Computation Theory eJournal最新文献

Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models 粗糙随机局部波动模型的半鞅和连续时间马尔可夫链逼近

Computation Theory eJournal Pub Date : 2021-10-15 DOI: 10.2139/ssrn.3943560

Jingtang Ma, Wensheng Yang, Zhenyu Cui

{"title":"Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models","authors":"Jingtang Ma, Wensheng Yang, Zhenyu Cui","doi":"10.2139/ssrn.3943560","DOIUrl":"https://doi.org/10.2139/ssrn.3943560","url":null,"abstract":"Rough volatility models have recently been empirically shown to provide a good fit to historical volatility time series and implied volatility smiles of SPX options. They are continuous-time stochastic volatility models, whose volatility process is driven by a fractional Brownian motion with Hurst parameter less than half. Due to the challenge that it is neither a semimartingale nor a Markov process, there is no unified method that not only applies to all rough volatility models, but also is computationally efficient. This paper proposes a semimartingale and continuous-time Markov chain (CTMC) approximation approach for the general class of rough stochastic local volatility (RSLV) models. In particular, we introduce the perturbed stochastic local volatility (PSLV) model as the semimartingale approximation for the RSLV model and establish its existence , uniqueness and Markovian representation. We propose a fast CTMC algorithm and prove its weak convergence. Numerical experiments demonstrate the accuracy and high efficiency of the method in pricing European, barrier and American options. Comparing with existing literature, a significant reduction in the CPU time to arrive at the same level of accuracy is observed.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123952807","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: 2

Demystifying algorithmic complexities and geometric review of the ‘h’-index 揭开算法复杂性和“h”指数的几何回顾

Computation Theory eJournal Pub Date : 2021-09-28 DOI: 10.5281/zenodo.5654779

K. Ghosh, M. Mukhopadhyay

引用次数: 6

Devising a New Filtration Method and Proof of Self-Similarity of Electromyograms 一种新的过滤方法的设计及肌电图自相似性的证明

Computation Theory eJournal Pub Date : 2021-08-31 DOI: 10.15587/1729-4061.2021.239165

G. Chuiko, O. Dvornik, Yevhen Darnapuk, Ye. A. Baganov

{"title":"Devising a New Filtration Method and Proof of Self-Similarity of Electromyograms","authors":"G. Chuiko, O. Dvornik, Yevhen Darnapuk, Ye. A. Baganov","doi":"10.15587/1729-4061.2021.239165","DOIUrl":"https://doi.org/10.15587/1729-4061.2021.239165","url":null,"abstract":"The main attention is paid to the analysis of electromyogram (EMG) signals using Poincaré plots (PP). It was established that the shapes of the plots are related to the diagnoses of patients. To study the fractal dimensionality of the PP, the method of counting the coverage figures was used. The PP filtration was carried out with the help of Haar wavelets. The self-similarity of Poincaré plots for the studied electromyograms was established, and the law of scaling was used in a fairly wide range of coverage figures. Thus, the entire Poincaré plot is statistically similar to its own parts. The fractal dimensionalities of the PP of the studied electromyograms belong to the range from 1.36 to 1.48. This, as well as the values of indicators of Hurst exponent of Poincaré plots for electromyograms that exceed the critical value of 0.5, indicate the relative stability of sequences.\u0000The algorithm of the filtration method proposed in this research involves only two simple stages:\u0000\u0000Conversion of the input data matrix for the PP using the Jacobi rotation.\u0000Decimation of both columns of the resulting matrix (the so-called \"lazy wavelet-transformation\", or double downsampling).\u0000\u0000The algorithm is simple to program and requires less machine time than existing filters for the PP.\u0000Filtered Poincaré plots have several advantages over unfiltered ones. They do not contain extra points, allow direct visualization of short-term and long-term variability of a signal. In addition, filtered PPs retain both the shape of their prototypes and their fractal dimensionality and variability descriptors. The detected features of electromyograms of healthy patients with characteristic low-frequency signal fluctuations can be used to make clinical decisions.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125069331","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

Limiting dynamics for Q-learning with memory one in two-player, two-action games 限制动态的Q-learning与记忆，一个在双人，双动作游戏

Computation Theory eJournal Pub Date : 2021-07-29 DOI: 10.2139/ssrn.3895751

J. Meylahn

引用次数: 1

Online Document for WSC 2021 con132 WSC 2021在线文件

Computation Theory eJournal Pub Date : 2021-06-30 DOI: 10.2139/ssrn.3877499

Haoting Zhang, Jinghai He, Donglin Zhan, Zeyu Zheng

引用次数: 0

Economic Growth and Equity in Anticipation of Climate Policy 气候政策预期下的经济增长与公平

Computation Theory eJournal Pub Date : 2021-06-14 DOI: 10.2139/ssrn.3866418

A. Miftakhova, Clément Renoir

引用次数: 0

Assortment Optimization under the Multi-Purchase Multinomial Logit Choice Model 多重购买多项式Logit选择模型下的分类优化

