Download or read book Variance Decomposition Networks written by Mr.Jorge A Chan-Lau and published by International Monetary Fund. This book was released on 2017-05-04 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diebold and Yilmaz (2015) recently introduced variance decomposition networks as tools for quantifying and ranking the systemic risk of individual firms. The nature of these networks and their implied rankings depend on the choice decomposition method. The standard choice is the order invariant generalized forecast error variance decomposition of Pesaran and Shin (1998). The shares of the forecast error variation, however, do not add to unity, making difficult to compare risk ratings and risks contributions at two different points in time. As a solution, this paper suggests using the Lanne-Nyberg (2016) decomposition, which shares the order invariance property. To illustrate the differences between both decomposition methods, I analyzed the global financial system during 2001 – 2016. The analysis shows that different decomposition methods yield substantially different systemic risk and vulnerability rankings. This suggests caution is warranted when using rankings and risk contributions for guiding financial regulation and economic policy.

Download or read book Contagion Phenomena with Applications in Finance written by Serge Darolles and published by Elsevier. This book was released on 2015-08-26 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: Much research into financial contagion and systematic risks has been motivated by the finding that cross-market correlations (resp. coexceedances) between asset returns increase significantly during crisis periods. Is this increase due to an exogenous shock common to all markets (interdependence) or due to certain types of transmission of shocks between markets (contagion)? Darolles and Gourieroux explain that an attempt to convey contagion and causality in a static framework can be flawed due to identification problems; they provide a more precise definition of the notion of shock to strengthen the solution within a dynamic framework. This book covers the standard practice for defining shocks in SVAR models, impulse response functions, identitification issues, static and dynamic models, leading to the challenges of measurement of systematic risk and contagion, with interpretations of hedge fund survival and market liquidity risks Features the standard practice of defining shocks to models to help you to define impulse response and dynamic consequences Shows that identification of shocks can be solved in a dynamic framework, even within a linear perspective Helps you to apply the models to portfolio management, risk monitoring, and the analysis of financial stability

Download or read book Foreign Exchange Rate Forecasting with Artificial Neural Networks written by Lean Yu and published by Springer Science & Business Media. This book was released on 2010-02-26 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on forecasting foreign exchange rates via artificial neural networks (ANNs), creating and applying the highly useful computational techniques of Artificial Neural Networks (ANNs) to foreign-exchange rate forecasting. The result is an up-to-date review of the most recent research developments in forecasting foreign exchange rates coupled with a highly useful methodological approach to predicting rate changes in foreign currency exchanges.

Download or read book Advances in Neural Information Processing Systems 10 written by Michael I. Jordan and published by MIT Press. This book was released on 1998 with total page 1114 pages. Available in PDF, EPUB and Kindle. Book excerpt: The annual conference on Neural Information Processing Systems (NIPS) is the flagship conference on neural computation. These proceedings contain all of the papers that were presented.

Download or read book Kernel Mode Decomposition and the Programming of Kernels written by Houman Owhadi and published by Springer Nature. This book was released on 2022-01-01 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph demonstrates a new approach to the classical mode decomposition problem through nonlinear regression models, which achieve near-machine precision in the recovery of the modes. The presentation includes a review of generalized additive models, additive kernels/Gaussian processes, generalized Tikhonov regularization, empirical mode decomposition, and Synchrosqueezing, which are all related to and generalizable under the proposed framework. Although kernel methods have strong theoretical foundations, they require the prior selection of a good kernel. While the usual approach to this kernel selection problem is hyperparameter tuning, the objective of this monograph is to present an alternative (programming) approach to the kernel selection problem while using mode decomposition as a prototypical pattern recognition problem. In this approach, kernels are programmed for the task at hand through the programming of interpretable regression networks in the context of additive Gaussian processes. It is suitable for engineers, computer scientists, mathematicians, and students in these fields working on kernel methods, pattern recognition, and mode decomposition problems.

Download or read book Current Topics in Artificial Intelligence written by Daniel Borrajo and published by Springer. This book was released on 2007-10-30 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 12th Conference of the Spanish Association for Artificial Intelligence, CAEPIA 2007, held in Salamanca, Spain, in November 2007, in conjunction with the 7th Workshop on Artificial Intelligence Technology Transfer, TTIA 2007. The 28 revised full papers presented address all current issues of artificial intelligence ranging from methodological and foundational aspects to advanced applications in various fields.

