scholarly journals Closing a Bitcoin Trade Optimally under Partial Information: Performance Assessment of a Stochastic Disorder Model

Mathematics ◽  
2022 ◽  
Vol 10 (1) ◽  
pp. 157
Author(s):  
Zehra Eksi ◽  
Daniel Schreitl
Keyword(s):  
Performance Analysis ◽  
Performance Assessment ◽  
Partial Information ◽  
Exit Time ◽  
Exit Strategy ◽  
Random Drift ◽  
Expected Return ◽  
Drift Model ◽  
Out Of Sample ◽  
Partially Observable

The Bitcoin market exhibits characteristics of a market with pricing bubbles. The price is very volatile, and it inherits the risk of quickly increasing to a peak and decreasing from the peak even faster. In this context, it is vital for investors to close their long positions optimally. In this study, we investigate the performance of the partially observable digital-drift model of Ekström and Lindberg and the corresponding optimal exit strategy on a Bitcoin trade. In order to estimate the unknown intensity of the random drift change time, we refer to Bitcoin halving events, which are considered as pivotal events that push the price up. The out-of-sample performance analysis of the model yields returns values ranging between 9% and 1153%. We conclude that the return of the initiated Bitcoin momentum trades heavily depends on the entry date: the earlier we entered, the higher the expected return at the optimal exit time suggested by the model. Overall, to the extent of our analysis, the model provides a supporting framework for exit decisions, but is by far not the ultimate tool to succeed in every trade.

scholarly journals MIMO Throughput Effectiveness for Basic MIMO OTA Compliance Testing

2012 ◽  
Vol 2012 ◽  
pp. 1-10 ◽  
Author(s):  
Adoración Marín-Soler ◽  
Guillermo Ypiña-García ◽  
Álvaro Belda-Sanchiz ◽  
Antonio M. Martínez-González
Keyword(s):  
Performance Analysis ◽  
Performance Assessment ◽  
Test Time ◽  
Status Report ◽  
Figures Of Merit ◽  
Throughput Gain ◽  
Compliance Testing ◽  
Accurate Performance ◽  
Open Issue

During the March 2011 meeting of the CTIA MIMO OTA Subgroup (MOSG), the members agreed that the subgroup should first determine “what” aspects of a MIMO-capable device require evaluation; then the group should determine “how” to go about making these measurements. In subsequent meetings of MOSG, new yet-unnamed figures of merit were asked for in order to provide a solution to the carriers' requirements for LTE MIMO OTA evaluation. Furthermore, the December 2011 3GPP RAN4 status report on LTE MIMO OTA listed the evaluation of the use of statistical performance analysis in order to minimize test time and help ensure accurate performance assessment as an open issue. This contribution addresses these petitions by providing four new figures of merit, which could serve the purpose of evaluating the operators' top priorities for MIMO OTA compliance testing. The new figures of merit are MIMO Throughput Effectiveness (MTE), MIMO Device Throughput Effectiveness (MDTE), MIMO Throughput Gain (MTG), and MIMO Device Throughput Gain (MDTG). In this paper, MTE is evaluated using the recently available LTE MIMO OTA RR data from 3GPP.

scholarly journals Flashover Characteristics Performance Assessment under Contamination Possessions on the Surface of Porcelain Insulators

2018 ◽  
Vol 6 (1) ◽  
pp. 47-56
Author(s):  
Rahul Soni ◽  
Mihir Bhatt
Keyword(s):  
Performance Analysis ◽  
Performance Assessment ◽  
Field Application ◽  
Real Field ◽  
Dry Conditions ◽  
Porcelain Insulators ◽  
Testing Techniques

This paper presents the experimental outcomes regard to the flashover performance of pin, shackle and disc insulators under contaminated conditions. For making contaminated surface various samples are made like salt, dust, industry pollution and miscellaneous foreign particles of wet and dry conditions as per IEC testing techniques. Moreover, each insulator has been tested under above mentioned conditions. For each insulator its breakdown voltages were measured. After doing performance analysis of different insulators under contaminated condition measurement of breakdown voltages are done with incorporation of real field application of insulators and making analogy with various regions of India.

