Search results for "index"
showing 10 items of 5395 documents
Improving stock index forecasts by using a new weighted fuzzy-trend time series method
2017
Define a new technical indicator for measuring the trend of the fuzzy time series.Introduce a new weighted fuzzy-trend time series method to forecast stock indices.Compare ex-post performances of weighted FTS methods using stock market indices.Assess statistical significance of ex-post forecast accuracy for weighted FTS methods. We propose using new weighted operators in fuzzy time series to forecast the future performance of stock market indices. Based on the chronological sequence of weights associated with the original fuzzy logical relationships, we define both chronological-order and trend-order weights, and incorporate our proposals for the ex-post forecast into the classical modeling…
Harsanyi Power Solutions for Cooperative Games on Voting Structures
2019
International audience; This paper deals with Harsanyi power solutions for cooperative games in which partial cooperation is based on specific union stable systems given by the winning coalitions derived from a voting game. This framework allows for analyzing new and real situations in which there exists a feedback between the economic influence of each coalition of agents and its political power. We provide an axiomatic characterization of the Harsanyi power solutions on the subclass of union stable systems arisen from the winning coalitions from a voting game when the influence is determined by a power index. In particular, we establish comparable axiomatizations, in this context, when co…
Prediction of Vehicle Crashworthiness Parameters Using Piecewise Lumped Parameters and Finite Element Models
2018
Estimating the vehicle crashworthiness parameters experimentally is expensive and time consuming. For these reasons different modelling approaches are utilized to predict the vehicle behaviour and reduce the need for full-scale crash testing. The earlier numerical methods used for vehicle crashworthiness analysis were based on the use of lumped parameters models (LPM), a combination of masses and nonlinear springs interconnected in various configurations. Nowadays, the explicit nonlinear finite element analysis (FEA) is probably the most widely recognized modelling technique. Although informative, finite element models (FEM) of vehicle crash are expensive both in terms of man-hours put into…
Homography based egomotion estimation with a common direction
2017
International audience; In this paper, we explore the different minimal solutions for egomotion estimation of a camera based on homography knowing the gravity vector between calibrated images. These solutions depend on the prior knowledge about the reference plane used by the homography. We then demonstrate that the number of matched points can vary from two to three and that a direct closed-form solution or a Gröbner basis based solution can be derived according to this plane. Many experimental results on synthetic and real sequences in indoor and outdoor environments show the efficiency and the robustness of our approach compared to standard methods.
Graph-theoretical derivation of brain structural connectivity
2020
Brain connectivity at the single neuron level can provide fundamental insights into how information is integrated and propagated within and between brain regions. However, it is almost impossible to adequately study this problem experimentally and, despite intense efforts in the field, no mathematical description has been obtained so far. Here, we present a mathematical framework based on a graph-theoretical approach that, starting from experimental data obtained from a few small subsets of neurons, can quantitatively explain and predict the corresponding full network properties. This model also changes the paradigm with which large-scale model networks can be built, from using probabilisti…
Pricing Sovereign Contingent Convertible Debt
2016
We develop a pricing model for sovereign contingent convertible bonds (S-CoCo) with payment standstills triggered by a sovereign's credit default swap CDS spread. One innovation is the modeling of CDS spread regime switching which is prevalent during crises. Regime switching is modeled as a hidden Markov process and is integrated with a stochastic process of spread levels to obtain S-CoCo prices through simulation. The paper goes a step further and uses the pricing model in a Longstaff-Schwartz. American option pricing framework to compute state contingent S-CoCo prices at some risk horizon, thus facilitating risk management. Dual trigger pricing is also discussed using the idiosyncratic CD…
Grading investment diversification options in presence of non-historical financial information
2021
Modern portfolio theory deals with the problem of selecting a portfolio of financial assets such that the expected return is maximized for a given level of risk. The forecast of the expected individual assets’ returns and risk is usually based on their historical returns. In this work, we consider a situation in which the investor has non-historical additional information that is used for the forecast of the expected returns. This implies that there is no obvious statistical risk measure any more, and it poses the problem of selecting an adequate set of diversification constraints to mitigate the risk of the selected portfolio without losing the value of the non-statistical information owne…
Ranking corporate sustainability: a flexible multidimensional approach based on linguistic variables
2017
Corporate sustainability implies a compromise between the present environmental, social, and economic needs of a firm's stakeholders and their future needs. Corporate sustainability is therefore a multidimensional concept. Nowadays, several independent rating agencies rate firms in terms of environmental, social, and governance (ESG) criteria. These ratings are usually used by main sustainability indices such as the Dow Jones Sustainability Index, FTSE4 Good, Stoxx Sustainability Index, or Euronext Vigeo Family to select companies to invest in. Only those firms performing better than the average of their sector are selected. However, although providing linguistic ratings about the performan…
Committee Parliamentary Specialization Index. Explaining MPs’ specialisation in the Spanish Congreso de los Diputados
2019
Nowadays legislatures are largely based on committee systems. This enables a division of work and specialisation, in the context of highly complex politics and policy development. It seems clear that MP specialisation in the field of the committee they serve on is an important political asset, both for MPs and their parliamentary party group. This paper presents the Committee Parliamentary Specialization Index. This index measures the degree an MP is specialised in the jurisdiction of the committee they serve on. In the second part of the paper, the index is applied to the Spanish Congreso de los Diputados, an interesting case for testing this multi-faceted index, to find institutional, pol…
Comparing Freedom House Democracy Scores to Alternative Indices and Testing for Political Bias: Are US Allies Rated as More Democratic by Freedom Hou…
2014
AbstractSeveral scholars have criticized the Freedom House democracy ratings as being politically biased. Do countries indeed incorrectly receive better ratings that have stronger political ties with the United States? This article tests whether differences between a number of alternative indices of democracy and the FH ratings can be explained in a systematic manner by variables that record relationships between the US and the countries under investigation. Differentiating between the periods before 1988 and after 1989, strong and consistent evidence of a substantial bias in the FH ratings is obtained for the former period. For the latter period, the estimates are less consistent, but stil…