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Simulation-based smoothing and filtering in factor stochastic volatility models : two econometric applications

Lopes, Hedibert Freitas
Fonte: Escola de Pós-Graduação em Economia da FGV Publicador: Escola de Pós-Graduação em Economia da FGV
Tipo: Relatório
Português
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In this article we use factor models to describe a certain class of covariance structure for financiaI time series models. More specifical1y, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. We build on previous work by allowing the factor loadings, in the factor mo deI structure, to have a time-varying structure and to capture changes in asset weights over time motivated by applications with multi pIe time series of daily exchange rates. We explore and discuss potential extensions to the models exposed here in the prediction area. This discussion leads to open issues on real time implementation and natural model comparisons.

Using irregularly spaced returns to estimate multi-factor models : application to Brazilian equity data

Souza, Leonardo R.
Fonte: Escola de Pós-Graduação em Economia da FGV Publicador: Escola de Pós-Graduação em Economia da FGV
Tipo: Trabalho em Andamento
Português
Relevância na Pesquisa
87.53482%
Multi-factor models constitute a use fui tool to explain cross-sectional covariance in equities retums. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an empirical example with the 389 most liquid equities in the Brazilian Market. The market index shows itself significant to explain equity returns while the US$/Brazilian Real exchange rate and the Brazilian standard interest rate does not. This example shows the usefulness of the estimation method in further using the model to fill in missing values and to provide intervaI forecasts.

Valuation of European-Style swaptions

Prazeres, Pedro Miguel Silva
Fonte: Universidade de Lisboa Publicador: Universidade de Lisboa
Tipo: Dissertação de Mestrado
Publicado em //2010 Português
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Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdade de Ciências, 2010; The present work focuses on the pricing of European-style interest rate swaptions, using the Edgeworth expansion [Collin-Dufresne and Goldstein (2002)] and the Hyperplane approxima-tions [Singleton and Umantsev (2002)], under multi-factor exponentially-affine models of the term structure. In a market without arbitrage opportunities, it is shown that an interest rate swaption can be priced as an option on a coupon-bearing bond. While the Edgeworth approx-imation suggests a cumulant expansion of the probability density function of the price of the underlying coupon-bearing bond, the Hyperplane approximation proposes a linearization of the exercise region, so that the same methods used when under one-factor models can be applied. Both methods are analyzed in detailed, and then implemented considering a three-factor Gaussian model, and different maturities for the underlying interest rate swaps, as well as a range of strike prices for each swaption. While there are almost no differences between the results yielded by both approximations, the Edgeworth approximation proves to be significantly slower as the time-to-maturity of the underlying swap increases. Moreover...

Context-aware multi-factor authentication

Miranda, Luís Henrique Fernandes Moura
Fonte: Faculdade de Ciências e Tecnologia Publicador: Faculdade de Ciências e Tecnologia
Tipo: Dissertação de Mestrado
Publicado em //2009 Português
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Trabalho apresentado no âmbito do Mestrado em Engenharia Informática, como requisito parcial para obtenção do grau de Mestre em Engenharia Informática; Authentication systems, as available today, are inappropriate for the requirements of ubiquitous, heterogeneous and large scale distributed systems. Some important limitations are: (i) the use of weak or rigid authentication factors as principal’s identity proofs, (ii) non flexibility to combine different authentication modes for dynamic and context-aware interaction criteria, (iii) not being extensible models to integrate new or emergent pervasive authentication factors and (iv) difficulty to manage the coexistence of multi-factor authentication proofs in a unified single sign-on solution. The objective of this dissertation is the design, implementation and experimental evaluation of a platform supporting multi-factor authentication services, as a contribution to overcome the above limitations. The devised platform will provide a uniform and flexible authentication base for multi-factor authentication requirements and context-aware authentication modes for ubiquitous applications and services. The main contribution is focused on the design and implementation of an extensible authentication framework model...

