Dynamic Copula Methods in Finance


Book Description

The latest tools and techniques for pricing and risk management This book introduces readers to the use of copula functions to represent the dynamics of financial assets and risk factors, integrated temporal and cross-section applications. The first part of the book will briefly introduce the standard the theory of copula functions, before examining the link between copulas and Markov processes. It will then introduce new techniques to design Markov processes that are suited to represent the dynamics of market risk factors and their co-movement, providing techniques to both estimate and simulate such dynamics. The second part of the book will show readers how to apply these methods to the evaluation of pricing of multivariate derivative contracts in the equity and credit markets. It will then move on to explore the applications of joint temporal and cross-section aggregation to the problem of risk integration.




Economic Growth and Financial Development


Book Description

This book looks into the relationship between financial development, economic growth, and the possibility of a potential capital flight in the transmission process. It also examines the important role that financial institutions, financial markets, and country-level institutional factors play in economic growth and their impact on capital flight in emerging economies. By presenting new theoretical insights and empirical country studies as well as econometric approaches, the authors focus on the relationship between financial development and economic growth with capital flight in the era of financial crisis. Therefore, this book is a must-read for researchers, scholars, and policy-makers, interested in a better understanding of economic growth and financial development of emerging economies alike.




Handbook of Time Series Analysis


Book Description

This handbook provides an up-to-date survey of current research topics and applications of time series analysis methods written by leading experts in their fields. It covers recent developments in univariate as well as bivariate and multivariate time series analysis techniques ranging from physics' to life sciences' applications. Each chapter comprises both methodological aspects and applications to real world complex systems, such as the human brain or Earth's climate. Covering an exceptionally broad spectrum of topics, beginners, experts and practitioners who seek to understand the latest developments will profit from this handbook.




2017 11th Asian Control Conference (ASCC)


Book Description

A broad in its scope, the ASCC 2017 Program addresses a spectrum of theoretical topics and a range of applications from industrial automation, robotics and mechatronics to process industries, manufacturing, transport, biology, medical and financial systems, cyber security, communication, education and social impact studies, etc




Frontiers in Computational and Systems Biology


Book Description

Biological and biomedical studies have entered a new era over the past two decades thanks to the wide use of mathematical models and computational approaches. A booming of computational biology, which sheerly was a theoretician’s fantasy twenty years ago, has become a reality. Obsession with computational biology and theoretical approaches is evidenced in articles hailing the arrival of what are va- ously called quantitative biology, bioinformatics, theoretical biology, and systems biology. New technologies and data resources in genetics, such as the International HapMap project, enable large-scale studies, such as genome-wide association st- ies, which could potentially identify most common genetic variants as well as rare variants of the human DNA that may alter individual’s susceptibility to disease and the response to medical treatment. Meanwhile the multi-electrode recording from behaving animals makes it feasible to control the animal mental activity, which could potentially lead to the development of useful brain–machine interfaces. - bracing the sheer volume of genetic, genomic, and other type of data, an essential approach is, ?rst of all, to avoid drowning the true signal in the data. It has been witnessed that theoretical approach to biology has emerged as a powerful and st- ulating research paradigm in biological studies, which in turn leads to a new - search paradigm in mathematics, physics, and computer science and moves forward with the interplays among experimental studies and outcomes, simulation studies, and theoretical investigations.




Machine Learning in Clinical Neuroimaging


Book Description

This book constitutes the refereed proceedings of the 4th International Workshop on Machine Learning in Clinical Neuroimaging, MLCN 2021, held on September 27, 2021, in conjunction with MICCAI 2021. The workshop was held virtually due to the COVID-19 pandemic. The 17 papers presented in this book were carefully reviewed and selected from 27 submissions. They were organized in topical sections named: computational anatomy and brain networks and time series.




Cointegration, Causality, and Forecasting


Book Description

A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.




Finite Mixture Models


Book Description

An up-to-date, comprehensive account of major issues in finitemixture modeling This volume provides an up-to-date account of the theory andapplications of modeling via finite mixture distributions. With anemphasis on the applications of mixture models in both mainstreamanalysis and other areas such as unsupervised pattern recognition,speech recognition, and medical imaging, the book describes theformulations of the finite mixture approach, details itsmethodology, discusses aspects of its implementation, andillustrates its application in many common statisticalcontexts. Major issues discussed in this book include identifiabilityproblems, actual fitting of finite mixtures through use of the EMalgorithm, properties of the maximum likelihood estimators soobtained, assessment of the number of components to be used in themixture, and the applicability of asymptotic theory in providing abasis for the solutions to some of these problems. The author alsoconsiders how the EM algorithm can be scaled to handle the fittingof mixture models to very large databases, as in data miningapplications. This comprehensive, practical guide: * Provides more than 800 references-40% published since 1995 * Includes an appendix listing available mixture software * Links statistical literature with machine learning and patternrecognition literature * Contains more than 100 helpful graphs, charts, and tables Finite Mixture Models is an important resource for both applied andtheoretical statisticians as well as for researchers in the manyareas in which finite mixture models can be used to analyze data.




Causality, Correlation And Artificial Intelligence For Rational Decision Making


Book Description

Causality has been a subject of study for a long time. Often causality is confused with correlation. Human intuition has evolved such that it has learned to identify causality through correlation. In this book, four main themes are considered and these are causality, correlation, artificial intelligence and decision making. A correlation machine is defined and built using multi-layer perceptron network, principal component analysis, Gaussian Mixture models, genetic algorithms, expectation maximization technique, simulated annealing and particle swarm optimization. Furthermore, a causal machine is defined and built using multi-layer perceptron, radial basis function, Bayesian statistics and Hybrid Monte Carlo methods. Both these machines are used to build a Granger non-linear causality model. In addition, the Neyman-Rubin, Pearl and Granger causal models are studied and are unified. The automatic relevance determination is also applied to extend Granger causality framework to the non-linear domain. The concept of rational decision making is studied, and the theory of flexibly-bounded rationality is used to extend the theory of bounded rationality within the principle of the indivisibility of rationality. The theory of the marginalization of irrationality for decision making is also introduced to deal with satisficing within irrational conditions. The methods proposed are applied in biomedical engineering, condition monitoring and for modelling interstate conflict.




Machine Learning for Cyber Physical Systems


Book Description

This Open Access proceedings presents new approaches to Machine Learning for Cyber Physical Systems, experiences and visions. It contains some selected papers from the international Conference ML4CPS – Machine Learning for Cyber Physical Systems, which was held in Karlsruhe, October 23-24, 2018. Cyber Physical Systems are characterized by their ability to adapt and to learn: They analyze their environment and, based on observations, they learn patterns, correlations and predictive models. Typical applications are condition monitoring, predictive maintenance, image processing and diagnosis. Machine Learning is the key technology for these developments.