In this study, we use zero-one variables to control fixed transaction costs independent of trade size in the portfolio selection problem. The optimal solution to the maximum flow, risk constrained stochastic portfolio network is found using Digital Portfolio Theory (DPT). Digital signals...

The characteristics of the strong ground motion accelerograms from the 1999 Kocaeli earthquake are investigated in detail in this study. The emphasis is on the comparison of the response spectra for the fault normal (FN) and fault parallel (FP) components of the ground motions. The results show...

Purpose – The purpose of this paper is to show that subordinated debt regulatory proposals assume that transactions in the secondary market of subordinated debt can attenuate moral hazard on the part of management if secondary market prices are informative signals of the risk of the...

Purpose – The purpose of this paper is to show that subordinated debt regulatory proposals assume that transactions in the secondary market of subordinated debt can attenuate moral hazard on the part of management if secondary market prices are informative signals of the risk of the...

We study the long-term dynamics of the short-time variability level of human heart rate, an aspect which is not addressed by the traditional methods of non-linear time-series analysis. The length-distribution of low-variability periods in human heartbeat dynamics typically follows a...

We demonstrate that the methods of signal (time series) analysis developed in nonlinear and symbolic dynamics when applied to financial data in Econophysics give new possibilities of interpretation of those data. Analogies with interpretation of biosignals in Medical Physics may be observed....

We propose a simple Bayesian method for the classification of time series signals originating from mutually exclusive sources. In particular, the method is used to address the question of whether a 24-h recording of human heart rate data is produced by a normally functioning heart or by one...