Multi-Factor Model of Correlated Commodity - Forward Curves for Crude Oil and Shipping Markets

Ellefsen, Per Einar; Sclavounos, Paul D.
Fonte: MIT Center for Energy and Environmental Policy Research Publicador: MIT Center for Energy and Environmental Policy Research
Tipo: Trabalho em Andamento
Português
Relevância na Pesquisa
47.368457%
An arbitrage free multi-factor model is developed of the correlated forward curves of the crude oil, gasoline, heating oil and tanker shipping markets. Futures contracts trading on public exchanges are used as the primary underlying securities for the development of a multi-factor Gaussian Heath-Jarrow-Morton (HJM) model for the dynamic evolution of the correlated forward curves. An intra- and inter-commodity Principal Component Analysis (PCA) is carried out in order to isolate seasonality and identify a small number of independent factors driving each commodity market. The cross-commodity correlation of the factors is estimated by a two step PCA. The factor volatilities and cross-commodity factor correlations are studied in order to identify stable parametric models, heteroskedasticity and seasonality in the factor volatilities and correlations. The model leads to explicit stochastic differential equations governing the short term and long term factors driving the price of the spot commodity under the risk neutral measure. Risk premia are absent, consistently with HJM arbitrage free framework, as they are imbedded in the factor volatilities and correlations estimated by the PCA. The use of the model is described for the pricing of derivatives written on inter- and intra-commodity futures spreads...

Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises

McKibbin, Renee Anne; Dungey, Mardi; Gonz´alez-Hermosillo, Brenda; Martin, Vance L.
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica Formato: 20 pages
Português
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The Russian and LTCM financial crises in 1998 originated in bond markets, but rapidly transmitted through international equity markets. A multi-factor model of financial markets with multiple regimes is used to estimate the transmission effects in equity markets due to global, regional and contagious transmission mechanisms during the crises. Using a panel of 10 emerging and industrial financial markets, the empirical results show that contagion is significant and widespread in international equity markets during the LTCM crisis, but is more selective during the Russian crisis. Contagion effects in equities differ to those previously noted in bond markets for this period.

The analysis of quantitative trait loci in multi-environment trials using a multiplicative mixed model

Verbyla, A.; Eckermann, P.; Thompson, R.; Cullis, B.
Fonte: C S I R O Publishing Publicador: C S I R O Publishing
Tipo: Artigo de Revista Científica
Publicado em //2003 Português
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A new approach for multi-environment quantitative trait locus (QTL) analysis based on an appropriate genetic model is presented. To accommodate a multi-environment analysis, the size of a QTL effect is assumed to be a random effect. The approach results in a multiplicative mixed model for QTL × environment interaction of the factor analytic type. The full genetic model may also include a factor analytic model for the residual genotype × environment interaction, whereas the environmental model for the non-genetic variation involves local, global, and extraneous variation. The approach is used to determine QTLs for yield in the Arapiles × Franklin doubled haploid population of the National Barley Molecular Marker Program. Analysis leads to the determination of 8 QTLs. Many of these QTLs are associated with other traits.

Approximating covering problems by randomized search heuristics using multi-objective models

Friedrich, T.; He, J.; Hebbinghaus, N.; Neumann, F.; Witt, C.
Fonte: ACM New York; New York Publicador: ACM New York; New York
Tipo: Conference paper
Publicado em //2007 Português
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The main aim of randomized search heuristics is to produce good approximations of optimal solutions within a small amount of time. In contrast to numerous experimental results, there are only a few theoretical ones on this subject. We consider the approximation ability of randomized search heuristics for the class of covering problems and compare single-objective and multi-objective models for such problems. For the VertexCover problem, we point out situations where the multi-objective model leads to a fast construction of optimal solutions while in the single-objective case even no good approximation can be achieved within expected polynomial time. Examining the more general SetCover problem we show that optimal solutions can be approximated within a factor of log n, where n is the problem dimension, using the multi-objective approach while the approximation quality obtainable by the single-objective approach in expected polynomial time may be arbitrarily bad.; Tobias Friedrich, Jun He, Nils Hebbinghaus, Frank Neumann and Carsten Witt; A combination of the 16th International Conference on Genetic Algorithms (ICGA) and the 12th Annual Genetic Programming Conference (GP)

Improved estimation of the covariance matrix of stock returns with an application to portfolio selection

Ledoit, Olivier; Wolf, Michael
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/octet-stream; application/octet-stream; application/pdf
Publicado em /11/2000 Português
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This paper proposes to estimate the covariance matrix of stock returns by an optimally weighted average of two existing estimators. The sample covariance matrix and single-index covariance matrix. This method is generally known as shrinkage, and it is standard in decision theory and in empirical Bayesian statistics. Our shrinkage estimator can be seen as a way to account for extra-market covariance without having to specify an arbitrary multi-factor structure. For NYSE and AMEX stock returns from 1972 to 1995, it can be used to select portfolios with significantly lower out-of-sample variance than a set of existing estimators, including multifactor models.

