Essays On Asset Pricing Models: Theories And Empirical Tests

My dissertation contains three chapters. Chapter one proposes a nonparametric method to evaluate the performance of a conditional factor model in explaining the cross section of stock returns. There are two tests: one is based on the individual pricing error of a conditional model and the other is based on the average pricing error. Empirical results show that for valueweighted portfolios, the conditional CAPM explains none of the asset-pricing anomalies, while the conditional Fama-French three-factor model is able to account for the size effect, and it also helps to explain the value effect and the momentum effect. From a statistical point of view, a conditional model always beats a conditional one because it is closer to the true data-generating process. Chapter two proposes a general equilibrium model to study the implications of prospect theory for individual trading, security prices and trading volume. Its main finding is that different components of prospect theory make different predictions. The concavity/convexity of the value function drives a disposition effect, which in turn leads to momentum in the cross-section of stock returns and a positive correlation between returns and volumes. On the other hand, loss aversion predicts exactly the opposite, namely a reversed disposition effect and reversal in the cross-section of stock returns, as well as a negative correlation between returns and volumes. In a calibrated economy, when prospect theory preference parameters are set at the values estimated by the previous studies, our model can generate price momentum of up to 7% on an annual basis. Chapter three studies the role of aggregate dividend volatility in asset prices. In the model, narrow-framing investors are loss averse over fluctuations in the value of their financial wealth. Persistent dividend volatility indicates persistent fluctuation in their financial wealth and makes stocks undesirable. It helps to explain the salient feature of the stock market including the high mean, excess volatility, and predictability of stock returns while maintaining a low and stable risk-free rate. Consistent with the data, stock returns have a low correlation with consumption growth, and Sharpe ratios are time-varying

Contributions to unsupervised and supervised learning with applications in digital image processing

311 p. : il.[EN]This Thesis covers a broad period of research activities with a commonthread: learning processes and its application to image processing. The twomain categories of learning algorithms, supervised and unsupervised, have beentouched across these years. The main body of initial works was devoted tounsupervised learning neural architectures, specially the Self Organizing Map.Our aim was to study its convergence properties from empirical and analyticalviewpoints.From the digital image processing point of view, we have focused on twobasic problems: Color Quantization and filter design. Both problems have beenaddressed from the context of Vector Quantization performed by CompetitiveNeural Networks. Processing of non-stationary data is an interesting paradigmthat has not been explored with Competitive Neural Networks. We have statesthe problem of Non-stationary Clustering and related Adaptive Vector Quantizationin the context of image sequence processing, where we naturally havea Frame Based Adaptive Vector Quantization. This approach deals with theproblem as a sequence of stationary almost-independent Clustering problems.We have also developed some new computational algorithms for Vector Quantizationdesign.The works on supervised learning have been sparsely distributed in time anddirection. First we worked on the use of Self Organizing Map for the independentmodeling of skin and no-skin color distributions for color based face localization. Second, we have collaborated in the realization of a supervised learning systemfor tissue segmentation in Magnetic Resonance Imaging data. Third, we haveworked on the development, implementation and experimentation with HighOrder Boltzmann Machines, which are a very different learning architecture.Finally, we have been working on the application of Sparse Bayesian Learningto a new kind of classification systems based on Dendritic Computing. This lastresearch line is an open research track at the time of writing this Thesis

Game Theory Relaunched

The game is on. Do you know how to play? Game theory sets out to explore what can be said about making decisions which go beyond accepting the rules of a game. Since 1942, a well elaborated mathematical apparatus has been developed to do so; but there is more. During the last three decades game theoretic reasoning has popped up in many other fields as well - from engineering to biology and psychology. New simulation tools and network analysis have made game theory omnipresent these days. This book collects recent research papers in game theory, which come from diverse scientific communities all across the world; they combine many different fields like economics, politics, history, engineering, mathematics, physics, and psychology. All of them have as a common denominator some method of game theory. Enjoy

