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Artificial neural network model of the hybrid EGARCH volatility of the Taiwan stock index option prices

Tseng, Chih-Hsiung; Cheng, Sheng-Tzong; Wang, Yi-Hsien; … - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 13, pp. 3192-3200

This investigation integrates a novel hybrid asymmetric volatility approach into an Artificial Neural Networks option-pricing model to upgrade the forecasting ability of the price of derivative securities. The use of the new hybrid asymmetric volatility method can simultaneously decrease the...

Persistent link: https://www.econbiz.de/10010873706

Nonextensive statistical mechanics for hybrid learning of neural networks

Anastasiadis, Aristoklis D.; Magoulas, George D. - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 3, pp. 372-382

This paper introduces a new hybrid approach for learning systems that builds on the theory of nonextensive statistical mechanics. The proposed learning scheme uses only the sign of the gradient, and combines adaptive stepsize local searches with global search steps that make use of an annealing...

Persistent link: https://www.econbiz.de/10010589636

The investigation of model selection criteria in artificial neural networks by the Taguchi method

Tortum, Ahmet; Yayla, Nadir; Çelik, Cafer; Gökdağ, Mahir - In: Physica A: Statistical Mechanics and its Applications 386 (2007) 1, pp. 446-468

method in the optimization of the design parameters of the ANNs. The performances of the ANNs were determined by the Taguchi …

Persistent link: https://www.econbiz.de/10011061872

Novel heuristic density-based method for community detection in networks

Gong, Maoguo; Liu, Jie; Ma, Lijia; Cai, Qing; Jiao, Licheng - In: Physica A: Statistical Mechanics and its Applications 403 (2014) C, pp. 71-84

Recent years have witnessed a growing recognition on the community detection in networks. Diverse techniques have been devoted to uncovering community structures in complex networks and amongst which are the density-based methods. Density-based avenues are very popular in data clustering field....

Persistent link: https://www.econbiz.de/10010873860

Optimization with extremal dynamics for the traveling salesman problem

Chen, Yu-Wang; Lu, Yong-Zai; Chen, Peng - In: Physica A: Statistical Mechanics and its Applications 385 (2007) 1, pp. 115-123

By mapping the optimization problems to physical systems, the paper presents a general-purpose stochastic optimization …. As self-organized critical processes of extremal dynamics, the optimization dynamics successively updates the states of … those cities with high energy. Consequently, a near-optimal solution can be quickly obtained through the optimization …

Persistent link: https://www.econbiz.de/10010873862

A new procedure modeling the probability distribution of earthquake size

Wang, J.P.; Yun, X.; Chang, S.C. - In: Physica A: Statistical Mechanics and its Applications 413 (2014) C, pp. 385-393

a simulation, on the basis of performing optimization to search for the optimum model parameter. The new option and an … and the power of optimization, three case studies presented in this paper all indicate that the new optimization procedure …

Persistent link: https://www.econbiz.de/10010906973

Optimization of highway networks and traffic forecasting

Schadschneider, Andreas; Knospe, Wolfgang; Santen, Ludger; … - In: Physica A: Statistical Mechanics and its Applications 346 (2005) 1, pp. 165-173

also discuss an analysis of the highway network in Germany to identify bottlenecks and possible optimization strategies. …

Persistent link: https://www.econbiz.de/10010871670

Optimal traffic networks topology: A complex networks perspective

Wu, Jian-Jun; Gao, Zi-You; Sun, Hui-jun - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 4, pp. 1025-1032

We investigate and analyse an optimal traffic network structure for resisting traffic congestion with different volumes of traffic. For this aim, we introduce a cost function and user-equilibrium assignment (UE) which ensures the flow balance on traffic systems. Our finding is that an optimal...

Persistent link: https://www.econbiz.de/10010871687

A stable and robust calibration scheme of the log-periodic power law model

Filimonov, V.; Sornette, D. - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 17, pp. 3698-3707

We present a simple transformation of the formulation of the log-periodic power law formula of the Johansen–Ledoit–Sornette (JLS) model of financial bubbles that reduces it to a function of only three nonlinear parameters. The transformation significantly decreases the complexity of the...

Persistent link: https://www.econbiz.de/10010679200

Mutually beneficial relationship in optimization between search-space smoothing and stochastic search

Hasegawa, Manabu; Hiramatsu, Kotaro - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 19, pp. 4491-4501

The effectiveness of the Metropolis algorithm (MA) (constant-temperature simulated annealing) in optimization by the …. The optimization mechanism of this hybrid approach (MASSS) is investigated by analyzing the exploration dynamics observed … as a local search algorithm in the SSS approach. It is also clarified that the optimization characteristics of these two …

Persistent link: https://www.econbiz.de/10010682561