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Journal articles on the topic 'Levy model'

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Published: 4 June 2021

Last updated: 22 February 2023

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1

BEIKIRCH, MAXIMILIAN, SIMON CRAMER, MARTIN FRANK, PHILIPP OTTE, EMMA PABICH, and TORSTEN TRIMBORN. "ROBUST MATHEMATICAL FORMULATION AND PROBABILISTIC DESCRIPTION OF AGENT-BASED COMPUTATIONAL ECONOMIC MARKET MODELS." Advances in Complex Systems 23, no. 06 (September 2020): 2050017. http://dx.doi.org/10.1142/s0219525920500174.

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In science and especially in economics, agent-based modeling has become a widely used modeling approach. These models are often formulated as a large system of difference equations. In this study, we discuss two aspects, numerical modeling and the probabilistic description for two agent-based computational economic market models: the Levy–Levy–Solomon model and the Franke–Westerhoff model. We derive time-continuous formulations of both models, and in particular, we discuss the impact of the time-scaling on the model behavior for the Levy–Levy–Solomon model. For the Franke–Westerhoff model, we proof that a constraint required in the original model is not necessary for stability of the time-continuous model. It is shown that a semi-implicit discretization of the time-continuous system preserves this unconditional stability. In addition, this semi-implicit discretization can be computed at cost comparable to the original model. Furthermore, we discuss possible probabilistic descriptions of time-continuous agent-based computational economic market models. Especially, we present the potential advantages of kinetic theory in order to derive mesoscopic descriptions of agent-based models. Exemplified, we show two probabilistic descriptions of the Levy–Levy–Solomon and Franke–Westerhoff model.

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2

Rhee, Joon Hee, and Soo Chun Park. "The Term Structure Model under the α-Stable Levy Process." Journal of Derivatives and Quantitative Studies 18, no. 1 (February 28, 2010): 77–100. http://dx.doi.org/10.1108/jdqs-01-2010-b0003.

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This paper derives the analytic solutions of the pure discount bond price under the various types of -stable Levy process. It is well-known that only a few cases in-stable Levy process have the moment generating function. This paper extends the model to damped-stable Levy processes, which have artificial stable process with the moment generating function. This paper also extends models to stochastic volatility by time change method of Levy process.

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3

Cafiero, R., P. De Los Rios, A. Valleriani, and J. L. Vega. "Levy-nearest-neighbors Bak-Sneppen model." Physical Review E 60, no. 2 (August 1, 1999): R1111—R1114. http://dx.doi.org/10.1103/physreve.60.r1111.

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4

Chechkin, A. V., and V. Yu Gonchar. "A model for persistent Levy motion." Physica A: Statistical Mechanics and its Applications 277, no. 3-4 (March 2000): 312–26. http://dx.doi.org/10.1016/s0378-4371(99)00392-1.

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5

Lee, Jun Hui, and Kook Hyun Chang. "Volatility Smile Surface for Levy Option Pricing Model." Journal of Derivatives and Quantitative Studies 12, no. 1 (May 30, 2004): 73–86. http://dx.doi.org/10.1108/jdqs-01-2004-b0004.

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This paper discusses theoretical extensions of the implied volatility method of Dupire (1994) when the stock prices follow the Geometric Levy process. For the extensions of Kolmogorov forward equation for Levy process, this paper uses adjoint operator in L² spaces. This paper obtains similar results of Dupire (1994) and Andersen and Andreasan (2001). However, our results can be applied to more general semi-martingale processes such as well-known VG (Variance Gamma) model and NIG (Normal Inverse Gaussian) model with diffusion processes. This paper also applies the approach to the case of stochastic time changed Levy process, which generates the stochastic volatility models.

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6

Zschischang, Elmar, and Thomas Lux. "Some new results on the Levy, Levy and Solomon microscopic stock market model." Physica A: Statistical Mechanics and its Applications 291, no. 1-4 (March 2001): 563–73. http://dx.doi.org/10.1016/s0378-4371(00)00609-9.

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7

Zhang, Yang, Hai Lin, and Lian-shou Liu. "Levy Stability Analysis of Random Cascade Model." Communications in Theoretical Physics 24, no. 1 (July 30, 1995): 85–90. http://dx.doi.org/10.1088/0253-6102/24/1/85.

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8

Kohl, R. "The Influence of the Number of Different Stocks on the Levy–Levy–Solomon Model." International Journal of Modern Physics C 08, no. 06 (December 1997): 1309–16. http://dx.doi.org/10.1142/s0129183197001168.