Momentum liquidation under partial information

2016 ◽  
Vol 53 (2) ◽  
pp. 341-359
Author(s):  
Erik Ekström ◽  
Martin Vannestål
Keyword(s):  
Change Point ◽  
Optimal Strategy ◽  
Partial Information ◽  
External Shocks ◽  
Momentum Effect ◽  
The Past ◽  
Momentum Trading ◽  
Partially Observable ◽  
Random Change ◽  
Do So

Abstract Momentum is the notion that an asset that has performed well in the past will continue to do so for some period. We study the optimal liquidation strategy for a momentum trade in a setting where the drift of the asset drops from a high value to a smaller one at some random change-point. This change-point is not directly observable for the trader, but it is partially observable in the sense that it coincides with one of the jump times of some exogenous Poisson process representing external shocks, and these jump times are assumed to be observable. Comparisons with existing results for momentum trading under incomplete information show that the assumption that the disappearance of the momentum effect is triggered by observable external shocks significantly improves the optimal strategy.

Five years of EDuMaP for the performance analysis of territorial landslide early warning systems

2021 ◽  
Author(s):  
Luca Piciullo ◽  
Michele Calvello
Keyword(s):  
Performance Evaluation ◽  
Performance Analysis ◽  
Performance Assessment ◽  
Early Warning ◽  
Early Warning Systems ◽  
Performance Criteria ◽  
Warning Systems ◽  
Landslide Event ◽  
Landslide Early Warning ◽  
Warning Model

<p>Landslide early warning systems (LEWS) can be classified in either territorial or local systems (Piciullo et al., 2018). Systems addressing single landslides, at slope scale, can be named local LEWS (Lo-LEWS), systems operating over wide areas, at regional scale, can be referred to as territorial systems (Te-LEWS). Te-LEWS deal with the occurrence of several landslides within wide warning zones at municipal/regional/national scale. Nowadays, there are around 30 Te-LEWS operational worldwide (Piciullo et al., 2018; Guzzetti et al., 2020). The performance evaluation of such systems is often overlooked, and a standardized procedure is still missing. Often the performance evaluation is based on 2 by 2 contingency tables computed for the joint frequency distribution of landslides and alerts, both considered as dichotomous variables. This approach can lead to an imprecise assessment of the warning model, because it cannot differentiate among different levels of warning and the variable number of landslides that may occur in a time interval.</p><p>To overcome this issue Calvello and Piciullo (2016) proposed an original method for the performance analysis of a warning model, named EDuMaP, acronym of the method’s three main phases: Event analysis, Duration Matrix computation, Performance assessment. The method is centered around the computation of a n by m duration matrix that quantifies the time associated with the occurrence (and non-occurrence) of a given landslide event in relation to the different warning levels adopted by a Te-LEWS. Different performance criteria and indicators can be applied to evaluate the computed duration matrix.</p><p>Since 2016, the EDuMaP method has been applied to evaluate the performance of several Te-LEWS operational worldwide: Rio de Janeiro, Brazil (Calvello and Piciullo, 2016); Norway, Vestlandet (Piciullo et al., 2017a); Piemonte region, Italy (Piciullo et al., 2020), Amalfi coast, Italy (Piciullo et al., 2017b). These systems have different structures and warning models with either fixed or variable warning zones. In all cases, the EDuMaP method has proved to be flexible enough to successfully perform the evaluation of the warning models, highlighting critical and positive aspects of such systems, as well as proving that simpler evaluation methods do not allow a detailed assessment of the seriousness of the errors and of the correctness of the predictions of Te-LEWS (Piciullo et al., 2020).</p><p>Calvello M, Piciullo L (2016) Assessing the performance of regional landslide early warning models: the EDuMaP method. Nat Hazards Earth Syst Sc 16:103–122. https://doi.org/10.5194/nhess-16-103-2016</p><p>Guzzetti et al (2020) Geographical landslide early warning systems. Earth Sci Rev 200:102973. https://doi.org/10.1016/j.earsc irev.2019.102973</p><p>Piciullo et al (2018) Territorial early warning systems for rainfall-induced landslides. Earth Sci Rev 179:228–247. https://doi.org/10.1016/j.earscirev.2018.02.013</p><p>Piciullo et al (2017a) Adaptation of the EDuMaP method for the performance evaluation of the alerts issued on variable warning zones. Nat Hazards Earth Sys Sc 17:817–831. https://doi.org/10.5194/nhess-17-817-2017</p><p>Piciullo et al (2017b) Definition and performance of a threshold-based regional early warning model for rainfall-induced landslides. Landslides 14:995–1008. https://doi.org/10.1007/s10346-016-0750-2</p><p>Piciullo et al (2020). Standards for the performance assessment of territorial landslide early warning systems. Landslides 17:2533–2546. https://doi.org/10.1007/s10346-020-01486-4</p>

