Co-movement analysis has a significant role in recourse allocation, risk management, etc. This study uses the novel approach of wavelet coherence in continuous wavelet transform framework to investigate the correlation dynamic and spillover effect of 10 main sector indices of Tehran Stock Exchange, in time and frequency domains. Analyzing the data indicates that correlation structure among TSE ...

In most optimal VM placement algorithms, the first step to determine proper time horizon, T for prediction of expected maximum future load, L. However, is dependent on knowledge required servers switch from their initial SLEEP/ACTIVE state next desired state. The activities implemented by this policy are (a) relocate an encumbered server, a server that operates in undesirably high regime with a...

This paper considers horizon effects on portfolio weights under time varying and forecastable return volatility. The return volatility is modelled as a GARCH-M, which is general enough to encompass both constant and time varying mean. The analysis confirms earlier results, namely that there are no horizon effects when the stochastic process, that governs asset returns, has constant mean. Howeve...

Optimal feedback solutions to the in nite horizon LQR problem with state and input constraints based on receding horizon real-time quadratic programming are well known. In this paper we develop an explicit solution to the same problem, eliminating the need for realtime optimization. A suboptimal strategy, based on a suboptimal choice of a nite horizon and imposing additional limitations on the ...