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    Wyświetlanie 1-4 z 4
    Tytuł:
    Zmienność momentów wyższych rzędów na rynkach finansowych
    Higher Order Moments Variability in the Financial Markets
    Autorzy:
    Zdanowicz, Tomasz
    Powiązania:
    https://bibliotekanauki.pl/articles/591901.pdf
    Data publikacji:
    2013
    Wydawca:
    Uniwersytet Ekonomiczny w Katowicach
    Tematy:
    Giełdy światowe
    Gospodarka światowa
    Indeks giełdowy
    Model ACD (Autoregresyjna duracja warunkowa)
    Rynki finansowe
    ACD model (Autoregressive conditional duration)
    Financial markets
    Stock market indexes
    World economy
    World stock markets
    Opis:
    The dynamic development of Chinese economy observed since the 80s of the twentieth century, increasingly draws attention to this country as a candidate for the leadership of world trade. This rapid growth is supported by two powerful stock exchanges in Shanghai and Shenzhen. Chinese phenomenon is now of interest to a wide audience of potential investors and researchers [2]. Modeling time varying conditional asymmetry or kurtosis becomes more often the subject of analysis, especially during the growing world financial crisis. Autoregressive Conditional Density Models (ARCD), which were first presented in 1994 by Hansen [3], allow for modeling the conditional volatility of the entire distribution with a relatively simple parameterization. There are also extension of the classical model of Hansen on the other conditional distributions, more complex equations of shape and asymmetry parameters of the distribution. ARCD models was used to model the financial data of world stock exchanges in relation to the ranks of China's stock exchange.
    Źródło:
    Studia Ekonomiczne; 2013, 154; 152-161
    2083-8611
    Pojawia się w:
    Studia Ekonomiczne
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Detecting Risk Transfer in Financial Markets using Different Risk Measures
    Autorzy:
    Fałdziński, Marcin
    Osińska, Magdalena
    Zdanowicz, Tomasz
    Powiązania:
    https://bibliotekanauki.pl/articles/483251.pdf
    Data publikacji:
    2012
    Wydawca:
    Polska Akademia Nauk. Czytelnia Czasopism PAN
    Tematy:
    extreme value theory
    risk measures
    Granger causality in risk
    Chinese financial processes
    Opis:
    High movements of asset prices constitute intrinsic elements of financial crises. There is a common agreement that extreme events are responsible for that. Making inference about the risk spillover and its effect on markets one should use such methods and tools that can fit properly for catastrophic events. In the paper Extreme Value Theory (EVT) invented particularly for modelling extreme events was used. The purpose of the paper is to model risky assets using EVT and to analyse the transfer of risk across the financial markets all over the world using the Granger causality in risk test. The concept of testing in causality in risk was extended to Spectral Risk Measure i.e., respective hypotheses were constructed and checked by simulation. The attention is concentrated on the Chinese financial processes and their relations with those in the rest of the globe. The original idea of the Granger causality in risk assumes usage of Value at Risk as a risk measure. We extended the scope of application of the test to Expected Shortfall and Spectral Risk Measure. The empirical results exhibit very interesting dependencies.
    Źródło:
    Central European Journal of Economic Modelling and Econometrics; 2012, 4, 1; 45-64
    2080-0886
    2080-119X
    Pojawia się w:
    Central European Journal of Economic Modelling and Econometrics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Econometric Evaluation of Risk at the Shanghai Stock Exchange
    Ekonometryczna ocena ryzyka na giełdzie papierów wartościowych w Szanghaju
    Autorzy:
    Osińska, Magdalena
    Fałdziński, Marcin
    Zdanowicz, Tomasz
    Powiązania:
    https://bibliotekanauki.pl/articles/904932.pdf
    Data publikacji:
    2013
    Wydawca:
    Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
    Opis:
    The problem of risk transferring is well known in empirical finance. Agents often try to transmit their risk from one market to another when the limit values of their potential losses are being approached or exceeded. When financial markets are completely segmented, risk cannot be transmitted across markets, but on the other hand when markets are integrated and suffer from the same shock, then risk is expected to transmit across markets. Chinese financial market was segmented during Asian crisis 1997–1998 (Lardy (1998)), but during last financial crisis was more vulnerable to risk spillover. The aim of the paper is to analyze the segmentation of the Chinesefinancial market. We took into account the process of transferring risk between major indices of Shanghai Stock Exchange and sector indices (sub-indices) representing various segments of the market. To check proposed hypotheses we applied Granger causality in risk concept. We applied different risk measures to take into consideration different risk patterns (small, medium and high risk generated locally and/or globally).
