| Presentation | 2008-03-14 Estimation of Jump Diffusion Processes of Time Series based on Functional Approximations by the Genetic Methods and its Applications Kangrong TAN, Shozo TOKINAGA, |
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| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | This report deals with the estimation of jump diffusion processes of time series based on functional approximations by the Genetic methods and its applications. We assume an additive model for generating time series composed of deterministic part, jump diffusion and the Brownian motion. We apply the Genetic Programming and the Genetic Algorithm to the estimation of deterministic and jump diffusion parts, respectively. The method is used to evaluate prediction of time series and the optimal investment decision. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | Jump diffusion / Genetic methods / Approximation of functions / Time series |
| Paper # | SIS2007-84 |
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| Committee | SIS |
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| Conference Date | 2008/3/7(1days) |
| Place (in Japanese) | (See Japanese page) |
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| Topics (in Japanese) | (See Japanese page) |
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| Registration To | Smart Info-Media Systems (SIS) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Estimation of Jump Diffusion Processes of Time Series based on Functional Approximations by the Genetic Methods and its Applications |
| Sub Title (in English) | |
| Keyword(1) | Jump diffusion |
| Keyword(2) | Genetic methods |
| Keyword(3) | Approximation of functions |
| Keyword(4) | Time series |
| 1st Author's Name | Kangrong TAN |
| 1st Author's Affiliation | Faculty of Economics, Kurume University() |
| 2nd Author's Name | Shozo TOKINAGA |
| 2nd Author's Affiliation | Graduate School of Economics, Kyushu University |
| Date | 2008-03-14 |
| Paper # | SIS2007-84 |
| Volume (vol) | vol.107 |
| Number (no) | 548 |
| Page | pp.pp.- |
| #Pages | 6 |
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