We analyze the value of foresight in the drybulk freight market when repositioning a vessel through space and time. In order to do that, we apply an optimization model on a network with dynamic regional freight rate differences and stochastic travel times. We evaluate the value of the...

Predicting default probabilities is at the core of credit risk management and is becoming more and more important for banks in order to measure their client's degree of risk, and for firms to operate successfully. The SVM with evolutionary feature selection is applied to the CreditReform...

Several approaches for subset recovery and improved forecasting accuracy have been proposed and studied. One way is to apply a regularization strategy and solve the model selection task as a continuous optimization problem. One of the most popular approaches in this research field is given by...

This paper presents a computational approach for predicting the S&P CNX Nifty 50 Index. A neural network based model has been used in predicting the direction of the movement of the closing value for the next day of trading. The model presented in the paper also confirms that it can be used to...

Many service industries use revenue management to balance demand and capacity. The assumption of risk-neutrality lies at the heart of the classical approaches, which aim at maximizing expected revenue. In this paper, we give a comprehensive overview of the existing approaches, most of which were...

Following the financial crisis of 2008, the regulators established a stress testing framework known as comprehensive capital analysis and review (CCAR). The regulatory stress scenarios are macroeconomic and do not define stress values for all the relevant risk factors. In particular, only three...

We solve a dynamic general equilibrium model with generalized disappointment aversion preferences and continuous state endowment dynamics. We apply the framework to the term structure of interest rates and show that the model generates an upward sloping term structure of nominal interest rates,...

This paper presents a method and computational technology for forecasting ambulance trips. We used statistical information about the number of the trips in 2009-2013, the meteorological archive, and the corresponding archive of the meteorological forecasts for the same period. We take into...

This paper presents a new approach to solve dynamic decision models in economics. The proposed procedure, called Nonlinear Model Predictive Control (NMPC), relies on the iterative solution of optimal control problems on finite time horizons and is well established in engineering applications for...

This document provides an overview of the StMAR Toolbox, a MATLAB toolbox specifically designed for simulation, estimation, diagnostic, and forecasting of the Student's t mixture autoregressive (StMAR) model proposed by Meitz, Preve & Saikkonen (2018). The StMAR model is a new type of mixture...