Constructing Scalar Valued Objective Functions

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Constructing Scalar Valued Objective Functions

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Author : Andranik Tangian
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Constructing Scalar Valued Objective Functions written by Andranik Tangian and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.

For several decades, scholars have developed methods for solving optimization problems which emerge in economics, econometrics, operations research, and other disciplines. A considerable effort has been made to construct equations from which constraints can be derived, but surprisingly little has been done to construct the other part of optimization models: the scalar-valued objective function, the constrained maximum or minimum of which gives the optimal solution. The given volume is intended to attract attention to the problem, to present the major achievements in the field and to stimulate further research and teaching.

Constructing And Applying Objective Functions

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Author : Andranik S. Tangian
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Constructing And Applying Objective Functions written by Andranik S. Tangian and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.

For some seven decades, econometrics has been almost exclusiveley dealing with constructing and applying econometric equation systems, which constitute constraints in econometric optimization models. The second major component, the scalarvalued objective function, has only in recent years attracted more attention and some progress has been made. This book is devoted to theories, models and methods for constructing scalarvalued objective functions for econometric optimization models, to their applications, and to some related topics like historical issues about pioneering contributions by Ragnar Frisch and Jan Tinbergen.

Classification And Information Processing At The Turn Of The Millennium

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Author : Reinhold Decker
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Classification And Information Processing At The Turn Of The Millennium written by Reinhold Decker and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Computers categories.

This volume contains revised versions of selected papers presented dur ing the 23rd Annual Conference of the German Classification Society GfKl (Gesellschaft fiir Klassifikation). The conference took place at the Univer sity of Bielefeld (Germany) in March 1999 under the title "Classification and Information Processing at the Turn of the Millennium". Researchers and practitioners - interested in data analysis, classification, and information processing in the broad sense, including computer science, multimedia, WWW, knowledge discovery, and data mining as well as spe cial application areas such as (in alphabetical order) biology, finance, genome analysis, marketing, medicine, public health, and text analysis - had the op portunity to discuss recent developments and to establish cross-disciplinary cooperation in their fields of interest. Additionally, software and book pre sentations as well as several tutorial courses were organized. The scientific program of the conference included 18 plenary or semi plenary lectures and more than 100 presentations in special sections. The peer-reviewed papers are presented in 5 chapters as follows: • Data Analysis and Classification • Computer Science, Computational Statistics, and Data Mining • Management Science, Marketing, and Finance • Biology, Genome Analysis, and Medicine • Text Analysis and Information Retrieval As an unambiguous assignment of results to single chapters is sometimes difficult papers are grouped in a way that the editors found appropriate.

Performance Analysis And Optimization Of Inbound Call Centers

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Author : Raik Stolletz
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Performance Analysis And Optimization Of Inbound Call Centers written by Raik Stolletz and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.

The material presented in this book is a result of my work in the field of call center management during the period 1999-2002. The focus is on the perfor mance analysis and optimization of inbound call centers. Since call arrivals and call-handling times are often random in inbound call centers, this thesis concentrates on the performance analysis and optimization using queueing models. This book describes mathematical methods and algorithms to relate the number of agents and telephone trunks of a given call center configuration to technical as well as economic performance measures. This book has been accepted as a PhD thesis in Business Administration at the Technical University of Clausthal, Germany. I am indebted to many people for their support during the process of writing this thesis. First of all, I would like to thank my advisor, Prof. Dr. Stefan Helber, for motivating my research to call center related problems. He gently pushed me in fruitful directions and encouraged me to strike a balance between mathematical results and economic implications. Many other helpful suggestions came from him, and his constructive comments on draft versions of this book are invaluable. I am thankful to him and to Prof. Dr. Rolf Schwinn for refereeing this thesis.

Analysis Controllability And Optimization Of Time Discrete Systems And Dynamical Games

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Author : Werner Krabs
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Analysis Controllability And Optimization Of Time Discrete Systems And Dynamical Games written by Werner Krabs and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.

J. P. La Salle has developed in [20] a stability theory for systems of difference equations (see also [8]) which we introduce in the first chapter within the framework of metric spaces. The stability theory for such systems can also be found in [13] in a slightly modified form. We start with autonomous systems in the first section of chapter 1. After theoretical preparations we examine the localization of limit sets with the aid of Lyapunov Functions. Applying these Lyapunov Functions we can develop a stability theory for autonomous systems. If we linearize a non-linear system at a fixed point we are able to develop a stability theory for fixed points which makes use of the Frechet derivative at the fixed point. The next subsection deals with general linear systems for which we intro duce a new concept of stability and asymptotic stability that we adopt from [18]. Applications to various fields illustrate these results. We start with the classical predator-prey-model as being developed and investigated by Volterra which is based on a 2 x 2-system of first order differential equations for the densities of the prey and predator population, respectively. This model has also been investigated in [13] with respect to stability of its equilibrium via a Lyapunov function. Here we consider the discrete version of the model.

Volume And The Nonlinear Dynamics Of Stock Returns

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Author : Chiente Hsu
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Volume And The Nonlinear Dynamics Of Stock Returns written by Chiente Hsu and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.

