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Organization in finance prepared by stohastic differential equations with additive and nonlinear models and continuous optimization
Pakize Taylan, Gerhard-Wilhelm Weber, 2008, original scientific article

Abstract: A central element in organization of financal means by a person, a company or societal group consists in the constitution, analysis and optimization of portfolios. This requests the time-depending modeling of processes. Likewise many processes in nature, technology and economy, financial processes suffer from stochastic fluctuations. Therefore, we consider stochastic differential equations (Kloeden, Platen and Schurz, 1994) since in reality, especially, in the financial sector, many processes are affected with noise. As a drawback, these equations are hard to represent by a computer and hard to resolve. In our paper, we express them in simplified manner of approximation by both a discretization and additive models based on splines. Our parameter estimation refers to the linearly involved spline coefficients as prepared in (Taylan and Weber, 2007) and the partially nonlinearly involved probabilistic parameters. We construct a penalized residual sum of square for this model and face occuring nonlinearities by Gauss-Newton's and Levenberg-Marquardt's method on determining the iteration step. We also investigate when the related minimization program can be written as a Tikhonov regularization problem (sometimes called ridge regression), and we treat it using continuous optimization techniques. In particular, we prepare access to the elegant framework of conic quadratic programming. These convex optimation problems are very well-structured, herewith resembling linear programs and, hence, permitting the use of interior point methods (Nesterov and Nemirovskii, 1993).
Keywords: stochastic differential equations, regression, statistical learning, parameter estimation, splines, Gauss-Newton method, Levenberg-Marquardt's method, smoothing, stability, penalty methods, Tikhonov regularization, continuous optimization, conic quadratic programming
Published: 10.01.2018; Views: 465; Downloads: 53
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The impact of economic growth on the market and communication value of real estate
Igor Pšunder, Mirko Pšunder, Ksenija Golob, 2013, short scientific article

Abstract: In the last five years is on the Slovenian real estate market observed highly trend in market volatility in property prices. Developments in the housing market have drastically changed and also represent an important indicator of overall economic trends. There is a lot of factors that affect the market price of real estate. With research we were focus on the problem of the impactof economic growth in the market value of real estate in Slovenia. We were present trend of economic growth in the last decade and its impact on growth or decline in real estate transactions. We were also established if declining real estate transactions affect the provision of more and bigger discounts on the sale of real estate. Among the research parameters, we were presented as well as their interdependence. With constant monitoring of parameters and statistical methods, we were collect data on the impact of economic growth and offered discounts on the real estate market prices, for future periods. The aim of the research is to define those factors that need to be considered for the analytical prediction of the trend of market prices and selling real estate in the future.The results obtained will help real estate valuers in the drawing up of reports assessing the value of real estate.
Keywords: nepremičninski trg, ekonomska rast, cena nepremičnin, statistične metode, real estate market, economic growth, market factors, statistical method
Published: 10.07.2015; Views: 1276; Downloads: 25
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