scholarly journals ON COMPLEX ECONOMIC SCENARIO GENERATORS: IS LESS MORE?

2021 ◽  
pp. 1-34
Author(s):  
Jean-François Bégin
Keyword(s):  
Monte Carlo ◽  
Term Structure ◽  
Parameter Uncertainty ◽  
The Other ◽  
Stock Index ◽  
Bayesian Paradigm ◽  
Complex Models ◽  
The One ◽  
Stock Index Returns ◽  
Scenario Generator

Abstract This article proposes a complex economic scenario generator that nests versions of well-known actuarial frameworks. The generator estimation relies on the Bayesian paradigm and accounts for both model and parameter uncertainty via Markov chain Monte Carlo methods. So, to the question is less more?, we answer maybe, but it depends on your criteria. From an in-sample fit perspective, on the one hand, a complex economic scenario generator seems better. From the conservatism, forecasting and coverage perspectives, on the other hand, the situation is less clear: having more complex models for the short rate, term structure and stock index returns is clearly beneficial. However, that is not the case for inflation and the dividend yield.

In Search of Stock Market Proxy to Calculate Systematic Risk (Beta) of Stocks in Indonesia Stock Exchange

2020 ◽  
Vol 29 (2) ◽  
pp. 80-88
Author(s):  
Mochammad Chabachib
Keyword(s):  
Stock Market ◽  
Real World ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
The Other ◽  
Stock Index ◽  
Market Return ◽  
Stock Market Return ◽  
Stock Index Returns

The calculation of beta stock in Indonesia is still debatable to this day. Though many researchers who have used sophisticated methods mathematically, the assumptions applied in developing the methods are impossible to happen in the real world, such as the ability of stock market return the day after (lead) affects the market return today. This study was conducted to assess the stock price index in Indonesia Stock Exchange that can be used as a proxy of stock market in Indonesia. The results of this study showed that there was a gap between beta stocks counted with JCI return as a market proxy with beta stocks counted with index returns of LQ-45, SRI-KEHATI, PEFINDO-25, BISNIS-27, IDX-30 and KOMPAS-100. This study has also found that the beta counted by using KOMPAS-100 return produced the smallest standard error of the estimate (SEE) that it was more applicable compared to the other stock index returns.

scholarly journals Acts Of Terrorism And Their Impacts On Stock Index Returns And Volatility: The Cases Of The Karachi And Tehran Stock Exchanges

2011 ◽  
Vol 8 (12) ◽  
Author(s):  
Anh Phuong Nguyen ◽  
Carl E. Enomoto
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
The Other ◽  
Stock Index ◽  
Financial Capital ◽  
Terrorist Attacks ◽  
Stock Exchanges ◽  
The World ◽  
Investor Reaction ◽  
Stock Index Returns

Terrorist attacks throughout the world have disrupted the flow of financial capital between nations and affected incomes, company profits and stock prices. This paper uses a GARCH(1,1) model to determine how these attacks have affected two specific stock markets: one in Pakistan and the other in Iran. It was found that significant, but different, stock index return shifts and changes in volatility occurred in the two markets. These effects on stock returns have important implications for the economies involved and provide information about investor reaction to terrorism.

scholarly journals Encapsulation of parametric uncertainty statistics by various predictive machine learning models: MLUE method

2013 ◽  
Vol 16 (1) ◽  
pp. 95-113 ◽  
Author(s):  
Durga L. Shrestha ◽  
Nagendra Kayastha ◽  
Dimitri Solomatine ◽  
Roland Price
Keyword(s):  
Machine Learning ◽  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Real Time ◽  
Parameter Uncertainty ◽  
Model Output ◽  
Learning Models ◽  
Output Uncertainty ◽  
Complex Models ◽  
Machine Learning Models

