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Step Down and Step Up Statistical Procedures for Stock Selection with Sharp Ratio
Lecture Notes in Computer Science. 2015. Vol. 9432. P. 26-36.
Stock selection by Sharp ratio is considered in the framework of multiple statistical hypotheses testing theory. The main attention is paid to comparison of Holm stepdown and Hochberg step up procedures for different loss functions. Comparison is made on the basis of condittional risk as a function of selection threshold. This approach allows to discover that properties of procedures depend not only on relationship between test statistics, but also depend on dispersion of Sharp ratios. Difference in error rate between two procedures is increasing when the concentration of Sharp ratios is increasing. When Sharp ratios do not have a concentration points there is no significant difference in quality of both procedures.
Research target:
Mathematics
Language:
English
М. : МИЭМ НИУ ВШЭ, 2013
The materials of The Second International Scientific – Practical Conference is presented below. The Conference reflects the modern state of innovation in education, science, industry and social-economic sphere, from the standpoint of introducing new information technologies.
Digest of Conference materials is presented in 4 parts. It is interesting for a wide range of researchers, teachers, graduate ...
Added: April 18, 2013
Lychkina N. N., М. : ИНФРА-М, 2011
В настоящем издании приведено изложение основного теоретического материала по дисциплине «Имитационное моделирование экономических процессов», в рамках которой осваиваются метод и технология имитационного моделирования. В пособии описаны базовые концепции структуризации моделируемых сложных систем: процессно-ориентированный подход, сетевые парадигмы, агрегаты, применяемые для целей дискретного имитационного моделирования, а также модели и методы системной динамики, многоагентное компьютерное моделирование. Для целей ...
Added: October 27, 2014
Akopov A. S., Beklaryan L., Automation and Remote Control 2015 Vol. 76 No. 10 P. 1817-1827
An agent model of crowd (ensemble) behavior in emergencies was presented. This model is distinguished for the allowance for dynamics of each agent from the ensemble under consideration. The crowd effect manifests itself mostly as attraction or repulsion of closely set agents with a probability depending on the agent’s psychological type. Consideration was given to ...
Added: October 24, 2015
Таганрог : Изд-во НОЦ ЗИС КТ Южного федерального университета, 2015
Сборник подготовлен по результатам проведения Всероссийской молодежной школы семинара «Актуальные проблемы информационных технологий, электроники и радиотехники - 2015» (ИТЭР - 2015). В сборник включены материалы лучших научных статей молодых ученых, аспирантов, магистрантов, студентов, сотрудников образовательных и научных организаций, участников всероссийской молодежной школы семинара «Актуальные проблемы информационных технологий, электроники и радиотехники – 2015». Всероссийская молодежная школа ...
Added: February 19, 2016
Akopov A. S., Beklaryan L. A., Thakur M. et al., Knowledge-Based Systems 2019 Vol. 174 P. 103-122
There is an ongoing evolution involving a new approach to large-scale optimisations based on co-evolutionary searches using interacting heterogeneous agent-processes via the implementation of synchronised genetic algorithms with local populations. The individualisation of heuristic operators at the level of agent-processes that implement independent evolutionary searches facilitate the improved likelihood of obtaining the best solutions in ...
Added: April 18, 2019
Koltsov S., Physica A: Statistical Mechanics and its Applications 2018 Vol. 512 P. 1192-1204
This study proposes to minimize Rényi and Tsallis entropies for finding the optimal number of topics T in topic modeling (TM). A promising tool to obtain knowledge about large text collections, TM is a method whose properties are underresearched; in particular, parameter optimization in such models has been hindered by the use of monotonous quality ...
Added: October 11, 2018
Пенза : ПГУ, 2015
В сборник трудов включены доклады юбилейного ХХ-го Международного симпозиума «Надежность и качество», проходившего с 25 по 31 мая 2015 г. в городе Пензе.
Рассмотрены актуальные проблемы теории и практики повышения надежности и качества; эффективности внедрения инновационных и информационных технологий в фундаментальных научных и прикладных исследованиях, образовательных и коммуникативных системах и средах, экономике и юриспруденции; методов и ...
Added: May 31, 2015
Levin V., Козлов Д. Н., Банковское кредитование 2013 Т. 48 № 2 С. 15-25
Система предотвращения мошенничества (внутреннего и внешнего) мошенничества при потребительском кредитовании нацелена на выявление искажений персональных данных самими клиентами и/или с участием лиц вне банка (организованных преступных группировок, "черных(серых)" брокеров), а также для выявления фактов внутреннего мошенничества с участием сотрудников банка. Упор делается на индикаторы мошенничества, построенные на основе алгоритма нечетких совпадений. В системе предусмотрены возможности ...
Added: November 24, 2013
M. : HSE, 2014
The materials of The Third International Scientific-Practical Conference is presented below. The Conference reflects the modern state of innovation in education, science, industry and social-economic sphere, from the standpoint of introducing new information technologies.
Digest of Conference materials is presented in 3 parts. It is interesting for a wide range of researchers, teachers, graduate students and ...
Added: April 18, 2014
Fuad Aleskerov, Evgeny Mitichkin, Sergey Shvydun et al., Procedia Computer Science 2013 No. 17 P. 1121-1124
The paper examines a choice problem in case of large number of alternatives characterized by a set of criteria. Very often existing choice procedures cannot be used due to their computational complexity. In contrast, the approach proposed in this paper utilizes a set of easy to use techniques having complexity less than the quadratic. We ...
Added: June 7, 2013
М. : Издательство РУДН, 2014
В трудах представлены материалы пленарных и секционных докладов участников Одиннадцатого международного симпозиума "Интеллектуальные системы".
