By Zhiming Ding (auth.), Yoshiharu Ishikawa, Jing He, Guandong Xu, Yong Shi, Guangyan Huang, Chaoyi Pang, Qing Zhang, Guoren Wang (eds.)
This e-book constitutes the completely refereed joint post-workshop court cases of 3 foreign workshops held along with the tenth Asia-Pacific net convention, APWeb 2008, in Shenyang, China, in April 2008 (see LNCS 4976).
The 15 revised complete papers offered including four invited papers and four keynote lectures have been conscientiously reviewed and chosen from a number of submissions. subject matters addressed by way of the workshops are company intelligence and information mining (BIDM 2008), well-being facts administration (IWHDM 2008), and knowledge engineering and net expertise study (DeWeb 2008). The papers concentrate on matters akin to internet looking out, net companies, database, info mining, bioinformatics, and company intelligence.
Read or Download Advanced Web and Network Technologies, and Applications: APWeb 2008 International Workshops: BIDM, IWHDM, and DeWeb Shenyang, China, April 26-28, 2008. Revised Selected Papers PDF
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Additional resources for Advanced Web and Network Technologies, and Applications: APWeb 2008 International Workshops: BIDM, IWHDM, and DeWeb Shenyang, China, April 26-28, 2008. Revised Selected Papers
By plug- 1 m ∑ [ln Rn+1−i − ln Rn− k ] , we get the estimation of the k i =1 correspondent margin levels under EVT. 246%, both of which are significantly higher than the margin levels calculated based on EWMA method and ARMA-EGARCH model. 4 Comparative Analysis Comparing the margin levels calculated by EWMA method, AR(3)-EGARCH(1,1) model and EVT, we can see that, they are all significantly higher than the yield of futures calendar spread trading, which can efficiently cover the market risk. The margin level estimated by AR(3)-EGARCH(1,1) model is slightly higher than that estimated by EWMA method.
In general, EVT will conduct an overestimation of the market risk under the premise of a small sample, which will probably cause a high transaction cost and a decrease in 40 H. Yang, H. Yan, and N. Peng calendar spread trader’s enthusiasm. Contrarily, EWMA method may cause events of default by conducting an underestimation of the market risk, since the fixed decay factor is not easy to be precisely calculated in the model. Among these three methods, ARMA-EGARCH model has the best performance in both accuracy of risk estimation and feasibility of practical implementation.
0 and EWMA method, the predicted mean μt and predicted volatility σt can be calculated. 74% risk. 99% risk. Λ M Exchange = μ t + 3σ t (8) Λ M Bro ker = μ t + 4σ t The volatility σt of the mean Λ μt (9) can be calculated by EWMA method. Thereafter, the margin levels of exchanges and brokers can be estimated, as shown in Figure 2. Based on EWMA method, the dynamic margin level can also be calculated. It reports that, in general, the margin level of futures calendar spread is significantly higher than the daily fluctuation of the spread yield.