547 research outputs found
Tasks, cognitive agents, and KB-DSS in workflow and process management
The purpose of this paper is to propose a nonparametric interest rate term structure model and investigate its implications on term structure dynamics and prices of interest rate derivative securities. The nonparametric spot interest rate process is estimated from the observed short-term interest rates following a robust estimation procedure and the market price of interest rate risk is estimated as implied from the historical term structure data. That is, instead of imposing a priori restrictions on the model, data are allowed to speak for themselves, and at the same time the model retains a parsimonious structure and the computational tractability. The model is implemented using historical Canadian interest rate term structure data. The parametric models with closed form solutions for bond and bond option prices, namely the Vasicek (1977) and CIR (1985) models, are also estimated for comparison purpose. The empirical results not only provide strong evidence that the traditional spot interest rate models and market prices of interest rate risk are severely misspecified but also suggest that different model specifications have significant impact on term structure dynamics and prices of interest rate derivative securities.
Tasks, cognitive agents, and KB-DSS in workflow and process management
The purpose of this paper is to propose a nonparametric interest rate term structure model and investigate its implications on term structure dynamics and prices of interest rate derivative securities. The nonparametric spot interest rate process is estimated from the observed short-term interest rates following a robust estimation procedure and the market price of interest rate risk is estimated as implied from the historical term structure data. That is, instead of imposing a priori restrictions on the model, data are allowed to speak for themselves, and at the same time the model retains a parsimonious structure and the computational tractability. The model is implemented using historical Canadian interest rate term structure data. The parametric models with closed form solutions for bond and bond option prices, namely the Vasicek (1977) and CIR (1985) models, are also estimated for comparison purpose. The empirical results not only provide strong evidence that the traditional spot interest rate models and market prices of interest rate risk are severely misspecified but also suggest that different model specifications have significant impact on term structure dynamics and prices of interest rate derivative securities.
The SEC-system : reuse support for scheduling system development
Recently, in a joint cooperation of Stichting VNA, SAL Apotheken, the Faculty of Management and Organization, and the University Centre for Pharmacy, University of Groningen in the Netherlands, a Ph.D-study started regarding Apot(he)ek, Organization and Management (APOM). The APOM-project deals with the structuring and steering of pharmacy organization. The manageability of the internal pharmacy organization, and the manageability of the direct environment of pharmacy organization is the subject matter. The theoretical background of the APOM-project is described. A literature study was made to find mixes of objectives. Three mixes of objectives in pharmacy organization are postulated; the product mix, the process mix, and the customer mix. The typology will be used as a basic starting point for the empirical study in the next phase of the APOM-project.
Worldmaking with objects: a case in semiotic engineering
This paper introduces a general, formal treatment of dynamic constraints, i.e., constraints on the state changes that are allowed in a given state space. Such dynamic constraints can be seen as representations of "real world" constraints in a managerial context. The notions of transition, reversible and irreversible transition, and transition relation will be introduced. The link with Kripke models (for modal logics) is also made explicit. Several (subtle) examples of dynamic constraints will be given. Some important classes of dynamic constraints in a database context will be identified, e.g. various forms of cumulativity, non-decreasing values, constraints on initial and final values, life cycles, changing life cycles, and transition and constant dependencies. Several properties of these dependencies will be treated. For instance, it turns out that functional dependencies can be considered as "degenerated" transition dependencies. Also, the distinction between primary keys and alternate keys is reexamined, from a dynamic point of view.
An intrinsic limit to quantum coherence due to spontaneous symmetry breaking
We investigate the influence of spontaneous symmetry breaking on the
decoherence of a many-particle quantum system. This decoherence process is
analyzed in an exactly solvable model system that is known to be representative
of symmetry broken macroscopic systems in equilibrium. It is shown that
spontaneous symmetry breaking imposes a fundamental limit to the time that a
system can stay quantum coherent. This universal timescale is , given in terms of the number of microscopic degrees of
freedom , temperature , and the constants of Planck () and
Boltzmann ().Comment: 4 pages, 3 figure
Changes in fMRI BOLD dynamics reflect anticipation to moving objects
The human brain is thought to respond differently to novel versus predictable neural input. In human visual cortex, neural response amplitude to visual input might be determined by the degree of predictability. We investigated how fMRI BOLD responses in human early visual cortex reflect the anticipation of a single moving bar's trajectory. We found that BOLD signals decreased linearly from onset to offset of the stimulus trajectory. Moreover, decreased amplitudes of BOLD responses coincided with an increased initial dip as the stimulus moved along its trajectory. Importantly, motion anticipation effects were absent, when motion coherence was disrupted by means of stimulus contrast reversals. These results show that human early visual cortex anticipates the trajectory of a coherently moving object at the initial stages of visual motion processing. The results can be explained by suppression of predictable input, plausibly underlying the formation of stable visual percepts
- …