75 Result(s)
within
Math Applications in Computer Science
Operations Research/Decision Theory
**mo Wang
Article
Economics
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Article
Measurement Error Models for Replicated Data Under Asymmetric Heavy-Tailed Distributions
Replicated data with measurement errors are frequently presented in economical, environmental, chemical, medical and other fields. In this paper, we discuss a replicated measurement error model under the class...
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Article
Integrated Portfolio Risk Measure: Estimation and Asymptotics of Multivariate Geometric Quantiles
Portfolio management and integrated risk management are more commonly applied toward enterprise risk management, requiring multivariate risk measures that capture the dependence among many risk factors. In thi...
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Article
Bayesian Variance Changepoint Detection in Linear Models with Symmetric Heavy-Tailed Errors
Normality and static variance are very common assumptions in traditional financial theories and risk modeling for mathematical convenience. Empirical evidence suggests otherwise. With the rapid growth in volat...
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Canonical Correlation Analysis Between Residents’ Living Standards and Community Management Service Levels in Rural Areas: An Empirical Analysis Based on Municipal Data in Anhui Province
Improving the rural community management service level can effectively optimize the rural community living condition, provide a better social environment for rural residents to start up business and promote th...
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The Income Gap Between Urban and Rural Residents in China: Since 1978
Previous studies on the income gap between rural and urban areas have concentrated mainly on the flow factor in the income measure. This study investigates income inequality between rural and urban residents d...
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The Electricity Consumption and Economic Growth Nexus in China: A Bootstrap Seemingly Unrelated Regression Estimator Approach
Electricity consumption in China has attracted increasing attention by the government in monitoring the economy. The purpose of the study is test whether electricity consumption is an appropriate indicator. To...
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Environmental Protection in Scenic Areas: Traffic Scheme for Clean Energy Vehicles Based on Multi-agent
The low-carbon environmental protection and traffic congestion are two primary issues that people focus on highly and need to be solved efficiently. Under the circumstance, this paper designs a transportation ...
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The Limit of Global Carbon Tax and its Climatic and Economic Effects
Global carbon tax has been widely studied for a long time. However, its economic feasibility in specific countries and sectors has not been taken seriously. This study focuses on the limit of carbon tax in car...
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Unified Approach for the Affine and Non-affine Models: An Empirical Analysis on the S&P 500 Volatility Dynamics
Being able to generate a volatility smile and adequately explain how it moves up and down in response to changes in risk, stochastic volatility models have replaced BS model. A single-factor volatility model c...
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An Efficient Algorithm for Options Under Merton’s Jump-Diffusion Model on Nonuniform Grids
In this paper, we consider the fast numerical valuation of European and American options under Merton’s jump-diffusion model, which is given by a partial integro-differential equations. Due to the singularitie...
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Article
Enhancing Quasi-Monte Carlo Simulation by Minimizing Effective Dimension for Derivative Pricing
Many problems in derivative pricing can be formulated as high-dimensional integrals. Many of them do not have closed-form solutions and have to be estimated by numerical integrations such as Monte Carlo or qua...
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Article
Hidden Carbon Emissions, Industrial Clusters, and Structure Optimization in China
Vertical specialized trade has become more important globally because of the prevalence of a vertical specialization production mode. Therefore, it is essential to research the relationships between the carbon...
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Revealing Energy Over-Consumption and Pollutant Over-Emission Behind GDP: A New Multi-criteria Sustainable Measure
This paper develops a new measurement for regional/national sustainable social economic development based on data envelopment analysis. This new measurement can reveal the impact of energy over-consumption and...
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Article
The Usage Analysis and Policy Choice of CNG Taxis Based on a Multi-stage Dynamic Game Model
The promotion and application of low-carbon energy has become a basic energy policy in China. In the taxi industry, the adoption of natural gas is a typical reflection of the use of low-carbon energy, however,...
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Game-Theoretic Analysis of Price and Quantity Decisions for Electric Vehicle Supply Chain Under Subsidy Reduction
To avoid the negative effects of electric vehicle (EV) subsidies, the Chinese government has launched an EV subsidy reduction policy, resulting in market uncertainty for EV supply chains. We study the optimal ...
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Dynamic Correlation and Risk Contagion Between “Black” Futures in China: A Multi-scale Variational Mode Decomposition Approach
This paper explores the dynamic correlation and risk contagion between “black” futures in China at various time horizons. We employ the DCC-GARCH-t model and Granger causality in risk test jointly with variati...
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Article
Nonlinear Scaling Behavior of Visible Volatility Duration for Financial Statistical Physics Dynamics
The visibility graph algorithm is applied to convert the financial volatility duration series into the assortative complex network, in an attempt to investigate nonlinear scaling behaviors of volatility durati...
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Article
An Intelligent System for Insider Trading Identification in Chinese Security Market
Insider trading is one kind of criminal behaviors in security markets. It has existed since the birth of the security market. Until 2018, the history of the Chinese security market is less than 30 years, nonet...
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Article
An Integrated Quasi-Monte Carlo Method for Handling High Dimensional Problems with Discontinuities in Financial Engineering
Quasi-Monte Carlo (QMC) method is a useful numerical tool for pricing and hedging of complex financial derivatives. These problems are usually of high dimensionality and discontinuities. The two factors may si...
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Article
Futures Hedging in CSI 300 Markets: A Comparison Between Minimum-Variance and Maximum-Utility Frameworks
In this paper, we explore the hedging performance of CSI 300 stock index futures under the minimum-variance and maximum-utility framework. We employ ten commonly used econometric models including constant and ...
