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NETS: Network Estimation for Time Series net:时间序列的网络估计
Econometrics: Mathematical Methods & Programming eJournal Pub Date : 2018-10-15 DOI: 10.2139/ssrn.2249909
M. Barigozzi, C. Brownlees
{"title":"NETS: Network Estimation for Time Series","authors":"M. Barigozzi, C. Brownlees","doi":"10.2139/ssrn.2249909","DOIUrl":"https://doi.org/10.2139/ssrn.2249909","url":null,"abstract":"This work proposes novel network analysis techniques for multivariate time series. We define the network of a multivariate time series as a graph where vertices denote the components of the process and edges denote non zero long run partial correlations. We then introduce a two step LASSO procedure, called NETS, to estimate high dimensional sparse Long Run Partial Correlation networks. This approach is based on a VAR approximation of the process and allows to decompose the long run linkages into the contribution of the dynamic and contemporaneous dependence relations of the system. The large sample properties of the estimator are analysed and we establish conditions for consistent selection and estimation of the non zero long run partial correlations. The methodology is illustrated with an application to a panel of U.S. bluechips.","PeriodicalId":299310,"journal":{"name":"Econometrics: Mathematical Methods & Programming eJournal","volume":"85 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124142201","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: 174
Circular Arbitrage Detection Using Graphs 利用图进行循环套利检测
Econometrics: Mathematical Methods & Programming eJournal Pub Date : 2018-10-15 DOI: 10.2139/ssrn.3267020
Zhenyu Cui, Stephen Michael Taylor
{"title":"Circular Arbitrage Detection Using Graphs","authors":"Zhenyu Cui, Stephen Michael Taylor","doi":"10.2139/ssrn.3267020","DOIUrl":"https://doi.org/10.2139/ssrn.3267020","url":null,"abstract":"We propose a novel graph-theoretic method for the detection of circular arbitrage in foreign exchange (FX) markets and discuss and demonstrate runtime improvements of this algorithm over the brute force approach. An application on empirical currency bid/ask price data validates this technique as well as provides an example of increased computational efficiency, especially in the case where a large number of currencies are considered. Using minute level market data for all G10 currency pairs, we demonstrate the efficiency of the algorithm as well as potential returns of higher order circular arbitrage trades. Finally, several potential extensions are discussed.","PeriodicalId":299310,"journal":{"name":"Econometrics: Mathematical Methods & Programming eJournal","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133632626","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
Extension of Strictly Monotonic Functions in Order-Separable Spaces 序可分空间中严格单调函数的推广
Econometrics: Mathematical Methods & Programming eJournal Pub Date : 2018-10-04 DOI: 10.2139/ssrn.3260586
Farhad Husseinov
{"title":"Extension of Strictly Monotonic Functions in Order-Separable Spaces","authors":"Farhad Husseinov","doi":"10.2139/ssrn.3260586","DOIUrl":"https://doi.org/10.2139/ssrn.3260586","url":null,"abstract":"The classical Uryson-Titze theorem states that every continuous function defined on a closed subset of a normal topological space can be extended to the whole space. However, not every continuous and monotone function defined on a closed subset of a normally preordered space is extendable to the whole space. Nachbin found a necessary and sufficient condition for the existence of such an extension for nonstrictly monotone functions. This paper provides a necessary and sufficient condition for the extendability of the continuous strictly monotone functions defined on closed subsets of a normally preordered space with the separable preorder. Important examples of such spaces are the Euclidean spaces with the strict componentwise order. An application to the extension of strictly monotone preferences in Euclidean spaces is given.","PeriodicalId":299310,"journal":{"name":"Econometrics: Mathematical Methods & Programming eJournal","volume":"154 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123783425","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: 3
Reliably Computing Nonlinear Dynamic Stochastic Model Solutions: An Algorithm with Error Formulas 非线性动态随机模型解的可靠计算:一种带有误差公式的算法
Econometrics: Mathematical Methods & Programming eJournal Pub Date : 2018-10-01 DOI: 10.17016/FEDS.2018.070
Gary S. Anderson
{"title":"Reliably Computing Nonlinear Dynamic Stochastic Model Solutions: An Algorithm with Error Formulas","authors":"Gary S. Anderson","doi":"10.17016/FEDS.2018.070","DOIUrl":"https://doi.org/10.17016/FEDS.2018.070","url":null,"abstract":"This paper provides a new technique for representing discrete time nonlinear dynamic stochastic time invariant maps. Using this new series representation, the paper augments the usual solution strategy with an additional set of constraints thereby enhancing algorithm reliability. The paper also provides general formulas for evaluating the accuracy of proposed solutions. The technique can readily accommodate models with occasionally binding constraints and regime switching. The algorithm uses Smolyak polynomial function approximation in a way which makes it possible to exploit a high degree of parallelism.","PeriodicalId":299310,"journal":{"name":"Econometrics: Mathematical Methods & Programming eJournal","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125889840","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
