Recently, to account for low-frequency market dynamics, several volatility models, employing high-frequency financial data, have been developed. However, in markets, we often observe that processes depend on economic states, so they a state heterogeneous structure. In this paper, study dynamics based introduce novel model continuous Ito diffusion process whose intraday instantaneous evolves dep...

the goal of this research was prioritize effective financial factors on price stock in tehran stock exchange with using topsis method. based on, it was reviewed literature and interviews and specially questionnaire obtain, effective financial factors to analysis with emphasize on topsis technique. the results shown in the entire ratio price to income, historical event share, eps and return on a...

The main focus in this study is on data pre-processing, reduction in number of inputs or input space size reduction the purpose of which is the justified generalization of data set in smaller dimensions without losing the most significant data. In case the input space is large, the most important input variables can be identified from which insignificant variables are eliminated, or a variable ...

We consider optimization problems involving convex risk functions. By employing techniques of convex analysis and optimization theory in vector spaces of measurable functions we develop new representation theorems for risk models, and optimality and duality theory for problems with convex risk functions.

Anonymous communication is a valuable but underused tool for securing financial communications. As early as the first commercial telegraph codes, businesses have recognized the value of cryptography to protect their communication from prying eyes. But cryptography alone still allows adversaries to discover confidential business relationships by performing traffic analysis to reveal the presence...

This paper presents an explicit characterization for the joint probability density function of the surplus immediately prior to ruin and the deficit at ruin for a general risk process, which includes the Sparre-Andersen risk model with phase-type inter-claim times and claim sizes. The model can also accommodate a Markovian arrival process which enables claim sizes to be correlated with the inte...

The paper attempts to find the evidence of a multi factor model for explaining stock price returns in the Indian stock market. It makes use of the technique of statistical factor analysis. The results of the factor analysis show that a five factor model is appropriate for explaining the returns generation process in India. The explanatory power of this five factor model is significantly better ...

This paper discusses the uncertain portfolio selection problem when security returns cannot be well reflected by historical data. It is proposed that uncertain variable should be used to reflect the experts’ subjective estimation of security returns. Regarding the security returns as uncertain variables, the paper introduces a risk curve and develops a mean-risk model. In addition, the crisp fo...

Ambiguity, also called Knightian or model uncertainty, is a key feature in financial modeling. A recent paper by Maccheroni et al. (2004) characterizes investor preferences under aversion against both risk and ambiguity. Their result shows that these preferences can be numerically represented in terms of convex risk measures. In this paper we study the corresponding problem of optimal investmen...