Distribution Characteristics of Multivariate Financial Assets Return based on Mathematical Model

For the non-normality and time variability of the distribution of multivariate financial assets return, a dynamic model of the distribution of multivariate financial assets return based on mathematical model is constructed in this paper. AR(1)-DCC(1,1)-GARCH(1,1) model reflects dynamic characteristics of conditional expectation and conditional variance of multivariate financial assets return. It solves the problem that restricts the in-depth research on high order dynamic portfolio optimization, which is the estimation of conditional coskewness matrix and conditional cokurtosis matrix. By constructing a multi-dimensional fluctuation model with biased t distribution, conditional asymmetric parameter and conditional free degree parameter, the distribution of multivariate financial assets return is researched. Experimental results show that the proposed model can reasonably reflect the time-varying characteristics of the multivariate stock return distribution in China’s stock market.

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A deep Q-learning portfolio management framework for the cryptocurrency market

Neural Computing and Applications ◽

10.1007/s00521-020-05359-8 ◽

2020 ◽

Vol 32 (23) ◽

pp. 17229-17244

Author(s):

Giorgio Lucarelli ◽

Matteo Borrotti

Keyword(s):

Portfolio Optimization ◽

Portfolio Management ◽

Dynamic Decision Making ◽

Financial Assets ◽

Management Framework ◽

Q Learning ◽

Reward Function ◽

Dynamic Portfolio ◽

Definition Of ◽

Dynamic Portfolio Optimization

AbstractDeep reinforcement learning is gaining popularity in many different fields. An interesting sector is related to the definition of dynamic decision-making systems. A possible example is dynamic portfolio optimization, where an agent has to continuously reallocate an amount of fund into a number of different financial assets with the final goal of maximizing return and minimizing risk. In this work, a novel deep Q-learning portfolio management framework is proposed. The framework is composed by two elements: a set of local agents that learn assets behaviours and a global agent that describes the global reward function. The framework is tested on a crypto portfolio composed by four cryptocurrencies. Based on our results, the deep reinforcement portfolio management framework has proven to be a promising approach for dynamic portfolio optimization.

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THE DEVELOPMENT OF THE MATHEMATICAL MODEL OF PREDICTING THE INDICATORS OF ACCREDITATION OF TECHNICAL UNIVERSITIES IN THE RUSSIAN FEDERATION

VESTNIK OF ASTRAKHAN STATE TECHNICAL UNIVERSITY SERIES MANAGEMENT COMPUTER SCIENCE AND INFORMATICS ◽

10.24143/2072-9502-2017-2-27-38 ◽

2017 ◽

pp. 27-38

Author(s):

Olga Mikhaylovna Tikhonova ◽

Alexander Fedorovich Rezchikov ◽

Vladimir Andreevich Ivashchenko ◽

Vadim Alekseevich Kushnikov

Keyword(s):

Mathematical Model ◽

System Dynamics ◽

Regression Model ◽

Oriented Graph ◽

Real Data ◽

Educational Process ◽

Proposed Model ◽

Linear Differential ◽

The University ◽

The Mathematical Model

The paper presents the system of predicting the indicators of accreditation of technical universities based on J. Forrester mechanism of system dynamics. According to analysis of cause-and-effect relationships between selected variables of the system (indicators of accreditation of the university) there was built the oriented graph. The complex of mathematical models developed to control the quality of training engineers in Russian higher educational institutions is based on this graph. The article presents an algorithm for constructing a model using one of the simulated variables as an example. The model is a system of non-linear differential equations, the modelling characteristics of the educational process being determined according to the solution of this system. The proposed algorithm for calculating these indicators is based on the system dynamics model and the regression model. The mathematical model is constructed on the basis of the model of system dynamics, which is further tested for compliance with real data using the regression model. The regression model is built on the available statistical data accumulated during the period of the university's work. The proposed approach is aimed at solving complex problems of managing the educational process in universities. The structure of the proposed model repeats the structure of cause-effect relationships in the system, and also provides the person responsible for managing quality control with the ability to quickly and adequately assess the performance of the system.

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A Mathematical Model for the Anaerobic Digestion Process Applied to a Mixture of Night Soil and Septic Tank Sludge

Water Science & Technology ◽

10.2166/wst.1986.0295 ◽

1986 ◽

Vol 18 (7-8) ◽

pp. 239-248 ◽

Cited By ~ 2

Author(s):

Sung Ryong Ha ◽

Dwang Ho Lee ◽

Sang Eun Lee

Keyword(s):

