177,308 research outputs found
Applications of hidden Markov models in financial modelling
No full textThis thesis was submitted for the degree of Doctor of Philosophy and was awarded by Brunel University.Various models driven by a hidden Markov chain in discrete or continuous time
are developed to capture the stylised features of market variables whose levels or
values constitute as the underliers of financial derivative contracts or investment
portfolios. Since the parameters are switching regimes, the changes and developments
in the economy as soon as they arise are readily reflected in these models.
The change of probability measure technique and the EM algorithm are fundamental
techniques utilised in the optimal parameter estimation. Recursive adaptive
filters for the state of the Markov chain and other auxiliary processes related to
the Markov chain are derived which in turn yield self-tuning dynamic financial
models. A hidden Markov model (HMM)-based modelling set-up for commodity
prices is developed and the predictability of the gold market under this setting is
examined. An Ornstein-Uhlenbeck (OU) model with HMM parameters is proposed
and under this set-up, we address two statistical inference issues: the sensitivity
of the model to small changes in parameter estimates and the selection of the optimal
number of states. The extended OU model is implemented on a data set of
30-day Canadian T-bill yields. An exponential of a Markov-switching OU process
plus a compound Poisson process is put forward as a model for the evolution of
electricity spot prices. Using a data set compiled by Nord Pool, we illustrate the
vast improvements gained in incorporating regimes in the model. A multivariate
HMM is employed as a framework in providing the solutions of two asset allocation
problems; one involves the mean-variance utility function and the other entails the
CVaR constraint. Finally, the valuation of credit default swaps highlights the important
considerations necessitated by pricing in a regime-switching environment.
Certain numerical schemes are applied to obtain approximations for the default
probabilities and swap rates.Brunel Research Initiative and Enterprise Fund (BRIEF) and European Union (Marie Curie Fellowship
Appropriate Similarity Measures for Author Cocitation Analysis
No full textWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
"Closing the R&D Gap, Evaluating the Sources of R&D Spending"
No full textBoth spending and tax policies have been implemented in the United States with the goal of stimulating private sector research and development (R&D). Karier questions whether current R&D policy, especially the research and experimentation tax credit, can contribute to closing the gap between nondefense expenditures on R&D in the United States and such expenditures in other countries, such as Japan and Germany. He also explores possible changes to our current R&D policy to make it more effective.
Going Beyond Counting First Authors in Author Co-citation Analysis
No full textThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
A partially linearized sigma point filter for latent state estimation in nonlinear time series models
No full textA new technique for the latent state estimation of a wide class of nonlinear time
series models is proposed. In particular, we develop a partially linearized sigma point filter in which random samples of possible state values are generated at the prediction step using an exact moment matching algorithm and then a linear programming-based procedure is used in the update step of the state estimation. The effectiveness of the new ¯ltering procedure is assessed via a simulation example that deals with a highly nonlinear, multivariate time series representing an interest rate process
Letter from R. R. Zellick, Assistant Trust Officer, Anglo California National Bank of San Francisco, to Joseph R. Goodman, October 2, 1942
No full textLetter from R. R. Zellick, Assistant Trust Officer at The Anglo California National Bank of San Francisco, to Joseph R. Goodman, regarding property owned by Dave Tatsuno. Zellick mentions a dispute between current tenants and Tatsuno, and that Tatsuno has asked Goodman to help locate trustworthy tenants.Personal correspondence, organizational records, government documents, publications, and other papers created or collected by Joseph R. Goodman documenting the forced removal and incarceration of Japanese Americans during World War II, as well as organized resistance to incarceration. Included in the collection are records of the Japanese Young Men's Christian Association and the Japanese American Citizens' League in San Francisco, including papers of the Japanese YMCA's executive secretary Lincoln Kanai; Sakai family papers; Goodman's correspondence to and from Japanese American incarcerees, organizations opposing forced removal and incarceration of Japanese Americans, the War Relocation Authority, and others; publications, photographs, and ephemera from the Topaz Relocation Center, where Goodman taught high school; War Relocation Authority records and publications; and newspaper clippings, pamphlets, and reports about forced removal and incarceration created by various government, religious, and civic organizations, in California and nationwide
Smoothed parameter estimation for a hidden Markov Model of credit quality
No full textWe consider a hidden Markov model of credit quality. We assume that the credit rating evolution can be described by a Markov chain but that we do not observe this Markov chain directly. Rather, it is hidden in “noisy” observations represented by the posted credit ratings. The model is formulated in discrete time with a Markov chain observed in martingale noise. We derive smoothed estimates for the state of the Markov chain governing the evolution of the credit rating process and the parameters of the model.Malgorzata W. Korolkiewicz and Robert J. Elliothttp://www.springer.com/business/operations+research/book/978-0-387-71081-
A new moment matching algorithm for sampling from partially specified symmetric distributions
No full textA new algorithm is proposed for generating scenarios from a partially specified symmetric multivariate distribution. The algorithm generates samples which match the first two moments exactly and match the marginal fourth moments approximately, using a semidefinite programming procedure. The performance of the
algorithm is illustrated by a numerical example
Dispelling the Myths Behind First-author Citation Counts
No full textWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
The term structure of interest rates in a hidden markov setting
No full textWe describe an interest rate model in which randomness in the shortterm interest rate is partially due to a Markov chain. We model randomness through the volatility and mean-reverting level as well as through the interest rate directly. The short- term interest rate is modeled in a risk-neutral setting as a continuous process in continuous time. This allows the valuation of interest rate derivatives using the martingale approach. In particular, a solution is found for the value of a zero-coupon bond. This leads to a non-linear regression model for the yield to maturity, which is used to filter the state of the unobservable Markov chain.Robert J. Elliot and Craig A. Wilsonhttp://www.springer.com/business/operations+research/book/978-0-387-71081-
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