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Full-Text Articles in Databases and Information Systems
Mathematical And Computer Simulation Of The Processes Of Two-Phase Joint Gas Filtration And Water In A Porous Environment, Elmira Nazirova
Mathematical And Computer Simulation Of The Processes Of Two-Phase Joint Gas Filtration And Water In A Porous Environment, Elmira Nazirova
Bulletin of TUIT: Management and Communication Technologies
A mathematical model, methods and algorithms for the numerical solution of problems of joint gas-water filtration in porous media are considered. The mathematical model of the process of non-stationary joint gas-water filtration in a porous medium is described by a system of nonlinear differential equations of parabolic type. In the numerical solution of the boundary value problem of gas displacement by water in a porous medium, the differential sweeping method is used for systems of differential-difference equations. The system of differential-difference equations with respect to the gas pressure function is nonlinear, therefore, an iterative method is used for it, based …
Improving Vix Futures Forecasts Using Machine Learning Methods, James Hosker, Slobodan Djurdjevic, Hieu Nguyen, Robert Slater
Improving Vix Futures Forecasts Using Machine Learning Methods, James Hosker, Slobodan Djurdjevic, Hieu Nguyen, Robert Slater
SMU Data Science Review
The problem of forecasting market volatility is a difficult task for most fund managers. Volatility forecasts are used for risk management, alpha (risk) trading, and the reduction of trading friction. Improving the forecasts of future market volatility assists fund managers in adding or reducing risk in their portfolios as well as in increasing hedges to protect their portfolios in anticipation of a market sell-off event. Our analysis compares three existing financial models that forecast future market volatility using the Chicago Board Options Exchange Volatility Index (VIX) to six machine/deep learning supervised regression methods. This analysis determines which models provide best …