In this paper we investigate the potential of the analysis of noisy non-stationary time series by quantizing it into streams of discrete symbols and applying finite-memory symbolic predictors. The main argument is that careful quantization can reduce the noise in the time series to make model...

In the present paper we discuss the problem of estimating model likelihoods from the MCMC output for a general mixture and switching model. Estimation is based on the method of bridge sampling (Meng and Wong, 1996), where the MCMC sample is combined with an iid sample from an importance...

We present a general, dynamic model of within-season harvesting competition in a sherymanaged with individual transferable quotas. Markov-Perfect equilibrium harvesting andquota purchase strategies are derived using numerical collocation methods. Our approachallows direct examination of harvest...

Genetic algorithms are sometimes disparagingly denoted as just a fancier form of a plain, stupidheuristic. One of the main reasons for this kind of critique is that users believed a GA could notguarantee global convergence in a certain amount of time.Because the proof of global convergence of...

We use multivariate regime switching vector autoregressive models to characterize the time-varyinglinkages among the Irish stock market, one of the top world performers of the 1990s, and the US andUK stock markets. We ¯nd that two regimes, characterized as bear and bull states, are required...

We use a unique dataset of bond downgrades from a niche rating company that has been found to be reacting faster to publicly available information than its competitors. Using regime-switching models we propose risk measures to quantify stock return disturbances (distress costs) associated with...

В статье предложен методический подход к оценке эффективности логистических стратегий, которые впервые внедряются на предприятии.

Рассмотрено положение о том, что финансовый анализ применяется с целью выявления сущности, закономерностей, тенденций и оценки экономических и социальных...