Download or read book Intelligent Data Engineering and Automated Learning IDEAL 2006 written by Emilio Corchado and published by Springer. This book was released on 2006-09-26 with total page 1473 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 7th International Conference on Intelligent Data Engineering and Automated Learning, IDEAL 2006. The 170 revised full papers presented were carefully selected from 557 submissions. The papers are organized in topical sections on learning and information processing, data mining, retrieval and management, bioinformatics and bio-inspired models, agents and hybrid systems, financial engineering, as well as a special session on nature-inspired date technologies.

Download or read book Financial and Macroeconomic Connectedness written by Francis X. Diebold and published by Oxford University Press. This book was released on 2015-02-03 with total page 285 pages. Available in PDF, EPUB and Kindle. Book excerpt: Connections among different assets, asset classes, portfolios, and the stocks of individual institutions are critical in examining financial markets. Interest in financial markets implies interest in underlying macroeconomic fundamentals. In Financial and Macroeconomic Connectedness, Frank Diebold and Kamil Yilmaz propose a simple framework for defining, measuring, and monitoring connectedness, which is central to finance and macroeconomics. These measures of connectedness are theoretically rigorous yet empirically relevant. The approach to connectedness proposed by the authors is intimately related to the familiar econometric notion of variance decomposition. The full set of variance decompositions from vector auto-regressions produces the core of the 'connectedness table.' The connectedness table makes clear how one can begin with the most disaggregated pair-wise directional connectedness measures and aggregate them in various ways to obtain total connectedness measures. The authors also show that variance decompositions define weighted, directed networks, so that these proposed connectedness measures are intimately related to key measures of connectedness used in the network literature. After describing their methods in the first part of the book, the authors proceed to characterize daily return and volatility connectedness across major asset (stock, bond, foreign exchange and commodity) markets as well as the financial institutions within the U.S. and across countries since late 1990s. These specific measures of volatility connectedness show that stock markets played a critical role in spreading the volatility shocks from the U.S. to other countries. Furthermore, while the return connectedness across stock markets increased gradually over time the volatility connectedness measures were subject to significant jumps during major crisis events. This book examines not only financial connectedness, but also real fundamental connectedness. In particular, the authors show that global business cycle connectedness is economically significant and time-varying, that the U.S. has disproportionately high connectedness to others, and that pairwise country connectedness is inversely related to bilateral trade surpluses.

Download or read book City Society and Digital Transformation written by Robin Qiu and published by Springer Nature. This book was released on 2022-12-10 with total page 475 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book showcases recent research advances in service science and related fields. Including selected papers from the 2022 INFORMS International Conference on Service Science, held in Shenzhen, China from July 2 to 4, 2022, the book presents new theories and empirical results in the emerging, interdisciplinary field of digital transformation and society. Incorporating research, education and practice alike, the respective chapters highlight a host of ways to approach these challenges in service science.

Download or read book Cryptocurrency Transaction Analysis From a Network Perspective written by Zhong-Yuan Zhang and published by Frontiers Media SA. This book was released on 2022-08-19 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Data Mining and Machine Learning written by Mohammed J. Zaki and published by Cambridge University Press. This book was released on 2020-01-30 with total page 780 pages. Available in PDF, EPUB and Kindle. Book excerpt: The fundamental algorithms in data mining and machine learning form the basis of data science, utilizing automated methods to analyze patterns and models for all kinds of data in applications ranging from scientific discovery to business analytics. This textbook for senior undergraduate and graduate courses provides a comprehensive, in-depth overview of data mining, machine learning and statistics, offering solid guidance for students, researchers, and practitioners. The book lays the foundations of data analysis, pattern mining, clustering, classification and regression, with a focus on the algorithms and the underlying algebraic, geometric, and probabilistic concepts. New to this second edition is an entire part devoted to regression methods, including neural networks and deep learning.

