Jordan Journal of Mathematics and Statistics最新文献_第6页

Inequalities Associated to a Sequence of Dyadic Martingales 与并矢鞅序列相关的不等式

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Jordan Journal of Mathematics and Statistics Pub Date : 2020-01-01 DOI: 10.3844/jmssp.2020.233.238

Santosh Ghimire

引用次数: 2

Quickest Multi-Commodity Flow Over Time with Partial Lane Reversals 随着时间的推移，随着部分车道的逆转，最快的多商品流动

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Jordan Journal of Mathematics and Statistics Pub Date : 2020-01-01 DOI: 10.3844/jmssp.2020.198.211

T. N. Dhamala, S. Gupta, D. Khanal, Urmila Pyakurel

引用次数: 11

Lexicographically Maximum Dynamic Flow with Vertex Capacities 字典学上最大的动态流与顶点容量

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Jordan Journal of Mathematics and Statistics Pub Date : 2020-01-01 DOI: 10.3844/jmssp.2020.142.147

Phanindra Prasad Bhandari, S. Khadka, Stefan Ruzika, Luca E. Schäfer

引用次数: 6

Warranty Cost Models using Accelerated Life Tests on Dagum Distribution 在Dagum分布上使用加速寿命试验的保修成本模型

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Jordan Journal of Mathematics and Statistics Pub Date : 2020-01-01 DOI: 10.3844/jmssp.2020.148.160

Eman A. El-Dessouky Nassef

引用次数: 1

A Hybrid Artificial Neural Network Model for Option Pricing 期权定价的混合人工神经网络模型

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Jordan Journal of Mathematics and Statistics Pub Date : 2019-08-08 DOI: 10.3844/JMSSP.2019.185.195

H. Simiyu, A. Waititu, Jane Aduda Akinyi

{"title":"A Hybrid Artificial Neural Network Model for Option Pricing","authors":"H. Simiyu, A. Waititu, Jane Aduda Akinyi","doi":"10.3844/JMSSP.2019.185.195","DOIUrl":"https://doi.org/10.3844/JMSSP.2019.185.195","url":null,"abstract":"In the absence of a well-defined input selection technique associated with the pure ANN models, Option pricing using pure ANN models while relaxing the assumption of constant volatility remains a challenge. The conservative drill espoused has been to make allowances for a large number of input lags with the confidence that the ability of ANN to integrate suppleness and redundancy generates a more robust model. This is to say that the nonexistence of input selection criteria notwithstanding, the models have been developed without due consideration to the effect that the choice of input selection technique would have on model complexity, learning difficulty and performance measures. In this study, we deviate from the conventional techniques applied by the pure ANN option price models and adopt the hybrid model in which the volatility component is handled using some celebrated time series models, with speci?city to the ANN-GJR-GARCH model - a hybrid of the ANN and a time series hybrid. The hybrid ANN option pricing model is then framed and tested with the forecasts of the ANN-GJR-GARCH model as a volatility input alongside two other inputs - time to maturity and moneyness. Finally, we compare the performance of the hybrid model developed with that of a pure ANN model. Results indicate that the hybrid model outperforms the pure ANN model not only in forecasting but also in the training time and model complexity.","PeriodicalId":41981,"journal":{"name":"Jordan Journal of Mathematics and Statistics","volume":"25 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2019-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87174358","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

A Convergence Theorem for Bivariate Exponential Dispersion Models 二元指数色散模型的收敛定理

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Jordan Journal of Mathematics and Statistics Pub Date : 2019-07-25 DOI: 10.3844/JMSSP.2019.176.184

L. Ricci, G. Boggio

引用次数: 0

Double Weighted Integrals Identities of Montgomery for Differentiable Function of Higher Order 高阶可微函数的重加权积分Montgomery恒等式

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Jordan Journal of Mathematics and Statistics Pub Date : 2019-06-24 DOI: 10.3844/JMSSP.2019.112.121

Asif R Khan, F. Mehmood

引用次数: 2

Comparative Analysis of the Artificial Neural Networks Options Pricing Model Under Constant and Time-Variant Volatilities 恒波动率与时变波动率下人工神经网络期权定价模型的比较分析

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Jordan Journal of Mathematics and Statistics Pub Date : 2019-01-01 DOI: 10.3844/JMSSP.2019.158.175

H. Simiyu, A. Waititu, Jane Aduda Akinyi

{"title":"Comparative Analysis of the Artificial Neural Networks Options Pricing Model Under Constant and Time-Variant Volatilities","authors":"H. Simiyu, A. Waititu, Jane Aduda Akinyi","doi":"10.3844/JMSSP.2019.158.175","DOIUrl":"https://doi.org/10.3844/JMSSP.2019.158.175","url":null,"abstract":"Option pricing using artificial neural networks (ANN) model while relaxing the assumption of constant volatility still remains a challenge. The conventional practice for pure ANN models has been to either model volatility using the very ANN model and have the model output fed as an input to the ANN option pricing model, or to make allowances for a large number of lags directly as inputs to the option pricing model with the belief that the ability of ANN to incorporate flexibility and redundancy creates a more robust model. This has been done in spite of a well-known fact-that financial time series data harbors a set of characteristics such as volatility clustering, leptokurtosis and leverage effects-features that ANNs in their pure forms have proved inadequate in capturing. Consequently, this study sought to follow the conventional methods employed by other studies and developed two pure ANN option pricing models-one with constant volatility and the other while violating the assumption of constant volatility with an aim of establishing whether significant differences exist in the outputs of the two models. The intraday data for the AAPL stock option for the period between December 2016 and March 2017 with 56,238 data points was used in validating the developed models. Results indicate that the ANN model (with varying volatility) makes better predictions than the model with constant volatility. However, the difference between the performance of the two models is not significant at 0.05 level of significance.","PeriodicalId":41981,"journal":{"name":"Jordan Journal of Mathematics and Statistics","volume":"19 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73863793","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

S-Numbers of Weighted Shift Operators on P-Summable Formal Entire Functions of M-Variables m -变量的p -可和形式完整函数上的s -数加权移位算子

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Jordan Journal of Mathematics and Statistics Pub Date : 2019-01-01 DOI: 10.3844/JMSSP.2019.79.85

N. Faried, Z. A. Hassanain, H. A. Ghaffar, A. Lokman

引用次数: 0

A Complex Multi-State System with Vacations in the Repair 修理中带休假的复杂多状态系统

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Jordan Journal of Mathematics and Statistics Pub Date : 2019-01-01 DOI: 10.3844/JMSSP.2019.225.232

J. E. Ruiz-Castro

引用次数: 1