Systems Engineering Procedia最新文献_第8页

Comparing the forecastability of alternative quantitative models: A trading simulation approach in financial engineering 比较不同定量模型的可预测性:金融工程中的交易模拟方法

Systems Engineering Procedia Pub Date : 2012-01-01 Epub Date: 2012-01-19 DOI: 10.1016/j.sepro.2011.11.046

Mei Zheng , Jia Miao

{"title":"Comparing the forecastability of alternative quantitative models: A trading simulation approach in financial engineering","authors":"Mei Zheng , Jia Miao","doi":"10.1016/j.sepro.2011.11.046","DOIUrl":"10.1016/j.sepro.2011.11.046","url":null,"abstract":"<div><p>In this article, we build Box-Jenkins ARMA model and ARMA-GARCH model to forecast the returns of shanghai stock exchange composite index in financial engineering. Out-of-sample forecasting performances are evaluated to compare the forecastability of the two models. Traditional engineering type of models aim to minimize statistical errors, however, the model with minimum engineering type of statistical errors does not necessarily guarantee maximized trading profits, which is often deemed as the ultimate objective of financial application. The best way to evaluate alternative financial model is therefore to evaluate their trading performance by means of trading simulation.</p><p>We find that both quantitative models are able to forecast the future movements of the market accurately, which yields significant risk adjusted returns compared to the overall market during the out-of-sample period. In addition, although the ARMA-GARCH model is better than the ARMA model theoretically and statistically, the latter outperforms the former with significantly higher trading performances.</p></div>","PeriodicalId":101207,"journal":{"name":"Systems Engineering Procedia","volume":"4 ","pages":"Pages 35-39"},"PeriodicalIF":0.0,"publicationDate":"2012-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.sepro.2011.11.046","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82489693","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Performance Evaluation of Investment Funds with DEA and Higher Moments Characteristics: Financial Engineering Perspective 具有DEA和高矩特征的投资基金绩效评价:金融工程视角

Systems Engineering Procedia Pub Date : 2012-01-01 Epub Date: 2012-01-16 DOI: 10.1016/j.sepro.2011.10.033

Jian Guo , Chaoqun Ma , Zhongbao Zhou

引用次数: 15

Financial Engineering Estimation Methods of Minimum Risk Hedge Ratio 最小风险对冲比率的金融工程估计方法

Systems Engineering Procedia Pub Date : 2012-01-01 Epub Date: 2012-01-16 DOI: 10.1016/j.sepro.2011.10.027

Zheng Yao, Haiyan Wu

{"title":"Financial Engineering Estimation Methods of Minimum Risk Hedge Ratio","authors":"Zheng Yao, Haiyan Wu","doi":"10.1016/j.sepro.2011.10.027","DOIUrl":"10.1016/j.sepro.2011.10.027","url":null,"abstract":"<div><p>As an important tool to circumvent the systemic risks in financial engineering, the key for achievement of the performance of stock index futures is dependent on determination of the hedge ratio (HR). In this paper, the minimum risk-based portfolio hedging model is first analyzed. It is then followed by the investigation on various major estimation methods for the minimum risk hedge ratio. Aiming at the newest Shanghai and Shenzhen (HS) 300 index futures hedge, the empirical analyses are eventually performed for the hedge strategies, thus validating the application of these different estimation methods in China's market. The results revealed in the current study show that the HR obtained by the ordinary least squares (OLS) model is maximal and the out-of-sample hedging performance is the best; however, the hedging effectiveness is not sufficiently stable for both the out-of-sample and in-sample estimation. In addition, the in-sample hedging performance accomplished through the bivariate vector autoregression (B-VAR) model is superior to those achieved via other methods. It is manifested further from the results that the HR determined by the error correction (EC) model is minimal and the hedging performances for both the out-of-sample and in-sample data are weak, yet the hedging effectiveness for both of them is stable.</p></div>","PeriodicalId":101207,"journal":{"name":"Systems Engineering Procedia","volume":"3 ","pages":"Pages 187-193"},"PeriodicalIF":0.0,"publicationDate":"2012-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.sepro.2011.10.027","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87002999","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Economic evaluation of wind-powered pumped storage system 风力抽水蓄能系统的经济性评价