Performance evaluation of European Socially Responsible Funds

Leite, Paulo Alexandre da Rocha Armada de Campos
Fonte: Universidade do Minho Publicador: Universidade do Minho
Tipo: Tese de Doutorado
Publicado em 04/06/2012 Português
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37.71835%
Tese de doutoramento em Ciências Empresariais; The performance of Socially Responsible Investment (SRI) funds has become a very interesting issue of debate in the finance literature. In this work we address several research topics, some of which still unexplored, regarding the performance, performance persistence, investment styles and timing abilities of European SRI funds. Throughout this investigation, several different types of SRI funds, including equity, bond and balanced funds, from eight European markets, are analysed and compared with characteristicsmatched portfolios of conventional funds. Performance is assessed using several models, including robust conditional multi-factor models, which allow for both time-varying alphas and betas, and control for home biases and spurious regression biases. First, we explore the performance of internationally-oriented SRI funds, which have received far less attention in the literature than SRI funds investing in their local markets. To the best of our knowledge, we conduct the first multi-country study, focused on international SRI funds (investing in Global and in European equities), to combine the matched-pairs approach with the use of conditional multi-factor performance evaluation models. Our results show little evidence of significant differences in overall performance...

The Earnings/Price Risk Factor in Capital Asset Pricing Models

Noda,Rafael Falcão; Martelanc,Roy; Kayo,Eduardo Kazuo
Fonte: Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade, Departamento de Contabilidade e Atuária Publicador: Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade, Departamento de Contabilidade e Atuária
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/01/2015 Português
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This article integrates the ideas from two major lines of research on cost of equity and asset pricing: multi-factor models and ex ante accounting models. The earnings/price ratio is used as a proxy for the ex ante cost of equity, in order to explain realized returns of Brazilian companies within the period from 1995 to 2013. The initial finding was that stocks with high (low) earnings/price ratios have higher (lower) risk-adjusted realized returns, already controlled by the capital asset pricing model's beta. The results show that selecting stocks based on high earnings/price ratios has led to significantly higher risk-adjusted returns in the Brazilian market, with average abnormal returns close to 1.3% per month. We design asset pricing models including an earnings/price risk factor, i.e. high earnings minus low earnings, based on the Fama and French three-factor model. We conclude that such a risk factor is significant to explain returns on portfolios, even when controlled by size and market/book ratios. Models including the high earnings minus low earnings risk factor were better to explain stock returns in Brazil when compared to the capital asset pricing model and to the Fama and French three-factor model, having the lowest number of significant intercepts. These findings may be due to the impact of historically high inflation rates...

Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts

Peters, Gareth W.; Briers, Mark; Shevchenko, Pavel V.; Doucet, Arnaud
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 29/05/2011 Português
Relevância na Pesquisa
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We examine a general multi-factor model for commodity spot prices and futures valuation. We extend the multi-factor long-short model in Schwartz and Smith (2000) and Yan (2002) in two important aspects: firstly we allow for both the long and short term dynamic factors to be mean reverting incorporating stochastic volatility factors and secondly we develop an additive structural seasonality model. Then a Milstein discretized non-linear stochastic volatility state space representation for the model is developed which allows for futures and options contracts in the observation equation. We then develop numerical methodology based on an advanced Sequential Monte Carlo algorithm utilising Particle Markov chain Monte Carlo to perform calibration of the model jointly with the filtering of the latent processes for the long-short dynamics and volatility factors. In this regard we explore and develop a novel methodology based on an adaptive Rao-Blackwellised version of the Particle Markov chain Monte Carlo methodology. In doing this we deal accurately with the non-linearities in the state-space model which are therefore introduced into the filtering framework. We perform analysis on synthetic and real data for oil commodities.

