Fokker-Planck analysis of nonlinear stochastic processes in evolutionary computation and financial markets:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2002
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | V, 94 S. graph. Darst. |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1807593303470768128 |
|---|---|
| adam_text |
TABLE
OF
CONTENTS
1
INTRODUCTION
1
2
STOCHASTIC
PROCESSES
4
2.1
MARKOV
PROCESSES
.
5
2.2
THE
MASTER
EQUATION
.
6
2.3
RANDOM
WALKS
IN
DISCRETE
TIME
.
8
2.4
RANDOM
WALKS
IN
CONTINUOUS
TIME
.
9
2.5
CORRESPONDENCE
OF
RANDOM
WALKS
AND
THE
MASTER
EQUATION
.
10
2.6
THE
FOKKER-PLANCK
EQUATION
.
12
2.7
THE
MULTIVARIATE
FOKKER-PLANCK
EQUATION
.
16
2.8
ERGODICITY,
AUTOCORRELATION
AND
MARKOV
PROPERTIES
.
16
2.9
THE
STRUCTURE
OF
CROSS-COVARIANCES
.
19
2.10
THE
DYNAMICS
OF
CROSS-CORRELATIONS
.
21
3
APPLICATIONS
TO
EVOLUTIONARY
COMPUTATION
24
3.1
THE
PRINCIPLES
OF
EVOLUTIONARY
COMPUTATION
.
26
3
2
POPULATION-BASED
INCREMENTAL
LEARNING
(PBIL)
.
29
3.3
STOCHASTIC
DYNAMICS
OF
PBIL
.
31
3.4
ANALYSIS
.
38
3.4.1
SELECTION
.
38
3.4
2
MACROSCOPIC
DYNAMICS
.
40
3.4.3
FLUCTUATIONS
.
43
3.4
4
POPULATION
SIZE
.
44
3.5
SUMMARY
.
46
4
APPLICATIONS
TO
ECONOPHYSICS
49
4.1
PROPERTIES
OF
FINANCIAL
TIME
SERIES
.
53
4.2
THE
TERM
STRUCTURE
OF
INTEREST
RATES
.
56
4.2.1
THE
DYNAMICS
OF
PRICES
.
61
4.2.2
THE
DYNAMICS
OF
CORRELATIONS
.
66
4.3
THE
DYNAMICS
OF
RISK
.
67
TABLE
OF
CONTENTS
V
4.3.1
DEPENDENCIES
IN
PRICE
VARIATIONS
.
67
4.3.2
DISCRETE
TIME
GARCH
MODELING
OF
RISK
.
71
4.3.3
CONTINUOUS-TIME
GARCH
MODELING
OF
RISK
.
75
4.3.4
STOCHASTIC
DYNAMICS
OF
RISK
.
77
4.4
APPLICATIONS
TO
RISK
MANAGEMENT
4.4.1
DATA
ASSIMILATION
.
4.4.2
SCENARIO
GENERATION
.
81
4.5
SUMMARY
.
82
5
SUMMARY
84
APPENDIX
A
THE
GENERATING
FUNCTION
87
APPENDIX
B
THE
LAPLACE
TRANSFORM
88
APPENDIX
C
THE
BAYES
THEOREM
89
APPENDIX
D
PRINCIPAL
COMPONENT
ANALYSIS
90
BIBLIOGRAPHY
92
8
8 |
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| id | DE-604.BV016872749 |
| illustrated | Illustrated |
| indexdate | 2024-08-17T00:41:45Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-010238293 |
| oclc_num | 249522119 |
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| owner_facet | DE-20 DE-355 DE-BY-UBR DE-12 DE-188 |
| physical | V, 94 S. graph. Darst. |
| publishDate | 2002 |
| publishDateSearch | 2002 |
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| spelling | Galic, Elvis 1971- Verfasser (DE-588)124508928 aut Fokker-Planck analysis of nonlinear stochastic processes in evolutionary computation and financial markets von Elvis Galic 2002 V, 94 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Würzburg, Univ., Diss., 2002 Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Fokker-Planck-Gleichung (DE-588)4126333-9 gnd rswk-swf Evolutionärer Algorithmus (DE-588)4366912-8 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Evolutionärer Algorithmus (DE-588)4366912-8 s Fokker-Planck-Gleichung (DE-588)4126333-9 s DE-604 Kreditmarkt (DE-588)4073788-3 s DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010238293&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Galic, Elvis 1971- Fokker-Planck analysis of nonlinear stochastic processes in evolutionary computation and financial markets Kreditmarkt (DE-588)4073788-3 gnd Fokker-Planck-Gleichung (DE-588)4126333-9 gnd Evolutionärer Algorithmus (DE-588)4366912-8 gnd |
| subject_GND | (DE-588)4073788-3 (DE-588)4126333-9 (DE-588)4366912-8 (DE-588)4113937-9 |
| title | Fokker-Planck analysis of nonlinear stochastic processes in evolutionary computation and financial markets |
| title_auth | Fokker-Planck analysis of nonlinear stochastic processes in evolutionary computation and financial markets |
| title_exact_search | Fokker-Planck analysis of nonlinear stochastic processes in evolutionary computation and financial markets |
| title_full | Fokker-Planck analysis of nonlinear stochastic processes in evolutionary computation and financial markets von Elvis Galic |
| title_fullStr | Fokker-Planck analysis of nonlinear stochastic processes in evolutionary computation and financial markets von Elvis Galic |
| title_full_unstemmed | Fokker-Planck analysis of nonlinear stochastic processes in evolutionary computation and financial markets von Elvis Galic |
| title_short | Fokker-Planck analysis of nonlinear stochastic processes in evolutionary computation and financial markets |
| title_sort | fokker planck analysis of nonlinear stochastic processes in evolutionary computation and financial markets |
| topic | Kreditmarkt (DE-588)4073788-3 gnd Fokker-Planck-Gleichung (DE-588)4126333-9 gnd Evolutionärer Algorithmus (DE-588)4366912-8 gnd |
| topic_facet | Kreditmarkt Fokker-Planck-Gleichung Evolutionärer Algorithmus Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010238293&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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