Results 51 to 60 of about 7,868 (207)

Analyzing the use of generalized hyperbolic distributions to value at risk calculations

Economia Aplicada, 2005
The goal of this paper is to analyze the use of the Generalized Hyperbolic (GH) Distributions to model the US Dollar/Brazilian Real exchange rate in a way to produce more accurate VaR (Value at Risk) measurements.
José Santiago Fajardo Barbadian, Aquiles Rocha de Farias, José Renato Haas Ornelas   +2 more
doaj  

Evaluation of Value-at-Risk (VaR) using the Gaussian Mixture Models

Research in Statistics
The normality of the distribution of stock returns is one of the basic assumptions in financial mathematics. Empirical studies, however, undermine the validity of this assumption.
Indrė Morkūnaitė, Dmitrij Celov, Remigijus Leipus   +2 more
doaj   +1 more source

Social signals and algorithmic trading of Bitcoin

, 2015
The availability of data on digital traces is growing to unprecedented sizes, but inferring actionable knowledge from large-scale data is far from being trivial.
Garcia, David, Schweitzer, Frank
core   +1 more source

MSA‐xLSTM: Multimodal Stock Price Forecasting With Multiscale Emotional Attention and Extended LSTM

International Journal of Intelligent Systems, Volume 2026, Issue 1, 2026.
Financial time series forecasting is a long‐standing challenge due to the high complexity, randomness, and nonstationary of data. While predictions are typically made based on historical data with multiple features, existing models often fail to effectively integrate and utilize these diverse inputs, limiting forecasting accuracy.
Shuheng Lyu, Li Li, Xiaoxi Nie, Xiaohong Shen, Caiming Zhang, Floriano Cuccureddu   +5 more
wiley   +1 more source

ESTIMATION OF VALUE AT RISK FOR GENERAL INSURANCE COMPANY STOCKS USING THE GARCH MODEL

Barekeng
Investment plays a crucial role in supporting economic development by allocating funds to generate future profits. Among various investment options, stock investment is widely popular.
Edwin Setiawan Nugraha, Agna Olivia, Fauziah Nur Fahirah Sudding, Karunia Eka Lestari   +3 more
doaj   +1 more source

RISK ASSESSMENT OF STOCKS PORTFOLIO THROUGH ENSEMBLE ARMA-GARCH AND VALUE AT RISK (CASE STUDY: INDF.JK AND ICBP.JK STOCK PRICE)

Media Statistika, 2022
Stocks portfolio is a form of investment that can be used to minimize the risk of loss. In a stock portfolio, the Value at Risk (VaR) can be predicted through the portfolio return.
Tarno Tarno, Trimono Trimono, Di Asih I Maruddani, Yuciana Wilandari, Rianti Siwi Utami   +4 more
doaj   +1 more source

Early Detection of Cyberattacks in Banking Networks via a Fractional Partial Differential Equation Model

Journal of Applied Mathematics, Volume 2026, Issue 1, 2026.
In this paper, we model edge traffic with a conformable fractional partial differential equation that keeps memory in time and space. The solution represents a unit‐free attack pressure, built from a z‐scored edge series, a quiet period baseline, and a partially absorbing boundary that reflects scrubbing and rate limits.
Ahmad Alshanty, Waseem Ghazi Alshanti, Amjed Zraiqat, Roberto G. Ramírez-Chavarría   +3 more
wiley   +1 more source

Backtesting Quantum Computing Algorithms for Portfolio Optimization

IEEE Transactions on Quantum Engineering
In portfolio theory, the investment portfolio optimization problem is one of those problems whose complexity grows exponentially with the number of assets.
Gines Carrascal, Paula Hernamperez, Guillermo Botella, Alberto del Barrio   +3 more
doaj   +1 more source

Introduction and Performance Comparison of some Common Multi-period VaR Forecasting Methods: A Case Study of the Tehran Stock Exchange [PDF]

فصلنامه پژوهش‌های اقتصادی ایران, 2014
According to the Basel accords, financial institutions should forecast VaR of their portfolio over multi-period time horizons in order to determine their capital adequacy.
Seyed Mehdi Barakchian, Mohammad Hossein Rezaei   +1 more
doaj  

Data‐Driven Energy Planning in Developing Countries: An Integrated LEAP‐Machine Learning Approach

Journal of Engineering, Volume 2026, Issue 1, 2026.
Developing countries encounter substantial obstacles in regional energy planning stemming from scarce historical data and insufficient forecasting methodologies, thereby impeding the formulation of effective sustainable energy transition strategies.
Wahab Musa, Wrastawa Ridwan, Asad Ali Zaidi   +2 more
wiley   +1 more source