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The stock market model of Levy, Levy, Solomon is simulated for more than one stock to analyze the behavior for a large number of investors. Small markets can lead to realistic looking prices for one and more stocks. A large number of investors leads to a semi-regular fashion simulating one stock. For many stocks, three of the stocks are semi-regular and dominant, the rest is chaotic. Aside from that we changed the utility function and checked the results.

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9

BAXTER, MARTIN. "LÉVY SIMPLE STRUCTURAL MODELS." International Journal of Theoretical and Applied Finance 10, no. 04 (June 2007): 593–606. http://dx.doi.org/10.1142/s021902490700438x.

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This paper considers credit portfolio models based on Levy processes in general, and the gamma model in particular. It describes both single-name and multi-name situations using the gamma model, along with calibration fits and a comparison of various simple Levy models. There is also extensive historical data, including the May 2005 Auto crisis, which can be described in terms of the model. Parameter-based risk management using the gamma model is also discussed along with implementation details.

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10

Levy, Sheri, Ashley Lytle, Jamie Macdonald, and MaryBeth Apriceno. "Reducing Ageism: PEACE (Positive Education about Aging and Contact Experiences) Model." Innovation in Aging 4, Supplement_1 (December 1, 2020): 647. http://dx.doi.org/10.1093/geroni/igaa057.2226.

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Abstract Drawing on interdisciplinary theorizing and research, the PEACE (Positive Education about Aging and Contact Experiences) model points to two interrelated factors that reduce ageism: providing education about aging and positive intergenerational contact experiences with older adults (Levy 2016). Evidence supporting the model will be discussed including a semester-long pre-posttest intervention with undergraduates (non-gerontology course) who learned about aging and had face-to-face and Instagram contact with older adults (Lytle, Nowacek, & Levy, 2020), brief online pre-post test experimental-control group studies with undergraduates and a community sample who learned about aging and positive intergenerational contact experiences (Lytle & Levy, 2017), and an online experimental-control group study with undergraduates who viewed brief videos addressing PEACE model components (Lytle, Macdonald, Apriceno, & Levy, under review). Across studies, PEACE model interventions promoted increased aging knowledge as well as reduced negative stereotyping of older adults, aging anxiety, and concerns about aging. Future directions will be discussed.

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11

Reible, Danny, and Sanat Mohanty. "A LEVY FLIGHT–RANDOM WALK MODEL FOR BIOTURBATION." Environmental Toxicology and Chemistry 21, no. 4 (2002): 875. http://dx.doi.org/10.1897/1551-5028(2002)021<0875:alfrwm>2.0.co;2.

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12

Reible, Danny, and Sanat Mohanty. "A levy flight-random walk model for bioturbation." Environmental Toxicology and Chemistry 21, no. 4 (April 2002): 875–81. http://dx.doi.org/10.1002/etc.5620210426.

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13

Parkkinen, Veli-Pekka. "Are Model Organisms Theoretical Models?" Disputatio 9, no. 47 (December 1, 2017): 471–98. http://dx.doi.org/10.1515/disp-2017-0015.

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AbstractThis article compares the epistemic roles of theoretical models and model organisms in science, and specifically the role of non-human animal models in biomedicine. Much of the previous literature on this topic shares an assumption that animal models and theoretical models have a broadly similar epistemic role—that of indirect representation of a target through the study of a surrogate system. Recently, Levy and Currie (2015) have argued that model organism research and theoretical modelling differ in the justification of model-to-target inferences, such that a unified account based on the widely accepted idea of modelling as indirect representation does not similarly apply to both. I defend a similar conclusion, but argue that the distinction between animal models and theoretical models does not always track a difference in the justification of model-to-target inferences. Case studies of the use of animal models in biomedicine are presented to illustrate this. However, Levy and Currie’s point can be argued for in a different way. I argue for the following distinction. Model organisms (and other concrete models) function as surrogate sources of evidence, from which results are transferred to their targets by empirical extrapolation. By contrast, theoretical modelling does not involve such an inductive step. Rather, theoretical models are used for drawing conclusions from what is already known or assumed about the target system. Codifying assumptions about the causal structure of the target in external representational media (e.g. equations, graphs) allows one to apply explicit inferential rules to reach conclusions that could not be reached with unaided cognition alone (cf. Kuorikoski and Ylikoski 2015).

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14

Wang, Ming Lu. "A Mathematical Model of Functionally Graded Materials Thin Plates and Levy Solutions." Advanced Materials Research 740 (August 2013): 574–77. http://dx.doi.org/10.4028/www.scientific.net/amr.740.574.

