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Cornell University
(832 results)-
White Papers
The Near-extreme Density Of Intraday Log-returns
May 31, 2011, 12:00am PDT
The extreme event statistics plays a very important role in the theory and practice of time series analysis. The reassembly of classical theoretical results is often undermined by non-stationarity...
Provided by Cornell University
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White Papers
Life Time Of Correlation Between Stocks Prices On Established And Emerging Markets
December 1, 2010, 12:00am PST
The correlation coefficient between stocks depends on price history and includes information on hierarchical structure in financial markets. It is useful for portfolio selection and estimation of...
Provided by Cornell University
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White Papers
Hierarchical Structure In Phonographic Market
December 1, 2010, 12:00am PST
The author finds a topological arrangement of assets traded in a phonographic market which has associated a meaningful economic taxonomy. The author continues using the Minimal Spanning Tree and...
Provided by Cornell University
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White Papers
Penalty Methods For The Numerical Solution Of HJB Equations - Continuous Control And Obstacle Problems
May 30, 2011, 12:00am PDT
In this paper, the authors present a novel penalty approach for the numerical solution of continuously controlled HJB equations and HJB obstacle problems. The results include estimates of the...
Provided by Cornell University
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White Papers
Is There A Bubble In Linkedins Stock Price?
May 31, 2011, 12:00am PDT
Recent academic work has developed a method to determine, in real time, if a given stock is exhibiting a price bubble. Currently there is speculation in the financial press concerning the...
Provided by Cornell University
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White Papers
State-observation Sampling And The Econometrics Of Learning Models
May 23, 2011, 12:00am PDT
In nonlinear state-space models, sequential learning about the hidden state can proceed by particle filtering when the density of the observation conditional on the state is available analytically...
Provided by Cornell University
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White Papers
A Note On A Paper By Wong And Heyde
May 19, 2011, 12:00am PDT
In this paper, the authors re-examine the analysis of the paper "On the martingale property of stochastic exponentials" by B. Wong and C.C. Heyde [WH04]. Some counterexamples are presented and...
Provided by Cornell University
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White Papers
Portfolio Selection Problems In Practice: A Comparison Between Linear And Quadratic Optimization Models
July 1, 2010, 12:00am PDT
Several portfolio selection models take into account practical limitations on the number of assets to include and on their weights in the portfolio. The authors present here a study of the Limited...
Provided by Cornell University
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White Papers
Dealing With The Inventory Risk
May 16, 2011, 12:00am PDT
Market makers have to continuously set bid and ask quotes for the stocks they have under consideration. Hence they face a complex optimization problem in which their return, based on the bid-ask...
Provided by Cornell University
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White Papers
Why Money Trickles Up - Wealth & Income Distributions
May 27, 2011, 12:00am PDT
This paper combines ideas from classical economics and modern finance with the general Lotka-Volterra models of Levy & Solomon to provide straightforward explanations of wealth and income...
Provided by Cornell University
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White Papers
Anomalous Price Impact And The Critical Nature Of Liquidity In Financial Markets
May 10, 2011, 12:00am PDT
The authors propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V-shaped and vanishes around the current price. This result is generic, and only...
Provided by Cornell University
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White Papers
Liquidation In Limit Order Books With Controlled Intensity
May 12, 2011, 12:00am PDT
The authors consider a framework for solving optimal liquidation problems in limit order books. In particular, order arrivals are modeled as a point process whose intensity depends on the...
Provided by Cornell University
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White Papers
Default Swap Games Driven By Spectrally Negative Levy Processes
May 18, 2011, 12:00am PDT
This paper studies the valuation of game-type Credit Default Swaps (CDSs) that allow the protection buyer and seller to raise or reduce the respective position once prior to default. This leads to...
Provided by Cornell University
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White Papers
Power Series Representations For European Option Prices Under Stochastic Volatility Models
April 30, 2011, 12:00am PDT
In the context of stochastic volatility models, the authors study representation formulas in terms of expectations for the power series' coefficients associated to the call price-function. As in...
