Choice modelling

Choice modelling attempts to model the decision process of an individual or segment via revealed preferences or stated preferences made in a particular context or contexts. Typically, it attempts to use discrete choices (A over B; B over A, B & C) in order to infer positions of the items (A, B and C) on some relevant latent scale (typically "utility" in economics and various related fields). Indeed many alternative models exist in econometrics, marketing, sociometrics and other fields, including utility maximization, optimization applied to consumer theory, and a plethora of other identification strategies which may be more or less accurate depending on the data, sample, hypothesis and the particular decision being modelled. In addition, choice modelling is regarded as the most suitable method for estimating consumers' willingness to pay for quality improvements in multiple dimensions. Related terms There are a number of terms which are considered to be synonyms with the t

Bayesian risk analysis of financial time series

Christophe Osinski

This thesis is a contribution to financial statistics. One of the principal concerns of investors is the evaluation of portfolio risk. The notion of risk is vague, but in finance it is always linked to possible losses. In this thesis, we present some measures allowing the valuation of risk with the help of Bayesian methods. An exploratory analysis of data is presented to describe the sampling properties of financial time series. This analysis allows us to understand the origins of the daily returns studied in this thesis. Moreover, a discussion of different models is presented. These models make strong assumptions on investor behaviour, which are not always satisfied. This exploratory analysis shows some differences between the behaviour anticipated under equilibrium models, and that of real data. The Bayesian approach has been chosen because it allows one to incorporate all the variability, in particular that associated with model choice. The models studied in this thesis allow one to take heteroskedasticity into account, as well as particular shapes of the tails of returns. ARCH type models and models based on extreme value theory are studied. One original aspect of this thesis is its use of Bayesian analysis to detect change points in financial time series. We suppose that a market has two phases, and that it switches from a state to the other at random. Another new contribution is a model integrating heteroskedasticity and time dependence of extreme values, by superposition of the model proposed by Bortot and Coles (2003) and a GARCH process. This thesis uses simulation intensively for the estimation of risk measures. The drawback of simulation is the amount of time needed to obtain accurate estimates. However, simulation allows one to produce results when direct calculation is not feasible. For example, simulation allows one to compute risk estimates for time horizons greater than one day. The methods presented in this thesis are illustrated on simulated data, and on real data from European and American markets. This thesis involved the construction of a library containing C and S code to perform risk analysis using GARCH and extreme value theory models. The results show that model uncertainty can be incorporated, and that risk measures for time horizons greater than one can be obtained by simulation. The methods presented in this thesis have a natural representation involving conditioning. Thus, they permit the computation of both conditional and unconditional risk estimates. Three methods are described: the GARCH method; the two-state GARCH method; and the HBC method. Unconditional risk estimation using the GARCH method is satisfactory on data which seem stationary, but not reliable on data which are non-stationary, such as data with change points. The two-state GARCH model does a little better, but gives very satisfactory results when the risk is estimated conditionally on time. The HBC method does not give satisfactory results.

EPFL2006

Spectral Elements Analysis for Viscoelastic Fluids at High Weissenberg Number Using Logarithmic conformation Tensor Model

Michel Deville, Nicolas Fietier, Azadeh Jafari

This study discusses the capability of the constitutive laws for the matrix logarithm of the conformation tensor (LCT model) within the framework of the spectral elements method. The high Weissenberg number problems (HWNP) usually produce a lack of convergence of the numerical algorithms. Even though the question whether the HWNP is a purely numerical problem or rather a breakdown of the constitutive law of the model has remained somewhat of a mystery, it has been recognized that the selection of an appropriate constitutive equation constitutes a very crucial step although implementing a suitable numerical technique is still important for successful discrete modeling of non-Newtonian flows. The LCT model formulation of the viscoelastic equations originally suggested by Fattal and Kupferman is applied for 2-dimensional (2D) FENE-CR model. The Planar Poiseuille flow is considered as a benchmark problem to test this representation at high Weissenberg number. The numerical results are compared with numerical solution of the standard constitutive equation.

Amer Inst Physics, 2 Huntington Quadrangle, Ste 1No1 D, Melville, Ny 11747-4501 Usa2008

Bayesian risk analysis of financial time series

Christophe Osinski

EPFL2006

Bayesian risk analysis of financial time series

Discrete choice models of pedestrian behavior

Spectral Elements Analysis for Viscoelastic Fluids at High Weissenberg Number Using Logarithmic conformation Tensor Model

Bayesian risk analysis of financial time series

Discrete choice models of pedestrian behavior

Spectral Elements Analysis for Viscoelastic Fluids at High Weissenberg Number Using Logarithmic conformation Tensor Model