Computation Theory eJournal Pub Date : 2021-06-14 DOI: 10.2139/ssrn.3866734

Jacob B. Feldman, D. Segev, Huseyin Topaloglu, Laura Wagner, Yicheng Bai

引用次数: 5

'I See Something You Don't See'. A Computational Analysis of the Digital Services Act and the Digital Markets Act “我看到了你看不到的东西”。《数字服务法》和《数字市场法》的计算分析

Computation Theory eJournal Pub Date : 2021-05-21 DOI: 10.51868/6

Fabiana Di Porto, Tatjana Grote, Gabriele Volpi, Riccardo invernizzi

{"title":"'I See Something You Don't See'. A Computational Analysis of the Digital Services Act and the Digital Markets Act","authors":"Fabiana Di Porto, Tatjana Grote, Gabriele Volpi, Riccardo invernizzi","doi":"10.51868/6","DOIUrl":"https://doi.org/10.51868/6","url":null,"abstract":"In its latest proposals, the Digital Markets Act (DMA) and Digital Services Act (DSA), the European Commission puts forward several new obligations for online intermediaries, especially large online platforms and “gatekeepers.” Both are expected to serve as a blueprint for regulation in the United States, where lawmakers have also been investigating competition on digital platforms and new antitrust laws passed the House Judiciary Committee as of June 11, 2021. This Article investigates whether all stakeholder groups share the same understanding and use of the relevant terms and concepts of the DSA and DMA. Leveraging the power of computational text analysis, we find significant differences in the employment of terms like “gatekeepers,” “self-preferencing,” “collusion,” and others in the position papers of the consultation process that informed the drafting of the two latest Commission proposals. Added to that, sentiment analysis shows that in some cases these differences also come with dissimilar attitudes. While this may not be surprising for new concepts such as gatekeepers or self-preferencing, the same is not true for other terms, like “self-regulatory,” which not only is used differently by stakeholders but is also viewed more favorably by medium and big companies and organizations than by small ones. We conclude by sketching out how different computational text analysis tools, could be combined to provide many helpful insights for both rulemakers and legal scholars.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":"1176 ","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120932530","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

Solving linear rational expectations models in the presence of structural change: Some refinements 解决结构变化下的线性理性预期模型:一些改进

Computation Theory eJournal Pub Date : 2021-05-01 DOI: 10.2139/ssrn.3875375

M. Hatcher

引用次数: 0

Modelling India's Second Covid Wave Based on Human Social Behaviour and Creating the SVIR Model 基于人类社会行为对印度第二波疫情进行建模并创建SVIR模型

Computation Theory eJournal Pub Date : 2021-05-01 DOI: 10.2139/ssrn.3878779

Ashna Jain

{"title":"Modelling India's Second Covid Wave Based on Human Social Behaviour and Creating the SVIR Model","authors":"Ashna Jain","doi":"10.2139/ssrn.3878779","DOIUrl":"https://doi.org/10.2139/ssrn.3878779","url":null,"abstract":"The Covid-19 pandemic has affected more than 150 million people around the world. India has been hit particularly hard, especially the second wave from March 2021 till present(May 2021). The current model used for prediction of covid transmission is the susceptible-recovered-infected(SIR) model, however it is unable to model real life social scenarios which have major impact on the spread of contagious diseases. Research has already linked a higher transmission rates in countries with a denser population, however this paper focuses on changing density due to social scenarios in the same region to estimate the impact of human behaviour. We combine Covid-19 data with human social behaviour to create a modified model specific to India, using regression to calculate the contact rate.Making it a function of density, we estimate how far super spreader events conducted in India such as the kumbh mela and political rallies contributed to the second wave. We then model future trends, exploring how human behaviour will change the trajectory of the second wave and why a nationwide lockdown is absolutely critical, given not just the sheer number of cases, but also slow vaccination rates, overcrowding of hospitals and the ongoing oxygen crisis. We forecast number of Covid cases in the future in three different situations, a super spreader event is conducted, nothing changes, and a nation-wide lockdown, discovering that contact rate should be modelled as a function of density and human social behaviour should explicitly be used in transmission models that predict the impact of Covid19. We also factor in vaccination rates creating the SVIR model, evaluating the impact of vaccine roll out as compared to lock downs, concluding the social distancing and covid precautions will need to be continued until at least triple of India's current daily vaccine roll out is achieved, which will flatten the curve by reducing the number of susceptible people significantly.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114121134","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: 1