983 resultados para modeling implied volatility


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Gaussian mixture models (GMMs) have become an established means of modeling feature distributions in speaker recognition systems. It is useful for experimentation and practical implementation purposes to develop and test these models in an efficient manner particularly when computational resources are limited. A method of combining vector quantization (VQ) with single multi-dimensional Gaussians is proposed to rapidly generate a robust model approximation to the Gaussian mixture model. A fast method of testing these systems is also proposed and implemented. Results on the NIST 1996 Speaker Recognition Database suggest comparable and in some cases an improved verification performance to the traditional GMM based analysis scheme. In addition, previous research for the task of speaker identification indicated a similar system perfomance between the VQ Gaussian based technique and GMMs

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Despite many incidents about fake online consumer reviews have been reported, very few studies have been conducted to date to examine the trustworthiness of online consumer reviews. One of the reasons is the lack of an effective computational method to separate the untruthful reviews (i.e., spam) from the legitimate ones (i.e., ham) given the fact that prominent spam features are often missing in online reviews. The main contribution of our research work is the development of a novel review spam detection method which is underpinned by an unsupervised inferential language modeling framework. Another contribution of this work is the development of a high-order concept association mining method which provides the essential term association knowledge to bootstrap the performance for untruthful review detection. Our experimental results confirm that the proposed inferential language model equipped with high-order concept association knowledge is effective in untruthful review detection when compared with other baseline methods.

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Multivariate volatility forecasts are an important input in many financial applications, in particular portfolio optimisation problems. Given the number of models available and the range of loss functions to discriminate between them, it is obvious that selecting the optimal forecasting model is challenging. The aim of this thesis is to thoroughly investigate how effective many commonly used statistical (MSE and QLIKE) and economic (portfolio variance and portfolio utility) loss functions are at discriminating between competing multivariate volatility forecasts. An analytical investigation of the loss functions is performed to determine whether they identify the correct forecast as the best forecast. This is followed by an extensive simulation study examines the ability of the loss functions to consistently rank forecasts, and their statistical power within tests of predictive ability. For the tests of predictive ability, the model confidence set (MCS) approach of Hansen, Lunde and Nason (2003, 2011) is employed. As well, an empirical study investigates whether simulation findings hold in a realistic setting. In light of these earlier studies, a major empirical study seeks to identify the set of superior multivariate volatility forecasting models from 43 models that use either daily squared returns or realised volatility to generate forecasts. This study also assesses how the choice of volatility proxy affects the ability of the statistical loss functions to discriminate between forecasts. Analysis of the loss functions shows that QLIKE, MSE and portfolio variance can discriminate between multivariate volatility forecasts, while portfolio utility cannot. An examination of the effective loss functions shows that they all can identify the correct forecast at a point in time, however, their ability to discriminate between competing forecasts does vary. That is, QLIKE is identified as the most effective loss function, followed by portfolio variance which is then followed by MSE. The major empirical analysis reports that the optimal set of multivariate volatility forecasting models includes forecasts generated from daily squared returns and realised volatility. Furthermore, it finds that the volatility proxy affects the statistical loss functions’ ability to discriminate between forecasts in tests of predictive ability. These findings deepen our understanding of how to choose between competing multivariate volatility forecasts.

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Delays are an important feature in temporal models of genetic regulation due to slow biochemical processes, such as transcription and translation. In this paper, we show how to model intrinsic noise effects in a delayed setting by either using a delay stochastic simulation algorithm (DSSA) or, for larger and more complex systems, a generalized Binomial τ-leap method (Bτ-DSSA). As a particular application, we apply these ideas to modeling somite segmentation in zebra fish across a number of cells in which two linked oscillatory genes (her1 and her7) are synchronized via Notch signaling between the cells.