Systems Engineering Procedia Pub Date : 2012-01-01 Epub Date: 2012-01-19 DOI: 10.1016/j.sepro.2011.11.055

Li Dinglin, Chen Yingjie, Zhang Kun, Zeng Ming

引用次数: 29

Quantitative Method on Miners Emergency Response Capacity 矿工应急响应能力的定量方法

Systems Engineering Procedia Pub Date : 2012-01-01 Epub Date: 2012-06-02 DOI: 10.1016/j.sepro.2012.04.041

Jiang-shi Zhang , Pan-pan He , Shu-shan Gao , Tao Jia

引用次数: 1

The PWM speed regulation of DC motor based on intelligent control 基于智能控制的直流电机PWM调速

Systems Engineering Procedia Pub Date : 2012-01-01 Epub Date: 2012-01-16 DOI: 10.1016/j.sepro.2011.11.028

Wenbin Yan , Dada Wang , Pengfei Jia , Weiguo Li

引用次数: 18

Models Responding to Large-area Flight Delays in Aviation Production Engineering 航空生产工程中响应大面积飞行延误的模型

Systems Engineering Procedia Pub Date : 2012-01-01 Epub Date: 2012-06-02 DOI: 10.1016/j.sepro.2012.04.011

Mingang Gao, Hong Chi, Yuzhen Hu, Baoguang Xu

引用次数: 3

Entropy-Based Complexity Metrics for Coal Resource Consolidation System Engineering 基于熵的煤炭资源整合系统工程复杂性度量

Systems Engineering Procedia Pub Date : 2012-01-01 Epub Date: 2012-01-19 DOI: 10.1016/j.sepro.2011.11.063

Yi Zhang , Hualing Song , Chunlei Li , Chuanpeng Wang

引用次数: 0

Study on the Resource Allocation in Urban Defense Engineering with Intentional Threats 存在故意威胁的城防工程资源配置研究

Systems Engineering Procedia Pub Date : 2012-01-01 Epub Date: 2012-06-02 DOI: 10.1016/j.sepro.2012.04.032

Hu Xiaofeng, Shen Shifei

{"title":"Study on the Resource Allocation in Urban Defense Engineering with Intentional Threats","authors":"Hu Xiaofeng, Shen Shifei","doi":"10.1016/j.sepro.2012.04.032","DOIUrl":"10.1016/j.sepro.2012.04.032","url":null,"abstract":"<div><p>Intentional threats, which are also known as human-induced hazards including terrorism, have become a worldwide catastrophe risk since recent years. In order to protect city from intentional threats, the urban defense engineering has become an important part of urban planning and construction. Based on that, the security planning on urban infrastructure is required to be improved and corresponding security surveillance and early warning systems need to be enhanced. More importantly, the macro-level study of defense resource allocation should be given more considerations. In this study, a resource allocation model focusing on urban defense under the situation with intentional attacking is developed. In this resource allocation model, the rationality level of attackers, the interrelation among targets and other related problems under intentional attacks are all considered. Besides, this model is also validated by using an example, and in this example, the impact of several important parameters have been discussed. It is shown that the expected loss of the optimized resource allocation plan derived from this model is smaller than that of the population proportion-based allocation plan and average-based allocation plan. It also shows that the correlation coefficient of targets has a significant impact of the defense resource allocation. This model can provide the planners and decision makers of urban defense engineering with scientific basis for macroscopic decision making in responding to intentional threats.</p></div>","PeriodicalId":101207,"journal":{"name":"Systems Engineering Procedia","volume":"5 ","pages":"Pages 198-206"},"PeriodicalIF":0.0,"publicationDate":"2012-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.sepro.2012.04.032","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89441572","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 6

Research on the Comprehensive Evaluation of Business Intelligence System Based on BP Neural Network 基于BP神经网络的商业智能系统综合评价研究

Systems Engineering Procedia Pub Date : 2012-01-01 Epub Date: 2012-01-19 DOI: 10.1016/j.sepro.2011.11.076

Su-Li Yan, Ying Wang, Ji-Cheng Liu

引用次数: 18