Provided by Cornell University
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White Papers
Spin Models As Microfoundation Of Macroscopic Financial Market Models
March 28, 2011, 12:00am PDT
Macroscopic price evolution models are commonly used for investment strategies. There are first promising achievements in defining microscopic agent based models for the same purpose. Microscopic...
Provided by Cornell University
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White Papers
A Note On Delta Hedging In Markets With Jumps
March 25, 2011, 12:00am PDT
Modeling stock prices via jump processes is common in financial markets. In practice, to hedge a contingent claim one typically uses the so-called delta-hedging strategy. This strategy stems from...
Provided by Cornell University
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White Papers
An Empirical Analysis Of Dynamic Multiscale Hedging Using Wavelet Decomposition
March 28, 2011, 12:00am PDT
This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the...
Provided by Cornell University
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White Papers
Mean Reversion Pays, But Costs
March 28, 2011, 12:00am PDT
A mean-reverting financial instrument is optimally traded by buying it when it is sufficiently below the estimated 'Mean level' and selling it when it is above. In the presence of linear...
Provided by Cornell University
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White Papers
The Slippage Paradox
March 14, 2011, 12:00am PDT
Buying or selling assets leads to transaction costs for the investor. On one hand, it is well known to all market practionaires that the transaction costs are positive on average and present...
Provided by Cornell University
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White Papers
Optimal Stopping Under Probability Distortion
March 9, 2011, 12:00am PST
The authors formulate an optimal stopping problem where the probability scale is distorted by a general nonlinear function. The problem is inherently time inconsistent due to the Choquet...
Provided by Cornell University
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White Papers
The Dynamics Of Financial Stability
March 3, 2011, 12:00am PST
The social role of any company is to get the maximum profitability with the less risk. Due to Basel III, banks should now raise their minimum capital levels on an individual basis, with the aim of...
Provided by Cornell University
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White Papers
Risk, VaR, CVaR And Their Associated Portfolio Optimizations When Asset Returns Have A Multivariate Student T Distribution
February 28, 2011, 12:00am PST
The authors show how to reduce the problem of computing VaR and CVaR with Student T return distributions to evaluation of analytical functions of the moments. This allows an analysis of the risk...
Provided by Cornell University
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White Papers
Testing For Change In Mean Of Heteroskedastic Time Series
March 1, 2011, 12:00am PST
In this paper, the authors consider a Lagrange Multiplier-type test (LM) to detect change in the mean of time series with heteroskedasticity of unknown form. They derive the limiting distribution...
Provided by Cornell University
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White Papers
Jump-diffusion Risk-sensitive Asset Management II: Jump-diffusion Factor Model
February 24, 2011, 12:00am PST
In this paper, the authors extend earlier work on the jump-diffusion risk-sensitive asset management problem [SIAM J. Fin. Math. 2 (2011) 22-54] by allowing jumps in the factor process and the...
Provided by Cornell University
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White Papers
Portfolio Insurance Under A Risk-measure Constraint
February 22, 2011, 12:00am PST
The authors study the problem of portfolio insurance from the point of view of a fund manager, who guarantees to the investor that the portfolio value at maturity will be above a fixed threshold....
Provided by Cornell University
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White Papers
The Fine Structure Of Spectral Properties For Random Correlation Matrices: An Application To Financial Markets
February 22, 2011, 12:00am PST
The authors study some properties of eigenvalue spectra of financial correlation matrices. In particular, they investigate the nature of the large eigenvalue bulks which are observed empirically,...
Provided by Cornell University
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White Papers
A Random Matrix Approach On Credit Risk
May 18, 2011, 12:00am PDT
The authors consider a structural model for the estimation of credit risk based on Merton's original model. By using Random Matrix Theory they demonstrate analytically that the presence of...
Provided by Cornell University
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White Papers
Transition Probability Matrix Methodology For Incremental Risk Charge
February 18, 2011, 12:00am PST
As part of Basel II's Incremental Risk Charge (IRC) methodology, this paper summarizes the authors' extensive investigations of constructing Transition Probability Matrices (TPMs) for...