Location Theory and Multi-Criteria Decision Making: An Application of the Moora Method 区位理论与多准则决策:Moora方法的应用
Econometrics: Mathematical Methods & Programming eJournal Pub Date : 2018-09-30 DOI: 10.5709/CE.1897-9254.275
W. Brauers
{"title":"Location Theory and Multi-Criteria Decision Making: An Application of the Moora Method","authors":"W. Brauers","doi":"10.5709/CE.1897-9254.275","DOIUrl":"https://doi.org/10.5709/CE.1897-9254.275","url":null,"abstract":"The first systematic research on Location Theory dates back to 1826. Quantitative approaches came much later. On the supply side extensive Input-Output Tables can be mentioned and on the demand side the optimization by Multi-Criteria Decision Making. The advantages of Input-Output Tables for location opportunities on a regional and urban basis have to be emphasized, whereas the link is made between Input-Output and Multi-Criteria Optimization. MOORA, Multi-Objective Optimization by Ratio Analysis, is composed of two methods: Ratio Analysis and Reference Point Theory and responds to the different conditions of robustness needed for optimization. This approach attempts to localize in an optimal way a certain project facing different indicators, criteria or objectives sometimes originating from different groups or individuals. Here however type and importance of objectives and alternatives were only simulated. The real stakeholders to be considered are rather the national and local authorities, the contributing firms and their personnel. In the production sphere consumer sovereignty was only indirectly involved. If consumers, via consumer organizations and trade unions, were directly involved, other claims could emerge. The simulation used was limited in its applications. Clearly if this simulation has no practical consequences, it still provides a learning experience with the use of the MOORA Method in its double composition.","PeriodicalId":299310,"journal":{"name":"Econometrics: Mathematical Methods & Programming eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133635727","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: 12
A Numercal Realization of the Wiener-Hopf Method For the Backward Kolmogorov Equation 后向Kolmogorov方程的Wiener-Hopf方法的数值实现
Econometrics: Mathematical Methods & Programming eJournal Pub Date : 2018-09-19 DOI: 10.2139/ssrn.3285443
O. Kudryavtsev, V. Rodochenko
{"title":"A Numercal Realization of the Wiener-Hopf Method For the Backward Kolmogorov Equation","authors":"O. Kudryavtsev, V. Rodochenko","doi":"10.2139/ssrn.3285443","DOIUrl":"https://doi.org/10.2139/ssrn.3285443","url":null,"abstract":"We describe a numerical method for solving 3-dimensional partial differential equations, which arise in mathematical finance and other applications. The goal of the paper is to introduce a technique based on Wiener-Hopf factorization with application of Laplace transform. We analyze the problem in terms of expectations of random processes. We construct an approximation scheme by using Carr randomization and constructing a Markov chain, and reduce the original problem to a sequence of 1-dimensional integro-differential equations with suitable boundary conditions. The kernels of the equations are defined by Levy processes with constant variance. An analytic solution to each problem can be expressed in terms of Laplace-Carson transform of the corresponding characteristic functions of its supremum and infimum processes. We show that for a class of models it is possible to construct an efficient method for solving these equations which relies upon approximate formulae for the transform, and discuss modifications allowing to reduce the amount of computations.","PeriodicalId":299310,"journal":{"name":"Econometrics: Mathematical Methods & Programming eJournal","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134007227","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
Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio 减小误差放大的投资组合构建:有界噪声投资组合
Econometrics: Mathematical Methods & Programming eJournal Pub Date : 2018-09-07 DOI: 10.2139/ssrn.2999407
Longxiao Zhao, Deepayan Chakrabarti, K. Muthuraman
{"title":"Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio","authors":"Longxiao Zhao, Deepayan Chakrabarti, K. Muthuraman","doi":"10.2139/ssrn.2999407","DOIUrl":"https://doi.org/10.2139/ssrn.2999407","url":null,"abstract":"We address the problem of poor portfolio performance when a minimum-variance portfolio is constructed using the sample estimates. Estimation errors are mostly blamed for the poor portfolio performa...","PeriodicalId":299310,"journal":{"name":"Econometrics: Mathematical Methods & Programming eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127427058","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: 9
Robust Optimization Approach to Process Flexibility Designs with Contribution Margin Differentials 具有贡献边际差异的过程灵活性设计鲁棒优化方法