Conclusions from an Nea Workshop: The Role of Phenomenological Sorption Modelling in Performance Assessment of RadioactiveWaste Disposal Systems

1983 ◽  
Vol 26 ◽  
Author(s):  
A.B. Muller ◽  
D. Langmuir ◽  
I. Neretnieks
Keyword(s):  
Performance Analysis ◽  
Performance Assessment ◽  
Systems Design ◽  
Sorption Process ◽  
Surface Ionization ◽  
Natural Environments ◽  
Far Field ◽  
Degree Of Confidence ◽  
Site Characterisation

ABSTRACTTo give due credit to the barrier of the far field geologic environment in many host media it is necessary to account for sorption processes. The ultimate impact of sorption modelling will be in helping to define the degree of confidence that may be placed on geochemical retardation occurring in this barrier. For those involved in site characterisation, systems' design, design implementation and regulation, this confidence is best derived from a combination of a fundamental phenomenological understanding of the sorption process with empirical observations of sorption in natural environments. Neither alone is adequate. By performing a few additional measurements during classical Ko experiments, the data necessary for the more fundamental models, such as that of double-layer or surface ionization and complexation, may also be provided. The basis of these models and their integration into broader performance analysis are outlined in the context of how this maximises confidence in the geologic barrier of critically concerned groups.

MEMS Gyro Random Drift Model Parameter Identification Based on Two-Stage Recursive Least Squares Method

2012 ◽  
Vol 220-223 ◽  
pp. 1044-1047 ◽  
Author(s):  
Zhao Hua Liu ◽  
Jia Bin Chen ◽  
Yu Liang Mao ◽  
Chun Lei Song
Keyword(s):  
Least Squares ◽  
Least Squares Method ◽  
Moving Average ◽  
Recursive Least Squares ◽  
Model Parameters ◽  
Random Drift ◽  
Two Stage ◽  
Autoregressive Moving Average Model ◽  
Drift Model ◽  
Recursive Least Squares Method

Autoregressive moving average model (ARMA) was usually used for gyro random drift modeling. Because gyro random drift was a non-stationary, weak non-linear and time-variant random signal, model parameters were random and time-variant, too. For improving precision of gyro and reducing effects of random drift, this paper adopted two-stage recursive least squares method for ARMA parameter estimation. This method overcame the shortcomings of the conventional recursive extended least squares (RELS) algorithm. At the same time, the forgetting factor was introduced to adapt the model parameters change. The simulation experimental results showed that this method is effective.

scholarly journals PRICING OF CONTINGENT CLAIMS IN A TWO-DIMENSIONAL MODEL WITH RANDOM DIVIDENDS

2009 ◽  
Vol 12 (08) ◽  
pp. 1091-1104 ◽  
Author(s):  
PAVEL V. GAPEEV ◽  
MONIQUE JEANBLANC
Keyword(s):  
Financial Market ◽  
Diffusion Processes ◽  
Partial Information ◽  
Asset Price ◽  
Contingent Claims ◽  
Dimensional Model ◽  
Random Drift ◽  
Brownian Motions ◽  
Risky Assets ◽  
Geometric Brownian Motions

We study a model of a financial market in which two risky assets are paying dividends with rates changing their initial values to other constant ones when certain events occur. Such events are associated with the first times at which the value processes of issuing firms, modeled by geometric Brownian motions, fall to some prescribed levels. The asset price dynamics are described by exponential diffusion processes with random drift rates and independent driving Brownian motions. We derive closed form expressions for rational values of European contingent claims, under full and partial information.