Download or read book MICAI 2006 Advances in Artificial Intelligence written by Alexander Gelbukh and published by Springer Science & Business Media. This book was released on 2006-11-07 with total page 1258 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 5th Mexican International Conference on Artificial Intelligence, MICAI 2006, held in Apizaco, Mexico in November 2006. It contains over 120 papers that address such topics as knowledge representation and reasoning, machine learning and feature selection, knowledge discovery, computer vision, image processing and image retrieval, robotics, as well as bioinformatics and medical applications.

Download or read book Neural Networks Tricks of the Trade written by Grégoire Montavon and published by Springer. This book was released on 2012-11-14 with total page 769 pages. Available in PDF, EPUB and Kindle. Book excerpt: The twenty last years have been marked by an increase in available data and computing power. In parallel to this trend, the focus of neural network research and the practice of training neural networks has undergone a number of important changes, for example, use of deep learning machines. The second edition of the book augments the first edition with more tricks, which have resulted from 14 years of theory and experimentation by some of the world's most prominent neural network researchers. These tricks can make a substantial difference (in terms of speed, ease of implementation, and accuracy) when it comes to putting algorithms to work on real problems.

Download or read book Neural Networks and Statistical Learning written by Ke-Lin Du and published by Springer Nature. This book was released on 2019-09-12 with total page 988 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a broad yet detailed introduction to neural networks and machine learning in a statistical framework. A single, comprehensive resource for study and further research, it explores the major popular neural network models and statistical learning approaches with examples and exercises and allows readers to gain a practical working understanding of the content. This updated new edition presents recently published results and includes six new chapters that correspond to the recent advances in computational learning theory, sparse coding, deep learning, big data and cloud computing. Each chapter features state-of-the-art descriptions and significant research findings. The topics covered include: • multilayer perceptron; • the Hopfield network; • associative memory models;• clustering models and algorithms; • t he radial basis function network; • recurrent neural networks; • nonnegative matrix factorization; • independent component analysis; •probabilistic and Bayesian networks; and • fuzzy sets and logic. Focusing on the prominent accomplishments and their practical aspects, this book provides academic and technical staff, as well as graduate students and researchers with a solid foundation and comprehensive reference on the fields of neural networks, pattern recognition, signal processing, and machine learning.

Download or read book Continual Semi Supervised Learning written by Fabio Cuzzolin and published by Springer Nature. This book was released on 2022-09-27 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the proceedings of the First International Workshop on Continual Semi-Supervised Learning, CSSL 2021, which took place as a virtual event during August 2021.The 9 full papers and 0 short papers included in this book were carefully reviewed and selected from 14 submissions.

Download or read book IMF Research Bulletin Summer 2017 written by International Monetary Fund. Research Dept. and published by International Monetary Fund. This book was released on 2017-08-11 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Summer 2017 issue of the IMF Research Bulletin highlights new research such as recent IMF Working Papers and Staff Discussion Notes. The Research Summaries are “Structural Reform Packages, Sequencing, and the Informal Economy (by Zsuzsa Munkacsi and Magnus Saxegaard) and “A Broken Social Contract, Not High Inequality Led to the Arab Spring” (by Shantayanan Devarajan and Elena Ianchovichina). The Q&A section features “Seven Questions on Fintech” (by Tommaso Mancini-Griffoli). The Bulletin also includes information on recommended titles from IMF Publications and the latest articles from the IMF Economic Review.

Download or read book Artificial Neural Networks and Neural Information Processing ICANN ICONIP 2003 written by Okyay Kaynak and published by Springer. This book was released on 2003-08-03 with total page 1164 pages. Available in PDF, EPUB and Kindle. Book excerpt: The refereed proceedings of the Joint International Conference on Artificial Neural Networks and International Conference on Neural Information Processing, ICANN/ICONIP 2003, held in Istanbul, Turkey, in June 2003. The 138 revised full papers were carefully reviewed and selected from 346 submissions. The papers are organized in topical sections on learning algorithms, support vector machine and kernel methods, statistical data analysis, pattern recognition, vision, speech recognition, robotics and control, signal processing, time-series prediction, intelligent systems, neural network hardware, cognitive science, computational neuroscience, context aware systems, complex-valued neural networks, emotion recognition, and applications in bioinformatics.