scholarly journals MODERN METHODS OF THE BANK`S INVESTMENT DEVELOPMENT BASED ON THE PAIR TRADING MODELS

2021 ◽  
Author(s):  
Inna Viadrova ◽  
◽  
Irina Bitner ◽  
Keyword(s):  
Quality Analysis ◽  
Mathematical Methods ◽  
Pairs Trading ◽  
Integration Model ◽  
Treasury Bonds ◽  
Banking Activity ◽  
Modern Methods ◽  
Trading Model ◽  
Effective Decision Making ◽  
Selection Of

The article deals with the problem of analysis of banking activity and modern methods of investment development of the bank based on pairs trading models. The essence of the pair trading method as one of the most popular and qualitative methods of investment paper quality analysis is disclosed. The basis of the pairing trading method is defined as the beta-neutral portfolio strategy, which consists of creating a portfolio with a beta coefficient equal to zero, and the main advantage of which is the complete independence of the final paper yield from the market yield, it is only dependent on the future ratio of the value of one security to another. For the successful introduction of this method in banking activity, a clear algorithm for the construction of a paired trading model based on economic-mathematical methods and models is proposed. The proposed algorithm contains three stages in which the following steps are to be taken: analysis and selection of securities; development of a pairing trading model; development and regulation of the selected strategy. The implementation of the proposed algorithm begins with the selection of statistical data on the prices of securities, provides for the verification of data on stationarity, as well as the identification of a system for combining series, and the analysis of coefficients of the matching between prices of securities. As a result of the steps taken, pairs of securities are selected that are more closely related and a full economic analysis of the pairs is made, and the parameters of co-integration equations to pairs of paper are selected, evaluated and analyzed then the errors of the co-integration model are checked for stationary. In the work models of pairs trading are constructed for the realization of an aggressive strategy of trade spreads. In order to build an effective strategy for pairing trading, data on prices of securities, which are the most attractive to Ukrainian banks, namely, US Treasury bonds, have been examined. The hypothesis being tested in the paper is that it is necessary to identify a pair of securities with a sufficiently strong dependency where one should have a rapid growth or decline relative to the other, after which the sale of the revalued security and the purchase of the undervalued security is mandatory. The study found that for each pair of Treasury bonds, the ratio was satisfactory. This indicates that the resultant securities pairs are suitable as an investment that, with a well-designed strategy, will allow the bank to obtain optimum returns. The final step of the algorithm is the analysis of the results obtained, which includes a comprehensive analysis of the conducted research and effective decision-making. The application of the proposed algorithm will allow banks to make informed decisions on the choice and regulation of the strategy in exchange market changes in order to obtain a low level of risk and a high level of profit.

Application of Unascertained Measure-Entropy Evaluation Model for Program Selection of Shaft Construction under Complex Conditions

2011 ◽  
Vol 225-226 ◽  
pp. 407-410 ◽  
Author(s):  
Wan Qing Li ◽  
Mu Jie Chen ◽  
Wen Qing Meng
Keyword(s):  
Decision Making ◽  
Evaluation Model ◽  
Entropy Weight ◽  
Program Selection ◽  
Effective Decision ◽  
Effective Decision Making ◽  
Measure Entropy ◽  
Selection Of

An unascertained measure-entropy evaluation model for the program selection of shaft construction under complex conditions is established so that a scientific and effective decision making method is provided in this paper, the evaluation model of shaft construction is established based on unascertained measure and entropy weight theory, then, the model proposed in this paper is applied to evaluate three shaft construction program comprehensively, and the evaluation results show validity and applicability of the model.

Surgical treatment of bilateral temporal lobe pharmacoresistant epilepsy

2020 ◽  
pp. 60-82
Author(s):  
Igor Sergeevich Trifonov ◽  
Mikhail Vladimirovich Sinkin ◽  
Elena Vladimirovna Grigoryeva ◽  
Rashid Abdurakhmanovich Navruzov
Keyword(s):  
Surgical Treatment ◽  
Temporal Lobe ◽  
Clinical Picture ◽  
Clinical Manifestations ◽  
Epileptogenic Zone ◽  
Pharmacoresistant Epilepsy ◽  
Modern Methods ◽  
Selection For ◽  
Selection Of Patients ◽  
Selection Of

Surgical treatment of bilateral temporal lobe pharmacoresistant epilepsy is associated with some difficulties: particularly, the lack of stereotypical clinical picture in the same patient and controversial data on modern methods of diagnostics — all these statements make identifying epileptogenic zone more difficult and lack of clear criteria for the selection of patients for surgical treatment. In this review, issues of aetiology, pathogenesis, clinical manifestations and criteria for the selection for surgical treatment suggested by different authors are presented.

Overview radiography of abdominal organs in dogs and cats

2020 ◽  
Vol 1 (4) ◽  
pp. 6-14
Author(s):  
V. N. Baymatov ◽  
◽  
A. V. Metelev ◽  
Keyword(s):  
Barium Sulfate ◽  
Bile Ducts ◽  
Individual Characteristics ◽  
Correct Selection ◽  
X Ray ◽  
Abdominal Organs ◽  
Modern Methods ◽  
Extrahepatic Bile Ducts ◽  
Selection Of

Today, less attention has been paid to x-ray studies of animals in connection with the advent of more modern methods. At the same time, the quality of radiopaque substances decreased, which is reflected in this article. The Omnipack, Urografin, Visipack, Barium sulfate, Iodipamide, Bilignost and Biligrafin used in radiopaque contrast studies in most cases did not reveal the hepatobiliary system. Only the last two drugs gave satisfactory results. The complexity of the X-ray examination of the biliary system in cats and dogs lies in the features of the location of the extrahepatic bile ducts and the condition of the intestine, the size of the liver, its structure, echogenicity, the state of the vessels and surrounding organs. In this work, we took into account the anatomical variants of the development and location of organs in animals, which may complicate the study or evaluation of the data obtained. These included changes in the contours, shape, location of the gallbladder and its filling. The results obtained were compared with the available general species standards, taking into account the possible individual characteristics of each animal. Other studied drugs gave satisfactory results with an overall assessment of the abdominal organs, but we preferred Omnipack. Survey radiography provides a large amount of information with the correct selection of radiopaque substances.