Provided by Cornell University
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White Papers
Weighted Monte Carlo: Calibrating The Smile And Preserving Martingale Condition
February 17, 2011, 12:00am PST
Weighted Monte Carlo prices exotic options calibrating the probabilities of previously generated paths by a regular Monte Carlo to fit a set of option premiums. When only vanilla call and put...
Provided by Cornell University
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White Papers
Applying Hedging Strategies To Estimate Model Risk And Provision Calculation
February 21, 2011, 12:00am PST
This paper introduces a new model risk measure based on hedging strategies to estimate model risk and provision calculation under uncertainty of volatility. This measure allows comparing different...
Provided by Cornell University
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White Papers
A Note On The Stability Of The Least Squares Monte Carlo
February 16, 2011, 12:00am PST
This paper analyzes Least Squares Monte Carlo (LSM) algorithm, which is proposed by Longstaff and Schwartz (2001) for pricing American style securities. This algorithm is based on the projection...
Provided by Cornell University
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White Papers
Dependence Of Defaults And Recoveries In Structural Credit Risk Models
March 30, 2011, 12:00am PDT
The current paper on credit risk is primarily focused on modeling default probabilities. Recovery rates are often treated as an afterthought; they are modeled independently, in many cases they are...
Provided by Cornell University
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White Papers
Approximating European Options By Rebate Barrier Options
February 11, 2011, 12:00am PST
When the underlying stock price is a strict local martingale process under an equivalent local martingale measure, Black-Scholes PDE associated with an European option may have multiple solutions....
Provided by Cornell University
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White Papers
On Stochastic Calculus Related To Financial Assets Without Semimartingales
February 11, 2011, 12:00am PST
This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced...
Provided by Cornell University
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White Papers
On Utility Maximization Under Convex Portfolio Constraints
February 2, 2011, 12:00am PST
The authors consider a utility-maximization problem in a general semimartingale financial market, subject to constraints on the number of shares held in each risky asset. These constraints are...
Provided by Cornell University
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White Papers
An Econophysics Model For The Stock-markets Analysis And Diagnosis
December 8, 2010, 12:00am PST
In this paper, the authors present an econophysic model for the description of shares transactions in a capital market. For introducing the fundamentals of this model they used an analogy between...
Provided by Cornell University
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White Papers
Macrostate Parameter And Investment Risk Diagrams For 2008 And 2009
December 6, 2010, 12:00am PST
In this paper, are made some considerations of the application of phenomenological thermodynamics in risk analysis for the transaction on financial markets, using the concept of economic entropy...
Provided by Cornell University
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White Papers
Globalization And Long-run Co-movements In The Stock Market For The G7: An Application Of VECM Under Structural Breaks
January 21, 2011, 12:00am PST
This paper analyzes the process of long-run co-movements and stock market globalization on the basis of cointegration tests and Vector Error Correction (VEC) models. The cointegration tests used...
Provided by Cornell University
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White Papers
GPGPUs In Computational Finance: Massive Parallel Computing For American Style Options
January 18, 2011, 12:00am PST
The pricing of American style and multiple exercise options is a very challenging problem in mathematical finance. One usually employs a Least-Square Monte Carlo approach (Longstaff-Schwartz...
Provided by Cornell University
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White Papers
Sensitivity Analysis Of The Early Exercise Boundary For American Style Of Asian Options
January 16, 2011, 12:00am PST
In this paper, the authors analyze American style of floating strike Asian call options belonging to the class of financial derivatives whose payoff diagram depends not only on the underlying...
Provided by Cornell University
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Whitepapers
Database Semantics
September 13, 2012, 12:00am PDT
This paper, the first step to connect relational databases with systems consequence, is concerned with the semantics of relational databases. It aims to study system consequence in the...
Provided by Cornell University
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Whitepapers
Using Information Semantic Systems for Absolutely Secure Processing
February 24, 2010, 12:00am PST
The word "Information" is used in different senses. In common life, in computer science, in the statistical, or in the theory of communication the authors use this word in different ways depending...