This manuscript is about the joint dynamics of stock returns and trading volume. It grew out of my attempt to construct an intertemporal asset pricing model with rational agents which can. explain the relation between volume, volatility and persistence of stock return documented in empirical literature. Most part of the manuscript is taken from my thesis. I wish to express my deep appreciation to Peter Kugler and Benedikt Poetscher, my advisors of the thesis, for their invaluable guidance and support. I wish to thank Gerhard Orosel and Gerhard Sorger for their encouraging and helpful discussions. Finally, my thanks go to George Tauchen who has been generous in giving me the benefit of his numerical and computational experience, in providing me with programs and in his encouragement. Contents 1 Introduction 1 7 2 Efficient Stock Markets Equilibrium Models of Asset Pricing 8 2. 1 2. 1. 1 The Martigale Model of Stock Prices 8 2. 1. 2 Lucas' Consumption Based Asset Pricing Model 9 2. 2 Econometric Tests of the Efficient Market Hypothesis 13 2. 2. 1 Autocorrelation Based Tests 14 16 2. 2. 2 Volatility Tests Time-Varying Expected Returns 25 2. 2. 3 3 The Informational Role of Volume 29 3. 1 Standard Grossman-Stiglitz Model 31 3. 2 The No-Trad Result of the BEO Model 34 A Model with Nontradable Asset 37 3. 3 4 Volume and Volatility of Stock Returns 43 4. 1 Empirical and Numerical Results 45 4.

Pricing In In Complete Markets

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Author : Angelika Esser
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-08-27

Pricing In In Complete Markets written by Angelika Esser and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-27 with Business & Economics categories.

In this book, the authors investigate structural aspects of no arbitrage pricing of contingent claims and applications of the general pricing theory in the context of incomplete markets. A quasi-closed form pricing equation in terms of artificial probabilities is derived for arbitrary payoff structures. Moreover, a comparison between continuous and discrete models is presented, highlighting the major similarities and key differences. As applications, two sources of market incompleteness are considered, namely stochastic volatility and stochastic liquidity. Firstly, the general theory discussed before is applied to the pricing of power options in a stochastic volatility model. Secondly, the issue of liquidity risk is considered by focusing on the aspect of how asset price dynamics are affected by the trading strategy of a large investor.

The Econometrics Of Sequential Trade Models

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Author : Stefan Kokot
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-08-27

The Econometrics Of Sequential Trade Models written by Stefan Kokot and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-27 with Business & Economics categories.

The present study has been accepted as a doctoral thesis by the Depart ment of Economics of the Johann Wolfgang Goethe-University in Frankfurt am Main. It grew out from my five year long participation in two research projects, "Econometric analysis of transaction intensity and volatility on fi nancial markets", and "Microstructure on financial markets", that were both conducted by the chair of Statistics and Econometrics (Empirical Economic Research) at the Department of Economics and Business Administration, Jo hann Wolfgang Goethe-University in Frankfurt am Main and financed by the state of Hessen. During this time I have benefitted from many people. First and foremost I would like to thank my thesis supervisor, Prof. Dr. Reinhard Hujer, for initiating and supporting my studies with great encouragement. I am also very grateful to Prof. Dr. Christian Schlag for acting as the second thesis supervisor. Furthermore, I wish to thank Prof. Dr. Joachim Grammig who introduced me to the topics covered in this study in the first place and helped me to sharpen my views on econometrics and financial market microstructure theory through many discussions and also through his willingness to work with me on several related studies.

Model Reduction Methods For Vector Autoregressive Processes

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Author : Ralf Brüggemann
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-09-25

Model Reduction Methods For Vector Autoregressive Processes written by Ralf Brüggemann and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-09-25 with Mathematics categories.

1. 1 Objective of the Study Vector autoregressive (VAR) models have become one of the dominant research tools in the analysis of macroeconomic time series during the last two decades. The great success of this modeling class started with Sims' (1980) critique of the traditional simultaneous equation models (SEM). Sims criticized the use of 'too many incredible restrictions' based on 'supposed a priori knowledge' in large scale macroeconometric models which were popular at that time. Therefore, he advo cated largely unrestricted reduced form multivariate time series models, unrestricted VAR models in particular. Ever since his influential paper these models have been employed extensively to characterize the underlying dynamics in systems of time series. In particular, tools to summarize the dynamic interaction between the system variables, such as impulse response analysis or forecast error variance decompo sitions, have been developed over the years. The econometrics of VAR models and related quantities is now well established and has found its way into various textbooks including inter alia Llitkepohl (1991), Hamilton (1994), Enders (1995), Hendry (1995) and Greene (2002). The unrestricted VAR model provides a general and very flexible framework that proved to be useful to summarize the data characteristics of economic time series. Unfortunately, the flexibility of these models causes severe problems: In an unrestricted VAR model, each variable is expressed as a linear function of lagged values of itself and all other variables in the system.

Omitted Variable Tests And Dynamic Specification

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Author : Björn Schmolck
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Omitted Variable Tests And Dynamic Specification written by Björn Schmolck and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.

This book deals with the omitted variable test for a multivariate time-series regression model. The empirical motivation is the homogeneity test for a consumer demand system. The consequences of using a dynamically misspecified omitted variable test are shown in detail. The analysis starts with the univariate t-test and is then extended to the multivariate regression system. The small sample performance of the dynamically correctly specified omitted variable test is analysed by simulation. Two classes of tests are considered: versions of the likelihood ratio test and the robust Wald test which is based on a heteroskedasticity and autocorrelation consistent variance-covariance estimator (HAC).