Том 4

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Browsing Том 4 by Subject "article"

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    Diameter Search Algorithms for Directed Cayley Graphs
    (2021-05) Olshevskyi, Maksym
    It is considered a well known diameter search problem for finite groups. It can be formulated as follows: find the maximum possible diameter of the group over its system of generators. The diameter of a group over a specific system of generators is the diameter of the corresponding Cayley graph. In the paper a closely related problem is considered. For a specific system of generators find the diameter of corresponding Cayley graph. It is shown that the last problem is polynomially reduced to the problem of searching the minimal decomposition of elements over a system of generators. It is proposed five algorithms to solve the diameter search problem: simple down search algorithm, fast down search algorithm, middle down search algorithms, homogeneous down search algorithm and homogeneous middle down search algorithm.
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    Risk modelling approaches for student-like models with fractal activity time
    (2021) Solomanchuk, Georgiy; Shchestyuk, Nataliia
    The paper focuses on value at risk (V@R) measuring for Student-like models of markets with fractal activity time (FAT). The fractal activity time models were introduced by Heyde to try to encompass the empirically found characteristics of read data and elaborated on for Variance Gamma, normal inverse Gaussian and skewed Student distributions. But problem of evaluating an value at risk for this model was not researched. It is worth to mention that if we use normal or symmetric Student‘s models than V@R can be computed using standard statistical packages. For calculating V@R for Student-like models we need Monte Carlo method and the iterative scheme for simulating N scenarios of stock prices. We model stock prices as a diffusion processes with the fractal activity time and for modeling increments of fractal activity time we use another diffusion process, which has a given marginal inverse gamma distribution. The aim of the paper is to perform and compare V@R Monte Carlo approach and Markowitz approach for Student-like models in terms of portfolio risk. For this purpose we propose procedure of calculating V@R for two types of investor portfolios. The first one is uniform portfolio, where d assets are equally distributed. The second is optimal Markowitz portfolio, for which variance of return is the smallest out of all other portfolios with the same mean return. The programmed model which was built using R-statistics can be used as to the simulations for any asset and for construct optimal portfolios for any given amount of assets and then can be used for understanding how this optimal portfolio behaves compared to other portfolios for Student-like models of markets with fractal activity time. Also we present numerical results for evaluating V@R for both types of investor portfolio. We show that optimal Markowitz portfolio demonstrates in the most of cases the smallest possible Value at Risk comparing with other portfolios. Thus, for making investor decisions under uncertainty we recommend to apply portfolio optimization and value at risk approach jointly.