相关论文: A Novel Multi-Period and Multilateral Price Index

We present a new and general method of weighted least square univariate regression where the dependent variable is expanded as a series of suitably chosen functions of the independent variables. Each term of the series is obtained by an…

In the following paper, we use a topic modeling algorithm and sentiment scoring methods to construct a novel metric that serves as a leading indicator in recession prediction models. We hypothesize that the inclusion of such a sentiment…

The paper studies sub and super-replication price bounds for contingent claims defined on general trajectory based market models. No prior probabilistic or topological assumptions are placed on the trajectory space, trading is assumed to…

There are several numerical models that describe real phenomena being used to solve complex problems. For example, an accurate numerical breast model can provide assistance to surgeons with visual information of the breast as a result of a…

This work proposes a non-iterative strategy for missing value imputations which is guided by similarity between observations, but instead of explicitly determining distances or nearest neighbors, it assigns observations to overlapping…

Nowadays, with the availability of massive amount of trade data collected, the dynamics of the financial markets pose both a challenge and an opportunity for high frequency traders. In order to take advantage of the rapid, subtle movement…

Multivariate time series classification is a task with increasing importance due to the proliferation of new problems in various fields (economy, health, energy, transport, crops, etc.) where a large number of information sources are…

In this paper we propose a novel dual regression-based approach for pricing American options. This approach reduces the complexity of the nested Monte Carlo method and has especially simple form for time discretised diffusion processes. We…

In the context of global sensitivity analysis, the Sobol' indices constitute a powerful tool for assessing the relative significance of the uncertain input parameters of a model. We herein introduce a novel approach for evaluating these…

In [E. G. Birgin, O. C. Rom\~ao, and D. P. Ronconi, The multi-period two-dimensional non-guillotine cutting stock problem with usable leftovers, International Transactions in Operational Research 27(3), 1392-1418, 2020] the multi-period…

Pairwise comparisons between alternatives are a well-established tool to decompose decision problems into smaller and more easily tractable sub-problems. However, due to our limited rationality, the subjective preferences expressed by…

We propose two specifications of a real-time mixed-frequency semi-structural time series model for evaluating the output potential, output gap, Phillips curve, and Okun's law for the US. The baseline model uses minimal theory-based…

This article presents a generic hybrid numerical method to price a wide range of options on one or several assets, as well as assets with stochastic drift or volatility. In particular for equity and interest rate hybrid with local…

Recent work has emphasized the diversification benefits of combining trend signals across multiple horizons, with the medium-term window-typically six months to one year-long viewed as the "sweet spot" of trend-following. This paper…

In this paper, we propose a novel stock index model, namely the manifold feature(MF) index, to reflect the overall price activity of the entire stock market. Based on the theory of manifold learning, the researched stock dataset is assumed…

The availability of multidimensional economic datasets has grown significantly in recent years. An example is bilateral trade values across goods among countries, comprising three dimensions -- importing countries, exporting countries, and…

Bond prices are a reflection of extremely complex market interactions and policies, making prediction of future prices difficult. This task becomes even more challenging due to the dearth of relevant information, and accuracy is not the…

Complementary products recommendation is an important problem in e-commerce. Such recommendations increase the average order price and the number of products in baskets. Complementary products are typically inferred from basket data. In…

We interpret multi-product supply chains (SCs) as coordinated markets; under this interpretation, a SC optimization problem is a market clearing problem that allocates resources and associated economic values (prices) to different…

We study a class of iterative combinatorial auctions which can be viewed as subgradient descent methods for the problem of pricing bundles to balance supply and demand. We provide concrete convergence rates for auctions in this class,…