Abstract A proposal for applying network analysis to a foreign exchange (FX) settlement system is considered. In particular, network centrality metrics are used to analyse payments of financial institutions which settle through CLS Bank (CLS). Network centrality metrics provide a way to study...

Purpose – The aim of this paper is to explore the lessons offered by the financial crisis about the appropriate epistemological approaches to apply in the study of human affairs in general, and of the financial markets in particular. Design/methodology/approach – The paper applies a...

Abstract We introduce an adaptive algorithm to estimate the uncertain parameter of a stochastic optimization problem. The procedure estimates the one-step-ahead means, variances and covariances of a random process in a distribution-free and multidimensional framework when these means, variances...

Purpose – As the intensity of natural disasters increases, there is a need to develop policies and procedures to assist various agencies with moving aid to affected areas. One of the biggest limitations to this process is damage to transportation networks, in particular waterways. To keep...

Purpose The purpose of this paper is to contribute to the literature in three ways: first, the authors investigate the impact of the sampling errors on optimal portfolio weights and on financial investment decision. Second, the authors advance a comparative analysis between various domestic and...

Vibration control of fractional-order linear systems in the presence of time delays has been dealt in this article. Considering a delayed n-degree-of freedom linear structure that is modeled by fractional order equations, a fractional-order optimal control is provided to minimize both control...

Abstract In this paper, we study one-dimensional backward stochastic differential equations under logarithmic growth in the 𝑧-variable (\lvert z\rvert\sqrt{\lvert\ln\lvert z\rvert\rvert}) . We show the existence and the uniqueness of the solution when the noise is driven by a Brownian motion...

Summary It is frequently observed that the implementation of green policies is delayed compared to the initial announcement. Considering a setting with a representative monopolist extracting a nonrenewable resource, we demonstrate that announcing a green policy, but then delaying its...

SUMMARY We give an explicit PDE characterization for the solution of a robust utility maximization problem in an incomplete market model, whose volatility, interest rate process, and long-term trend are driven by an external stochastic factor process. The robust utility functional is defined in...

Purpose – The main purpose of this paper is to present an optimal economic solution for a different adaptive sampling method that is highly intuitive in its nature: the normal sampling intervals (NSI) method. Design/methodology/approach – Considering costs associated with sampling, false...