121 research outputs found

    Complexity and Criticality in financial markets: systemic risk across frequencies and cross sections

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    Extreme market events and systemic collapses cause most of the popular attention to finance and financial markets. Extreme phenomena and the dynamics of con- nected/interacting systems have been the subject of financial modeling since early derivatives modeling, exposure risk modeling and portfolio construction. In the present work we discuss how traditional methods have for the most part failed to properly model the interconnected global financial and economic system. This led to systemic risk events and simplistic regulation which does not properly account for its implications. Analogously, we discuss how from as early as Mandelbrot’s works on financial prices and fat tails, academics, practitioners and regulators alike were warned of fat tails in financial modeling and in particular market making and derivatives pricing. The improper modeling or dismissal of these lies at the cen- tre of financial downturns ranging from LTCM’s collapse to the quant downturn of August 2007. The solution I promote in this thesis is that of complexity and criticality. In line with this we propose two lines of work. The former analyses markets as complex networks and their structure through to practical takeaways including a proof of concept for portfolio construction. The latter instead focuses on extreme events in high frequency markets with results for both tail modeling and systemic events and practical insights from those. Recent events have shown how retail investors and their savings are now heavily involved in financial markets. We hope that our contribution of methods of practical use for proper risk modeling will encourage their adoption by practitioners and regulators with the outcome of a more stable and efficient financial system

    Three Risky Decades: A Time for Econophysics?

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    Our Special Issue we publish at a turning point, which we have not dealt with since World War II. The interconnected long-term global shocks such as the coronavirus pandemic, the war in Ukraine, and catastrophic climate change have imposed significant humanitary, socio-economic, political, and environmental restrictions on the globalization process and all aspects of economic and social life including the existence of individual people. The planet is trapped—the current situation seems to be the prelude to an apocalypse whose long-term effects we will have for decades. Therefore, it urgently requires a concept of the planet's survival to be built—only on this basis can the conditions for its development be created. The Special Issue gives evidence of the state of econophysics before the current situation. Therefore, it can provide excellent econophysics or an inter-and cross-disciplinary starting point of a rational approach to a new era

    Planning and Scheduling Optimization

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    Although planning and scheduling optimization have been explored in the literature for many years now, it still remains a hot topic in the current scientific research. The changing market trends, globalization, technical and technological progress, and sustainability considerations make it necessary to deal with new optimization challenges in modern manufacturing, engineering, and healthcare systems. This book provides an overview of the recent advances in different areas connected with operations research models and other applications of intelligent computing techniques used for planning and scheduling optimization. The wide range of theoretical and practical research findings reported in this book confirms that the planning and scheduling problem is a complex issue that is present in different industrial sectors and organizations and opens promising and dynamic perspectives of research and development

    Network-on-Chip

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    Addresses the Challenges Associated with System-on-Chip Integration Network-on-Chip: The Next Generation of System-on-Chip Integration examines the current issues restricting chip-on-chip communication efficiency, and explores Network-on-chip (NoC), a promising alternative that equips designers with the capability to produce a scalable, reusable, and high-performance communication backbone by allowing for the integration of a large number of cores on a single system-on-chip (SoC). This book provides a basic overview of topics associated with NoC-based design: communication infrastructure design, communication methodology, evaluation framework, and mapping of applications onto NoC. It details the design and evaluation of different proposed NoC structures, low-power techniques, signal integrity and reliability issues, application mapping, testing, and future trends. Utilizing examples of chips that have been implemented in industry and academia, this text presents the full architectural design of components verified through implementation in industrial CAD tools. It describes NoC research and developments, incorporates theoretical proofs strengthening the analysis procedures, and includes algorithms used in NoC design and synthesis. In addition, it considers other upcoming NoC issues, such as low-power NoC design, signal integrity issues, NoC testing, reconfiguration, synthesis, and 3-D NoC design. This text comprises 12 chapters and covers: The evolution of NoC from SoC—its research and developmental challenges NoC protocols, elaborating flow control, available network topologies, routing mechanisms, fault tolerance, quality-of-service support, and the design of network interfaces The router design strategies followed in NoCs The evaluation mechanism of NoC architectures The application mapping strategies followed in NoCs Low-power design techniques specifically followed in NoCs The signal integrity and reliability issues of NoC The details of NoC testing strategies reported so far The problem of synthesizing application-specific NoCs Reconfigurable NoC design issues Direction of future research and development in the field of NoC Network-on-Chip: The Next Generation of System-on-Chip Integration covers the basic topics, technology, and future trends relevant to NoC-based design, and can be used by engineers, students, and researchers and other industry professionals interested in computer architecture, embedded systems, and parallel/distributed systems

    Annales Mathematicae et Informaticae 2021

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    Proceedings of the 35th International Workshop on Statistical Modelling : July 20- 24, 2020 Bilbao, Basque Country, Spain

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    466 p.The InternationalWorkshop on Statistical Modelling (IWSM) is a reference workshop in promoting statistical modelling, applications of Statistics for researchers, academics and industrialist in a broad sense. Unfortunately, the global COVID-19 pandemic has not allowed holding the 35th edition of the IWSM in Bilbao in July 2020. Despite the situation and following the spirit of the Workshop and the Statistical Modelling Society, we are delighted to bring you the proceedings book of extended abstracts

    Proceedings of the 35th International Workshop on Statistical Modelling : July 20- 24, 2020 Bilbao, Basque Country, Spain

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    466 p.The InternationalWorkshop on Statistical Modelling (IWSM) is a reference workshop in promoting statistical modelling, applications of Statistics for researchers, academics and industrialist in a broad sense. Unfortunately, the global COVID-19 pandemic has not allowed holding the 35th edition of the IWSM in Bilbao in July 2020. Despite the situation and following the spirit of the Workshop and the Statistical Modelling Society, we are delighted to bring you the proceedings book of extended abstracts

    4.Uluslararası Öğrenciler Fen Bilimleri Kongresi Bildiriler Kitabı

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    Çevrimiçi ( XIII, 495 Sayfa ; 26 cm.)
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