Provided by Cornell University
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Whitepapers
Implementing New-Age Authentication Techniques Using OpenID for Security Automation
February 1, 2010, 12:00am PST
Security of any software can be enhanced manifolds if multiple factors for authorization and authentication are used .The main aim of this work was to design and implement an Academy Automation...
Provided by Cornell University
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Whitepapers
Soft Computing - A Step Towards Building Secure Cognitive WLAN
February 1, 2010, 12:00am PST
Wireless Networks rendering varied services has not only become the order of the day but the demand of a large pool of customers as well. Thus, security of wireless networks has become a very...
Provided by Cornell University
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Whitepapers
Securing Our Bluetooth Mobiles From Intruder Attack Using Enhanced Authentication Scheme And Plausible Exchange Algorithm
February 1, 2010, 12:00am PST
When Bluetooth devices come within the range of another, an electronic conversation takes place to determine whether the devices in range are known or whether one needs to control the other. Most...
Provided by Cornell University
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Whitepapers
How to Prevent Type-Flaw Attacks on Security Protocols Under Algebraic Properties
March 30, 2010, 12:00am PDT
Type-flaw attacks upon security protocols wherein agents are led to misinterpret message types have been reported frequently in the literature. Preventing them is crucial for protocol security and...
Provided by Cornell University
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Whitepapers
A Secured Cryptographic Hashing Algorithm
March 30, 2010, 12:00am PDT
Cryptographic hash functions for calculating the message digest of a message has been in practical use as an effective measure to maintain message integrity since a few decades. This message...
Provided by Cornell University
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Whitepapers
Encryption Quality Analysis and Security Evaluation of CAST-128 Algorithm and Its Modified Version Using Digital Images
April 1, 2009, 12:00am PDT
This paper demonstrates analysis of well known block cipher CAST-128 and its modified version using avalanche criterion and other tests namely encryption quality, correlation coefficient,...
Provided by Cornell University
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Whitepapers
Improved Information Security Using Robust Steganography System
April 13, 2010, 12:00am PDT
Steganography is an emerging area which is used for secured data transmission over any public media. Steganography is a process that involves hiding a message in an appropriate carrier like image...
Provided by Cornell University
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Whitepapers
Non-Systematic Codes for Physical Layer Security
April 26, 2010, 12:00am PDT
This paper is a first explain on the topic of achieving physical layer security by exploiting non-systematic channel codes. The chance of implementing transmission security at the physical layer...
Provided by Cornell University
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Whitepapers
Modern Quantum Technologies of Information Security
July 4, 2010, 12:00am PDT
In this paper, the systematisation and classification of modern quantum technologies of information security against cyber-terrorist attack are carried out. The characteristic of the basic...
Provided by Cornell University
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Whitepapers
Secure Neighbor Position Discovery in VANETs
June 4, 2010, 12:00am PDT
Many significant functionalities of Vehicular Ad hoc NETworks (VANETs) require that nodes have knowledge of the positions of other vehicles, and notably of those within communication range....
Provided by Cornell University
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Whitepapers
E-Net Models of a Software System for Web Pages Security
October 28, 2010, 12:00am PDT
This paper presents solutions for cryptography protection for web pages. The solutions comprise the authors' experience in development and implementation of systems for information security in the...
Provided by Cornell University
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Whitepapers
A Secure Web-Based File Exchange Server: Software Requirements Specification Document
January 24, 2011, 12:00am PST
Building Trust is the basis of all communication, especially electronic one, as the identity of the other entity remains concealed. To address problems of trust, authentication and security over...
Provided by Cornell University
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Whitepapers
Design and Implementation of a Secure Web-Based File Exchange Server: Specification Design Document
January 24, 2011, 12:00am PST
Building Trust is the basis of all communication, especially electronic one, as the identity of the other entity remains concealed. To address problems of trust, authentication and security over...