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The governing equation of elastic FGM thin plates was obtained by degenerating the governing equation of viscoelastic FGM thin plates. A Levy solution of a simply supported FGM rectangular plate was gotten. Based on the Levy solution, the influence of considering and ignoring mid-plane stain, due to the inhomogeneous property of the functionally graded materials, on the static responses of the functionally graded materials thin plate is investigated.

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15

Xing, Mei. "Liquidity Premiums in a Levy Market." Journal of Mathematics Research 7, no. 4 (October 27, 2015): 62. http://dx.doi.org/10.5539/jmr.v7n4p62.

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<p>This paper gives a theorem for the continuous time super-replication cost of European options where the stock price follows an exponential L\'{e}vy process.<br />Under a mild assumption on the legend transform of the trading cost function, the limit of the sequence of the discrete super-replication cost is proved to be greater than or equal to an optimal control problem.<br />The main tool is an approximation multinomial scheme based on a discrete grid on a finite time interval [0,1] for a pure jump L\'{e}vy model.<br />This multinomial model is constructed similar to that proposed by (Szimayer {\&} Maller, Stoch. Proce. {\&} Their Appl., 117, 1422-1447, 2007).<br />Furthermore, it is proved that the existence of a liquidity premium for the continuous-time model under a L\'{e}vy process.<br />This paper concentrates on the L\'{e}vy processes with infinitely many jumps in any finite time interval.<br />The approach overcomes some difficulties that can be encountered when the L\'{e}vy process has infinite activity.</p>

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16

Zulfa, Umi. "STRATEGI PENGEMBANGAN MADRASAH EFEKTIF MELALUI PENGEMBANGAN MODEL MANAJEMEN PEMBIAYAAN PENDIDIKAN MADRASAH BERBASIS ZISWA-SCHOOL LEVY." Wahana Akademika: Jurnal Studi Islam dan Sosial 3, no. 1 (May 31, 2016): 129. http://dx.doi.org/10.21580/wa.v3i1.877.

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<p><strong>Abstract</strong></p><p>Th is research was aimed at describing and explaining: (1) the implementation of Educational Financing Management at MI Ya BAKII Karangjengkol Kesugihan Cilacap, (2) analysis existing model of Educational Financing Management Based Ziswa-School Levy (Study at MI Ya BAKII Karangjengkol Kesugihan Cilacap and (3) to formulate conceptual Development Model of Educational Financing Management Based Ziswa-School Levy. Th is research to study existing objectives by using a qualitative approach and research and development from Borg and gall. Th e object of this research was the implementation of Educational Financing Management Based Ziswa-School Levy and its conceptual Development Model of Educational Financing Management Based Ziswa-School Levy in MI Ya BAKII Karangjengkol Kesugihan. Th e data were obtained by conducting a direct observation in the ? eld, in-depht interviews and documentation. The technique of data analysis was qualitative analysis of the interactive model. Th e result of the research show that: the implementation of educational financing management at MI Ya BAKII Karangjengkol Kesugihan Cilacap so acuntable, and not yet utilization ziswa as educational financing sources its rich, and sustainable.</p><p>Keyword:<em> Strategy, management, school.</em></p>

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17

Chen, Cong, Yibai Li, Guangqiao Cao, and Jinlong Zhang. "Research on Dynamic Scheduling Model of Plant Protection UAV Based on Levy Simulated Annealing Algorithm." Sustainability 15, no. 3 (January 17, 2023): 1772. http://dx.doi.org/10.3390/su15031772.

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The plant protection unmanned aerial vehicle (UAV) scheduling model is of great significance to improve the operation income of UAV plant protection teams and ensure the quality of the operation. The simulated annealing algorithm (SA) is often used in the optimization solution of scheduling models, but the SA algorithm has the disadvantages of easily falling into local optimum and slow convergence speed. In addition, the current research on the UAV scheduling model for plant protection is mainly oriented to static scenarios. In the actual operation process, the UAV plant protection team often faces unexpected situations, such as new orders and changes in transfer path costs. The static model cannot adapt to such emergencies. In order to solve the above problems, this paper proposes to use the Levi distribution method to improve the simulated annealing algorithm, and it proposes a dynamic scheduling model driven by unexpected events, such as new orders and transfer path changes. Order sorting takes into account such factors as the UAV plant protection team’s operating income, order time window, and job urgency, and prioritizes job orders. In the aspect of order allocation and solution, this paper proposes a Levy annealing algorithm (Levy-SA) to solve the scheduling strategy of plant protection UAVs in order to solve the problem that the traditional SA is easy to fall into local optimum and the convergence speed is slow. This paper takes the plant protection operation scenario of “one spray and three defenses” for wheat in Nanjing City, Jiangsu Province, as an example, to test the plant protection UAV scheduling model under the dynamic conditions of new orders and changes in transfer costs. The results show that the plant protection UAV dynamic scheduling model proposed in this paper can meet the needs of plant protection UAV scheduling operations in static and dynamic scenarios. Compared with SA and greedy best first search algorithm (GBFS), the proposed Levy-SA has better performance in static and dynamic programming scenarios. It has more advantages in terms of man-machine adjustment distance and total operation time. This research can provide a scientific basis for the dynamic scheduling and decision analysis of plant protection UAVs, and provide a reference for the development of an agricultural machinery intelligent scheduling system.

