Browsing by Subject "Normal distribution"

Now showing 1 - 3 of 3

Open Access
Evaluating predictive performance of judgemental extrapolations from simulated currency series
(Elsevier, 1999) Pollock, A. C.; Macaulay, A.; Önkal-Atay, D.; Wilkie-Thomson, M. E.
Judgemental forecasting of exchange rates is critical for financial decision-making. Detailed investigations of the potential effects of time-series characteristics on judgemental currency forecasts demand the use of simulated series where the form of the signal and probability distribution of noise are known. The accuracy measures Mean Absolute Error (MAE) and Mean Squared Error (MSE) are frequently applied quantities in assessing judgemental predictive performance on actual exchange rate data. This paper illustrates that, in applying these measures to simulated series with Normally distributed noise, it may be desirable to use their expected values after standardising the noise variance. A method of calculating the expected values for the MAE and MSE is set out, and an application to financial experts' judgemental currency forecasts is presented.
Open Access
Numerical modeling of ultrasonic particle manipulation for microfluidic applications
(Springer Verlag, 2014) Büyükkoçak S.; Özer, M. B.; Çetin B.
A numerical simulation methodology for ultrasonic particle/cell separation and cell washing processes is introduced and validated by comparing with the results from the literature. In this study, a finite element approach is used for modeling fluid flow in a microchannel and analytical relations are utilized for the calculation of the ultrasonic radiation forces. The solutions in acoustic and fluidic domains are coupled, and the particle separation under the influence of ultrasonic waves is numerically simulated. In order to simulate the cell washing process, diffusion and fluid dynamics solutions are coupled and solved. A Monte Carlo approach is chosen where statistical distributions are implemented in the simulations. Uniform distributions for the starting locations of particles/cells in the microchannel and normal distributions for the size of the particles are used in numerical simulations. In each case, 750 particles are used for the simulation, and the performance of separation process is evaluated by checking how many microparticles resulted in the targeted outlet channels. Channel geometries for the numerical simulations are adapted from the experimental studies in literature, and comparison between the reported experimental results and the numerical estimations is performed. It has been observed that the numerical estimations and experimental results from the literature are in good agreement, and the proposed methodology may be implemented as a design tool for ultrasonic particle manipulation for microfluidic applications. © 2014, Springer-Verlag Berlin Heidelberg.
Open Access
Sur l’allocation dynamique de portefeuille robuste contre l’incertitude des rendements moyens
(Taylor & Francis, 2014) Pınar, M. Ç.
In an economy with a negative exponential utility investor facing a set of risky assets with normally distributed returns over multiple periods, we consider the problem of making an ambiguityrobust dynamic portfolio choice when the expected return information is uncertain. We pose the problem in the Adjustable Robust Optimization framework under ellipsoidal representation of the expected return uncertainty, and provide a closed-form solution in the form of a simple, dynamic, partially myopic portfolio policy. The result provides a guideline in the form of an upper bound for the choice of the parameter controlling the aversion to ambiguity.