Econometrics: Mathematical Methods & Programming eJournal Pub Date : 2018-08-17 DOI: 10.2139/ssrn.3233721
Shixin Wang, Xuan Wang, Jiawei Zhang
{"title":"Robust Optimization Approach to Process Flexibility Designs with Contribution Margin Differentials","authors":"Shixin Wang, Xuan Wang, Jiawei Zhang","doi":"10.2139/ssrn.3233721","DOIUrl":"https://doi.org/10.2139/ssrn.3233721","url":null,"abstract":"Problem definition: The theoretical investigation of the effectiveness of limited flexibility has mainly focused on a performance metric that is based on the maximum sales in units. However, this could lead to substantial profit losses when the maximum sales metric is used to guide flexibility designs while the products have considerably large profit margin differences. Academic/practical relevance: We address this issue by introducing margin differentials into the analysis of process flexibility designs, and our results can provide useful guidelines for the evaluation and design of flexibility configurations when the products have heterogeneous margins. Methodology: We adopt a robust optimization framework and study process flexibility designs from the worst-case perspective by introducing the dual margin group index (DMGI). Results and managerial implications: We show that a general class of worst-case performance measures can be expressed as functions of a design’s DMGIs and the given uncertainty set. Moreover, the DMGIs lead to a partial ordering that enables us to compare the worst-case performance of different designs. Applying these results, we prove that under the so-called partwise independently symmetric uncertainty sets and a broad class of worst-case performance measures, the alternate long-chain design is optimal among all long-chain designs with equal numbers of high-profit products and low-profit products. Finally, we develop a heuristic based on the DMGIs to generate effective flexibility designs when products exhibit margin differentials.","PeriodicalId":299310,"journal":{"name":"Econometrics: Mathematical Methods & Programming eJournal","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115547651","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
Estimating the Dynamics of Consumption Growth 估计消费增长的动态
Econometrics: Mathematical Methods & Programming eJournal Pub Date : 2018-08-16 DOI: 10.2139/ssrn.3140044
G. Schwenkler
{"title":"Estimating the Dynamics of Consumption Growth","authors":"G. Schwenkler","doi":"10.2139/ssrn.3140044","DOIUrl":"https://doi.org/10.2139/ssrn.3140044","url":null,"abstract":"We estimate models of consumption growth that allow for long-run risks and disasters using data for a series of countries over a time span of 200 years. Our estimates indicate that a model with small and frequent disasters that arrive at a mean-reverting rate best fits international consumption data. The implied posterior disaster intensity in such a model predicts equity returns without compromising the unpredictability of consumption growth. It also generates time-varying excess stock volatility, empirically validating key economic mechanisms often assumed in consumption-based asset pricing models.","PeriodicalId":299310,"journal":{"name":"Econometrics: Mathematical Methods & Programming eJournal","volume":"117 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124169138","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: 3
Recursive Utility and Thompson Aggregators I: Constructive Existence Theory for the Koopmans Equation 递归效用与汤普森聚合器I: Koopmans方程的构造存在论
Econometrics: Mathematical Methods & Programming eJournal Pub Date : 2018-07-16 DOI: 10.2139/ssrn.3228079
R. Becker, J. P. Rincón-Zapatero
{"title":"Recursive Utility and Thompson Aggregators I: Constructive Existence Theory for the Koopmans Equation","authors":"R. Becker, J. P. Rincón-Zapatero","doi":"10.2139/ssrn.3228079","DOIUrl":"https://doi.org/10.2139/ssrn.3228079","url":null,"abstract":"We reconsider the theory of Thompson aggregators proposed by Marinacci and Montrucchio [34]. We prove a variant of their Recovery Theorem establishing the existence of extremal solutions to the Koopmans equation. We apply the constructive Tarski-Kantorovich Fixed Point Theorem rather than the nonconstructive Tarski Theorem employed in [34]. We also obtain additional properties of the extremal solutions. The Koopmans operator possesses two distinct order continuity properties. Each is sufficient for the application of the Tarski-Kantorovich Theorem. One version builds on the order properties of the underlying vector spaces for utility functions and commodities. The second form is topological. The Koopmans operator is continuous in Scott's [40] induced topology. The least fixed point is constructed with either continuity hypothesis by the partial sum method. This solution is a concave function whenever the Thompson aggregator is concave and also norm continuous on the interior of its effective domain.","PeriodicalId":299310,"journal":{"name":"Econometrics: Mathematical Methods & Programming eJournal","volume":"163 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126593902","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: 3
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