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18

Kuzmina, H. V., and M. N. Ivanov. "MODELING THE PROCESSES OF EVOLUTION OF FINANCIAL ASSETS IN THE R LANGUAGE." SOFT MEASUREMENTS AND COMPUTING 1, no. 10 (2021): 52–60. http://dx.doi.org/10.36871/2618-9976.2021.10.004.

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The paper discusses the capabilities of the R language for the visualization in modeling Levy processes – processes that currently most closely correspond to the nature of the evolution of stock price movements. R is a programming language and a free software environment for statistical data processing and graphics. Due to the possibility of direct access from R to stock values stored in the Oracle database, modeling Levy processes in the R language is an urgent task. Levy processes are used as processes describing the evolution of the logarithmic returns of financial assets in the exponential Levy model. The article proposes modeling algorithms for some Levy processes that significantly reduce the modeling time of these processes compared to previously known Levy process modeling algorithms. A significant reduction in the simulation time of the indicated processes is confirmed experimentally. A mathematical justification is presented for representing the CGMY process as the difference of two slowly growing stable independent random Levy processes. The efficient algorithm of the CGMY process simulation as a difference of the tempered stable independent Levy is processed and programmed at R language. The efficient algorithm of variance gamma process simulation using variance gamma random variables is processed and programmed at R language.

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19

Karpinskaya, T. A., and O. E. Kudryavtsev. "Methods of simulation mathematical modeling of the Russian derivatives market in modern times." Vestnik of Don State Technical University 19, no. 4 (January 3, 2020): 398–406. http://dx.doi.org/10.23947/1992-5980-2019-19-4-398-406.

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Introduction. The paper is devoted to simulation modeling. Basic methods of the simulation mathematical modeling in the derivatives market are described. A group of realistic nonGaussian Levy processes that generalize the classical BlackScholes model is considered. The work objective is to study the most efficient methods of market forecasting, as well as the software implementation of the simulation mathematical modeling technique of the Russian derivatives market based on the Levy model. This research is relevant due to the demand for applications that simulate the dynamics of financial assets and evaluate options in realistic models of the derivatives market, allowing for jumps.Materials and Methods. Basic methods for forecasting the derivatives market, methods for determining the volatility rate at a known option price, are considered. The most effective types of Levy processes for the simulation mathematical modeling of the Russian derivatives market at the present stage are highlighted. The possibilities of the Java language for the implementation of mathematical methods are considered.Research Results. A program is developed in the Java programming language that implements the Levy mathematical model, which includes Gaussian and generalized Poisson processes. The program for calculating the mathematical method is created in the free integrated application development environment NetBeans IDE to work with any operating system.Discussion and Conclusions. The result of the simulation mathematical modeling analysis has shown that the most efficient methods in the derivatives market are those based on realistic non-Gaussian Levy processes. The software implementation of such mathematical methods can be used for educational purposes. The developed application has demonstrated high quality and speed of calculations using software resources.

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20

Seferidi, Paraskevi, Anthony A. Laverty, Jonathan Pearson-Stuttard, Maria Guzman-Castillo, Brendan Collins, Simon Capewell, Martin O’Flaherty, and Christopher Millett. "Implications of Brexit on the effectiveness of the UK soft drinks industry levy upon CHD in England: a modelling study." Public Health Nutrition 21, no. 18 (October 9, 2018): 3431–39. http://dx.doi.org/10.1017/s1368980018002367.

