Institute of Information Theory and Automation

Institute of Information Theory and Automation 1,499 records found  previous11 - 20nextend  jump to record: Search took 0.00 seconds. 
A Note on Optimal Value of Loans
Kaňková, Vlasta
People try to gain (in the last decades) own residence (a flat or a little house). Since young people do not posses necessary financial resources, bank sector offers them a mortgage. Of course, the aim of any bank is to profit from such a transaction. Therefore, according to their possibilities, the banks employ excellent experts to analyze the financial situation of potenitial clients. Consequently, the banks know what could be a maximal size of the loan (in dependence on the debtor's position, salary and age) and what is reasonable size of installments. The aim of this contribution is to analyze the situation from the second size. In particular, the aim is to investgate the possibilities of the debtors not only on the dependence on their present - day situation, but also on their future private and subjective decisions and on possible "unpleasant" events. Moreover, consequently according to these indexes, the aim of this contribution is to suggest a method for a recognition of a"safe" loan and simultaneously to offer tactics to state a suitable environment for future time.The stochastic programming theory will be employed to it.
Bimodality testing of the stochastic cusp model
Voříšek, Jan
Multimodal distributions are popular in many areas: biology (fish and shark population), engineering (material collapse under pressure, stability of ships), psychology (attitude transitions), physics (freezing of water) etc. There were a few attempts to utilize multimodal distributions in financial mathematics as well. Cobb et al. described a class of multimodal distributions belonging to the exponential family, which has unique maximum likelihood estimators and showed a connection to the stationary distribution of the stochastic cusp catastrophe model. Moreover was shown, how to identify bimodality for given parameters of the stochastic cusp model using the sign of Cardans discriminant. A statistical test for bimodality of the stochastic cusp model using maximum likelihood estimates is proposed in the paper as well as the necessary condition for bimodality which can be used for s simplified testing to reject bimodality. By proposed methods is tested the bimodality of exchange rate between USD and GBP in the periods within the years 1975 - 2014.
Approximate Transition Density Estimation of the Stochastic Cusp Model
Voříšek, Jan
Stochastic cusp model is defined by stochastic differential equation with cubic drift. Its stationary density allows for skewness, different tail shapes and bimodality. There are two stable equilibria in bimodality case and movement from one equilibrium to another is interpreted as a crash. Qualitative properties of the cusp model were employed to model crashes on financial markets, however, practical applications of the model employed the stationary distribution, which does not take into account the serial dependence between observations. Because closed-form solution of the transition density is not known, one has to use approximate technique to estimate transition density. This paper extends approximate maximum likelihood method, which relies on the closed-form expansion of the transition density, to incorporate time-varying parameters of the drift function to be driven by market fundamentals. A measure to predict endogenous crashes of the model is proposed using transition density estimates. Empirical example estimates Iceland Krona depreciation with respect to the British Pound in the year 2001 using differential of interbank interest rates as a market fundamental.
Capital market efficiency in the Ising model environment: Local and global effects
Krištoufek, Ladislav ; Vošvrda, Miloslav
Financial Ising model is one of the simplest agent-based models (building on a parallel between capital markets and the Ising model of ferromag- netism) mimicking the most important stylized facts of financial returns such as no serial correlation, fat tails, volatility clustering and volatility persistence on the verge of non-stationarity. We present results of Monte Carlo simulation study investigating the relationship between parameters of the model (related to herding and minority game behaviors) and crucial characteristics of capital market e ciency (with respect to the e cient market hypothesis). We find a strongly non-linear relationship between these which opens possibilities for further research. Specifically, the existence of both herding and minority game behavior of market participants are necessary for attaining the e cient market in the sense of the e cient market hypothesis.
Causality and Intervention in Business Process Management
Bína, V. ; Jiroušek, Radim
The paper presents an algebraic approach to the modeling of causality in systems of stochastic variables. The methodology is based on an operator of a composition that provides the possibility of composing a multidimensional distribution from low-dimensional building blocks taking advantage of the dependence structure of the problem variables. The authors formally define and demonstrate on a hypothetical example a surprisingly elegant unifying approach to conditioning by a single variable and the evaluation of the effect of an intervention. Both operations are realized by the composition with a degenerated distribution and differ only in the sequence in which the operator of the composition is performed.
The arbitrage inconsistencies of implied volatility extraction in connection to calendar bandwidth
Vitali, Sebastiano ; Tichý, Tomáš ; Kopa, Miloš
Options are often priced by Black and Scholes model by using artificial (and unobserved) volatility implied by option market prices. Since many options do not have their traded counterparts with the same maturity and moneyness, it is often needed to interpolate the volatility values. The general procedure of implied volatility extraction from market prices and subsequent smoothing can, however, lead to inconsistent values or even arbitrage opportunities. In this paper, a potential arbitrage area is studied in connection with the calendar bandwidth construction.
SYNTHESIZED ENRICHMENT FUNCTIONS FOR EXTENDED FINITE ELEMENT ANALYSES WITH FULLY RESOLVED MICROSTRUCTURE
Doskar, M. ; Novák, J. ; Zeman, Jan
Inspired by the first order numerical homogenization, we present a method for extracting continuous fluctuation fields from the Wang tile based compression of a material microstructure. The fluctuation fields are then used as enrichment basis in Extended Finite Element Method (XFEM) to reduce number of unknowns in problems with fully resolved microstructural geometry synthesized by means of the tiling concept. In addition, the XFEM basis functions are taken as reduced modes of a detailed discretization in order to circumvent the need for non-standard numerical quadratures. The methodology is illustrated with a scalar steady-state problem.
Heuristics in blind source separation
Kautský, Václav ; Štěch, Jakub
This paper deals with application of heuristic algorithms (DEBR, MCRS) in blind source separation (BSS). BSS methods focus on a separation of the (source) signal from a linear mixture. The idea of using heuristic algorithms is introduced on the independent component extraction (ICE) model. The motivation for considering heuristics is to obtain an initial guess needed by many ICE algorithms. Moreover, the comparison of this initialization, and other algorithms accuracy is performed.\n
Experiment: Cooperative Decision Making via Reinforcement Learning
Berka, Milan
This report inspects cooperative decision making task using reinforcement learning. It serves for comparison with methodology based on fully probabilistic design of decision strategies.
Automated Software System in Speech-language Therapy
Paroubková, M. ; Bílková, Zuzana ; Novozámský, Adam ; Dominec, A. ; Zitová, Barbara
Introduction of an automated software system for speech therapy of children and adults (Assistl).

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