作者：
Lee, Jae-WooSoftware System Lab.
Dept. of Computer Science and Engineering Korea University 1 5-ka Anam-dong SungBuk-ku 136-701 Seoul Korea Republic of
In the Internet and distributed systems, we can always access many application servers for gaining many information or electronic business processing, etc. Despite of those advantages of information technology, there ...
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A variety of activities like commerce, education, voting is taking place in cyber-space these days. As the use of the Internet gradually increases, many side effects have appeared. therefore, it is time to address the...
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Implied volatility is one of the key issues in modern quantitative finance, since plain vanilla option prices contain vital information for pricing and hedging of exotic and illiquid options. European plain vanilla op...
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Implied volatility is one of the key issues in modern quantitative finance, since plain vanilla option prices contain vital information for pricing and hedging of exotic and illiquid options. European plain vanilla options are nowadays widely traded, which results in a great amount of high-dimensional data especially on an intra day level. the data reveal a degenerated string structure. Dynamic semiparametric factor models (DSFM) are tailored to handle complex, degenerated data and yield low dimensional representations of the implied volatility surface (IVS). We discuss estimation issues of the model and apply it to DAX option prices.
System reliability performance is usually based on average customer-interruption indices. the average values are valuable information, but provide only a single customer risk dimension without the underlying probabili...
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System reliability performance is usually based on average customer-interruption indices. the average values are valuable information, but provide only a single customer risk dimension without the underlying probability distributions. the average annual indices give no insight a: to how reliability may vary from year to year as a result of the random behaviour of a bulk electric system. Reliability-index probability distributions, therefore, provide additional valuable information and a more complete understanding of composite power system behaviour. A significant advantage when utilizing sequential Monte Carlo simulation in bulk electric system reliability analysis is the ability to provide reliability-index probability distributions in addition to the expected values of their indices. this paper illustrates the development of probability distributions for bulk electric system reliability performance indices using sequential simulation. the results obtained using the developed software show that the system performance-index probability distributions have unique characteristics that are basically dependent on the system topology, operating philosophy and conditions. System conditions such as the peak load level and system reinforcement options have significant impacts on the performance-index probability distribution characteristics. Tire basic concepts and their application in composite power system reliability evaluation are illustrated by application to a small practical test system.
this paper presents hidden Markov models (HMM) approach for forecasting stock price for interrelated markets. We apply HMM to forecast some of the airlines stock. HMMs have been extensively used for pattern recognitio...
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this paper presents hidden Markov models (HMM) approach for forecasting stock price for interrelated markets. We apply HMM to forecast some of the airlines stock. HMMs have been extensively used for pattern recognition and classification problems because of its proven suitability for modelling dynamic systems. However, using HMM for predicting future events is not straightforward. Here we use only one HMM that is trained on the past dataset of the chosen airlines. the trained HMM is used to search for the variable of interest behavioural data pattern from the past dataset. By interpolating the neighbouring values of these datasets forecasts are prepared. the results obtained using HMM are encouraging and HMM offers a new paradigm for stock market forecasting, an area that has been of much research interest lately.
作者：
Lee, Jae-WooSoftware System Lab.
Dept. of Computer Science and Engineering Korea University 1 5-ka Anam-dong SungBuk-ku 136-701 Seoul Korea Republic of
Authentication agent enables an authorized user to gain authority in the Internet or distributed computing systems. It is one of the most important problems that application server systems can identify many clients au...
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Aspect-Oriented Modeling (AOM) techniques allow software designers to isolate and address separately solutions for crosscutting concerns (such as security, reliability, new functional features, etc.) this paper propos...
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Accurately modeling and predicting performance for large-scale applications becomes increasingly difficult as system complexity scales dramatically. Analytic predictive models are useful, but are difficult to construc...
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