Provided by Cornell University
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Whitepapers
On the Cryptanalysis of the Generalized Simultaneous Conjugacy Search Problem and the Security of the Algebraic Eraser
May 5, 2011, 12:00am PDT
The Algebraic Eraser (AE) is a cryptographic primitive that can be used to obscure information in certain algebraic cryptosystems. The Colored Burau Key Agreement Protocol (CBKAP), which is built...
Provided by Cornell University
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Whitepapers
Securing the Kernel Via Static Binary Rewriting and Program Shepherding
May 10, 2011, 12:00am PDT
Recent Microsoft security bulletins show that kernel vulnerabilities are becoming more and more important security threats. Despite the pretty extensive security mitigations many of the kernel...
Provided by Cornell University
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Whitepapers
Attack Interference in Non-Collaborative Scenarios for Security Protocol Analysis
June 21, 2011, 12:00am PDT
In security protocol analysis, the traditional choice to consider a single Dolev-Yao attacker is supported by the fact thatmodels with multiple collaborating Dolev-Yao attackers have been shown to...
Provided by Cornell University
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Whitepapers
Secure and Robust IPV6 Autoconfiguration Protocol for Mobile Adhoc Networks Under Strong Adversarial Model
July 1, 2011, 12:00am PDT
Automatic IP address assignment in Mobile Ad hoc NETworks (MANETs) enables nodes to obtain routable addresses without any infrastructure. Different protocols have been developed throughout the...
Provided by Cornell University
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Whitepapers
Increasing Physical Layer Security Through Scrambled Codes and ARQ
September 5, 2011, 12:00am PDT
The authors develop the proposal of non-systematic channel codes on the AWGN wire-tap channel. Such coding technique, based on scrambling, achieves high transmission security with a small...
Provided by Cornell University
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Whitepapers
A Contribution to Secure the Routing Protocol "Greedy Perimeter Stateless Routing" Using a Symmetric Signature-Based AES and MD5 Hash
September 29, 2011, 12:00am PDT
This paper presents a contribution to secure the routing protocol GPSR (Greedy Perimeter Stateless Routing) for vehicular ad hoc networks, the authors examine the possible attacks against GPSR and...
Provided by Cornell University
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Whitepapers
Enhanced Secure Algorithm for Message Communion
September 6, 2011, 12:00am PDT
This paper puts forward a safe mechanism of data transmission to tackle the security problem of information which is transmitted in Internet. The encryption standards such as DES (Data Encryption...
Provided by Cornell University
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Whitepapers
Secure Capacity Region for Erasure Broadcast Channels with Feedback
October 26, 2011, 12:00am PDT
The authors formulate and explain a cryptographic problem relevant to wireless: a sender, Alice, wants to transmit private messages to two receivers, Bob and Calvin, using unreliable wireless...
Provided by Cornell University
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Whitepapers
Quantum/Relativistic Computation of Security and Efficiency of Electrical Power System for a Day-Ahead
September 21, 2012, 12:00am PDT
An algorithm for Electrical Power System (EPS) quantum/relativistic security and efficiency computation via perturbative renormalization of the EPS, finding the computation flowcharts,...
Provided by Cornell University
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Whitepapers
Secured Data Consistency and Storage Way in Untrusted Cloud Using Server Management Algorithm
November 10, 2011, 12:00am PST
It is very challenging part to keep safely all required data that are needed in many applications for user in cloud. Storing user's data in cloud may not be fully trustworthy. Since client doesn't...
Provided by Cornell University
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Whitepapers
Efficient and Cryptographically Secure Generation of Chaotic Pseudorandom Numbers on GPU
December 23, 2011, 12:00am PST
In this paper, the authors present a new PseudoRandom Number Generator (PRNG) on Graphics Processing Units (GPU). This PRNG is based on the so-called chaotic iterations. It is firstly proven to be...
Provided by Cornell University
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Whitepapers
Secure SQL Server - Enabling Secure Access to Remote Relational Data
January 5, 2012, 12:00am PST
The Secure SQL Server - SecSS, is a technology primarily developed to enable self service governance of states, as described in (Paulin 2012). Self service governance is a novel model of...
