original sy...

Ngày tải lên: 10/08/2014, 02:20

... most problems in robotics, vision, and arguably every other science or endeavor take on the form of optimization problems One is that the desired goal may not be achievable, and so we try to ... yk+1 arguments and proofs below are adapted from D G Luenberger, Introduction to Linear and Nonlinear Programming, Addison-Wesley, 1973 From the definition of e and from equation (4 .5) we...

Ngày tải lên: 10/08/2014, 02:20

... : (5.13) If x = ei , the i-th column of the n n identity matrix, B e i is the i-th column of B , and B H ei is the i-th column of B H , which is the conjugate of the i-th row of B Since conjugation ... but so do, for instance, unitary (and therefore also real orthogonal) matrices: UU H = U H U = I : Thus, Hermitian, real symmetric, unitary, and orthogonal matrices are all normal  68...

Ngày tải lên: 10/08/2014, 02:20

... “iterative” in computer science 7.3 STATE ESTIMATION 89 yk-1 yk yk+1 time k-1 k+1 k ^ yk | k-1 Hk ^ xk-1 | k-1 Pk-1 | k-1 propagate ^ xk | k-1 Pk | k-1 update ^ xk | k Pk | k propagate ^ xk+1 | k Pk+1 ... “Kalman filter-based algorithms for estimating depth from image sequences,” International Journal of Computer Vision, 3(3):20 9-2 36, September 1989; and T.J Broida, S Chandrashekhar,...

Ngày tải lên: 10/08/2014, 02:20

... since E 93 Ln] = L E n] and E n] = For this to hold for all x we need I ; LH = And now the main result Theorem 7.4.2 The Best Linear Unbiased Estimator (BLUE) ^ = Ly x for the measurement model ... matrices, and the Kalman filter makes optimal use of this information for a proper weighting of each of the scalar equations in (7.23) Better information ought to yield more accurate r...

Ngày tải lên: 10/08/2014, 02:20

... 81 82 84 85 95 10 9 xiii xiv C++ for Mathematicians 6.3 7 .1 7.2 7.3 8 .1 8.2 8.3 8.4 8.5 8.6 8.7 8.8 9 .1 9.2 9.3 10 .1 10.2 10 .3 10 .4 10 .5 10 .6 10 .7 10 .8 10 .9 10 .10 10 .11 10 .12 10 .13 11 .1 11. 2 ... 18 6 19 1 19 2 19 7 19 8 19 8 19 9 200 202 203 207 217 226 230 230 2 31 236 240 2 41 247 255 256 256 2 71 275 277 280 285 xv Programs 14 .1 14.2...

Ngày tải lên: 12/08/2014, 12:20

... thousand 200 thousand 30 0 thousand 400 thousand 500 thousand 600 thousand 700 thousand 800 thousand 900 thousand 1000 thousand ¦ ¤ 0.607 930 1507 0.60792994587500004 0.607927744077777 83 0.60792759 136 874996 ... 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 C++ fo...

Ngày tải lên: 12/08/2014, 12:20

... 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 C++ for Mathematicians } double ... 129 130 131 132 133 134 1 35 136 137 138 139 140 141 142 143 144 1 45 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 1 65 166 C++ for Ma...

Ngày tải lên: 12/08/2014, 12:20

... 2 56 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 2 76 277 278 279 280 281 282 C++ for Mathematicians Polynomial ans; ans = (*this).pow(half_k); ans *= ans; ans ... 1 46 147 148 149 150 151 152 153 154 155 1 56 157 158 159 160 161 162 163 164 165 166 167 168 169 170 C++ for Mathematicians ans += coef[k]; } return ans; } K operator()(K a) const {...

Ngày tải lên: 12/08/2014, 12:20