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WSC
2000
13 years 6 months ago
Variance reduction techniques for value-at-risk with heavy-tailed risk factors
The calculation of value-at-risk (VAR) for large portfolios of complex instruments is among the most demanding and widespread computational challenges facing the financial industr...
Paul Glasserman, Philip Heidelberger, Perwez Shaha...
CCGRID
2010
IEEE
13 years 5 months ago
An MPI-Stream Hybrid Programming Model for Computational Clusters
The MPI programming model hides network type and topology from developers, but also allows them to seamlessly distribute a computational job across multiple cores in both an intra ...
Emilio Pasquale Mancini, Gregory Marsh, Dhabaleswa...
CORR
2006
Springer
141views Education» more  CORR 2006»
13 years 4 months ago
Ideas by Statistical Mechanics (ISM)
Ideas by Statistical Mechanics (ISM) is a generic program to model evolution and propagation of ideas/patterns throughout populations subjected to endogenous and exogenous interac...
Lester Ingber
GECCO
2000
Springer
109views Optimization» more  GECCO 2000»
13 years 8 months ago
GP+Echo+Subsumption = Improved Problem Solving
Real-time, adaptive control is a difficult problem that can be addressed by EC architectures. We are interested in incorporating into an EC architecture some of the features that ...
William F. Punch, W. M. Rand
AMC
2005
143views more  AMC 2005»
13 years 4 months ago
Investment with restricted stock and the value of information
In most public companies in China, there are two thirds of shares that cannot be traded freely in the secondary market. These illiquid shares, however, may be allowed to circulate...
Weixing Wu, Yongxiang Wang