Search results for "WAP"
showing 10 items of 93 documents
Isometric Words Based on Swap and Mismatch Distance
2023
An edit distance is a metric between words that quantifies how two words differ by counting the number of edit operations needed to transform one word into the other one. A word f is said isometric with respect to an edit distance if, for any pair of f-free words u and v, there exists a transformation of minimal length from u to v via the related edit operations such that all the intermediate words are also f-free. The adjective 'isometric' comes from the fact that, if the Hamming distance is considered (i.e., only mismatches), then isometric words are connected with definitions of isometric subgraphs of hypercubes. We consider the case of edit distance with swap and mismatch. We compare it…
A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps
2021
We develop a new nonparametric approach for estimating the risk-neutral density of asset prices and reformulate its estimation into a double-constrained optimization problem. We evaluate our approach using the S\&P 500 market option prices from 1996 to 2015. A comprehensive cross-validation study shows that our approach outperforms the existing nonparametric quartic B-spline and cubic spline methods, as well as the parametric method based on the Normal Inverse Gaussian distribution. As an application, we use the proposed density estimator to price long-term variance swaps, and the model-implied prices match reasonably well with those of the variance future downloaded from the CBOE websi…
Label swapper device for spectral amplitude coded optical packet networks monolithically integrated on InP
2011
In this paper the design, fabrication and experimental characterization of an spectral amplitude coded (SAC) optical label swapper monolithically integrated on Indium Phosphide (InP) is presented. The device has a footprint of 4.8x1.5 mm 2 and is able to perform label swapping operations required in SAC at a speed of 155 Mbps. The device was manufactured in InP using a multiple purpose generic integration scheme. Compared to previous SAC label swapper demonstrations, using discrete component assembly, this label swapper chip operates two order of magnitudes faster. © 2011 Optical Society of America.
Multi-Agent Financial Network (MAFN) Model of US Collateralized Debt Obligations (CDO)
2014
A database driven multi-agent model has been developed with automated access to US bank level FDIC Call Reports that yield data on balance sheet and off balance sheet activity, respectively, in Residential Mortgage Backed Securities (RMBS) and Credit Default Swaps (CDS). The simultaneous accumulation of RMBS assets on US banks’ balance sheets and also large counterparty exposures from CDS positions characterized the $2 trillion Collateralized Debt Obligation (CDO) market. The latter imploded at the end of 2007 with large scale systemic risk consequences. Based on US FDIC bank data, that could have been available to the regulator at the time, the authors investigate how a CDS negative carry …
Stock Return Volatility on Scandinavian Stock Markets and the Banking Industry: Evidence from the Years of Financial Liberalisation and Banking Crisis
1999
This paper investigates the evolution of the (conditional) volatility of returns on three Scandinavian markets (Finland, Norway and Sweden) over the turbulent period of the past decade, namely the overlapping periods of financial liberalisation, drastically changing macroeconomic conditions and banking crisis. We find that even over this relatively turbulent period volatility is in most cases successfully captured by past volatility and shocks to past volatility, ie by a (symmetric) GARCH process. In each country banking crisis has induced regime shifts in (unconditional) volatility. We also find evidence for cross-country volatility spillovers during the banking crisis episodes. The estima…
‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk
2012
A small segment of credit default swaps (CDS) on residential mortgage backed securities (RMBS) stand implicated in the 2007 financial crisis. The dominance of a few big players in the chains of insurance and reinsurance for CDS credit risk mitigation for banks' assets has led to the idea of too interconnected to fail (TITF) resulting, as in the case of AIG, of a tax payer bailout. We provide an empirical reconstruction of the US CDS network based on the FDIC Call Reports for off balance sheet bank data for the 4th quarter in 2007 and 2008. The propagation of financial contagion in networks with dense clustering which reflects high concentration or localization of exposures between few parti…
Future directions in international financial integration research - A crowdsourced perspective
2018
This paper is the result of a crowdsourced effort to surface perspectives on the present and future direction of international finance. The authors are researchers in financial economics who attended the INFINITI 2017 conference in the University of Valencia in June 2017 and who participated in the crowdsourcing via the Overleaf platform. This paper highlights the actual state of scientific knowledge in a multitude of fields in finance and proposes different directions for future research.
Dynamic Asset Allocation Strategies Based on Unexpected Volatility
2013
In this paper we document that at the aggregate stock market level the unexpected volatility is negatively related to expected future returns and positively related to future volatility. We demonstrate how the predictive ability of unexpected volatility can be utilized in dynamic asset allocation strategies that deliver a substantial improvement in risk-adjusted performance as compared to traditional buy-and-hold strategies. In addition, we demonstrate that active strategies based on unexpected volatility outperform the popular active strategy with volatility target mechanism and have the edge over the widely reputed market timing strategy with 10-month simple moving average rule.
CADWAN – A Control Architecture for Dense Wi-Fi Access Networks
2018
The growing demands of ubiquitous computing are leading towards the densification of wireless access networks. The challenges of high density deployments can be addressed by network- wide centralized control. To this end we propose CADWAN – a Control Architecture for efficient management of Dense Wi-Fi Access Networks. Its main advantages are: flexibility (it supports software- defined wireless networking), scalability (it uses a three-tier optimization framework), and extendibility (it exploits a unified control interface with support for heterogeneous devices). Furthermore, CADWAN is complementary to ongoing developments in IEEE 802.11, especially 802.11ax.
Determining the RMB Exchange Regime
2011
Although China has claimed since 2005 that it will move towards a more market-oriented system of managing its foreign exchange, it has remained, in part, a managed economic system. This chapter examines the relative importance of fundamentalist, chartist and currency arrangements in determining the RMB exchange regime using both traditional linear and non-linear artificial intelligence models. We find that the emphasis on the US dollar as a reference currency has declined. Fundamentalist forces are becoming strong determinants of the currency exchange. The genetic programming approach is among the best performing in minimizing forecasting error.