Optimisation, Econometric and Financial Analysis

Anna Nagurney, Dmytro Matsypura (auth.), Prof. Erricos John Kontoghiorghes, Dr. Cristian Gatu (eds.)3540366253, 9783540366256

Advanced computational methods are often employed for the solution of modelling and decision-making problems. This book addresses issues associated with the interface of computing, optimisation, econometrics and financial modelling. Emphasis is given to computational optimisation methods and techniques. The first part of the book addresses optimisation problems and decision modelling, with special attention to applications of supply chain and worst-case modelling as well as advances in the methodological aspects of optimisation techniques. The second part of the book is devoted to optimisation heuristics, filtering, signal extraction and various time series models. The chapters in this part cover the application of threshold accepting in econometrics, the structure of threshold autoregressive moving average models, wavelet analysis and signal extraction techniques in time series. The third and final part of the book is about the use of optimisation in portfolio selection and real option modelling.

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Table of contents :
Front Matter….Pages 1-1
A Supply Chain Network Perspective for Electric Power Generation, Supply, Transmission, and Consumption….Pages 3-27
Worst-Case Modelling for Management Decisions under Incomplete Information, with Application to Electricity Spot Markets….Pages 29-50
An Approximate Winner Determination Algorithm for Hybrid Procurement Mechanisms Logistics….Pages 51-66
Proximal-ACCPM: A Versatile Oracle Based Optimisation Method….Pages 67-89
A Survey of Different Integer Programming Formulations of the Travelling Salesman Problem….Pages 91-104
Front Matter….Pages 105-105
The Threshold Accepting Optimisation Algorithm in Economics and Statistics….Pages 107-125
The Autocorrelation Functions in SETARMA Models….Pages 127-141
Trend Estimation and De-Trending….Pages 143-166
Non-Dyadic Wavelet Analysis….Pages 167-203
Measuring Core Inflation by Multivariate Structural Time Series Models….Pages 205-223
Front Matter….Pages 225-225
Random Portfolios for Performance Measurement….Pages 227-249
Real Options with Random Controls, Rare Events, and Risk-to-Ruin….Pages 251-271