Материалы, представленные в трудах симпозиума, отражают актуальные проблемы использования достижений в области управления, информационных технологий и вычислительной техники при разработке, создании и внедрении нового поколения систем обработки информации и управления - интеллектуальных систем. Приводятся результаты современного состояния исследований, тенденции и перспективы развития ...
Added: November 23, 2015
М. : ИПУ РАН, 2014
Электронное издание является сборником материалов международной научно-практической конференции "Теория активных систем" (ТАС-2014) ...
Added: January 26, 2015
Koltsov S., Nikolenko S. I., Koltsova O., Письма в Журнал технической физики 2016 Т. 42 № 8 С. 837-839
A new variant of the method of probability density distribution recovery for solving topical modeling problems is described. Disadvantages of the Gibbs sampling algorithm are considered, and a modified
variant, called the “granulated sampling method,” is proposed. Based on the results of statistical modeling,
it is shown that the proposed algorithm is characterized by higher stability as ...
Added: July 26, 2016
Shvydun S., / Высшая школа экономики. Series WP7 "Математические методы анализа решений в экономике, бизнесе и политике". 2015. No. WP7/2015/07.
Two-stage superposition choice procedures, which sequentially apply two choice procedures so that the result of the first choice procedure is the input for the second choice procedure, are studied. We define which of them satisfy given normative conditions, showing how a final choice is changed due to the changes of preferences or a set of ...
Added: October 20, 2015
Красноярск : ИВМ СО РАН, 2013
Труды Пятой Международной конференции «Системный анализ и информационные технологии» САИТ-2013 (19–25 сентября 2013 г., г.Красноярск, Россия): ...
Added: November 18, 2013
Yasnitsky L., Пермь : Пермский государственный национальный исследовательский университет. – Электронные данные. , 2020
The collection contains materials from the international conference "Intelligent systems in science and technology" and the Sixth all-Russian scientific and practical conference "Artificial intelligence in solving urgent social and economic problems of the XXI century", which was held on October 12-18, 2020 in Perm as part of the Perm natural science forum "Mathematics and global ...
Added: December 4, 2020
Kotelnikova M. V., Aistov A., Вестник Нижегородского университета им. Н.И. Лобачевского. Серия: Социальные науки 2019 Т. 55 № 3 С. 183-189
The article describes a method that allows to improve the content of disciplines of the mathematical cycle by dividing them into invariant (general) and variable parts. The invariants were identified for such disciplines as «Linear algebra», «Mathematical analysis», «Probability theory and mathematical statistics» delivered to Bachelors program students of economics at several universities. Based on ...
Added: January 28, 2020
Akopov A. S., Beklaryan L. A., Saghatelyan A. K., Environmental Modelling and Software 2019 Vol. 116 P. 7-25
Urban greenery such as trees can effectively reduce air pollution in a natural and eco-friendly way. However, how to spatially locate and arrange greenery in an optimal way remains as a challenging task. We developed an agent-based model of air pollution dynamics to support the optimal allocation and configuration of tree clusters in a city. The Pareto ...
Added: February 24, 2019
Kazan : -, 2013
The issue contains the papers presented at the 7th Spring/Summer Young Researchers' Соllоquium оn Software Engineering (SYRCoSE 2013) held in Kazan, Russia on 30th and З1st оf Мay, 2013. Paper selection was based on a competitive peer review process being done by the program committee. Both regular and reseаrсh-in-рrogrеss papers were соnsidered ассeрtable for the ...
Added: June 8, 2013
Baranov A., Baranov P., Проблемы информационной безопасности. Компьютерные системы 2019 № 3 С. 35-40
Control sum mechanism efficiency research aimed at distortion revealing in a message being transmitted is a relevant task that is solved using different possible information transfer operation condition models.
In the paper distortions are modelled as an overlay of noise component with low signal/noise ratio , which poses most practical interest. Considered class of control sums ...
Added: December 29, 2019
Baranov A., Baranov P., Проблемы информационной безопасности. Компьютерные системы 2018 № 4 С. 62-67
The paper examines probability-theoretic models of information distortion at message level. We research control sum distribution segments that are typical for network protocols like TCP.
As an addition operation we use both bitwise coordinate addition and addition of numbers in binary code with carry. Control sum error probability for asymptotic assessments provided distortion probability is low ...
Added: July 31, 2019
Babash A. V., М. : ИНФРА-М, РИОР, 2013
Пособие предназначено для студентов высших учебных заведений, обучающихся по специальности «Прикладная информатика (в экономике)». Оно также содержит методический материал для ряда инновационных курсов лекций по профилю «Информационная безопасность» и может быть использовано и для блока дисциплин этого профиля. Ряд представленных результатов полезен специалистам и аспирантам, специализирующихся в указанной области. ...
Added: January 14, 2014
M. : Association of graduates and employees of AFEA named after prof. Zhukovsky, 2018
The materials of The International Scientific – Practical Conference is presented below.
The Conference reflects the modern state of innovation in education, science, industry and social-economic sphere, from the standpoint of introducing new information technologies.
It is interesting for a wide range of researchers, teachers, graduate students and professionals in the field of innovation and information technologies. ...
Added: May 24, 2018
Baranov A., Baranov P., Automatic Control and Computer Sciences 2017 Vol. 51 No. 8 P. 959-964
Some probability-theoretical models of packet-mode-transmitted information distortions have been considered. The main attention has been paid to distortions, including the possible interferences that affect several transmission cycles. Distortions are simulated by a sequence of impacts determined by dependent random variables. Correspondingly, k-dimensional CRC values also allow them to be represented as the sum of k-dimensional, differently distributed, ...
Added: February 18, 2019