modeling dependence and tails of financial time series

... for the real price -series of Fig (top left) and a random walk price -series (top right) Bottom: histogram of individual agents’ time- averaged success rate ance) in the prediction of N0−1 using S0−1 ... predictive capability of multi-agent games over different time- scales and markets Acknowledgements We thank P.M Hui, D Challet and D Sornette for discussions, and J James of Bank One for the hourly ... N0 = N1 ) and active-strategy scores, continually injects stochasticity We run P (t) through a trial thirdparty game to generate an estimate of S0 and S1 at each timestep, the number of active...

Ngày tải lên: 23/04/2014, 16:11

... Kendall’s tau is a type of measurement on the dependence between the continuous random variables X and Y Let random vector (X1 , Y1 ) and (X2 , Y2 ) are two i.i.d copies of the random vector (X, Y ... function and density function of U respectively, L2 (v) and l2 (v) be the distribution function and density function of V respectively, we use the optimal global bandwidths of the kernel estimators of ... means X and Y are independent Property If X and Y are continuous random variables in R with a copula function CXY , α and β are strictly monotone transformation of X and Y respectively, α(X) and...

Ngày tải lên: 26/11/2015, 23:08

... Analysis of Financial Time Series Second Edition RUEY S TSAY University of Chicago Graduate School of Business A JOHN WILEY & SONS, INC., PUBLICATION Analysis of Financial Time Series WILEY SERIES ... Chicago, Illinois CHAPTER Financial Time Series and Their Characteristics Financial time series analysis is concerned with the theory and practice of asset valuation over time It is a highly empirical ... Analysis of Financial Time Series, Second Edition Copyright  2005 John Wiley & Sons, Inc By Ruey S Tsay FINANCIAL TIME SERIES AND THEIR CHARACTERISTICS estimation methods and neural networks and...

Ngày tải lên: 05/03/2016, 13:14

... application of financial derivatives For a time series approach, the books of Hamilton [81], of Box et al [21], and of Taylor [158] provide intensive and comprehensive treatment of modeling financial time ... and properties of ARCH/GARCH model 83 4.2.3 Property of time duration dependence of kurtosis for GARCH model 84 4.2.4 Time duration dependence of kurtosis of ... different asset series, suggesting that the CPD may serve as another measure characterizing volatility in FTS 1.2 Time Series Modeling of Volatility Clustering 1.2 1.2.1 Time Series Modeling of Volatility...

Ngày tải lên: 16/09/2015, 08:31

... Phương pháp nghiên cứu khoa học “User’s perceptions and uses of financial reports of small and medium companies (SMCs) in transitional economies” thật cần thiết Đọc nghiên...

Ngày tải lên: 25/12/2013, 15:10

... robust and consistently applied regulation and oversight of global CCPs; (iii) resolution and recovery regimes that ensure the core functions of CCPs are maintained during times of crisis and that ... be fulfilled efficiently and effectively during normal times and in times of crisis Central banks, market regulators and overseers have a long history of cooperating and coordinating their efforts ... necessary to ensure that the core functions of CCPs, and other types of FMI, can be maintained during times of crisis and in a manner that considers the interests of all jurisdictions where the CCP is...

Ngày tải lên: 17/02/2014, 21:20

... effective interest of 19,708 for the irst six months is calculated as: Amortised cost at the beginning of the period of 450,000 EIR of 4.3796% The amortised cost at the end of the period is calculated as: ... requirements on determination and presentation of income and expense on available-for-sale debt investments It also shows when foreign exchange gains and losses and interest income from debt ... effective and insightful advice to our global investment management clients Our professionals in Audit, Tax and Advisory are specialists in their ields and have deep experience in the issues and needs...

Ngày tải lên: 30/03/2014, 03:20

... CA, USA Prof Yasuo Kuniyoshi The University of Tokyo, Japan Prof Hiroshi G Okuno Kyoto University, Japan Prof Helge Ritter University of Bielefeld, Germany Prof Giulio Sandini University of Genova, ... However, the curse of dimensionality, the exponential dependence of memory and computation resources needed on the dimensionality of the state and control, limits the application of dynamic programming ... u − ui , and 3) a local second order Taylor series approximation of the one step cost, which is often known analytically for human specified criteria (Lxx and Luu correspond to Q and R of LQR design):...

Ngày tải lên: 05/05/2014, 15:17

... each of the study questions, including the study site, the study month (a measure of the effect of time) , the number of monthly MD/MO visits (a measure of MD/MO capacity), and the number of monthly ... Beira and Chimoio, the capitals of Sofala and Manica provinces, respectively These cities lie on the main transport corridor linking the port city of Beira with the Republic of Zimbabwe, and are ... the deterioration of human resource capacity and inhibited the rapid scale-up of HIV care and treatment [6,7] New models of care provision are needed to improve efficiency of existing health...