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Conceptual modeling continues to be an important means for graphically capturing the requirements of an information system. Observations of modeling practice suggest that modelers often use multiple modeling grammars in combination to articulate various aspects of real-world domains. We extend an ontological theory of representation to suggest why and how users employ multiple conceptual modeling grammars in combination. We provide an empirical test of the extended theory using survey data and structured interviews about the use of traditional and structured analysis grammars within an automated tool environment. We find that users of the analyzed tool combine grammars to overcome the ontological incompleteness that exists in each grammar. Users further selected their starting grammar from a predicted subset of grammars only. The qualitative data provides insights as to why some of the predicted deficiencies manifest in practice differently than predicted.

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Experimental action potential (AP) recordings in isolated ventricular myoctes display significant temporal beat-to-beat variability in morphology and duration. Furthermore, significant cell-to-cell differences in AP also exist even for isolated cells originating from the same region of the same heart. However, current mathematical models of ventricular AP fail to replicate the temporal and cell-to-cell variability in AP observed experimentally. In this study, we propose a novel mathematical framework for the development of phenomenological AP models capable of capturing cell-to-cell and temporal variabilty in cardiac APs. A novel stochastic phenomenological model of the AP is developed, based on the deterministic Bueno-Orovio/Fentonmodel. Experimental recordings of AP are fit to the model to produce AP models of individual cells from the apex and the base of the guinea-pig ventricles. Our results show that the phenomenological model is able to capture the considerable differences in AP recorded from isolated cells originating from the location. We demonstrate the closeness of fit to the available experimental data which may be achieved using a phenomenological model, and also demonstrate the ability of the stochastic form of the model to capture the observed beat-to-beat variablity in action potential duration.

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A magneto-rheological (MR) fluid damper is a semi-active control device that has recently begun to receive more attention in the vibration control community. However, the inherent nonlinear nature of the MR fluid damper makes it challenging to use this device to achieve high damping control system performance. Therefore the development of an accurate modeling method for a MR fluid damper is necessary to take advantage of its unique characteristics. Our goal was to develop an alternative method for modeling a MR fluid damper by using a self tuning fuzzy (STF) method based on neural technique. The behavior of the researched damper is directly estimated through a fuzzy mapping system. In order to improve the accuracy of the STF model, a back propagation and a gradient descent method are used to train online the fuzzy parameters to minimize the model error function. A series of simulations had been done to validate the effectiveness of the suggested modeling method when compared with the data measured from experiments on a test rig with a researched MR fluid damper. Finally, modeling results show that the proposed STF interference system trained online by using neural technique could describe well the behavior of the MR fluid damper without need of calculation time for generating the model parameters.

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This paper argues for a renewed focus on statistical reasoning in the elementary school years, with opportunities for children to engage in data modeling. Data modeling involves investigations of meaningful phenomena, deciding what is worthy of attention, and then progressing to organizing, structuring, visualizing, and representing data. Reported here are some findings from a two-part activity (Baxter Brown’s Picnic and Planning a Picnic) implemented at the end of the second year of a current three-year longitudinal study (grade levels 1-3). Planning a Picnic was also implemented in a grade 7 class to provide an opportunity for the different age groups to share their products. Addressed here are the grade 2 children’s predictions for missing data in Baxter Brown’s Picnic, the questions posed and representations created by both grade levels in Planning a Picnic, and the metarepresentational competence displayed in the grade levels’ sharing of their products for Planning a Picnic.

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Business process modeling as a practice and research field has received great attention in recent years. However, while related artifacts such as models, tools or grammars have substantially matured, comparatively little is known about the activities that are conducted as part of the actual act of process modeling. Especially the key role of the modeling facilitator has not been researched to date. In this paper, we propose a new theory-grounded, conceptual framework describing four facets (the driving engineer, the driving artist, the catalyzing engineer, and the catalyzing artist) that can be used by a facilitator. These facets with behavioral styles have been empirically explored via in-depth interviews and additional questionnaires with experienced process analysts. We develop a proposal for an emerging theory for describing, investigating, and explaining different behaviors associated with Business Process Modeling Facilitation. This theory is an important sensitizing vehicle for examining processes and outcomes from process modeling endeavors.