Provided by Cornell University
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Whitepapers
Information Hiding in CSS : A Secure Scheme Text-Steganography Using Public Key Cryptosystem
December 1, 2011, 12:00am PST
In many recent years, the programming world has been introduced about a new programming language for designing websites, it is CSS that can be used together with HTML to develop a web interface....
Provided by Cornell University
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Whitepapers
Securing Business Operations in an SOA
March 2, 2012, 12:00am PST
Service-oriented infrastructures pose new challenges in a number of areas, notably with regard to security and dependability. BT has developed a combination of innovative security solutions and...
Provided by Cornell University
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Whitepapers
A Mathematical Problem for Security Analysis of Hash Functions and Pseudorandom Generators
June 1, 2012, 12:00am PDT
In this paper, the authors specify a class of mathematical problems, which they refer to as "Function Density Problems" (FDPs), and point out novel connections of FDPs to the following two...
Provided by Cornell University
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Whitepapers
Deducing Security Goals From Shape Analysis Sentences
January 13, 2012, 12:00am PST
Guttman presented a model-theoretic approach to establishing security goals in the context of Strand Space theory. In his approach, a run of the Cryptographic Protocol Shapes Analyzer (CPSA)...
Provided by Cornell University
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Whitepapers
A Formal Definition and a New Security Mechanism of Physical Unclonable Functions
April 4, 2012, 12:00am PDT
The characteristic novelty of what is generally meant by a "Physical Unclonable Function" (PUF) is precisely defined, in order to supply a firm basis for security evaluations and the proposal of...
Provided by Cornell University
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Whitepapers
Towards a Security Engineering Process Model for Electronic Business Processes
April 5, 2012, 12:00am PDT
Business Process Management (BPM) and accompanying systems aim at enabling enterprises to become adaptive. In spite of the dependency of enterprises on secure business processes, BPM languages and...
Provided by Cornell University
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Whitepapers
STP/HAMPI and Computer Security
April 12, 2012, 12:00am PDT
In the past several years, the author have written two SMT solvers called STP and HAMPI that have found widespread use in computer security research by leading groups in academia, industry and the...
Provided by Cornell University
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Whitepapers
An Exact Solution to the Power Networks Security Index Problem and Its Generalized Min Cut Formulation
April 27, 2012, 12:00am PDT
The resilience of Supervisory Control And Data Acquisition (SCADA) systems for electric power networks for certain cyber-attacks is considered. In particular, the authors study the robustness of...
Provided by Cornell University
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Whitepapers
Delegated Secure Sum Service for Distributed Data Mining in Multi-Cloud Settings
June 10, 2012, 12:00am PDT
An increasing number of businesses are migrating their IT operations to the cloud. Likewise there is an increased emphasis on data analytics based on multiple datasets and sources to derive...
Provided by Cornell University
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Whitepapers
Topological Study and Lyapunov Exponent of a Secure Steganographic Scheme
June 14, 2012, 12:00am PDT
CI S2 is a steganographic scheme proposed in the information hiding literature, belonging into the small category of algorithms being both stego and topologically secure. Due to its...
Provided by Cornell University
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Whitepapers
Classification of Various Security Techniques in Databases and Their Comparative Analysis
June 19, 2012, 12:00am PDT
Data security is one of the most crucial and a major challenge in the digital world. Security, privacy and integrity of data are demanded in every operation performed on internet. Whenever...
Provided by Cornell University
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Whitepapers
Securing Electronic Transactions to Support E-Commerce
July 18, 2012, 12:00am PDT
Many reports regarding online fraud in varieties media create skepticism for conducting transactions online, especially through an open network such as the Internet, which offers no security...
Provided by Cornell University
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Whitepapers
SSCADA: Securing SCADA Infrastructure Communications
February 7, 2012, 12:00am PST
Distributed Control Systems (DCS) and Supervisory Control and Data Acquisition (SCADA) systems were developed to reduce labor costs, and to allow system-wide monitoring and remote control from a...
Provided by Cornell University
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