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Bayesian Theory and Applications
This volume guides the reader along a statistical journey that begins with the basic structure of Bayesian theory, and then provides details on most of the past and present advances in this field.
Bayesian Risk Management
A risk measurement and management framework that takes model risk seriously Most financial risk models assume the future will look like the past, but effective risk management depends on identifying fundamental changes in the marketplace as they occur. Bayesian Risk Management details a more flexible approach to risk management, and provides tools to measure financial risk in a dynamic market environment. This book opens discussion about uncertainty in model parameters, model specifications, and model-driven forecasts in a way that standard statistical risk measurement does not. And unlike current machine learning-based methods, the framework presented here allows you to measure risk in a fu...
The Oxford Handbook of Applied Bayesian Analysis
Bayesian Statistics is a dynamic and fast-growing area of statistical research with wide-ranging and far-reaching applications across science, technology, commerce, and industry. This Handbook explores contemporary Bayesian analysis across a variety of techniques and application areas.
Computational Methods in Finance
Helping readers accurately price a vast array of derivatives, this self-contained text explains how to solve complex functional equations through numerical methods. It addresses key computational methods in finance, including transform techniques, the finite difference method, and Monte Carlo simulation. Developed from his courses at Columbia University and the Courant Institute of New York University, the author also covers model calibration and optimization and describes techniques, such as Kalman and particle filters, for parameter estimation.
Machine Learning and Data Sciences for Financial Markets
Leveraging the research efforts of more than sixty experts in the area, this book reviews cutting-edge practices in machine learning for financial markets. Instead of seeing machine learning as a new field, the authors explore the connection between knowledge developed by quantitative finance over the past forty years and techniques generated by the current revolution driven by data sciences and artificial intelligence. The text is structured around three main areas: 'Interactions with investors and asset owners,' which covers robo-advisors and price formation; 'Risk intermediation,' which discusses derivative hedging, portfolio construction, and machine learning for dynamic optimization; and 'Connections with the real economy,' which explores nowcasting, alternative data, and ethics of algorithms. Accessible to a wide audience, this invaluable resource will allow practitioners to include machine learning driven techniques in their day-to-day quantitative practices, while students will build intuition and come to appreciate the technical tools and motivation for the theory.
State-Space Models with Regime Switching
Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents recent advances in econometric methods that make feasible the estimation of models that have both features. One approach, in the classical framework, approximates the likelihood function; the other, in the Bayesian framework, uses Gibbs-sampling to simulate posterior distributions from data. The authors present numerous applications of these approaches in detail: decomposition of time series into trend and cycle, a new index of coincident economic indicators, approaches to modeling monetary policy uncertainty, Friedman's "plucking" model of recessions, the detection of turning points in the business cycle and the question of whether booms and recessions are duration-dependent, state-space models with heteroskedastic disturbances, fads and crashes in financial markets, long-run real exchange rates, and mean reversion in asset returns.
Big Data Analytics in Oncology with R
Big Data Analytics in Oncology with R serves the analytical approaches for big data analysis. There is huge progressed in advanced computation with R. But there are several technical challenges faced to work with big data. These challenges are with computational aspect and work with fastest way to get computational results. Clinical decision through genomic information and survival outcomes are now unavoidable in cutting-edge oncology research. This book is intended to provide a comprehensive text to work with some recent development in the area. Features: Covers gene expression data analysis using R and survival analysis using R Includes bayesian in survival-gene expression analysis Discusses competing-gene expression analysis using R Covers Bayesian on survival with omics data This book is aimed primarily at graduates and researchers studying survival analysis or statistical methods in genetics.
Artificial Intelligence in Asset Management
Artificial intelligence (AI) has grown in presence in asset management and has revolutionized the sector in many ways. It has improved portfolio management, trading, and risk management practices by increasing efficiency, accuracy, and compliance. In particular, AI techniques help construct portfolios based on more accurate risk and return forecasts and more complex constraints. Trading algorithms use AI to devise novel trading signals and execute trades with lower transaction costs. AI also improves risk modeling and forecasting by generating insights from new data sources. Finally, robo-advisors owe a large part of their success to AI techniques. Yet the use of AI can also create new risks and challenges, such as those resulting from model opacity, complexity, and reliance on data integrity.
Advances in Economics and Econometrics
"This is the first of two volumes containing papers and commentaries presented at the Eleventh World Congress of the Econometric Society, held in Montréal, Canada in August 2015. These papers provide state-of-the-art guides to the most important recent research in economics today. This book includes surveys and interpretations of key developments in economics and econometrics, and discussion of future directions for a wide variety of topics, covering both theory and application. These volumes provide a unique, accessible survey of progress on the discipline, written by leading specialists in their fields. The first volume includes theoretical and applied papers addressing topics such as dynamic mechanism design, agency problems, and networks"--
Parallel Computing: Accelerating Computational Science and Engineering (CSE)
Parallel computing has been the enabling technology of high-end machines for many years. Now, it has finally become the ubiquitous key to the efficient use of any kind of multi-processor computer architecture, from smart phones, tablets, embedded systems and cloud computing up to exascale computers. _x000D_ This book presents the proceedings of ParCo2013 – the latest edition of the biennial International Conference on Parallel Computing – held from 10 to 13 September 2013, in Garching, Germany. The conference focused on several key parallel computing areas. Themes included parallel programming models for multi- and manycore CPUs, GPUs, FPGAs and heterogeneous platforms, the performance e...
