Search results for "stochastic"
showing 10 items of 1018 documents
Dynamic Volatility Weighting in the Presence of Transaction Costs
2015
Numerous empirical studies demonstrate the superiority of dynamic strategies with volatility weighting over time mechanism. These strategies control the portfolio risk over time by adjusting the risk exposure according to updated volatility forecasts. Yet, in order to reap all benefits promised by volatility weighting over time, the composition of the active portfolio must be revised rather frequently. Transaction costs represent a serious obstacle to benefiting from this dynamic risk control technique. In this paper we propose a modified volatility weighting strategy that allows one to reduce dramatically the amount of trading costs. The empirical evidence shows that the advantages of the …
The value of integrative risk management for insurance products with guarantees
2001
Insurance liabilities are converging with capital markets products (e.g. derivatives and securitizations), thereby increasing the demand for integrated asset and liability management strategies. This article compares the value-added by an integrative approach-based on scenario optimization modelling-relative to traditional risk management methods. The authors present some examples of products offered by the insurance industry in Italy, and apply the results of the analysis to the design of competitive insurance policies. © Emerald Backfiles 2007.
Surrogate data analysis of sleep electroencephalograms reveals evidence for nonlinearity
1996
We tested the hypothesis of whether sleep electroencephalographic (EEG) signals of different time windows (164 s, 82 s, 41 s and 20.5 s) are in accordance with linear stochastic models. For this purpose we analyzed the all-night sleep electroencephalogram of a healthy subject and corresponding Gaussian-rescaled phase randomized surrogates with a battery of five non-linear measures. The following nonlinear measures were implemented: largest Lyapunov exponent L1, correlation dimension D2, and the Green-Savit measures delta 2, delta 4 and delta 6. The hypothesis of linear stochastic data was rejected with high statistical significance. L1 and D2 yielded the most pronounced effects, while the G…
Quantifying changes in EEG complexity induced by photic stimulation.
2009
Summary Objectives: This study aims to characterize EEG complexity, measured as the prediction error resulting from nonlinear prediction, in healthy humans during photic stimulation. Methods: EEGs were recorded from 15 subjects with eyes closed (EC) and eyes open (EO), during the baseline condition and during stroboscopic photic stimulation (PS) at 5, 10, and 15 Hz. The mean squared prediction error (MSPE) resulting from nearest neighbor local linear prediction was taken as complexity index. Complexity maps were generated interpolating the MSPE index over a schematic scalp representation. Results: Statistical analysis revealed that: i) EEG shows good predictability in all conditions and see…
Uncertainty quantification in simulations of epidemics using polynomial chaos.
2012
Mathematical models based on ordinary differential equations are a useful tool to study the processes involved in epidemiology. Many models consider that the parameters are deterministic variables. But in practice, the transmission parameters present large variability and it is not possible to determine them exactly, and it is necessary to introduce randomness. In this paper, we present an application of the polynomial chaos approach to epidemiological mathematical models based on ordinary differential equations with random coefficients. Taking into account the variability of the transmission parameters of the model, this approach allows us to obtain an auxiliary system of differential equa…
Gully erosion susceptibility assessment by means of GIS-based logistic regression: A case of Sicily (Italy)
2014
article i nfo Article history: This research aims at characterizing susceptibility conditions to gully erosion by means of GIS and multivariate statistical analysis. The study area is a 9.5 km 2 river catchment in central-northern Sicily, where agriculture ac- tivities are limited by intense erosion. By means of field surveys and interpretation of aerial images, we prepared a digitalmap of thespatial distribution of 260 gulliesinthestudy area.Inaddition,fromavailable thematicmaps, a 5 m cell size digital elevation model and field checks, we derived 27 environmental attributes that describe the variability of lithology, land use, topography and road position. These attributes were selected f…
Centenarians as a model to discover genetic and epigenetic signatures of healthy ageing.
2018
Abstract Centenarians are a model of successful ageing. The data favours the theory that, in order to live to 100, it is mandatory to inherit the right genetic variants from parents or acquire epigenetic variants through the environment. Therefore, the study of epigenetic signatures of healthy ageing is becoming an important aspect to identify the role of chromatin modification in ageing and understand how manage this fine-tuning system. So, according to the concept of developmental plasticity, establishment of a longevity phenotype requires a combination of stochastic and non-stochastic events that modulate the genetic substrate and leads to a different outcome. It can be concluded that ce…
Climate variability and agriculture in Italy: a stochastic frontier analysis at the regional level
2020
In the next future, climate change effects will represent a challenge for Europe and the Mediterranean area. These will have to cope with a rapid increase in climate variability. Although many economic sectors may be affected, agriculture is the most susceptible as climate heavily affects crop production trends, yield variability and the availability of areas suitable for cultivation. Using the stochastic frontier approach, the aim of this work is to analyse the impacts of climate variability on Italian regional technical efficiency in the agricultural sector for a period spanning from 2000 to 2009. Considering that technical inefficiency could be influenced by two main annual meteorologica…
The polarization of European agriculture: spatial and dynamic features within a non parametric framework
2009
We present a study of the polarization of European agriculture at NUTS2 regional level. The analysis of selected indicators focuses on spatial and dynamic features of distributions. We make use of the non parametric technique of stochastic kernel which allows to explore the features of a whole distribution and to point out the clustering of statistical units.
Stochastic kernel and conditioning schemes: a study about the influence of spatial factor on agriculture of EU NUTS2
2009
Besides to be an useful methodology for the detection of distribution dynamics of indicators, stochastic kernel has been generalized to a regression-like rationale (Quah, 1997). The latter allows to determine how a distribution is influenced by a "factor", through a "conditioning scheme" which is a set of rules stating how the original distribution is altered in order to obtain its "conditioned" version. This paper aims to study the influence of the "spatial factor" on distributions of selected agriculture impact indicators across EU NUTS2. The present work offers an empirical analysis of dynamics of selected indicators of agriculture across NUTS2. Our scope is to give an overlook of EU ter…