Related papers: Projective Market Model Approach to AHP Decision-M…

Volatility forecasting in financial markets is a topic that has received more attention from scholars. In this paper, we propose a new volatility forecasting model that combines the heterogeneous autoregressive (HAR) model with a family of…

The MAP model was introduced in information system engineering in order to model processes on a flexible way. The intentional level of this model helps an engineer to execute a process with a strong relationship to the situation of the…

As demonstrated during the recent financial crisis, regulators require additional analytical tools to assess systemic risk in the financial sector. This paper describes one such tool; namely a novel market modeling and analysis capability.…

Decision processes with incomplete state feedback have been traditionally modeled as Partially Observable Markov Decision Processes. In this paper, we present an alternative formulation based on probabilistic regular languages. The proposed…

We propose a route for the evaluation of risk based on a transformation of the covariance matrix. The approach uses a `potential' or `objective' function. This allows us to rescale data from different assets (or sources) such that each data…

We survey systemic risks to financial markets and present a high-level description of an algorithm that measures systemic risk in terms of coupled networks.

Two markets should be considered isomorphic if they are financially indistinguishable. We define a notion of isomorphism for financial markets in both discrete and continuous time. We then seek to identify the distinct isomorphism classes,…

In this paper, we extend the QMRDT probabilistic model for the domain of internal medicine to include decisions about treatments. In addition, we describe how we can use the comprehensive decision model to construct a simpler decision model…

Projection methods aim to reduce the dimensionality of the optimization instance, thereby improving the scalability of high-dimensional problems. Recently, Sakaue and Oki proposed a data-driven approach for linear programs (LPs), where the…

We propose a development of the Analytic Hierarchy Process (AHP) permitting to use the methodology also in cases of decision problems with a very large number of alternatives evaluated with respect to several criteria. While the application…

We study a mean-field version of rank-based models of equity markets such as the Atlas model introduced by Fernholz in the framework of Stochastic Portfolio Theory. We obtain an asymptotic description of the market when the number of…

This paper studies an equity market of stochastic dimension, where the number of assets fluctuates over time. In such a market, we develop the fundamental theorem of asset pricing, which provides the equivalence of the following statements:…

Multi-target prediction (MTP) is concerned with the simultaneous prediction of multiple target variables of diverse type. Due to its enormous application potential, it has developed into an active and rapidly expanding research field that…

The geometric approach to financial markets with proportional transaction cost prescribes to imbed a specific model (of stock market, of currency market etc.), usually given in a parametric form, into a natural framework defined by the two…

Accretive partial transpose (APT) matrices have been recently defined, as a natural extension of positive partial transpose (PPT) matrices. In this paper, we discuss further properties of APT matrices in a way that extends some of those…

We study the most famous example of a large financial market: the Arbitrage Pricing Model, where investors can trade in a one-period setting with countably many assets admitting a factor structure. We consider the problem of maximising…

An algorithm for the estimation of multiple targets from partial and corrupted observations is introduced based on the concept of partially-distinguishable multi-target system. It combines the advantages of engineering solutions like MHT…

This study examines the adaptive market hypothesis (AMH) in Japanese stock markets (TOPIX and TSE2). In particular, we measure the degree of market efficiency by using a time-varying model approach. The empirical results show that (1) the…

We present a characterization of states in generalized probabilistic models by appealing to a non-commutative version of geometric probability theory based on algebraic geometry techniques. Our theoretical framework allows for incorporation…

This paper provides formulae and algorithms to compute the projection onto the core of a preimputation outside it. The core of a game is described using an exponential number of linear constraints, and we cannot know beforehand which are…