    Rynek kapitałowy w Chinach przez wiele lat nie był włączony do globalnego rynku finansowego. Dlatego tez cechowały go wyższe wartości średnie zwrotów i mniejsze ryzyko. Dopiero kryzys finansowy z roku 2007–2009 spowodował większe zainteresowanie chińskim rynkiem kapitałowym a w konsekwencji wzrost ryzyka. Celem artykułu jest analiza procesów zachodzących wewnątrz rynku, ze szczególnym uwzględnieniem relacji między indeksami głównymi giełdy w Szanghaju a subindeksami reprezentującymi różne segmenty rynku. Zastosowana metodologia obejmuje: modele zmienności, analizę przyczynowości w ryzyku oraz teorie wartości ekstremalnych.
    Źródło:
    Acta Universitatis Lodziensis. Folia Oeconomica; 2013, 292
    0208-6018
    2353-7663
    Pojawia się w:
    Acta Universitatis Lodziensis. Folia Oeconomica
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Monitoring of the Achilles tendon healing process: can artificial intelligence be helpful?
    Autorzy:
    Kapiński, Norbert
    Zieliński, Jakub
    Borucki, Bartosz A.
    Trzciński, Tomasz
    Ciszkowska-Łysoń, Beata
    Zdanowicz, Urszula
    Śmigielski, Robert
    Nowiński, Krzysztof S.
    Powiązania:
    https://bibliotekanauki.pl/articles/306348.pdf
    Data publikacji:
    2019
    Wydawca:
    Politechnika Wrocławska. Oficyna Wydawnicza Politechniki Wrocławskiej
    Tematy:
    rezonans magnetyczny
    obrazowanie medyczne
    sztuczna inteligencja
    tendon traumas
    magnetic resonance
    medical imaging
    artificial intelligence
    deep learning
    Opis:
    The aim of this study was to verify improved, ensemble-based strategy for inferencing with use of our solution for quantitative assessment of tendons and ligaments healing process and to show possible applications of the method. Methods: We chose the problem of the Achilles tendon rupture as an example representing a group of common sport traumas. We derived our dataset from 90 individuals and divided it into two subsets: healthy individuals and patients with complete Achilles tendon ruptures. We computed approx. 160 000 2D axial cross-sections from 3D MRI studies and preprocessed them to create a suitable input for artificial intelligence methods. Finally, we compared different training methods for chosen approaches for quantitative assessment of tendon tissue healing with the use of statistical analysis. Results: We showed improvement in inferencing with use of the ensemble technique that results from achieving comparable accuracy of 99% for our previously published method trained on 500 000 samples and for the new ensemble technique trained on 160 000 samples. We also showed real-life applications of our approach that address several clinical problems: (1) automatic classification of healthy and injured tendons, (2) assessment of the healing process, (3) a pathologic tissue localization. Conclusions: The presented method enables acquiring comparable accuracy with less training samples. The applications of the method presented in the paper as case studies can facilitate evaluation of the healing process and comparing with previous examination of the same patient as well as with other patients. This approach might be probably transferred to other musculoskeletal tissues and joints.
    Źródło:
    Acta of Bioengineering and Biomechanics; 2019, 21, 1; 103-111
    1509-409X
    2450-6303
    Pojawia się w:
    Acta of Bioengineering and Biomechanics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-4 z 4

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