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| Science Forum Index » Nonlinear Science Forum » some generic applications of copula portfolio risk-managemen |
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| Author |
Message |
| Lester Ingber |
 Posted: Thu Jan 04, 2007 2:59 pm |
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Guest
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I have a couple of working papers illustrating generic applications of
copula portfolio risk-management approaches to multivariate systems.
%A L. Ingber
%T Ideas by statistical mechanics (ISM)
%R Report 2006:ISM
%I Lester Ingber Research
%D 2006
%O URL http://www.ingber.com/smni06_ism.pdf
Ideas by Statistical Mechanics (ISM) is a generic program to model
evolution and propagation of ideas/patterns throughout populations
subjected to endogenous and exogenous interactions. The program is
based on the author's work in Statistical Mechanics of Neocortical
Interactions (SMNI), and uses the author's Adaptive Simulated Annealing
(ASA) code for optimizations of training sets, as well as for
importance-sampling to apply the author's copula financial
risk-management codes, Trading in Risk Dimensions (TRD), for
assessments of risk and uncertainty. This product can be used for
decision support for projects ranging from diplomatic, information,
military, and economic (DIME) factors of propagation/evolution of
ideas, to commercial sales, trading indicators across sectors of
financial markets,
%A L. Ingber
%T Statistical mechanics of neocortical interactions:
Portfolio of physiological indicators
%R Report 2006:PPI
%I Lester Ingber Research
%D 2006
%O URL http://www.ingber.com/smni06_ppi.pdf
There are several kinds of non-invasive imaging methods that are used
to collect data from the brain, e.g., EEG, MEG, PET, SPECT, fMRI, etc.
It is difficult to get resolution of information processing using any
one of these methods. Approaches to integrate data sources may help to
get better resolution of data and better correlations to behavioral
phenomena ranging from attention to diagnoses of disease. The approach
taken here is to use algorithms developed for the author's Trading in
Risk Dimensions (TRD) code using modern methods of copula portfolio
risk management, with joint probability distributions derived from the
author's model of statistical mechanics of neocortical interactions
(SMNI). The author's Adaptive Simulated Annealing (ASA) code is for
optimizations of training sets, as well as for importance-sampling.
Marginal distributions will be evolved to determine their expected
duration and stability using algorithms developed by the author, i.e.,
PATHTREE and PATHINT codes.
--
Lester Ingber www.ingber.com alumnus.caltech.edu/~ingber |
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