الصفحة 1
الصفحة 1
New Political Economy of Exchange Rate Policies and the Enlargement of the Eurozone
This work examines the political economy of exchange-rate policies in the context of the eastward enlargement of the eurozone. The analysis shows that prospective members of the EMU are likely to pass on some of the incurred Maastricht costs of convergence to the current EMU-members. The transmission mechanism is an altered exchange-rate policy that is carried out utilizing a "threaten-thy-neighbour"-strategy. The nature of the arising conflict between current and prospective EMU-members originates from both parties' admitted inclination to complete the enlargement process, complicated by their disinclination to bear the costs. The ensuing moral-hazard behaviour of the CEECs proves to be one of brinkmanship.
New Computational Methods in Power System Reliability
Power system reliability is in the focus of intensive study due to its critical role in providing energy supply to the modern society. This book is not aimed at providing the overview of the state of the art in power system reliability. On the contrary, it describes application of some new specific techniques: universal generating function method and its combination with Monte Carlo simulation and with random processes methods, Semi-Markov and Markov reward models and genetic algorithm.
Modern Hematology : Biology and Clinical Management
The first chapters of this book contain a self-contained introduction to path integrals in Euclidean quantum mechanics and statistical mechanics. The resulting high-dimensional integrals can be estimated with the help of Monte Carlo simulations based on Markov processes. The most commonly used algorithms are presented in detail so as to prepare the reader for the use of high-performance computers as an “experimental” tool for this burgeoning field of theoretical physics. Several chapters are then devoted to an introduction to simple lattice field theories and a variety of spin systems with discrete and continuous spins, where the ubiquitous Ising model serves as an ideal guide for introducing the fascinating area of phase transitions. As an alternative to the lattice formulation of quantum field theories, variants of the flexible renormalization group methods are discussed in detail. Since, according to our present-day knowledge, all fundamental interactions in nature are described by gauge theories, the remaining chapters of the book deal with gauge theories without and with matter.
Implementing Models in Quantitative Finance : Methods and Cases
This book puts numerical methods into action for the purpose of solving concrete problems arising in quantitative finance. Part one develops a comprehensive toolkit including Monte Carlo simulation, numerical schemes for partial differential equations, stochastic optimization in discrete time, copula functions, transform-based methods and quadrature techniques. The content originates from class notes written for courses on numerical methods for finance and exotic derivative pricing held by the authors at Bocconi University since the year 2000. Part two proposes eighteen self-contained cases covering model simulation, derivative valuation, dynamic hedging, portfolio selection, risk management, statistical estimation and model calibration. It encompasses a wide variety of problems arising in markets for equity, interest rates, credit risk, energy and exotic derivatives.
Implementing machine learning for finance : A systematic approach to predictive risk and performance analysis for investment portfolios
Introduces pattern recognition and future price forecasting that exerts effects on time series analysis models, such as the Autoregressive Integrated Moving Average (ARIMA) model, Seasonal ARIMA (SARIMA) model, and Additive model, and it covers the Least Squares model and the Long Short-Term Memory (LSTM) model. It presents hidden pattern recognition and market regime prediction applying the Gaussian Hidden Markov Model. The book covers the practical application of the K-Means model in stock clustering. It establishes the practical application of the Variance-Covariance method and Simulation method (using Monte Carlo Simulation) for value at risk estimation. It also includes market direction classification using both the Logistic classifier and the Multilayer Perceptron classifier. Finally, the book presents performance and risk analysis for investment portfolios. You will: Understand the fundamentals of the financial market and algorithmic trading, as well as supervised and unsupervised learning models that are appropriate for systematic investment portfolio management / Know the concepts of feature engineering, data visualization, and hyperparameter optimization / Design, build, and test supervised and unsupervised ML and DL models / Discover seasonality, trends, and market regimes, simulating a change in the market and investment strategy problems and predicting market direction and prices / Structure and optimize an investment portfolio with preeminent asset classes and measure the / underlying risk
High Frequency Financial Econometrics : Recent Developments
This exciting volume presents cutting-edge developments in high frequency financial econometrics, spanning a diverse range of topics: market microstructure, tick-by-tick data, bond and foreign exchange markets and large dimensional volatility modelling. The chapters on market microstructure deal with liquidity, asymmetries of information, and limit order aggressiveness in pure limit order book markets. The chapters on tick-by-tick data present statistical techniques for the analysis of the discrete nature of price movements, the intraday seasonal patterns of financial durations, and the joint probability law of prices, volume and durations. Bond markets are brought into focus through the analysis of macroeconomic announcements in the future bond market as a function of the business cycle.