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AbstractObjectiveAn industry levy on sugar-sweetened beverages (SSB) was implemented in the UK in 2018. One year later, Brexit is likely to change the UK trade regime with potential implications for sugar price. We modelled the effect of potential changes in sugar price due to Brexit on SSB levy impacts upon CHD mortality and inequalities.DesignWe modelled a baseline SSB levy scenario; an SSB levy under ‘soft’ Brexit, where the UK establishes a free trading agreement with the EU; and an SSB levy under ‘hard’ Brexit, in which World Trade Organization tariffs are applied. We used the previously validated IMPACT Food Policy model and probabilistic sensitivity analysis to estimate the effect of each scenario on CHD deaths prevented or postponed and life-years gained, stratified by age, sex and socio-economic circumstance, in 2021.SettingEngland.SubjectsAdults aged 25 years or older.ResultsThe SSB levy was associated with approximately 370 (95 % uncertainty interval 220, 560) fewer CHD deaths and 4490 (2690, 6710) life-years gained in 2021. Associated reductions in CHD mortality were 4 and 8 % greater under ‘soft’ and ‘hard’ Brexit scenarios, respectively. The SSB levy was associated with approximately 110 (50, 190) fewer CHD deaths in the most deprived quintile compared with 60 (20, 100) in the most affluent, under ‘hard’ Brexit.ConclusionsOur study found the SSB levy resilient to potential effects of Brexit upon sugar price. Even under ‘hard’ Brexit, the SSB levy would yield benefits for CHD mortality and inequalities. Brexit negotiations should deliver a fiscal and regulatory environment which promotes population health.

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21

Bishwal, Jaya Prakasah Narayan. "Maximum Quasi-likelihood Estimation in Fractional Levy Stochastic Volatility Model." Journal of Mathematical Finance 01, no. 03 (2011): 58–62. http://dx.doi.org/10.4236/jmf.2011.13008.

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22

Uchaikin, VV. "On levy-walk model for correlations in spatial galaxy distribution." Physics & Astronomy International Journal 3, no. 2 (March 29, 2019): 82–88. http://dx.doi.org/10.15406/paij.2019.03.00162.

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23

Liu, Meng, Meiling Deng, and Zhaojuan Wang. "Permanence of a stochastic delay competition model with Levy jumps." Journal of Nonlinear Sciences and Applications 10, no. 06 (June 27, 2017): 3245–60. http://dx.doi.org/10.22436/jnsa.010.06.36.

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24

Brank, Boštjan. "On boundary layer in the Mindlin plate model: Levy plates." Thin-Walled Structures 46, no. 5 (May 2008): 451–65. http://dx.doi.org/10.1016/j.tws.2007.11.003.

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25

Fage, Bradley, and Aleksandar Vasilev. "Understanding the Effect of a Soft Drinks Industry Levy on Consumer Well-Being in the UK: First Estimates." ECONOMICS 9, no. 1 (June 1, 2021): 25–42. http://dx.doi.org/10.2478/eoik-2021-0001.

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Abstract This paper is a first attempt to provide a quantitative evaluation of consumer well-being resulting from the UK Soft Drinks Industry Levy introduced in April 2018. Using a model setup that encompasses both a normal case and a Giffen case for sugary drinks consumption, a computational exercise is performed to quantify the welfare social loss for a variety of household incomes. The model demonstrates that the introduction of a soft drinks levy results in a non-trivial welfare loss, particularly in terms of monetary value and weight effect. We also find that the wealthiest individuals in society are affected positively by this levy, whilst the poorest segment of the population are adversely affected, especially in the presence of a binding nutritional constraint.

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Nowak, Piotr, and Maciej Romaniuk. "A fuzzy approach to option pricing in a Levy process setting." International Journal of Applied Mathematics and Computer Science 23, no. 3 (September 1, 2013): 613–22. http://dx.doi.org/10.2478/amcs-2013-0046.

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Abstract In this paper the problem of European option valuation in a Levy process setting is analysed. In our model the underlying asset follows a geometric Levy process. The jump part of the log-price process, which is a linear combination of Poisson processes, describes upward and downward jumps in price. The proposed pricing method is based on stochastic analysis and the theory of fuzzy sets.We assume that some parameters of the financial instrument cannot be precisely described and therefore they are introduced to the model as fuzzy numbers. Application of fuzzy arithmetic enables us to consider various sources of uncertainty, not only the stochastic one. To obtain the European call option pricing formula we use the minimal entropy martingale measure and Levy characteristics.

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LIU, WEIXI, and IAN TONKS. "Alternative risk-based levies in the pension protection fund for multi-employee schemes." Journal of Pension Economics and Finance 8, no. 4 (June 16, 2009): 451–83. http://dx.doi.org/10.1017/s1474747209004016.

