From Discrete to Continuous: Modeling Volatility of the Istanbul Stock Exchange Market with GARCH and COGARCH

The objective of this paper is to model the volatility of Istanbul Stock Exchange market, ISE100 Index by ARMA and GARCH models and then take a step further into the analysis from discrete modeling to continuous modeling. Through applying unit root and stationary tests on the log return of the index, we found that log return of ISE100 data is stationary. Best candidate model chosen was found to be AR(1)~GARCH(1,1) by AIC and BIC criteria. Then using the parameters from the discrete model, COGARCH(1,1) was applied as a continuous model.ISE100,IMKB100,GARCH Modeling,COGARCH Modeling,discrete modeling,continuous modeling

Discrete port-Hamiltonian systems: mixed interconnections

Either from a control theoretic viewpoint or from an analysis viewpoint it is necessary to convert smooth systems to discrete systems, which can then be implemented on computers for numerical simulations. Discrete models can be obtained either by discretizing a smooth model, or by directly modeling at the discrete level itself. The goal of this paper is to apply a previously developed discrete modeling technique to study the interconnection of continuous systems with discrete ones in such a way that passivity is preserved. Such a theory has potential applications, in the field of haptics, telemanipulation etc. It is shown that our discrete modeling theory can be used to formalize previously developed techniques for obtaining passive interconnections of continuous and discrete systems

Discrete port-controlled Hamiltonian dynamics and average passivation

The paper discusses the modeling and control of port-controlled Hamiltonian dynamics in a pure discrete-time domain. The main result stands in a novel differential-difference representation of discrete port-controlled Hamiltonian systems using the discrete gradient. In these terms, a passive output map is exhibited as well as a passivity based damping controller underlying the natural involvement of discrete-time average passivity

From Discrete to Continuous: Modeling Volatility of the Istanbul Stock Exchange Market with GARCH and COGARCH

The objective of this paper is to model the volatility of Istanbul Stock Exchange market, ISE100 Index by ARMA and GARCH models and then take a step further into the analysis from discrete modeling to continuous modeling. Through applying unit root and stationary tests on the log return of the index, we found that log return of ISE100 data is stationary. Best candidate model chosen was found to be AR(1)~GARCH(1,1) by AIC and BIC criteria. Then using the parameters from the discrete model, COGARCH(1,1) was applied as a continuous model

Formalising the Continuous/Discrete Modeling Step

Formally capturing the transition from a continuous model to a discrete model is investigated using model based refinement techniques. A very simple model for stopping (eg. of a train) is developed in both the continuous and discrete domains. The difference between the two is quantified using generic results from ODE theory, and these estimates can be compared with the exact solutions. Such results do not fit well into a conventional model based refinement framework; however they can be accommodated into a model based retrenchment. The retrenchment is described, and the way it can interface to refinement development on both the continuous and discrete sides is outlined. The approach is compared to what can be achieved using hybrid systems techniques.Comment: In Proceedings Refine 2011, arXiv:1106.348

Hamiltonian mechanics on discrete manifolds

The mathematical/geometric structure of discrete models of systems, whether these models are obtained after discretization of a smooth system or as a direct result of modeling at the discrete level, have not been studied much. Mostly one is concerned regarding the nature of the solutions, but not much has been done regarding the structure of these discrete models. In this paper we provide a framework for the study of discrete models, speci?cally we present a Hamiltonian point of view. To this end we introduce the concept of a discrete calculus