Ngày tải lên: 18/06/2014, 17:20

... and 120 minutes of incubation and in amino acid deprivation after 1, 1.5 and hours of incubation [16]; six profiles in histidine starvation and various Gcn4 perturbations [17]; six profiles of ... conditions with and without Leu3 perturbation [18]; and six profiles in nitrogen depletion after 8, 12 and 24 hours of treatment and in amino acid and adenine starvation after 1, and hours of treatment ... its modeling and refinement capabilities, which fit the needs and workflow of biological investigations It allows streamlined cycles of probabilistic modeling, laboratory experimentation and...

Ngày tải lên: 14/08/2014, 08:20

Ngày tải lên: 14/11/2014, 07:51

... profit) into discretionary accruals and non-discretionary accruals and use the latter as a sign of existence or level of earnings management In view of the non -time series characteristics of ... overall tendency of reducing earnings (the mean of DAt / At-1 is negative) Also, the maximum value and minimum value of DAt / At-1 are 1.45 and −1.07 respectively (i.e 1.45 and 1.27 times of companies’ ... kind of correlation between board characteristics and the quality of financial reporting, we were incapable of explaining how the board characteristics influence and improve the quality of financial...

Ngày tải lên: 02/01/2015, 17:34

... (Ng, 2011) The presence of a part of a negative relationship between the quality of disclosure of information and the level of information asymmetry and the existence of positive correlation ... Journal of Social Sciences Published by MCSER-CEMAS-Sapienza University of Rome Vol No May 2013 of governance and the quality of financial information as such, Demsetz and Lehn (1985) ; Hermalin and ... shareholders and the market in general, reflect the efficiency of the whole mechanism and not a single attribute at the time of their assessment of the quality of governance Indeed, the efficiency and...

Ngày tải lên: 06/01/2015, 19:47

... Log of the sum of number of trades of firm’s common and proffered stock in the RTS during the quarter Log of Book value of assets [Book value of debt/Book value of assets], winsorized at 1% and ... Description Log of [Market value of assets / Book value of assets] Market value of assets is estimated as [market value of common stock + market value of preferred stock + book value of debt] Log of [Market ... value of debt over market value of assets, and book value of debt over book value of equity), and different performance measures (operating income to sales, and operating income to assets) Most of...

Ngày tải lên: 06/01/2015, 19:48

... Phương pháp nghiên cứu khoa học nghiên cứu “User’s perceptions and uses of financial reports of small and medium companies (SMCs) in transitional economies” thật cần thiết Đọc nghiên...

Ngày tải lên: 13/04/2015, 23:14

... inspection of their time series plots All the series are then transformed into logarithms and rates of growth of all the variables are approximated by first differences of the logarithms of the corresponding ... the Ionian island of Corfu and the island resorts of Myconos, Santorini, Paros and Crete For these reasons, Greece is one of the best places in tourism and an important percentage of the country's ... and change in the price of "basket" of selected consumer goods and services in a certain period of time Price of basket of goods and services in base period is set at 100, and in other periods is...

Ngày tải lên: 18/05/2015, 03:46

... STABILIZATION AND CONTROL OF UNSTABLE TIME DELAY SYSTEMS LEE SEE CHEK (B.Eng (Hons., 1st Class) UTM, M.Sc NUS) A THESIS SUBMITTED FOR THE DEGREE OF DOCTOR OF PHILOSOPHY DEPARTMENT OF ELECTRICAL AND COMPUTER ... a and ¯ denote, respectively, static gain, lead b term and lag term of the controller We adopt the formulation in Chapter 2.2, which ¯ scales down the time delay and all time constants by λ, and ... this opportunity to thank Prof Lee Tong Heng, Prof Ben Chen, Assoc Prof Xiang Cheng and Prof Xu Jianxin for their courses which built up my fundamentals on the theory of control Besides, I am grateful...

Ngày tải lên: 09/09/2015, 17:57

... Prof Rangaiah, Prof Jim Yang Lee and Prof M P Srinivasan for giving me an opportunity to teach undergraduate iii modules Their feedback and the achievements of Prof Laksh and Prof Nandakumar in teaching ... comments and suggestions from my panel members Prof Farooq, Prof M S Chiu and Prof A K Ray helped me a lot throughout the journey of my research I am very much indebted to Prof Krishna, Prof Rangaiah, ... their time with me in clarifying some intricate concepts in spite of their busy schedule Also, many fruitful discussions and group seminars with Prof Sirish Shah, Prof Nandakumar and Prof Biao...

Ngày tải lên: 14/09/2015, 12:30

... i < j, and recalling that V (of, b) [ of, 2b–1 of] , then it is straightforward to see that V (of, bi) ⊂ V (of, bj) if i < j It follows by induction that that V (of, bi) ⊂ V (of, bK-1) ∀i ∈ Z + and i < ... window of contexts is within the interpretation interval [ of, 2b–1 of] Given that the compressor is using a single fixed WLSB code (b, of) and denoting the interpretation interval [ of, 2b–1 of] ... SUMMARY iv LIST OF FIGURES v LIST OF TABLES vi LIST OF SYMBOLS vii LIST OF ABBREVIATIONS ix Chapter Introduction 1.1 Motivation 1.2 Contributions 1.3 Thesis Layout and Notation Background and Problem...

Ngày tải lên: 16/09/2015, 12:35