Monte Carlo simulation-based uncertainty analysis techniques have been applied successfully in hydrology for quantification of the model output uncertainty. They are flexible, conceptually simple and straightforward, but provide only average measures of uncertainty based on past data. However, if one needs to estimate uncertainty of a model in a particular hydro-meteorological situation in real time application of complex models, Monte Carlo simulation becomes impractical because of the large number of model runs required. This paper presents a novel approach to encapsulating and predicting parameter uncertainty of hydrological models using machine learning techniques. Generalised likelihood uncertainty estimation method (a version of the Monte Carlo method) is first used to assess the parameter uncertainty of a hydrological model, and then the generated data are used to train three machine learning models. Inputs to these models are specially identified representative variables. The trained models are then employed to predict the model output uncertainty which is specific for the new input data. This method has been applied to two contrasting catchments. The experimental results demonstrate that the machine learning models are quite accurate. An important advantage of the proposed method is its efficiency allowing for assessing uncertainty of complex models in real time.

scholarly journals Markovian Approximation of the Rough Bergomi Model for Monte Carlo Option Pricing

Mathematics ◽  
2021 ◽  
Vol 9 (5) ◽  
pp. 528
Author(s):  
Qinwen Zhu ◽  
Grégoire Loeper ◽  
Wen Chen ◽  
Nicolas Langrené
Keyword(s):  
Monte Carlo ◽  
Stochastic Volatility ◽  
Term Structure ◽  
Model Calibration ◽  
Affine Structure ◽  
Hybrid Scheme ◽  
Markovian Approximation ◽  
Realistic Term ◽  
The One ◽  
Simulation Scheme

The recently developed rough Bergomi (rBergomi) model is a rough fractional stochastic volatility (RFSV) model which can generate a more realistic term structure of at-the-money volatility skews compared with other RFSV models. However, its non-Markovianity brings mathematical and computational challenges for model calibration and simulation. To overcome these difficulties, we show that the rBergomi model can be well-approximated by the forward-variance Bergomi model with wisely chosen weights and mean-reversion speed parameters (aBergomi), which has the Markovian property. We establish an explicit bound on the L2-error between the respective kernels of these two models, which is explicitly controlled by the number of terms in the aBergomi model. We establish and describe the affine structure of the rBergomi model, and show the convergence of the affine structure of the aBergomi model to the one of the rBergomi model. We demonstrate the efficiency and accuracy of our method by implementing a classical Markovian Monte Carlo simulation scheme for the aBergomi model, which we compare to the hybrid scheme of the rBergomi model.

Note on Selection of Coordinate Systems for Geodynamics

1975 ◽  
Vol 26 ◽  
pp. 395-407
Author(s):  
S. Henriksen
Keyword(s):  
Sea Level ◽  
The Other ◽  
Coordinate Systems ◽  
Mean Sea Level ◽  
The Earth ◽  
The One ◽  
Static Systems ◽  
Selection Of

The first question to be answered, in seeking coordinate systems for geodynamics, is: what is geodynamics? The answer is, of course, that geodynamics is that part of geophysics which is concerned with movements of the Earth, as opposed to geostatics which is the physics of the stationary Earth. But as far as we know, there is no stationary Earth – epur sic monere. So geodynamics is actually coextensive with geophysics, and coordinate systems suitable for the one should be suitable for the other. At the present time, there are not many coordinate systems, if any, that can be identified with a static Earth. Certainly the only coordinate of aeronomic (atmospheric) interest is the height, and this is usually either as geodynamic height or as pressure. In oceanology, the most important coordinate is depth, and this, like heights in the atmosphere, is expressed as metric depth from mean sea level, as geodynamic depth, or as pressure. Only for the earth do we find “static” systems in use, ana even here there is real question as to whether the systems are dynamic or static. So it would seem that our answer to the question, of what kind, of coordinate systems are we seeking, must be that we are looking for the same systems as are used in geophysics, and these systems are dynamic in nature already – that is, their definition involvestime.

Stories and the Self

2020 ◽  
Vol 32 (2) ◽  
pp. 47-58 ◽  
Author(s):  
Stefan Krause ◽  
Markus Appel
Keyword(s):  
Meta Analysis ◽  
The Self ◽  
The Other ◽  
Lower Degree ◽  
Contrast Effects ◽  
Self Perception ◽  
Self Perceptions ◽  
Other Hand ◽  
The One ◽  
Implicit And Explicit