scholarly journals Solving Partially Observable Stochastic Games with Public Observations

2019 ◽  
Vol 33 ◽  
pp. 2029-2036
Author(s):  
Karel Horák ◽  
Branislav Bošanský
Keyword(s):  
Stochastic Games ◽  
Partial Information ◽  
General Setting ◽  
Value Functions ◽  
Value Of The Game ◽  
A Value ◽  
Stochastic Events ◽  
Zero Sum ◽  
Partially Observable ◽  
Practical Demonstration

In many real-world problems, there is a dynamic interaction between competitive agents. Partially observable stochastic games (POSGs) are among the most general formal models that capture such dynamic scenarios. The model captures stochastic events, partial information of players about the environment, and the scenario does not have a fixed horizon. Solving POSGs in the most general setting is intractable.Therefore, the research has been focused on subclasses of POSGs that have a value of the game and admit designing (approximate) optimal algorithms. We propose such a subclass for two-player zero-sum games with discounted-sum objective function—POSGs with public observations (POPOSGs)—where each player is able to reconstruct beliefs of the other player over the unobserved states. Our results include: (1) theoretical analysis of PO-POSGs and their value functions showing convexity (concavity) in beliefs of maximizing (minimizing) player, (2) a novel algorithm for approximating the value of the game, and (3) a practical demonstration of scalability of our algorithm. Experimental results show that our algorithm can closely approximate the value of non-trivial games with hundreds of states.

scholarly journals Decision Making in Complex Multiagent Contexts: A Tale of Two Frameworks

AI Magazine ◽  
2012 ◽  
Vol 33 (4) ◽  
pp. 82 ◽  
Author(s):  
Prashant J. Doshi
Keyword(s):  
Decision Making ◽  
Markov Decision Process ◽  
Decision Process ◽  
Partial Information ◽  
Autonomous Systems ◽  
Relevant Research ◽  
Physical Context ◽  
Markov Decision ◽  
Partially Observable Markov ◽  
Partially Observable

Decision making is a key feature of autonomous systems. It involves choosing optimally between different lines of action in various information contexts that range from perfectly knowing all aspects of the decision problem to having just partial knowledge about it. The physical context often includes other interacting autonomous systems, typically called agents. In this article, I focus on decision making in a multiagent context with partial information about the problem. Relevant research in this complex but realistic setting has converged around two complementary, general frameworks and also introduced myriad specializations on its way. I put the two frameworks, decentralized partially observable Markov decision process (Dec-POMDP) and the interactive partially observable Markov decision process (I-POMDP), in context and review the foundational algorithms for these frameworks, while briefly discussing the advances in their specializations. I conclude by examining the avenues that research pertaining to these frameworks is pursuing.

A New Useful Tool or a Further Misunderstood Obligation?

2018 ◽  
pp. 55-76
Author(s):  
Cristian Carini ◽  
Claudio Teodori ◽  
Davide Giacomini
Keyword(s):  
European Union ◽  
Performance Analysis ◽  
Performance Assessment ◽  
Adoption Process ◽  
The European Union ◽  
Group Context ◽  
Stratified Sample ◽  
Assessment Strategies ◽  
Potential Tool

Italy offers an important experience on the consolidated report since it was one of the first countries in the European Union to expressly provide for compulsory adoption. Using institutional theory to explain the role of shared values, culture and the influence of existing practice during the accounting reform, the paper aims to explore the perception of local government (LG) on the users, the uses, and the utility. We sent a questionnaire to a statistical stratified sample of 800 LG, collecting a response rate of 17%. The results find out that social legitimization pressures than by accountability patterns or performance analysis drive the adoption process more. Even if the empirical evidence confirms that the stakeholders most interested are perceived on the internal members, the results indicate that the report is perceived as a potential tool for pursuing performance assessment strategies in a group context. However, this potentiality depends on the coordination effort made by the LG. This raises many questions on how the council views the LG group.

Sign in / Sign up

Export Citation Format

Share Document