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AbstractThis paper estimates the risks of financial distress in UK universities, and uses these estimates to examine the basis of the annual levies paid to the UK's Pension Protection Fund by the Universities Superannuation Scheme, a multi-employer scheme covering 391 universities and related institutions. The paper compares the payments between the two alternative participating arrangements for multi-employer pension schemes to the PPF, namely last-man-standing and segmented levies. Using an Ohlson (1980) logit model to predict the financial distress risk for HE institutions, we find that financially distressed institutions are smaller, with higher leverage and lower earnings. By comparing the implied financial distress probabilities from the PPF risk-based levy using USS accounts with the simulated probabilities using our logit model, we estimate whether USS levies are fairly priced. Our estimates suggest that in 2006/07 USS member institutions appeared to be paying less than the fair risk-based levy. However, this is because during the initial phase of the PPF the risk-based levies were much lower as a proportion of the total levy than the intended steady-state values. The implication is that if USS had paid the same total levy but where the risk-based component was four fifths of the total, then USS would have been paying substantially more than its fair risk-based levy. In addition, by looking at the distributions of individual university risk-based levies under a segmented PPF arrangement, we find evidence of significant cross-subsidies under the current last-man-standing levy between participating USS institutions.

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HELLTHALER, T. "THE INFLUENCE OF INVESTOR NUMBER ON A MICROSCOPIC MARKET MODEL." International Journal of Modern Physics C 06, no. 06 (December 1996): 845–52. http://dx.doi.org/10.1142/s0129183195000691.

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The stock market model of Levy, Persky, Solomon is simulated for much larger numbers of investors. While small markets can lead to realistically looking prices, the resulting prices of large markets oscillate smoothly in a semi-regular fashion.

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Andrianov, Timofey, and Anatoly Vedyayev. "Numerical simulation of spin transport in systems with complex geometry." EPJ Web of Conferences 185 (2018): 01021. http://dx.doi.org/10.1051/epjconf/201818501021.

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The spin diffusion and charge equations in Levy-Fert and Waintal models were numerically solved, using finite element method in complex non-collinear geometry with strongly inhomogeneous current flow. As an illustration, spin-dependent transport through a magnetic pillar and nonmagnetic spacer separating two magnetic layers was investigated. It is shown, that the structure with number of pillars gives a higher value of Giant Magnetoresistance (GMR) effect rather than a structure with one pillar of equivalent diameter. The inhomogeneity of spin currents, which has one of the strongest impacts on GMR effect value leads to the occurrence of spin-current vortices. Introduction of lT and lL lengths in Waintal model gives a better description of angular dependence of GMR effect rather than Levy-Fert model.

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Ku, Bon Il, Young Ho Eom, and Woon Wook Jang. "An Efficient Numerical Method for Pricing Levy Option Models : With Variance Gamma Process." Journal of Derivatives and Quantitative Studies 15, no. 2 (November 30, 2007): 1–29. http://dx.doi.org/10.1108/jdqs-02-2007-b0001.

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We study an efficient numerical method for pricing European options when the dynamics of the underlying asset are described by Levy processes. In this case. we can write a characteristic function solution for a specific Levy option model and then take its inversion numerically. Specifically we use Variance Gamma process as an example of Levy option model and consider various characteristic function representation forms of European option price such as Carr and Madan (1999), Bakshi and Madan (2000). and Lewis (2001). Fast Fourier Transform method is applied to solve the numerical inversion problem with parameters for the KOSPI 200 options data. After analysing the problems in the FFT method, we propose alternative numerical inversion method, Gaussian Quadrature. This paper reports that Gaussian Quadrature numerical inversion method with the representation form of Bakshi & Madan (2000) is more efficient and accurate than other alternatives considered in this paper.

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Cheng, Liang Liang. "The Finite Element and Experimental Analysis of the Natural Frequency of the Cantilever Sheet and Model Verification Based on Levy Method." Applied Mechanics and Materials 344 (July 2013): 132–35. http://dx.doi.org/10.4028/www.scientific.net/amm.344.132.

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The natural frequency is the inherent characteristics of the objects which would be reflected during the vibration. Firstly, obtained the calculation results of the natural frequency of the cantilever sheet, and then obtained cantilever sheet experimental values through experiments based on hammering method . According to real data and imaginary data of the experimental frequency response curve , used levy method in order to fit the natural frequency. The results show little difference among finite element values, experimental values and the values based on levy method.

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Duan, Shouwu, Wanqing Song, Carlo Cattani, Yakufu Yasen, and He Liu. "Fractional Levy Stable and Maximum Lyapunov Exponent for Wind Speed Prediction." Symmetry 12, no. 4 (April 11, 2020): 605. http://dx.doi.org/10.3390/sym12040605.