Minimal Path Methods for Segmentation and Analysis of 2D and 3D Line Structures

Image segmentation plays a vital role in many applications of computer vision. Segmentation is not only an important task in its own right, but also a prerequisite for many further image analysis steps. Consequently, segmentation is one of the most active research areas of computer vision. In this thesis, line structures are considered, which have quite different characteristics compared to common objects in natural 2D images: Line structures are much thinner and longer, and often they have little color or texture information such as blood vessels in medical images. To cope with these challenges, minimal path methods are commonly used. In this thesis, two new methods are introduced which are extensions of existing minimal path methods. The first method is a novel hybrid approach for automatic 3D segmentation and quantification of high-resolution 7 Tesla magnetic resonance angiography (MRA) images of the human cerebral vasculature. Our approach consists of two main steps. First, a 3D model-based approach is used to segment and quantify thick vessels and most parts of thin vessels. Second, remaining vessel gaps of the first step in low-contrast and noisy regions are completed using a 3D minimal path approach, which exploits directional information. We present two novel minimal path approaches: The first is an explicit approach based on energy minimization using probabilistic sampling, and the second is an implicit approach based on fast marching with anisotropic directional prior. The second method we introduce is a novel minimal path method for the segmentation of 2D and 3D line structures. Minimal path methods perform propagation of a wavefront emanating from a start point at a speed derived from image features, followed by path extraction using backtracing. Usually, the computation of the speed and the propagation of the wave are two separate steps, and point features are used to compute a static speed. We introduce a new continuous minimal path method which steers the wave propagation progressively using dynamic speed based on path features. We present three instances of our method, using an appearance feature of the path, a geometric feature based on the curvature of the path, and a joint appearance and geometric feature based on the tangent of the wavefront. Such features have not been used in previous continuous minimal path methods. We compute the features dynamically during the wave propagation, and also efficiently using a fast numerical scheme and a low-dimensional parameter space. Our method does not suffer from discretization or metrication errors. We conducted quantitative and qualitative experimental evaluations of our methods using 2D and 3D images from different application areas, including synthetic images, retinal images, satellite images of streets, rivers, and bridges, and 3D 7T MRA images of human brain vessels

Collected Papers (on various scientific topics), Volume XIII

This thirteenth volume of Collected Papers is an eclectic tome of 88 papers in various fields of sciences, such as astronomy, biology, calculus, economics, education and administration, game theory, geometry, graph theory, information fusion, decision making, instantaneous physics, quantum physics, neutrosophic logic and set, non-Euclidean geometry, number theory, paradoxes, philosophy of science, scientific research methods, statistics, and others, structured in 17 chapters (Neutrosophic Theory and Applications; Neutrosophic Algebra; Fuzzy Soft Sets; Neutrosophic Sets; Hypersoft Sets; Neutrosophic Semigroups; Neutrosophic Graphs; Superhypergraphs; Plithogeny; Information Fusion; Statistics; Decision Making; Extenics; Instantaneous Physics; Paradoxism; Mathematica; Miscellanea), comprising 965 pages, published between 2005-2022 in different scientific journals, by the author alone or in collaboration with the following 110 co-authors (alphabetically ordered) from 26 countries: Abduallah Gamal, Sania Afzal, Firoz Ahmad, Muhammad Akram, Sheriful Alam, Ali Hamza, Ali H. M. Al-Obaidi, Madeleine Al-Tahan, Assia Bakali, Atiqe Ur Rahman, Sukanto Bhattacharya, Bilal Hadjadji, Robert N. Boyd, Willem K.M. Brauers, Umit Cali, Youcef Chibani, Victor Christianto, Chunxin Bo, Shyamal Dalapati, Mario Dalcín, Arup Kumar Das, Elham Davneshvar, Bijan Davvaz, Irfan Deli, Muhammet Deveci, Mamouni Dhar, R. Dhavaseelan, Balasubramanian Elavarasan, Sara Farooq, Haipeng Wang, Ugur Halden, Le Hoang Son, Hongnian Yu, Qays Hatem Imran, Mayas Ismail, Saeid Jafari, Jun Ye, Ilanthenral Kandasamy, W.B. Vasantha Kandasamy, Darjan Karabašević, Abdullah Kargın, Vasilios N. Katsikis, Nour Eldeen M. Khalifa, Madad Khan, M. Khoshnevisan, Tapan Kumar Roy, Pinaki Majumdar, Sreepurna Malakar, Masoud Ghods, Minghao Hu, Mingming Chen, Mohamed Abdel-Basset, Mohamed Talea, Mohammad Hamidi, Mohamed Loey, Mihnea Alexandru Moisescu, Muhammad Ihsan, Muhammad Saeed, Muhammad Shabir, Mumtaz Ali, Muzzamal Sitara, Nassim Abbas, Munazza Naz, Giorgio Nordo, Mani Parimala, Ion Pătrașcu, Gabrijela Popović, K. Porselvi, Surapati Pramanik, D. Preethi, Qiang Guo, Riad K. Al-Hamido, Zahra Rostami, Said Broumi, Saima Anis, Muzafer Saračević, Ganeshsree Selvachandran, Selvaraj Ganesan, Shammya Shananda Saha, Marayanagaraj Shanmugapriya, Songtao Shao, Sori Tjandrah Simbolon, Florentin Smarandache, Predrag S. Stanimirović, Dragiša Stanujkić, Raman Sundareswaran, Mehmet Șahin, Ovidiu-Ilie Șandru, Abdulkadir Șengür, Mohamed Talea, Ferhat Taș, Selçuk Topal, Alptekin Ulutaș, Ramalingam Udhayakumar, Yunita Umniyati, J. Vimala, Luige Vlădăreanu, Ştefan Vlăduţescu, Yaman Akbulut, Yanhui Guo, Yong Deng, You He, Young Bae Jun, Wangtao Yuan, Rong Xia, Xiaohong Zhang, Edmundas Kazimieras Zavadskas, Zayen Azzouz Omar, Xiaohong Zhang, Zhirou Ma.‬‬‬‬‬‬‬