1,721,086 research outputs found
Mathe
No full textThe focus of this contribution is to propose an improvement of technical analysis now widely used by many traders. The point is that a huge number of indicators and oscillators has been proposed in the literature but they do not always provide the same signals on a market trend reversal. Furthermore, it is well known that each indicator or oscillator depends on some parameters that are often selected in a subjective way. We are interested to propose a less subjective trading strategy. In this framework two problems arise: on one hand we have to find the weighted combination of the different indicators in order to provide the best possible signal, on the other hand we have to select the best setting of indicators’ and oscillators’ parameters. In other words we have to tackle an optimization problem that implies the conjoint choice of the parameters characterizing indicators and oscillators and of the associated weights providing a single signal
Varieties of Cubes of Opposition
No full textThe objects called cubes of opposition have been presented in the literature in discordant ways. The aim of the paper is to offer a survey of such various kinds of cubes and evaluate their relation with an object, here called "Aristotelian cube", which consists of two Aristotelian squares and four squares which are semiaristotelian, i.e. are such that their vertices are linked by some so-called Aristotelian relation. Two paradigm cases of Aristotelian squares are provided by propositions written in the language of the logic of consequential implication, whose distinctive feature is the validity of two formulas, A ->\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}\end{document} B superset of\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}\end{document} (A ->\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}\end{document}\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}\end{document} B) and A ->\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}\end{document} B superset of\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}\end{document} (\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}\end{document} A ->\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}\end{document} B), expressing two different forms of contrariety. Part of section 1 is devoted to define the notions of rotation and of r-Aristotelian square, i.e. a square resulting from some rotation of an Aristotelian square. In section 2 this notion is extended to the one of a r-Aristotelian cube, i.e. of a cube resulting from some rotation of some square of an Aristotelian cube. This notion is used in the sequel to analyze various cubes of oppositions which can be found in the literature: (1) the one used by W. Lenzen to reconstruct Caramuel's Octagon; (2) the one used by D. Luzeaux to represent the implicative relation among S5-modalities; (3) the one introduced by D. Dubois to represent the relations between quantified propositions containing positive predicates and their negations; (4) the one called Moretti cube.None of such cubes is strictly speaking Aristotelian but each of them may be proved to be r-Aristotelian. Section 5 discusses the assertion that Dubois cube was anticipated in a paper published by Reichenbach in 1952. Actually Dubois' construction was anticipated by the so-called Johnson-Keynes cube, while the Reichenbach cube, unlike Dubois cube, is an instance of an Aristotelian cube in the sense defined in this paper. The dominance of such notion is confirmed by J.F. Nilsson's cube, representing relations between propositions with nested quantifiers, and also by a cube introduced by S. Read to treat quantifiers with existential import. A cube similar to Read's cube, introduced by Chatti and Schang, is shown to be r-Aristotelian. In section 6 the author remarks that the logic of the formulas occurring in the cubes of Chatti-Schang and Read have the drawback of not satsfying the law of Identity. He then proposes a definition of non-standard quantifiers which satisfies Identity, are independent of existential assumptions and such that their interrelations are represented by an Aristotelian cube
The asymmetric threshold model ASETAR(2,1,1)
No full textIn this paper we present a generalization of the Self-exciting threshold autoregressive (SETAR) model introduced by Tong and Lim (1980). In the SETAR model the system works in different regimes in each of which a suitable linear model approximates the true behaviour of the system. The system switches between two regimes with regard to the value assumed by a delayed variable compared with the threshold. The generalization that we introduce in this paper is to consider the possible presence of asymmetric switching rule, that is, the value of the threshold depend on the regime in which the system is at time t −d. In particular we present the asymetric threshold autoregressive model ASETAR(2;1,1). For this model the thresholds needed to define the switching rule are two: the first drives the system from regime 1 to regime 2 and the second drives the passage from regimes 2 to 1. For this model we propose an iterative procedure to estimate the parameters and present it applyed to simulated time series
Test non parametrico per individuare la non linearità nelle serie storiche
No full textRapporti di Ricerca, Dipartimento di Statistica, Università Ca' Foscar
Measuring systemic risk through statistical combination
No full textAlthough many different definitions of systemic risks are introduced in the literature,
some scholars agree to consider that a measure of systemic risk should take into account the
links among the institutions of a network.
The first consequence is the proposal of different synthetic indices built on the bases of
some indicators, but this leads to use a procedure to summarize these indices in an
unidimensional one.
In the present work we pay attention to the relations among the financial institutions; in
particular, we propose an index combining several peculiar variables in order to rank the
financial institutions in the network depending on their risk index. The used variables are
those proposed by V-lab.
Moreover the combination technique may also be considered to perform nonparametric
inference, to treat non gaussian distributions as in the case of indices.
So we propose to highlight systemic risk in a network of companies performing a
nonparametric test to reveal a sort of heterogeneity behavior; in this case the rankings may
also be used to create different behavioral groups
Dal problema alla soluzione. Guida pratica per principianti alla programmazione in R
No full textIn un mondo in rapida evoluzione tecnologica è estremamente importante comprendere e adattarsi ai cambiamenti delle tecnologie computazionali e informatiche. Il principale obiettivo del testo è quello di fornire le basi per sviluppare alcune soft skill che aiutano a formalizzare algoritmi necessari per risolvere problemi. La programmazione diventa quindi utile per sviluppare tali competenze e a tal fine è stato scelto di usare come strumento il software R
Pricing Rainfall Derivatives by Genetic Programming: A Case Study
No full textIn this contribution we consider a genetic programming approach to price rainfall derivatives and we test it on a case study based on data collected from a meteorological station in a city in the northeast region of Friuli Venezia Giulia (Italy), characterized by a fairly abundant rainfall
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