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Bouleau, Nicolas - HAL - 2012

The aim of this article is to use probabilistic ideas to study predictive reasoning based on hypotheses and models, but without using Ito calculus, without writing any stochastic differential equations, in fact without writing any formulas at all. The aim is to extract from the study of...

Persistent link: https://www.econbiz.de/10010899270

Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems

Aloy, Marcel; Truchis, Gilles De - HAL - 2013

Estimation methods of bivariate fractional cointegration models are numerous. In most cases they have non-equivalent asymptotic and finite sample properties, implying diffculties in determining an optimal estimation strategy. In this paper, we address this issue by means of simulations and...

Persistent link: https://www.econbiz.de/10010933833

Pilotage d'une chaîne logistique par une approche de type MRP dans un environnement partiellement aléatoire

Giard, Vincent; Sali, Mustapha - HAL - 2012

This article focuses on the monitoring of a supply chain dedicated to the mass production of strongly diversified products. In particular we are interested in the part of this chain that contributes to the production of a set of alternative modules assembled on a work station of one or several...

Persistent link: https://www.econbiz.de/10010899826

A range based Multi-Actor Multicriteria Analysis to incorporate uncertainty in stakeholder based evaluation processes

Baudry, Gino; Macharis, Cathy; Vallée, Thomas - HAL - 2014

Increasing concerns about environmental and social impacts have made multicriteria analysis (MCA) increasingly popular in decision making processes. The present paper proposes a new methodology which allows taking into account multicriteria aspects, stakeholder's preferences and long time...

Persistent link: https://www.econbiz.de/10010821438

Double Kernel estimation of sensitivities

Elie, Romuald - HAL - 2009

This paper adresses the general issue of estimating the sensitivity of the expectation of a random variable with respect to a parameter characterizing its evolution. In finance for example, the sensitivities of the price of a contingent claim are called the Greeks. A new way of estimating the...

Persistent link: https://www.econbiz.de/10008790983

Stochastic Risk vs. Policy Oriented Uncertainties: The Case of the Alpine Crossings

Brunel, Julien - HAL - 2004

This paper focuses on uncertainties in traffic forecasting. Three major sources of uncertainties are observed for freight demand models. The first one is the model specification itself. We are not interested by it. The second one concerns uncertainties over forecasting hypotheses. A mean to...

Persistent link: https://www.econbiz.de/10008792030

Wishart Stochastic Volatility: Asymptotic Smile and Numerical Framework

Benabid, Anas; Bensusan, Harry; Karoui, Nicole El - HAL - 2008

In this paper, a study of a stochastic volatility model for asset pricing is described. Originally presented by J. Da … Fonseca, M. Grasselli and C. Tebaldi, the Wishart volatility model identifies the volatility of the asset as the trace of a … model. Besides, the Wishart volatility model keeps a clear interpretation of its parameters and conserves an efficient …

Persistent link: https://www.econbiz.de/10008793719

It will cost you nothing to "kill" a Proof-of-Stake crypto-currency

Houy, Nicolas - HAL - 2014

It is a widely spread belief that crypto-currencies implementing a proof of stake transaction validation system are less vulnerable to a 51% attack than crypto-currencies implementing a proof of work transaction validation system. In this article, we show that it is not the case and that, in...

Persistent link: https://www.econbiz.de/10010899420

The Bitcoin mining games

Houy, Nicolas - HAL - 2014

equilibrium in the current Bitcoin mining environment, instead, they should not process any transaction. Finally, we show that the …

Persistent link: https://www.econbiz.de/10010899795

The economics of Bitcoin transaction fees

Houy, Nicolas - HAL - 2014

We study the economics of Bitcoin transaction fees in a simple static partial equilibrium model with the specificity …, letting the fee be fixed as the outcome of a decentralized competitive market cannot guarantee the very existence of Bitcoin …

Persistent link: https://www.econbiz.de/10010821191