Abstract. Two experiments examined the influence of stories on recipients’ self-perceptions. Extending prior theory and research, our focus was on assimilation effects (i.e., changes in self-perception in line with a protagonist’s traits) as well as on contrast effects (i.e., changes in self-perception in contrast to a protagonist’s traits). In Experiment 1 ( N = 113), implicit and explicit conscientiousness were assessed after participants read a story about either a diligent or a negligent student. Moderation analyses showed that highly transported participants and participants with lower counterarguing scores assimilate the depicted traits of a story protagonist, as indicated by explicit, self-reported conscientiousness ratings. Participants, who were more critical toward a story (i.e., higher counterarguing) and with a lower degree of transportation, showed contrast effects. In Experiment 2 ( N = 103), we manipulated transportation and counterarguing, but we could not identify an effect on participants’ self-ascribed level of conscientiousness. A mini meta-analysis across both experiments revealed significant positive overall associations between transportation and counterarguing on the one hand and story-consistent self-reported conscientiousness on the other hand.

Radioimmunotherapy for treatment of acute myeloid leukaemia and myelodysplastic syndrome

2005 ◽  
Vol 44 (03) ◽  
pp. 107-117
Author(s):  
R. G. Meyer ◽  
W. Herr ◽  
A. Helisch ◽  
P. Bartenstein ◽  
I. Buchmann
Keyword(s):  
Acute Myeloid Leukaemia ◽  
Myeloid Leukaemia ◽  
Primary Tumour ◽  
The Other ◽  
Haematopoietic Stem Cell ◽  
Other Hand ◽  
Primary Reduction ◽  
The One ◽  
Acute Myeloid

SummaryThe prognosis of patients with acute myeloid leukaemia (AML) has improved considerably by introduction of aggressive consolidation chemotherapy and haematopoietic stem cell transplantation (SCT). Nevertheless, only 20-30% of patients with AML achieve long-term diseasefree survival after SCT. The most common cause of treatment failure is relapse. Additionally, mortality rates are significantly increased by therapy-related causes such as toxicity of chemotherapy and complications of SCT. Including radioimmunotherapies in the treatment of AML and myelodyplastic syndrome (MDS) allows for the achievement of a pronounced antileukaemic effect for the reduction of relapse rates on the one hand. On the other hand, no increase of acute toxicity and later complications should be induced. These effects are important for the primary reduction of tumour cells as well as for the myeloablative conditioning before SCT.This paper provides a systematic and critical review of the currently used radionuclides and immunoconjugates for the treatment of AML and MDS and summarizes the literature on primary tumour cell reductive radioimmunotherapies on the one hand and conditioning radioimmunotherapies before SCT on the other hand.

Das Ende der Postdemokratie, den Pessimismus überwinden.

2017 ◽  
Vol 47 (188) ◽  
pp. 487-494
Author(s):  
Daniel Mullis
Keyword(s):  
Political Thought ◽  
Social Dynamics ◽  
Social Conditions ◽  
The Other ◽  
Economic Decline ◽  
Far Right ◽  
Windows Of Opportunity ◽  
Political Events ◽  
Political Struggles ◽  
The One

In recent years, political and social conditions have changed dramatically. Many analyses help to capture these dynamics. However, they produce political pessimism: on the one hand there is the image of regression and on the other, a direct link is made between socio-economic decline and the rise of the far-right. To counter these aspects, this article argues that current political events are to be understood less as ‘regression’ but rather as a moment of movement and the return of deep political struggles. Referring to Jacques Ranciere’s political thought, the current conditions can be captured as the ‘end of post-democracy’. This approach changes the perspective on current social dynamics in a productive way. It allows for an emphasis on movement and the recognition of the windows of opportunity for emancipatory struggles.

Tolerance is theoretical and practical principles

1996 ◽  
pp. 13-23
Author(s):  
Mykhailo Babiy
Keyword(s):  
Religious Diversity ◽  
The Other ◽  
Nodal Points ◽  
Characteristic Features ◽  
The One ◽  
Ukrainian Society

Political ideological pluralism, religious diversity are characteristic features of modern Ukrainian society. On the one hand, multiculturalism, socio-political, religious differentiation of the latter appear as important characteristics of its democracy, as a practical expression of freedom, on the other - as a factor that led to the deconsocialization of society, gave rise to "nodal points" of tension, confrontational processes, in particular, in political and religious spheres.

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