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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: 209; Downloads: 19
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Use of a Perth sand penetrometer (PSP) device to determine the engineering parameters of sands
S. D. Mohammadi, 2016, original scientific article

Abstract: Determining the in-situ engineering parameters of sandy soils has always been a challenge for geotechnical engineers, resulting in several methods having been developed so far. The Perth Sand Penetrometer (PSP) test is one of the most versatile of these methods. It is a considerably faster and cheaper tool than boring equipment, especially when the depth of the exploration is moderate. In the present research, a methodology for the use of a PSP device to evaluate the engineering parameters of sandy soils in laboratory conditions is discussed and the repeatability of the test results is studied. First of all, the tests were performed on typical Tehran young alluvial deposits (poorly graded sandy soil, SP) consistently prepared to 5 densities using the sand raining or pluviation technique. Next, the normal and logNormal distributions of the test data using the Kolmogorov-Smirnov normality test were examined. After that, based on the obtained results, the relationship types between the dynamic point resistance index (qd) and other parameters, such as the relative density (Dr), the modulus of elasticity (E), the shear modulus (G) and the friction angle of the soil, were determined. The results show that the obtained relationships were semi-logarithmic and logarithmic, and most of the obtained experimental formulas had a high coefficient of determination (>90%). To evaluate the accuracy of the results, 95% confidence and prediction bands were also used and the results show that all the obtained experimental relationships were appropriate. Finally, the repeatability of the test results was evaluated by calculating the coefficient of variations, which was less than 30% for all the tests.
Keywords: dynamic-point resistance index (qd), engineering parameters, repeatability, statistical methods
Published: 18.06.2018; Views: 107; Downloads: 19
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Students' behavioral intentions regarding the future use of quantitative research methods
Polona Tominc, Maruša Krajnc, Klavdija Vivod, Monty L. Lynn, Blaž Frešer, 2018, original scientific article

Abstract: Changes regarding the importance of graduates’ competences by employers and changes of competences themselves are to a great extend driven by the technological changes, digitalization, and big data. Among these competences, the ability to perform business and data analytics, based on statistical thinking and data mining, is becoming extremely important. In this paper, we study the relationships among several constructs that are related to attitudes of economics and business students regarding quantitative statistical methods and to students’ intention to use them in the future. Findings of our research provide important insights for practitioners, educators, lecturers, and curricular management teams.
Keywords: students' behavioral intentions, quantitative statistical methods
Published: 10.10.2018; Views: 181; Downloads: 74
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