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Titlebook: Optimisation, Econometric and Financial Analysis; Erricos John Kontoghiorghes,Cristian Gatu Conference proceedings 2007 Springer-Verlag Be

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发表于 2025-3-21 16:51:57 | 显示全部楼层 |阅读模式
书目名称Optimisation, Econometric and Financial Analysis
编辑Erricos John Kontoghiorghes,Cristian Gatu
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丛书名称Advances in Computational Management Science
图书封面Titlebook: Optimisation, Econometric and Financial Analysis;  Erricos John Kontoghiorghes,Cristian Gatu Conference proceedings 2007 Springer-Verlag Be
描述Advanced computational methods are often employed for the solution of modelling and decision-making problems. This book addresses issues associated with the interface of computing, optimisation, econometrics and financial modelling. Emphasis is given to computational optimisation methods and techniques. The first part of the book addresses optimisation problems and decision modelling, with special attention to applications of supply chain and worst-case modelling as well as advances in the methodological aspects of optimisation techniques. The second part of the book is devoted to optimisation heuristics, filtering, signal extraction and various time series models. The chapters in this part cover the application of threshold accepting in econometrics, the structure of threshold autoregressive moving average models, wavelet analysis and signal extraction techniques in time series. The third and final part of the book is about the use of optimisation in portfolio selection and real option modelling.
出版日期Conference proceedings 2007
关键词Decision Modelling; Econometrics; Financial Modeling; Financial Modelling; Heuristics; Optimisation; Optim
版次1
doihttps://doi.org/10.1007/3-540-36626-1
isbn_softcover978-3-642-07171-3
isbn_ebook978-3-540-36626-3Series ISSN 1388-4301
issn_series 1388-4301
copyrightSpringer-Verlag Berlin Heidelberg 2007
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1388-4301 ociated with the interface of computing, optimisation, econometrics and financial modelling. Emphasis is given to computational optimisation methods and techniques. The first part of the book addresses optimisation problems and decision modelling, with special attention to applications of supply cha
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Non-Dyadic Wavelet Analysis that form the basis vectors for the wave bands are derived from the Fourier transforms of a variety of functions that specify the frequency responses of the filters corresponding to the sequences of wavelet coefficients
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A Survey of Different Integer Programming Formulations of the Travelling Salesman Problemf cities in the problem. Comparisons of the formulations are made by projecting out variables in order to produce polytopes in the same space. It is then possible to compare the strengths of the Linear Programming relaxations. These results are illustrated by computational results on a small problem
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A Supply Chain Network Perspective for Electric Power Generation, Supply, Transmission, and Consumptlity formulation is utilized to provide qualitative properties of the equilibrium electric power flow and price patterns and to propose a computational scheme. The algorithm is then applied to compute the solutions to several numerical examples
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Measuring Core Inflation by Multivariate Structural Time Series Modelsthe design of signal extraction filters that can be viewed as two sided exponentially weighted moving averages applied to a cross-sectional average of individual inflation rates. An empirical application relative to U.S. monthly inflation rates for 8 expenditure categories is proposed
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Proximal-ACCPM: A Versatile Oracle Based Optimisation Methodted to trigger the OBO approach. Numerical results for these examples are provided to illustrate the behavior of the method. This paper summarizes several contributions with the OBO approach and aims to give, in a single report, enough information on the method and its implementation to facilitate new applications
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