75 Result(s)
within
**mo Wang
Economics
Math Applications in Computer Science
Operations Research/Decision Theory
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Article
A stock selection strategy using fuzzy neural networks
This paper describes, from a general system-design perspective, an artificial neural network (ANN) approach to a stock selection strategy. The paper suggests a concept of neural gates which are similar to the pro...
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Article
A Stochastic Nonlinear Regression Estimator Using Wavelets
A new wavelet-based estimator is introduced which combines the state-space model with the wavelet transform in an effort to explore the stock market inefficiency. The new estimator possesses some superior qual...
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Article
An Introduction to Simulated Annealing Algorithms for the Computation of Economic Equilibrium
Economic equilibrium computation has raised the issue of global optimization algorithms since economic equilibrium problems can be cast as a global optimization problem. However, nearly all conventional algori...
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Article
A Wavelet-Based Nonparametric Estimator ofthe Variance Function
A new wavelet-based nonparametric estimator is introduced in an effort toapproximate variance functions. The new estimator possesses some superiorqualities that are illustrated through its actual performance i...
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Article
The Role of Additional Information in Option Pricing: Estimation Issues for the State Space Model
We consider two competing financial state space models and investigate whether additional information in the form of option price data is helpful to the estimation of either the unobservable state variable (vo...
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Article
Repeated Price Search
Consumers check few sites in online purchases. Previous research and experiments we perform demonstrate that consumers can not calculate the optimal strategy for price search. They use heuristics whose perform...
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Article
The Hitting Time Density for a Reflected Brownian Motion
Reflected Brownian motion has been played an important role in economics, finance, queueing and many other fields. In this paper, we present the explicit spectral representation for the hitting time density of...
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Article
Efficiency of Crude Oil Futures Markets: New Evidence from Multifractal Detrending Moving Average Analysis
In this paper, we examine the weak-form efficient market hypothesis of crude oil futures markets by testing for the random walk behavior of prices. Using a method borrowed from statistical physics, we find tha...
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Article
An Optimal Balanced Economic Growth and Abatement Pathway for China Under the Carbon Emissions Budget
Arguments over equity during abatement goal setting is the principal obstacle to climate mitigation cooperation, while allocating global emissions to each country as deduced from the climate objective accordin...
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Article
Carbon Price Analysis Using Empirical Mode Decomposition
Mastering the underlying characteristics of carbon price changes can help governments formulate correct policies to keep efficient operation of carbon markets, and investors take effective measures to evade th...
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Article
A Predictive Analysis of Clean Energy Consumption, Economic Growth and Environmental Regulation in China Using an Optimized Grey Dynamic Model
To accurately predict the consumption of clean energy in China, a grey dynamic model is constructed by taking economic growth and environmental regulation as exogenous variables. The Nash equilibrium idea-base...
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Article
Strategic Adjustment of China’s Power Generation Capacity Structure Under the Constraint of Carbon Emission
China’s power generation capacity structure should be adjusted due to the needs to reduce \(\hbox {CO}_{2}\) ...
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Article
Spatial Interaction Model of Credit Risk Contagion in the CRT Market
In this paper, we introduce an entropy spatial model of credit risk contagion in the credit risk transfer (CRT) market that considers the effects of spatial, industry-specific, regional financial and individua...
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Article
Global Exponential Stability of Cournot Duopolies with Delays
This paper is concerned with Cournot duopolies with delays. By employing a novel proof, some sufficient criteria are established to ensure the existence of positive solutions and global exponential stability o...
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Article
Volatility Analysis of Financial Agent-Based Market Dynamics from Stochastic Contact System
A financial agent-based time series model is developed and investigated by the stochastic contact systems. Multicolor contact system, as one of statistical physics systems, is applied to model a random stock p...
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Article
An Effective Computational Model for Bankruptcy Prediction Using Kernel Extreme Learning Machine Approach
Bankruptcy prediction is becoming more and more important issue in financial decision-making. It is essential to make the companies prevent from bankruptcy through building effective corporate bankruptcy predi...
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Article
Estimating Dynamic Binary Panel Data Model with Random Effects: A Computational Note
Recently, Gao et al. (J Time Ser Anal, 2016 doi: 10.1111/jtsa.12178) propose a new estimation method for dynamic panel probit model with random effects, wher...
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Article
Correlation Structure and Evolution of World Stock Markets: Evidence from Pearson and Partial Correlation-Based Networks
We construct a Pearson correlation-based network and a partial correlation-based network, i.e., two minimum spanning trees (MST-Pearson and MST-Partial), to analyze the correlation structure and evolution of w...
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Article
Efficient Simulation of Value-at-Risk Under a Jump Diffusion Model: A New Method for Moderate Deviation Events
Importance sampling is a powerful variance reduction technique for rare event simulation, and can be applied to evaluate a portfolio’s Value-at-Risk (VaR). By adding a jump term in the geometric Brownian motio...
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Article
An Efficient Adaptive Real Coded Genetic Algorithm to Solve the Portfolio Choice Problem Under Cumulative Prospect Theory
Cumulative prospect theory (CPT) has become one of the most popular approaches for evaluating the behavior of decision makers under conditions of uncertainty. Substantial experimental evidence suggests that hu...