Mathematical Model ◽

Anaerobic Digestion ◽

Biomass Concentration ◽

Gas Production ◽

Septic Tank ◽

Volatile Acid ◽

Hydraulic Residence Time ◽

Anaerobic Digestion Process ◽

Digestion Process ◽

Proposed Model

Laboratory scale experiments were conducted to develop a mathematical model for the anaerobic digestion of a mixture of night soil and septic tank sludge. The optimum mixing ratio by volume between night soil and septic tank sludge was found to be 7:3. Due to the high solids content in the influent waste, mixed-liquor volatile suspended solids (MLVSS) was not considered to be a proper parameter for biomass concentration, therefore, the active biomass concentration was estimated based on deoxyribonucleic acid (DNA) concentration in the reactor. The weight ratio between acidogenic bacteria and methanogenic bacteria in the mixed culture of a well-operated anaerobic digester was approximately 3:2. The proposed model indicates that the amount of volatile acid produced and the gas production rate can be expressed as a function of hydraulic residence time (HRT). The kinetic constants of the two phases of the anaerobic digestion process were determined, and a computer was used to simulate results using the proposed model for the various operating parameters, such as BOD5 and volatile acid concentrations in effluent, biomass concentrations and gas production rates. These were consistent with the experimental data.

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On the Dragging Trajectory of Anchors in Clay for Merchant Ships

Journal of Marine Science and Engineering ◽

10.3390/jmse9020118 ◽

2021 ◽

Vol 9 (2) ◽

pp. 118

Author(s):

Xinqing Zhuang ◽

Keliang Yan ◽

Pan Gao ◽

Yihua Liu

Keyword(s):

Mathematical Model ◽

Structural Integrity ◽

Indirect Measurement ◽

Test System ◽

Flow Rule ◽

Burial Depth ◽

Proposed Model ◽

Depth Increase ◽

Two Parameters ◽

The Mathematical Model

Anchor dragging is a major threat to the structural integrity of submarine pipelines. A mathematical model in which the mechanical model of chain and the bearing model of anchor were coupled together. Based on the associated flow rule, an incremental procedure was proposed to solve the spatial state of anchor until it reaches the ultimate embedding depth. With an indirect measurement method for the anchor trajectory, a model test system was established. The mathematical model was validated against some model tests, and the effects of two parameters were studied. It was found that both the ultimate embedding depth of a dragging anchor and the distance it takes to reach the ultimate depth increase with the shank-fluke pivot angle, but decrease as the undrained shear strength of clay increases. The proposed model is supposed to be useful for the embedding depth calculation and guiding the design of the pipeline burial depth.

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Content Dependent Representation Selection Model for Systems Based on MPEG DASH

Electronics ◽

10.3390/electronics10151843 ◽

2021 ◽

Vol 10 (15) ◽

pp. 1843

Author(s):

Jelena Vlaović ◽

Snježana Rimac-Drlje ◽

Drago Žagar

Keyword(s):

Mathematical Model ◽

Spatial Information ◽

Relevant Literature ◽

Video Quality ◽

Similarity Index ◽

Video Encoding ◽

Adaptation Algorithm ◽

Subjective Testing ◽

Proposed Model ◽

The Mathematical Model

A standard called MPEG Dynamic Adaptive Streaming over HTTP (MPEG DASH) ensures the interoperability between different streaming services and the highest possible video quality in changing network conditions. The solutions described in the available literature that focus on video segmentation are mostly proprietary, use a high amount of computational power, lack the methodology, model notation, information needed for reproduction, or do not consider the spatial and temporal activity of video sequences. This paper presents a new model for selecting optimal parameters and number of representations for video encoding and segmentation, based on a measure of the spatial and temporal activity of the video content. The model was developed for the H.264 encoder, using Structural Similarity Index Measure (SSIM) objective metrics as well as Spatial Information (SI) and Temporal Information (TI) as measures of video spatial and temporal activity. The methodology that we used to develop the mathematical model is also presented in detail so that it can be applied to adapt the mathematical model to another type of an encoder or a set of encoding parameters. The efficiency of the segmentation made by the proposed model was tested using the Basic Adaptation algorithm (BAA) and Segment Aware Rate Adaptation (SARA) algorithm as well as two different network scenarios. In comparison to the segmentation available in the relevant literature, the segmentation based on the proposed model obtains better SSIM values in 92% of cases and subjective testing showed that it achieves better results in 83.3% of cases.

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A Global Socio-economic-medico-legal Model for the Sustainability of Longitudinal Electronic Health Records

Methods of Information in Medicine ◽

10.1055/s-0038-1634081 ◽

2006 ◽

Vol 45 (03) ◽

pp. 240-245 ◽

Cited By ~ 21

Author(s):

A. Shabo

Keyword(s):

