Параллельный алгоритм поиска структурных изменений во временных рядах
The manual sets out the requirements of science and industry, leading to use of multicomputer systems and multiprocessor systems, which inevitably use the principle of parallel computing, background and state of the art, describes the main approaches to the organization of multiprocessor computer systems, development of parallel algorithms for the numerical solution of problems and parallel programming techniques.
The phenomenon of positive autocorrelation in daily stock index returns is often viewed as a consequence of stable behavioral patterns of certain investor groups (e.g., [Sentana, Wadhwani, 1992; Koutmos, 1997]). However, such patterns may change due to extreme events, i.e. currency and financial crises, and affect the autocorrelation of returns. Emerging markets have experienced severe crises in a recent decade and are therefore a suitable object to study.
Thus the focus of the current paper is to identify substantial changes in autocorrelation of BRICs’ stock markets index returns after experiencing these failures of financial system (the Asian crisis of 1997–1998, the crises in Russia, Brazil in 1998–1999 and the revaluation of the Chinese yen in 2005). Since all countries considered belong to the group of emerging markets and crises might have contagious effects we expect to reveal the influence of events in one country from the group on the markets in other countries. Studying stock market crises in BRICs and Thailand as possible causes of structural changes on stock markets is contribution of this paper to the existing literature. For this purpose we test for structural breaks in an ARMA-GARCH-model on the commonly known crisis dates.
The paper is the first to the knowledge of the authors to apply copula models to reconstructing joint distribution of time charter rates for dry bulk ship. Based on the Clarksons dataset for the last 20 years it is claimed that Gumbel copula is enough to perform the mentioned objective. To arrive at the conclusion the homogenous dataset in terms of copula structural shifts’ absence is used; a system of criteria for copula selection based on goodness-of-forecast criteria is implemented. The evidence suggests dry bulk time charter rates weekly returns exhibit symmetric distribution.
As an auxiliary output stands for the result of copula fit accounting for time dynamics and not. For the purpose of conservative analysis (i.e. risk-management) approach disregarding time-dynamics should be preferred as yielding the least number of value-at-risk breaches. From the risk budgeting perspective non-conservative approach (accounting for time dynamics) might be preferred as reflecting the rapidly changing value-at-risk.
The book contains selected papers that were presented on PhD Summer schools on Scientific Computing jointly organized by Waterford Institute of Technology, Lomonosov Moscow State University, Kyiv National Taras Shevchenko University, Saint-Petersburg State University and Nanjing University of Technology. The schoold were mainly organized in teleconference mode and linked researchers and PhD students from several countries.
This paper proposes method of detecting a structural break/shift in time series such as AR(1) with a nonlinear dependence structure of lagged value and the estimation of the break point, based on nonparametric estimations of the dependence’s copulas and comparison with some existing tests. However, we assumed the time series to be stationary and homoscedastic. This paper compares the efficiency of the standard test, considering only linear autoregressive dependence nature. A suggested technique is given, some modifications of the evaluation scheme is offered and a more flexible method of detecting structural break is proposed, usefulness of our methodology is demonstrated through some applications to a few macroeconomic and financial time series. The paper is organized as follows: the first section contains a selective literature review. The second section describes the generation’s procedure of time series, used in further calculations. The problem of detection of the structural break with respect to the nonlinear time series is formulated in the third section. The fourth section contains results of evaluations using simulated data. In Sect. 5 we provide examples of our suggested technique. The final section contains "Conclusions".
The problems of identifying latent parallelism in the algorithm by explicitly max (the construction of stacked-parallel form of the algorithm graph) and implicit (the method of streaming - DATA-FLOW - calculations), the development of parallel programs in the MPI-paradigm programming and quantitative research strength calculations for the acceleration parallelization on the parameters of a multiprocessor system and the quality of parallel programs. The manual is practical and can be used by students to prepare for the performance of laboratory and practice of the works, of course and diploma projects. Generated by network applications ra-operability in a multiprocessor environment, architecture MPP (Massively Par-allel Processing); particularly on Linux-cluster computing IT department MGUPI 4. Before working to understand whole con-SPECT lectures on 'Parallel Computing'.
The research subject is the computational complexity of the probabilistic neural network (PNN) in the pattern recognition problem for large model databases. We examined the following methods of increasing the efficiency of a neuralnetwork classifier: a parallel multithread realization, reducing the PNN to a criterion with testing of homogeneity of feature histograms of input and reference images, approximate nearestneighbor analyses (BestBin First, directed enumeration methods). The approach was tested in facialrecognition experiments with FERET dataset.
We consider certain spaces of functions on the circle, which naturally appear in harmonic analysis, and superposition operators on these spaces. We study the following question: which functions have the property that each their superposition with a homeomorphism of the circle belongs to a given space? We also study the multidimensional case.
We consider the spaces of functions on the m-dimensional torus, whose Fourier transform is p -summable. We obtain estimates for the norms of the exponential functions deformed by a C1 -smooth phase. The results generalize to the multidimensional case the one-dimensional results obtained by the author earlier in “Quantitative estimates in the Beurling—Helson theorem”, Sbornik: Mathematics, 201:12 (2010), 1811 – 1836.
We consider the spaces of function on the circle whose Fourier transform is p-summable. We obtain estimates for the norms of exponential functions deformed by a C1 -smooth phase.