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We introduce a new method for processing agents in agent-based models that significantly improves the efficiency of certain models. Dynamic Agent Compression allows agents to shift in and out of a compressed state based on their changing levels of heterogeneity. Sets of homogeneous agents are...
Persistent link: https://www.econbiz.de/10005518660
fluctuations in electricity markets are additive in nature. We do this by exploiting a scaling relationship between price level and …
Persistent link: https://www.econbiz.de/10005518710
optimally; relying on 'multidimensional scaling' and 'cluster analysis' techniques. The investigations suggest that clients …
Persistent link: https://www.econbiz.de/10005482418
The present paper studies the non-parametric estimation of volatility in financial time series. Support Vector Regression (SVR) is applied and compared with alternative techniques for estimating a Conditional Heteroskedastic AutoRegressive Nonlinear (CHARN) model. A multiscale decomposition...
Persistent link: https://www.econbiz.de/10005495795
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sequence of random variables, i.e a stochastic process. Sharp scaling exponents or unifractal behavior of such processes has … been reported in several works. In this letter we investigate the question of scaling transformation of price processes by … physics. Using two sets of financial chronological time series, we show that the scaling transformation is a non-linear group …
Persistent link: https://www.econbiz.de/10005408269
We present cross and time series analysis of price fluctuations in the U.S. Treasury fixed income market. Bonds have been classified according to a suitable metric based on the correlation among them. The classification shows how the correlation among fixed income securities depends strongly on...
Persistent link: https://www.econbiz.de/10005465200
two stages: 1. elaboration of unitary scaling systems for student’s grades and 2. clear definition of quality standards …
Persistent link: https://www.econbiz.de/10011141041
We compare three alternative Maximum Likelihood Multidimensional Scaling methods for pairwise dissimilarity ratings …
Persistent link: https://www.econbiz.de/10011086951