Affective Goal and Task Selection for Social Robots

2009 ◽  
pp. 74-87 ◽  
Author(s):  
Matthias Scheutz ◽  
Paul Schermerhorn
Keyword(s):  
Decision Making ◽  
Real World ◽  
Social Robots ◽  
Human Robot Interaction ◽  
Robot Interaction ◽  
Task Selection ◽  
Resource Limitations ◽  
Effective Decision ◽  
Effective Decision Making ◽  
Selection Of

Effective decision-making under real-world conditions can be very difficult as purely rational methods of decision-making are often not feasible or applicable. Psychologists have long hypothesized that humans are able to cope with time and resource limitations by employing affective evaluations rather than rational ones. In this chapter, we present the distributed integrated affect cognition and reflection architecture DIARC for social robots intended for natural human-robot interaction and demonstrate the utility of its human-inspired affect mechanisms for the selection of tasks and goals. Specifically, we show that DIARC incorporates affect mechanisms throughout the architecture, which are based on “evaluation signals” generated in each architectural component to obtain quick and efficient estimates of the state of the component, and illustrate the operation and utility of these mechanisms with examples from human-robot interaction experiments.

scholarly journals Optimal pairs trading with time-varying volatility

2016 ◽  
Vol 03 (03) ◽  
pp. 1650023 ◽  
Author(s):  
Thomas Nanfeng Li ◽  
Agnès Tourin
Keyword(s):  
Generalized Method Of Moments ◽  
Fixed Time ◽  
Time Varying ◽  
Pairs Trading ◽  
Power Utility ◽  
Constant Elasticity ◽  
Constant Elasticity Of Variance ◽  
Control Techniques ◽  
Daily Frequency ◽  
Trading Model

In this paper, we propose a pairs trading model that incorporates a time-varying volatility of the constant elasticity of variance type. Our approach is based on stochastic control techniques; given a fixed time horizon and a portfolio of two cointegrated assets, we define the trading strategies as the portfolio weights maximizing the expected power utility from terminal wealth. We compute the optimal pairs strategies by using a finite difference method. Finally, we illustrate our results by conducting tests on historical market data at daily frequency. The parameters are estimated by the generalized method of moments.

scholarly journals CHOICE OF EFFECTIVE TECHNOLOGY OF ENERGY EFFICIENT DESIGN SYSTEM OF BUILDINGS, AMONG THE MOST COMMON

2017 ◽  
pp. 4-12
Author(s):  
V. A. GALUSHKO ◽  
I. V. KOLODYAZHNAYA ◽  
K. A. SAVKA ◽  
A. S. UVAROVA
Keyword(s):  
Energy Efficient ◽  
Design System ◽  
Efficient Design ◽  
Information Analysis ◽  
Mathematical Methods ◽  
Counting Approach ◽  
Effective Technology ◽  
Energy Efficient Design ◽  
Selection Of ◽  
Construction System

Purpose. Researching the most energy-efficient warming construction system of buildings among the commonest of them, using their technical, technological and economical characteristics. Methodology. Synthesis, analysis, mathematical methods. Findings. For choosing effective technology, information analysis of systems  warming of facades was made. Three types were chosen from the most prominent technics. Technical and economical calculations were made for these systems. Originality. Enhancement of the counting approach whereby the selection of the most suitable variant is making by a few points, which doesn’t exclude each other. Practical value. Discovered is, for the optimal choosing of the warming construction of the facade, there is an importance to use a few technical and economical records at the same time.

scholarly journals APPLICATION OF ECONOMIC AND MATHEMATICAL METHODS TO MANAGE PROJECTS

2018 ◽  
pp. 253-257
Author(s):  
Tetiana Yakovenko ◽  
Anastasiia Pustovit
Keyword(s):  
Selection Criteria ◽  
Critical Parameters ◽  
Optimal Selection ◽  
Mathematical Methods ◽  
Work Factors ◽  
Proposed Model ◽  
Production Capacities ◽  
The Cost ◽  
Future Work ◽  
Selection Of

Introduction. The deadline for the planned works in the project is one of the critical parameters that are not mostly approached. In addition, non-compliance with the deadline usually leads to an increase in the cost of the project. It can be the failure in fulfilling another critical parameter of the projects. One of the reasons of this problem is the non-optimal appointment of job executors. Purpose. The article aims to develop an economics and mathematical model for optimal selection of project executors under uncertainty. Results. In order to achieve the goal of the work, factors, which influence its scheduled completion, existing models of executors’ optimal selection are analysed. The unsolved parts of the problem are identified. Executors’ selection criteria and significant limitations of the model are analysed. It has been concluded that one of the most critical factors is the uncertainty of the executors’ production capacities at the time of their carrying out (the number of free technics or workers who will be free and may be involved in future work). The proposed model allows choosing the optimal executors not only under the term’s criteria, but also under taking into account the total cost of the planned works. It can also be used by enterprises and organizations that involve a subcontractor to perform certain work.

Sign in / Sign up

Export Citation Format

Share Document