The affine LIBOR models

Keller-Ressel, Martin; Papapantoleon, Antonis; Teichmann, Josef
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
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We provide a general and flexible approach to LIBOR modeling based on the class of affine factor processes. Our approach respects the basic economic requirement that LIBOR rates are non-negative, and the basic requirement from mathematical finance that LIBOR rates are analytically tractable martingales with respect to their own forward measure. Additionally, and most importantly, our approach also leads to analytically tractable expressions of multi-LIBOR payoffs. This approach unifies therefore the advantages of well-known forward price models with those of classical LIBOR rate models. Several examples are added and prototypical volatility smiles are shown. We believe that the CIR-process based LIBOR model might be of particular interest for applications, since closed form valuation formulas for caps and swaptions are derived.; Comment: 32 pages, 2 figures, submitted. Valuation formulas for swaptions in multi-factor models added

Sparse latent factor models with interactions: Analysis of gene expression data

Mayrink, Vinicius Diniz; Lucas, Joseph Edward
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 06/12/2013 Português
Relevância na Pesquisa
57.421562%
Sparse latent multi-factor models have been used in many exploratory and predictive problems with high-dimensional multivariate observations. Because of concerns with identifiability, the latent factors are almost always assumed to be linearly related to measured feature variables. Here we explore the analysis of multi-factor models with different structures of interactions between latent factors, including multiplicative effects as well as a more general framework for nonlinear interactions introduced via the Gaussian Process. We utilize sparsity priors to test whether the factors and interaction terms have significant effect. The performance of the models is evaluated through simulated and real data applications in genomics. Variation in the number of copies of regions of the genome is a well-known and important feature of most cancers. We examine interactions between factors directly associated with different chromosomal regions detected with copy number alteration in breast cancer data. In this context, significant interaction effects for specific genes suggest synergies between duplications and deletions in different regions of the chromosome.; Comment: Published in at http://dx.doi.org/10.1214/12-AOAS607 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org)

Calibration of One- and Two-Factor Models For Valuation of Energy Multi-Asset Derivative Contracts

Gray, Josh; Palamarchuk, Konstantin
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 19/11/2010 Português
Relevância na Pesquisa
47.122607%
We study historical calibration of one- and two-factor models that are known to describe relatively well the dynamics of energy underlyings such as spot and index natural gas or oil prices at different physical locations or regional power prices. We take into account uneven frequency of data due to weekends, holidays, and possible missing data. We study the case when several one- and two-factor models are used in the joint model with correlated model factors and present examples of joint calibration for daily natural gas prices at several locations in the US and for regional hourly power prices.; Comment: MikTeX 2.7, 18 pages

Large-N Limit as a Classical Limit: Baryon in Two-Dimensional QCD and Multi-Matrix Models

Krishnaswami, Govind S.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 27/09/2004 Português
Relevância na Pesquisa
47.32906%
This thesis concerns the large-N limit, a classical limit where fluctuations in gauge-invariant variables vanish. The large dimension limit for rotation-invariant variables in atoms is given as an example of a classical limit other than hbar vanishing. Part I concerns the baryon in Rajeev's reformulation of 2d QCD in the large-N limit: a non-linear classical theory of color-singlet quark bilinears. 't Hooft's meson equation is the linearization around the vacuum on the curved grassmannian phase space. The baryon is a topological soliton. Its form factor is found variationally on a succession of increasing rank submanifolds of the phase space. These reduced systems are interacting parton models: a derivation of parton model from the soliton picture. A rank-1 ansatz leads to a Hartree approximation: a relativistic 2d realization of Witten's proposal. The baryon form factor is used to model x_B dependence of deep inelastic structure functions. In Part II, euclidean large-N multi-matrix models are reformulated as classical systems for U(N) invariants. The configuration space of gluon correlations is a space of non-commutative probability distributions. Classical equations of motion (factorized loop equations) contain an anomaly that leads to a cohomological obstruction to finding an action principle. This is circumvented by expressing the configuration space as a coset space of the automorphism group of the tensor algebra. The action principle is interpreted as the Legendre transform of the entropy of operator-valued random variables. The free energy and correlations in the large-N limit are found variationally. The simplest variational ansatz is an analogue of mean-field theory and compares well with exact and numerical solutions of 1 and 2 matrix models away from phase transitions.; Comment: PhD thesis...

