Analysis of persistent nonstationary time series and applications

P Metzner, L Putzig, I Horenko - Communications in Applied Mathematics …, 2012 - msp.org
We give an alternative and unified derivation of the general framework developed in the last
few years for analyzing nonstationary time series. A different approach for handling the …

Metaheuristic multi-objective optimization of constrained futures portfolios for effective risk management

GAV Pai, T Michel - Swarm and Evolutionary Computation, 2014 - Elsevier
In the Derivatives financial markets, Futures portfolios are perceived to be instruments of
high risk, despite their flexibility of being used for portfolio protection (hedging) or for …

[HTML][HTML] Information theory, model error, and predictive skill of stochastic models for complex nonlinear systems

D Giannakis, AJ Majda, I Horenko - Physica D: Nonlinear Phenomena, 2012 - Elsevier
Many problems in complex dynamical systems involve metastable regimes despite nearly
Gaussian statistics with underlying dynamics that is very different from the more familiar …

Statistical learning of nonlinear stochastic differential equations from nonstationary time series using variational clustering

V Boyko, S Krumscheid, N Vercauteren - Multiscale Modeling & Simulation, 2022 - SIAM
Data-driven stochastic parameterization methods use observational data to support and
improve existing prediction systems. Specifically in atmospheric sciences, uncertainty in …

An adaptive Markov chain Monte Carlo approach to time series clustering of processes with regime transition behavior

J De Wiljes, A Majda, I Horenko - Multiscale Modeling & Simulation, 2013 - SIAM
A numerical framework for clustering of time series via a Markov chain Monte Carlo (MCMC)
method is presented. It combines concepts from recently introduced variational time series …

Multi-objective metaheuristics for managing futures portfolio risk

GAV Pai - 2018 IEEE Symposium Series on Computational …, 2018 - ieeexplore.ieee.org
Trading with futures in the Derivatives financial markets, is fraught with risks. To mitigate the
risks, a multipronged approach such as diversification in different asset classes across …

Probability distance based compression of hidden Markov models

H Wu, F Noe - Multiscale Modeling & Simulation, 2010 - SIAM
Large-scale stochastic models are relevant in many different fields such as computational
biology, finance, social sciences, communication, and traffic networks. In order to both …

Metaheuristic Construction of Long-Only Risk Budgeted Futures Portfolio with Maximal Diversification Index

VGA Pai, T Michel - Available at SSRN 2622980, 2015 - papers.ssrn.com
Trading with futures is complex and abounds with risks, to mitigate which a multi-pronged
approach such as diversification in different asset classes across dissimilar markets or …

Social Networks, Asset Allocation and Portfolio Diversification

Q Wang - 2015 - uwspace.uwaterloo.ca
In this thesis we consider the problem of choosing financial assets from the equity markets
for portfolio construction purposes. We adapt various measures to model the dependence …

Learning and mining from personal digital archives

N Li - 2020 - doras.dcu.ie
Given the explosion of new sensing technologies, data storage has become significantly
cheaper and consequently, people increasingly rely on wearable devices to create personal …