Several approaches for subset recovery and improved forecasting accuracy have been proposed and studied. One way is to apply a regularization strategy and solve the model selection task as a continuous optimization problem. One of the most popular approaches in this research field is given by...

Several approaches for subset recovery and improved forecasting accuracy have been proposed and studied. One way is to apply a regularization strategy and solve the model selection task as a continuous optimization problem. One of the most popular approaches in this research field is given by...

Much of the trading activity in Equity markets is directed to brokerage houses. In exchange they provide so-called quot;soft dollarsquot; which basically are amounts spent in quot;researchquot; for identifying profitable trading opportunities. Soft dollars represent about USD 1 out of every USD...

The rapid development of artificial intelligence methods contributes to their wide applications for forecasting various financial risks in recent years. This study introduces a novel explainable case-based reasoning (CBR) approach without a requirement of rich expertise in financial risk....

One of the most important factors to control for the achievements of investment portfolio returns is risk. If we only think that a 100% positive return is needed to recover a portfolio loss of 50%, we can understand why. With the advent of the exponential growth of technology usage in markets,...

This paper formulates dynamic density functions, based upon skewed-t and similar representations, to model and forecast electricity price spreads between different hours of the day. This supports an optimal day ahead storage and discharge schedule, and thereby facilitates a bidding strategy for...

The informational fl ow between oil and spot freight markets is examined in a novel way via the time charter equivalent (TCE) to identify statistical arbitrage trading opportunities. Using Brent and TD3 data, synthetic floating storage positions are constructed, which are shown to be...

Using threshold autoregressive specifications, this paper extends the Enders and Granger (1998) framework for parametric tests of level asymmetry. In particular it develops bootstrap likelihood ratio statistics to test the symmetry null against sign and amplitude asymmetries or a combination of...

This note generalizes the results in Li et al. (2012) to threshold moving‐average (TMA) models with more than two regimes. Under some mild conditions, it is shown that multiple‐regime TMA models are always strictly stationary and ergodic without any restriction on the coefficients. This is...

This paper is concerned with analytical models and methods for reliability planning, optimization, and operation of telecommunication networks. The difference between classical models of reliability and models developed here is that the last ones take into account the economy is often an...