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In this paper, a wind speed prediction method was proposed based on the maximum Lyapunov exponent (Le) and the fractional Levy stable motion (fLsm) iterative prediction model. First, the calculation of the maximum prediction steps was introduced based on the maximum Le. The maximum prediction steps could provide the prediction steps for subsequent prediction models. Secondly, the fLsm iterative prediction model was established by stochastic differential. Meanwhile, the parameters of the fLsm iterative prediction model were obtained by rescaled range analysis and novel characteristic function methods, thereby obtaining a wind speed prediction model. Finally, in order to reduce the error in the parameter estimation of the prediction model, we adopted the method of weighted wind speed data. The wind speed prediction model in this paper was compared with GA-BP neural network and the results of wind speed prediction proved the effectiveness of the method that is proposed in this paper. In particular, fLsm has long-range dependence (LRD) characteristics and identified LRD by estimating self-similarity index H and characteristic index α. Compared with fractional Brownian motion, fLsm can describe the LRD process more flexibly. However, the two parameters are not independent because the LRD condition relates them by αH > 1.

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Wang, Bingjun, Hongjun Gao, and Mei Li. "Analysis of a non-autonomous mutualism model driven by Levy jumps." Discrete and Continuous Dynamical Systems - Series B 21, no. 4 (March 2016): 1189–202. http://dx.doi.org/10.3934/dcdsb.2016.21.1189.

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Wang, Qingbo, and Xiuwei Yin. "Least Squares Estimator for Vasicek Model Driven by Fractional Levy Processes." JOURNAL OF ADVANCES IN MATHEMATICS 14, no. 2 (November 1, 2018): 8013–24. http://dx.doi.org/10.24297/jam.v14i2.7839.

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In this paper, we consider parameter estimation problem for Vasicek model driven by fractional lévy processes defined We construct least squares estimator for drift parameters based on time?continuous observations, the consistency and asymptotic distribution of these estimators are studied in the non?ergodic case. In contrast to the fractional Vasicek model, it can be regarded as a Lévy generalization of fractional Vasicek model.

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Das, H. S., S. R. Das, T. Paul, A. Suklabaidya, and A. K. Sen. "Aggregate model of cometary dust: an application to comet Levy 1990XX." Monthly Notices of the Royal Astronomical Society 389, no. 2 (September 11, 2008): 787–91. http://dx.doi.org/10.1111/j.1365-2966.2008.13569.x.

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Wang, Ming-Chieh, and Li-Jhang Huang. "Pricing cross-currency interest rate swaps under the Levy market model." Review of Derivatives Research 22, no. 2 (October 16, 2018): 329–55. http://dx.doi.org/10.1007/s11147-018-9150-1.

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Wu, Hao, Pingbo Wu, Kai Xu, and Fansong Li. "Finite element model updating using crow search algorithm with Levy flight." International Journal for Numerical Methods in Engineering 121, no. 13 (February 27, 2020): 2916–28. http://dx.doi.org/10.1002/nme.6338.

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RASHDAN, M., M. ABU-SHADY, and T. S. T. ALI. "EXTENDED LINEAR SIGMA MODEL IN HIGHER ORDER MESONIC INTERACTIONS." International Journal of Modern Physics E 15, no. 01 (February 2006): 143–52. http://dx.doi.org/10.1142/s0218301306003965.

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The Gell-Mann and Levy model, as well as the Birse and Banerjee model, describe quark interactions via the exchange of σ- and π-mesons. We extend these models to include higher order mesonic interactions. The field equations were solved in the mean-field approximation and good agreement with the data for nucleon properties was obtained. Our agreement is better than that obtained by the original model of Birse and Banerjee and by other models. This indicates the importance of including higher order meson correlations.

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Contoyiannis, Y. F., and K. Eftaxias. "Tsallis and Levy statistics in the preparation of an earthquake." Nonlinear Processes in Geophysics 15, no. 3 (May 6, 2008): 379–88. http://dx.doi.org/10.5194/npg-15-379-2008.

