IRPN: Innovation & Econometrics (Topic)最新文献

Using Patent Capital to Estimate Tobin's q 利用专利资本估计托宾q

IRPN: Innovation & Econometrics (Topic) Pub Date : 2020-11-01 DOI: 10.2139/ssrn.3420322

Michael Woeppel

引用次数: 0

Bellman Filtering for State-Space Models 状态空间模型的Bellman滤波

IRPN: Innovation & Econometrics (Topic) Pub Date : 2020-08-26 DOI: 10.2139/ssrn.3682036

Rutger-Jan Lange

引用次数: 0

Supplement to 'The Inverse Product Differentiation Logit Model' 对“逆产品微分Logit模型”的补充

IRPN: Innovation & Econometrics (Topic) Pub Date : 2020-07-17 DOI: 10.2139/ssrn.3419559

M. Fosgerau, Julien Monardo, A. de Palma

引用次数: 5

A Model Free Approach to the Pricing of Downside Risk in Argentinean Stocks 阿根廷股票下行风险定价的无模型方法

IRPN: Innovation & Econometrics (Topic) Pub Date : 2019-11-01 DOI: 10.2139/ssrn.3498585

J. P. Dapena, J. A. Serur, Julián R. Siri

引用次数: 0

Blockchain: A Misunderstood Digital Revolution. Things You Need to Know about Blockchain 区块链:被误解的数字革命。关于区块链你需要知道的事情

IRPN: Innovation & Econometrics (Topic) Pub Date : 2019-10-08 DOI: 10.2139/ssrn.3466480

John Taskinsoy

{"title":"Blockchain: A Misunderstood Digital Revolution. Things You Need to Know about Blockchain","authors":"John Taskinsoy","doi":"10.2139/ssrn.3466480","DOIUrl":"https://doi.org/10.2139/ssrn.3466480","url":null,"abstract":"Blockchain and distributed ledger technology (DLT) are used interchangeably. In the aftermath of the 2008 global financial crisis, Bitcoin gave birth to blockchain, or vice versa. A decade has passed since the launch of the first successful cryptocurrency in January 2009 by a mysterious creator under the alias Satoshi Nakamoto. Now along with Bitcoin, 2,915 altcoins are trading with a combined market cap of $222 billion, Bitcoin’s market cap alone is $150 billion (67.6% of the market). Blockchain’s potential is much bigger than Bitcoin; if regulatory uncertainty alleviates, the blockchain’s value can easily increase by hundred-fold to $3 to $4 trillion dollars by 2030. Although financial sector leads blockchain adoption, blockchain’s opportunities in non-financial sectors are immense. In the simplest terms, blockchain is a distributed ledger made up of two parts, blocks containing of data and a chain that holds them together. Blocks are like storage units that store anything of value related to minting coins (i.e. Bitcoin) via a mining process and keeps a chronology of transactions (e-commerce); chain can be metaphorically viewed as a string that holds all the blocks together, created using a consensus algorithm based on proof-of-work (PoW) or proof-of-stake (PoS). Blockchains are often organized into three most common forms; as such, public blockchain (purely peer-to-peer, decentralized and permissionless; any miner (i.e. node) at any time can access the network to add, verify or validate data without restrictions), private blockchain (permissioned, it is controlled by a central authority which grants permission to pre-selected people who can add and verify records), and consortium blockchain (also formed as permissioned, a group of nodes governs all transactions). It is true that blockchain provides anonymity making identities of its users pseudonymous; but contrary to popular belief, blockchain will not possibly solve all our problems and a permissionless blockchain will not guarantee complete privacy since all transactions become visible to all nodes of the network.","PeriodicalId":122400,"journal":{"name":"IRPN: Innovation & Econometrics (Topic)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123806979","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 17

Control of the Belt Speed At an Uneven Loading of the Conveyor 输送带不均匀负荷下输送带速度的控制

IRPN: Innovation & Econometrics (Topic) Pub Date : 2019-06-18 DOI: 10.2139/ssrn.3554059

