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Generalized Optimal Wavelet Decomposing Algorithm for Big Financial Data
Sun, Edward - 2016
decomposition algorithm) that allows us to deconstruct price series into the true efficient price and microstructure noise …
Persistent link: https://www.econbiz.de/10013001056
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An optimized wavelet neural networks using cuckoo search algorithm for function approximation and chaotic time series prediction
Ong, Pauline; Zainuddin, Zarita - In: Decision analytics journal 6 (2023), pp. 1-12
challenge for WNNs' initialization. The cuckoo search algorithm (CSA) is used in this study for optimizing WNNs. The position of …
Persistent link: https://www.econbiz.de/10014506437
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Accelerated MM algorithms for inference of ranking scores from comparison data
Vojnović, Milan; Yun, Se-Young; Zhou, Kaifang - In: Operations research 71 (2023) 4, pp. 1318-1342
Persistent link: https://www.econbiz.de/10014338197
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Optimal adaptive sequential calibration of option models
Lindström, Erik; Åkerlindh, Carl - In: Handbook of recent advances in commodity and financial …, (pp. 165-181). 2018
Persistent link: https://www.econbiz.de/10011898632
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Exact present solution with consistent future approximation : a gridless algorithm to solve stochastic dynamic models
Den Haan, Wouter J.; Kobielarz, Michał; Rendahl, Pontus - 2015
Persistent link: https://www.econbiz.de/10012171713
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Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm
Bağcı, Mahmut; Soylu, Pınar Kaya - In: Financial innovation : FIN 10 (2024), pp. 1-28
We propose a high-frequency rebalancing algorithm (HFRA) and compare its performance with periodic rebalancing (PR) and …
Persistent link: https://www.econbiz.de/10014541693
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Robustness-based portfolio optimization under epistemic uncertainty
Asadujjaman, Md.; Zaman, Kais - In: Journal of industrial engineering international 15 (2019) 2, pp. 207-219
In this paper, we propose formulations and algorithms for robust portfolio optimization under both aleatory uncertainty (i.e., natural variability) and epistemic uncertainty (i.e., imprecise probabilistic information) arising from interval data. Epistemic uncertainty is represented using two...
Persistent link: https://www.econbiz.de/10012020120
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High breakdown inference for mixed linear models
Copt, Samuel - 2004
Persistent link: https://www.econbiz.de/10002505435
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High-breakdown inference for mixed linear models
Copt, Samuel; Victoria-Feser, Maria-Pia - In: Journal of the American Statistical Association : JASA 101 (2006), pp. 292-300
Persistent link: https://www.econbiz.de/10003309711
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Fourth order pseudo maximum likelihood methods
Holly, Alberto; Monfort, Alain; Rockinger, Michael - 2009
The objective of this paper is to extend the results on Pseudo Maximum Likelihood (PML) theory derived in Gourieroux …(1984) to PML4 and QGPML2 methods, respectively. An asymptotic theory is developed which shows, in particular, that the …
Persistent link: https://www.econbiz.de/10003970462