Finite Mixture and Markov Switching Models
The prominence of finite mixture modelling is greater than ever. Many important statistical topics like clustering data, outlier treatment, or dealing with unobserved heterogeneity involve finite mixture models in some way or other. The area of potential applications goes beyond simple data analysis and extends to regression analysis and to non-linear time series analysis using Markov switching models.It is the first time that the Bayesian perspective of finite mixture modelling is systematically presented in book form. It is argued that the Bayesian approach provides much insight in this context and is easily implemented in practice. Although the main focus is on Bayesian inference, the author reviews several frequentist techniques, especially selecting the number of components of a finite mixture model, and discusses some of their shortcomings compared to the Bayesian approach. The aim of this book is to impart the finite mixture and Markov switching approach to statistical modelling to a wide-ranging community. This includes not only statisticians, but also biologists, economists, engineers, financial agents, market researcher, medical researchers or any other frequent user of statistical models. This book should help newcomers to the field to understand how finite mixture and Markov switching models are formulated, what structures they imply on the data, what they could be used for, and how they are estimated.
Evolution of Thin Film Morphology : Modeling and Simulations
Thin film deposition is the most ubiquitous and critical of the processes used to manufacture high tech devices. Morphology and microstructure of thin films directly controls their optical, magnetic, and electrical properties. This book focuses on modeling and simulations used in research on the morphological evolution during film growth. The authors emphasize the detailed mathematical formulation of the problem both through numerical calculations based on Langevin continuum equations, and through Monte Carlo simulations based on discrete surface growth models when an analytical formulism is not convenient. Evolution of Thin-Film Morphology will be of benefit to university researchers and industrial scientists working in the areas of semiconductor processing, optical coating, plasma etching, patterning, micro-machining, polishing, tribology, and any discipline that requires an understanding of thin film growth processes.
Data Science and Classification
This volume provides new methodological developments in data analysis and classification. A wide range of topics is covered that includes the measurement of similarity and dissimilarity, methods for classification and clustering, network and graph analyses, analysis of symbolic data, and web mining. Apart from structural and theoretical results the book shows how to apply the proposed to a variety of problems, for example in medicine, microarray analysis, social network structures, and music. The combination of new methodological advances with the wide range of real applications collected in this volume is of special value for researchers when choosing the appropriate among newly developed analytical tools for their research problems in classification and data analysis.
Coping with Uncertainty : Modeling and Policy Issues
Ongoing global changes bring fundamentally new scientific problems requiring new concepts and tools. A key issue concerns a vast variety of practically irreducible uncertainties, which challenge our traditional models and require new concepts and analytical tools. The complexity of new problems does not allow to achieve enough certainty by increasing the resolution of models or by bringing in more links. Hence, new tools for modeling and management of uncertainty are needed, as given in this book.
Computer Simulations of Liquid Crystals and Polymers ; Proceedings of the NATO Advanced Research Workshop on Computational Methods for Polymers and Liquid Crystalline Polymers, Erice, Italy. 16-22 July 2003
Liquid crystals, polymers and polymer liquid crystals are soft condensed matter systems of major technological and scientific interest. An understanding of the macroscopic properties of these complex systems and of their many and interesting peculiarities at the molecular level can nowadays only be attained using computer simulations and statistical mechanical theories. Both in the Liquid Crystal and Polymer fields a considerable amount of simulation work has been done in the last few years with various classes of models at different special resolutions, ranging from atomistic to molecular and coarse-grained lattice models. Each of the two fields has developed its own set of tools and specialized procedures and the book aims to provide a state of the art review of the computer simulation studies of polymers and liquid crystals. This is of great importance in view of a potential cross-fertilization between these connected areas which is particularly apparent for a number of experimental systems like, e.g. polymer liquid crystals and anisotropic gels where the different fields necessarily merge. An effort has been made to assess the possibilities of a coherent description of the themes that have developed independently, and to compare and extend the theoretical and computational techniques put forward in the different areas.
Computer simulations in condensed matter : From materials to chemical biology ; Vol.1
This extensive and comprehensive collection of lectures by world-leading experts in the field introduces and reviews all relevant computer simulation methods and their applications in condensed matter systems. Volume 1 is an in-depth introduction to a vast spectrum of computational techniques for statistical mechanical systems of condensed matter. It will enable the graduate student and both the specialist and nonspecialist researcher to get acquainted with the tools necessary to carry out numerical simulations at an advanced level. Volume 2 published as LNP 704 (ISBN 3-540-35283-X) is a collection of state-of-the-art surveys on numerical experiments carried out for a great number of systems, ranging from materials sciences to chemical biology.
Computer simulation studies in condensed-matter physics XVIII ; Proceedings of the Eighteenth Workshop, Athens, GA, USA, March 7-11, 2005
This volume represents a "status report" emanating from presentations made during the 18th Annual Workshop on Computer Simulations Studies in Condensed Matter Physics at the Center for Simulational Physics at the University of Georgia in March 2005. It provides a broad overview of the most recent advances in the field, spanning the range from statistical physics to soft condensed matter and biological systems. Results on nanostructures and materials are included as are several descriptions of advances in quantum simulations and quantum computing as well as.methodological advances.
Advances in mathematical economics ; Vol. 8
The series is designed to bring together those mathematicians who were seriously interested in getting new challenging stimuli from economic theories with those economists who are seeking for effective mathematical tools for their researchers.
