摘要:

We apply the Pseudospectral method to two fundamental financial equations: the Black-Scholes equation and the Cox Ingersoil Ross model of the term structure of interest rates. The former is used to price a European Call Option and the latter to price a zero coupon bond. Chebyshev polynomials are used as the basis functions and Chebyshev collocation points for the space discretisation. The Crank-Nicolson scheme is used for the time differencing. We have developed a C++ program to solve general second order linear parabolic equations, A parallel quasi-minimal residual version of the Bi-Conjugate Gradient stabilised algorithm is applied to solve the linear system on the AP3000, a parallel computer. The regular space domain and the smooth solutions often encountered in finance suggest the suitability of using this higher order technique.

ISSN:1063-7192    

DOI:10.1080/01495730008947347

出版商:Taylor & Francis Group    

年代:2000

数据来源: Taylor

摘要:

A survey of two parallel evolutionary computation techniques is presented: the genetic algorithms and genetic programming methods. An application of this approach to the induction of trading models is presented for financial assets, which is known as a hard problem. This study analyses the potential of this approach and the benefit of parallelization.

ISSN:1063-7192    

DOI:10.1080/01495730008947348

出版商:Taylor & Francis Group    

年代:2000

数据来源: Taylor

摘要:

A new parallel version of Friedman's Multivariate Adaptive Regression Splines (MARS) algorithm is discussed. By partitioning the data over the processors of a parallel computational system one achieves good parallel efficiency. Instead of using truncated power basis functions of the original MARS, the new method (BMARS) utilises B-sp!ines which improves numerical stability and reduces the computational cost of the procedure. In addition, the coefficients of the basis functions of a BMARS model provide quickly accessible information about the local behaviour of the function. The algorithm has a time complexity proportional to the number of data records. The method provides a new means for the detection of areas in the space of features which are characterised by the "interesting" patterns of response values. This is applied to searching for classes of incorrect tax returns using multiple predictor variables or features. The parallel algorithm makes it feasible to investigate very large databases, such as the taxation database.

ISSN:1063-7192    

DOI:10.1080/01495730008947349

出版商:Taylor & Francis Group    

年代:2000

数据来源: Taylor

摘要:

Parallel Givens sequences for solving the General Linear Model (GLM) are developed and analyzed. The block updating GLM estimation problem is also considered. The solution of the GLM employs as a main computational device the Generalized QR Decomposition, where one of the two matrices is initially upper triangular. The proposed Givens sequences efficiently exploit the initial triangular structure of the matrix and special properties of the solution method. The complexity analysis of the sequences is based on a Exclusive Read-Exclusive Write (EREW) Parallel Random Access Machine (PRAM) model with limited parallelism. Furthermore, the number of operations performed by a Givens rotation is determined by the size of the vectors used in the rotation. With these assumptions one conclusion drawn is that a sequence which applies the smallest number of compound disjoint Givens rotations to solve the GLM estimation problem does not necessarily have the lowest computational complexity. The various Givens sequences and their computational complexity analyses will be useful when addressing the solution of other similar factorization problems.

ISSN:1063-7192    

DOI:10.1080/01495730008947350

出版商:Taylor & Francis Group    

年代:2000

数据来源: Taylor

摘要:

The Higher Order Statistics, such as the Higher Order Moments, Cumulants and Polyspectra, have been recognized as important tools in modem time series analysis since they overcome well-known limitations of the autocorrelation/power spectrum second order methods. The systematic synthesis of parallel algorithms and architectures for the real-time estimation of moments up to any desirable maximal order k > 3 is presented. First, a design methodology is developed which can take into account the desirable characteristics of the targeted parallel architecture and used to construct an optimal locally recursive form of the algorithm amenable to efficient parallelization. The design methodology is then used to synthesize a family of algorithms and minimum latency, low granularity, processor array architectures that can compute all lags of Higher Order Moments, from the samples of the incoming data sequence in real-time.

ISSN:1063-7192    

DOI:10.1080/01495730008947351

出版商:Taylor & Francis Group    

年代:2000

数据来源: Taylor

摘要:

The primary objective in the sorting approach is to assign a set of alternatives into predefined classes. This type of problem is often encountered in many real world decision problems. During the last two decades several new approaches have been proposed to overcome the shortcomings of traditional statistical and econometric techniques. This paper focuses on the multicriteria decision aid (MCDA) approach; it briefly reviews the main MCDA sorting techniques, and presents the multigroup hierarchical discrimination method. This new MCDA sorting technique is applied to the portfolio selection problem. A comparison with discriminant analysis is also performed. Furthermore, the efficiency of the proposal approach can be easily improved for solving large-scale problems in a multiprocessing environment.

ISSN:1063-7192    

DOI:10.1080/01495730008947352

出版商:Taylor & Francis Group    

年代:2000

数据来源: Taylor