Electronic Health Records ◽

Healthcare Providers ◽

Financial Assets ◽

Healthcare Organizations ◽

Health Records ◽

Record Keeping ◽

Proposed Model ◽

Legal Model ◽

Electronic Health

Summary Objectives: This paper pursues the challenge of sustaining lifetime electronic health records (EHRs) based on a comprehensive socio-economic-medico-legal model. The notion of a lifetime EHR extends the emerging concept of a longitudinal and cross-institutional EHR and is invaluable information for increasing patient safety and quality of care. Methods: The challenge is how to compile and sustain a coherent EHR across the lifetime of an individual. Several existing and hypothetical models are described, analyzed and compared in an attempt to suggest a preferred approach. Results: The vision is that lifetime EHRs should be sustained by new players in the healthcare arena, who will function as independent health record banks (IHRBs). Multiple competing IHRBs would be established and regulated following preemptive legislation. They should be neither owned by healthcare providers nor by health insurer/payers or government agencies. The new legislation should also stipulate that the records located in these banks be considered the medico-legal copies of an individual’s records, and that healthcare providers no longer serve as the legal record keepers. Conclusions: The proposed model is not centered on any of the current players in the field; instead, it is focussed on the objective service of sustaining individual EHRs, much like financial banks maintain and manage financial assets. This revolutionary structure provides two main benefits: 1) Healthcare organizations will be able to cut the costs of long-term record keeping, and 2) healthcare providers will be able to provide better care based on the availability of a lifelong EHR of their new patients.

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The Generation Principle and Mathematical Models of Double-Enveloping Internal Gear Pairs

Volume 10: ASME 2015 Power Transmission and Gearing Conference; 23rd Reliability, Stress Analysis, and Failure Prevention Conference ◽

10.1115/detc2015-46675 ◽

2015 ◽

Cited By ~ 1

Author(s):

Xuan Li ◽

Bingkui Chen ◽

Yawen Wang ◽

Guohua Sun ◽

Teik C. Lim

Keyword(s):

Mathematical Model ◽

Load Capacity ◽

Geometrical Shape ◽

Gear Pair ◽

Numerical Examples ◽

Proposed Model ◽

General Mathematical Model ◽

Meshing Characteristics ◽

Internal Gear ◽

Tooth Pair

In this paper, the planar double-enveloping method is presented for the generation of tooth profiles of the internal gear pair for various applications, such as gerotors and gear reducers. The main characteristic of this method is the existence of double contact between one tooth pair such that the sealing property, the load capacity and the transmission precision can be significantly improved as compared to the conventional configuration by the single-enveloping theory. Firstly, the generation principle of the planar double-enveloping method is introduced. Based on the coordinate transformation and the envelope theory, the general mathematical model of the double-enveloping internal gear pair is presented. By using this model, users can directly design different geometrical shape profiles to obtain a double-enveloping internal gear pair with better meshing characteristics. Secondly, to validate the effectiveness of the proposed model, specific mathematical formulations of three double-enveloping internal gear pairs which apply circular, parabolic and elliptical curves as the generating curves are given. The equations of tooth profiles and meshing are derived and the composition of tooth profiles is analyzed. Finally, numerical examples are provided for an illustration.

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An Optimized Mathematical Model for Items Supplies Planning of a Logistic System

Modern Applied Science ◽

10.5539/mas.v10n10p133 ◽

2016 ◽

Vol 10 (10) ◽

pp. 133

Author(s):

Mohammad Ali Nasiri Khalili ◽

Mostafa Kafaei Razavi ◽

Morteza Kafaee Razavi

Keyword(s):

Mathematical Model ◽

Mixed Integer ◽

Logistics System ◽

Proposed Model ◽

Multiple Objective Decision Making ◽

System Requirements ◽

Purchasing Logistics ◽

The Cost ◽

The Mathematical Model ◽

First Time

Items supplies planning of a logistic system is one of the major issue in operations research. In this article the aim is to determine how much of each item per month from each supplier logistics system requirements must be provided. To do this, a novel multi objective mixed integer programming mathematical model is offered for the first time. Since in logistics system, delivery on time is very important, the first objective is minimization of time in delivery on time costs (including lack and maintenance costs) and the cost of purchasing logistics system. The second objective function is minimization of the transportation supplier costs. Solving the mathematical model shows how to use the Multiple Objective Decision Making (MODM) can provide the ensuring policy and transportation logistics needed items. This model is solved with CPLEX and computational results show the effectiveness of the proposed model.

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Investigation on Evaluation of Terminal Departure Capacity Based on Route Intersection

Advanced Materials Research ◽

10.4028/www.scientific.net/amr.655-657.2262 ◽

2013 ◽

Vol 655-657 ◽

pp. 2262-2265

Author(s):

Jian Guo Kong

Keyword(s):

Mathematical Model ◽

Traffic Flow ◽

Air Traffic ◽

Flow Management ◽

Air Traffic Flow Management ◽

Flight Data ◽

Proposed Model ◽

Combining Data ◽

Traffic Flow Management ◽

Airport Terminal

Air traffic flow management is the key to evaluate airspace capacity reasonably and accurately. Based on the flight features of terminal route intersection, this paper builds a mathematical model for scattered flight of departure aircraft, and then evaluates the terminal capacity based on this model. By combining data from Flight Data Recorder (FDR) and flight schedule with the model, an example-runway 02R of Guangzhou Baiyun airport terminal was given to show the effectiveness of the proposed model.

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