O. Pihnastyi

{"title":"Control of the Belt Speed At an Uneven Loading of the Conveyor","authors":"O. Pihnastyi","doi":"10.2139/ssrn.3554059","DOIUrl":"https://doi.org/10.2139/ssrn.3554059","url":null,"abstract":"Development of algorithms for controlling the speed of the conveyor belt, based on the distributed model of the transport system, containing partial differential equations. To calculate the parameters of a conveyor line with a variable speed of material motion, an instrument of mathematical physics is used. Comparative analysis of conveyor transport system models is performed. Application of partial differential equations for simulating transport systems of conveyor type, which are complex dynamic distributed systems, is substantiated. A nondimensional model of a conveyor system in instantaneous approximation with the use of partialderivative equations is presented. A system of characteristic equations is recorded and a solution is developed which defines the value of material flow and material density at an arbitrary point of time for the given point of the transportation route. An expression is obtained which defines the value of material delay in the transport system depending on the velocity defect law for conveyor belt movement. Transition period time is determined during which the output material flow is defined by the linear density of material disposition along the transportation route. Dependence for the material linear density and material flow for the steady-state condition are defined. The performance criterion of control of flow parameters of the conveyor system is recorded and a solution of the problem of optimal control of conveyor belt speed providing the relay control mode with the minimum power consumption for material movement is found. An example of control algorithm development is given. PDEmodels of transport systems of conveyor type and energy-saving algorithms for controlling such systems have been improved. The proposed method for calculating the parameters of the conveyor line, which is a dynamic distributed system, can be used to design systems for optimal control of flow parameters of transport systems of conveyor type.","PeriodicalId":122400,"journal":{"name":"IRPN: Innovation & Econometrics (Topic)","volume":"1 12","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120807036","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Price Equilibriums, and Rationality of Price Equilibriums within Stock Markets 股票市场的价格均衡和价格均衡的合理性

IRPN: Innovation & Econometrics (Topic) Pub Date : 2019-02-22 DOI: 10.2139/ssrn.686701

Oghenovo A. Obrimah

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引用次数: 12

Machine Invasion: Automation in Information Processing and the Cross Section of Stock Returns 机器入侵:信息处理中的自动化和股票收益的横截面

IRPN: Innovation & Econometrics (Topic) Pub Date : 2018-08-01 DOI: 10.2139/ssrn.3221816

Raunaq S. Pungaliya, Yanbo Wang

引用次数: 2

A Robust Analysis and Forecasting Framework for the Indian Mid Cap Sector Using Times Series Decomposition Approach 使用时间序列分解方法的印度中型股稳健分析和预测框架

IRPN: Innovation & Econometrics (Topic) Pub Date : 2017-09-08 DOI: 10.36227/techrxiv.15128901

Jaydip Sen

引用次数: 4

LSM Reloaded - Differentiate xVA on your iPad Mini LSM重新加载-区分xVA在你的iPad Mini

IRPN: Innovation & Econometrics (Topic) Pub Date : 2017-06-16 DOI: 10.2139/ssrn.2966155

B. Huge, Antoine Savine

{"title":"LSM Reloaded - Differentiate xVA on your iPad Mini","authors":"B. Huge, Antoine Savine","doi":"10.2139/ssrn.2966155","DOIUrl":"https://doi.org/10.2139/ssrn.2966155","url":null,"abstract":"This article by Brian Huge and Antoine Savine reviews the so called least square methodology (LSM) and its application for the valuation and risk of callable exotics and regulatory value adjustments (xVA). We derive valuation algorithms for xVA, both with or without collateral, that are particularly accurate, efficient and practical. These algorithms are based on a reformulation of xVA, designed by Jesper Andreasen and implemented in Danske Bank's award winning systems, that hasn't been previously published in full. We then investigate the matter of risk sensitivities, in the context of Algorithmic Automated Differentiation (AAD). A rather recent addition to the financial mathematics toolbox, AAD is presently generally acknowledged as a vastly superior alternative to the classical estimation of risk sensitivities through finite differences, and the only practical means for the calculation of the large number of sensitivities in the context of xVA. The theory and implementation of AAD, the related check-pointing techniques, and their application to Monte-Carlo simulations are explained in numerous textbooks and articles, including Giles and Glasserman's pioneering Smoking Adjoints. We expose an extension to LSM, and, in particular, we derive an original algorithm that resolves the matters of memory consumption and efficiency in differentiating simulations together with the LSM step.","PeriodicalId":122400,"journal":{"name":"IRPN: Innovation & Econometrics (Topic)","volume":"194 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124285275","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 7