UV Continuum, Physical Conditions and Filling Factor in Active Galactic Nuclei

Martins, Lucimara P.; Viegas, Sueli M.; Gruenwald, Ruth
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 03/02/2003 Português
Relevância na Pesquisa
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The narrow line region of active galaxies is formed by gas clouds surrounded by a diluted gas. Standard one-dimensional photoionization models are usually used to model this region in order to reproduce the observed emission lines. Since the narrow line region is not homogeneous, two major types of models are used: (a) those assuming a homogeneous gas distribution and a filling factor less than unity to mimic the presence of the emitting clouds; (b) those based on a composition of single-cloud models combined in order to obtain the observed spectra. The first method is largely used but may induce to misleading conclusions as shown in this paper. The second one is more appropriate, but requires a large number of observed lines in order to limit the number of single models used. After discussing the case of an extragalactic HII region, for which the ionizing radiation spectrum is better known, we show that 1-D models for the narrow line region with a filling factor less than unit do not properly mimic the clumpiness, but just simulates an overall lower density. Multi-cloud models lead to more reliable results. Both models are tested in this paper, using the emission-line spectra of two well-known Seyfert galaxies, NGC 4151 and NGC 1068. It is shown that ionizing radiation spectra with a blue bump cannot be excluded by multi-cloud models...

Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model

Grbac, Zorana; Meneghello, Laura; Runggaldier, Wolfgang J.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 10/12/2015 Português
Relevância na Pesquisa
37.587737%
The recent financial crisis has led to so-called multi-curve models for the term structure. Here we study a multi-curve extension of short rate models where, in addition to the short rate itself, we introduce short rate spreads. In particular, we consider a Gaussian factor model where the short rate and the spreads are second order polynomials of Gaussian factor processes. This leads to an exponentially quadratic model class that is less well known than the exponentially affine class. In the latter class the factors enter linearly and for positivity one considers square root factor processes. While the square root factors in the affine class have more involved distributions, in the quadratic class the factors remain Gaussian and this leads to various advantages, in particular for derivative pricing. After some preliminaries on martingale modeling in the multi-curve setup, we concentrate on pricing of linear and optional derivatives. For linear derivatives, we exhibit an adjustment factor that allows one to pass from pre-crisis single curve values to the corresponding post-crisis multi-curve values.

Factor Models to Describe Linear and Non-linear Structure in High Dimensional Gene Expression Data

Mayrink, Vinicius Diniz
Fonte: Universidade Duke Publicador: Universidade Duke
Tipo: Dissertação
Publicado em //2011 Português
Relevância na Pesquisa
67.340127%

An important problem in the analysis of gene expression data is the identification of groups of features that are coherently expressed. For example, one often wishes to know whether a group of genes, clustered because of correlation in one data set, is still highly co-expressed in another data set. For some microarray platforms there are many, relatively short, probes for each gene of interest. In this case, it is possible that a given probe is not measuring its targeted transcript, but rather a different gene with a similar region (called cross-hybridization). Similarly, the incorrect mapping of short nucleotide sequences to a target gene is a common issue related to the young technology producing RNA-Seq data. The expression pattern across samples is a valuable source of information, which can be used to address distinct problems through the application of factor models. Our first study is focused on the identification of the presence/absence status of a gene in a sample. We compare our factor model to state-of-the-art detection methods; the results suggest superior performance of the factor analysis for detecting transcripts. In the second study, we apply factor models to investigate gene modules (groups of coherently expressed genes). Variation in the number of copies of regions of the genome is a well known and important feature of most cancers. Copy number alteration is detected for a group of genes in breast cancer; our goal is to examine this abnormality in the same chromosomal region for other types of tumors (Ovarian...

Modeling Multi-factor Binding of the Genome

Wasson, Todd Steven
Fonte: Universidade Duke Publicador: Universidade Duke
Tipo: Dissertação
Publicado em //2010 Português
Relevância na Pesquisa
47.122607%

Hundreds of different factors adorn the eukaryotic genome, binding to it in large number. These DNA binding factors (DBFs) include nucleosomes, transcription factors (TFs), and other proteins and protein complexes, such as the origin recognition complex (ORC). DBFs compete with one another for binding along the genome, yet many current models of genome binding do not consider different types of DBFs together simultaneously. Additionally, binding is a stochastic process that results in a continuum of binding probabilities at any position along the genome, but many current models tend to consider positions as being either binding sites or not.

Here, we present a model that allows a multitude of DBFs, each at different concentrations, to compete with one another for binding sites along the genome. The result is an 'occupancy profile', a probabilistic description of the DNA occupancy of each factor at each position. We implement our model efficiently as the software package COMPETE. We demonstrate genome-wide and at specific loci how modeling nucleosome binding alters TF binding, and vice versa, and illustrate how factor concentration influences binding occupancy. Binding cooperativity between nearby TFs arises implicitly via mutual competition with nucleosomes. Our method applies not only to TFs...