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Abstract. Precursory fracture induced electromagnetic (EM) emissions, rooted in opening cracks and ranging from MHz to kHz, with the MHz appearing earlier, are produced and detected both at laboratory and geophysical scale. Recently, we have proposed the following two epochs/stages model of EQ generation: (i) The final kHz part is triggered by the fracture of high strength and large asperities that are distributed along the activated fault and sustain the system. (ii) The initial MHz part is thought to be due to the fracture of highly heterogeneous system that surrounds the family of asperities. Interestingly, the MHz EM time-series can be described in analogy with a thermal second order phase transition. Herein we focus on the MHz pre-seismic activity, and especially on the naturally arising question: what is the physical mechanism that organizes the heterogeneous system in its critical state? Combining ideas of Levy and Tsallis statistics and criticality with features hidden in the precursory MHz time-series we argue that a Levy walk type mechanism can organize the heterogeneous system to criticality. Based on a numerically produced truncated Levy walk, we propose a way to estimate in the stage of critical fluctuations: (i) the associated Levy index-a, which describes quantitatively the underlying Levy dynamics, and (ii) the range of values where the nonextesitive Tsallis index q is restricted. We also show that the kHz EM activity could not be described by a truncated Levy mechanism. This result further indicates an abrupt sweep of the population of asperities that sustain the system.

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Wang, Hua, and David Wheeler. "Equilibrium pollution and economic development in China." Environment and Development Economics 8, no. 3 (June 25, 2003): 451–66. http://dx.doi.org/10.1017/s1355770x030024x.

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This paper develops and estimates a structural equilibrium pollution model, in which the price and quantity of industrial pollution are jointly determined by the intersection of environmental demand and supply functions. The industrial environmental demand function relates industrial pollution intensity to the local price of pollution, while controlling for characteristics such as sector, scale, and ownership. The local environmental supply function specifies the pollution price imposed by the host community as pollution rises. The model provides a good fit to available data on provincial variations in China's pollution levy, or industrial emissions charge. Our results also suggest that Chinese industry has reduced emissions significantly in response to the levy.

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Walden, John B., Harry L. Haney, and William C. Siegel. "Federal-State Death Tax Implications for Private Nonindustrial Forest Landowners in the Northeast." Northern Journal of Applied Forestry 5, no. 2 (June 1, 1988): 135–41. http://dx.doi.org/10.1093/njaf/5.2.135.

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Abstract Tax planning is an important component of forest management. Management planning generally focuses on income and property taxes. Potential death taxes, however, are often overlooked, which can cause serious problems with the orderly transfer of forested property at death. This article examines key provisions of the federal death tax law, together with the death tax statutes of 13 northeastern states. A modal depicts the combined death tax levy—federal plus state—in these states for a specific planning strategy at the first spouse's death. A second model examines the total tax levy for three different strategies through the second spouse's death based on the property distribution at the first death. North. J. Appl. For. 5:135-141, June 1988.

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Wang, Zhu, Likai Zhao, and Xionglin Luo. "Levy-particle swarm optimization intelligent search-based iterative identification for nonparametric models of bilinear systems with Gaussian mixture noises." Transactions of the Institute of Measurement and Control 41, no. 14 (May 6, 2019): 3970–78. http://dx.doi.org/10.1177/0142331219842311.

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Motivated by the fact that the model-based robust identification has not been studied extensively, a novel iterative identification method is proposed for the nonparametric model of bilinear systems with Gaussian mixture noises. The proposed method is robust to the impulsive disturbances, and combines intelligent search techniques with robust estimation theories. Firstly, the block-oriented Wiener-Hammerstein model is adopted to achieve the fast modeling, and the Levy-particle swarm optimization intelligent search is exploited for the parameter estimation. Secondly, according to re-descending M-estimators, the weighted cost function is designed to suppress the influence of outliers. Thirdly, based on the Levy-PSO intelligent search and the weighted cost function, the iterative identification procedure is conducted to obtain the robust and accurate parameter estimates. Finally, the simulation tests demonstrate the effectiveness of the proposed model and the proposed method.

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Asmussen, Søren, Dilip Madan, and Martijn Pistorius. "Pricing equity default swaps under an approximation to the CGMY Levy model." Journal of Computational Finance 11, no. 2 (December 2007): 79–93. http://dx.doi.org/10.21314/jcf.2007.164.

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Deng, Shi-Jie, and Wenjiang Jiang. "Levy process-driven mean-reverting electricity price model: the marginal distribution analysis." Decision Support Systems 40, no. 3-4 (October 2005): 483–94. http://dx.doi.org/10.1016/j.dss.2004.05.010.

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SERRANO, RAFAEL. "PORTFOLIO ALLOCATION IN A LEVY-TYPE JUMP-DIFFUSION MODEL WITH NONLIFE INSURANCE RISK." International Journal of Theoretical and Applied Finance 24, no. 01 (February 2021): 2150005. http://dx.doi.org/10.1142/s0219024921500059.

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We propose a model that integrates investment, underwriting, and consumption/dividend policy decisions for a nonlife insurer by using a risk control variable related to the wealth-income ratio of the firm. This facilitates the efficient transfer of insurance risk to capital markets since it allows to select simultaneously investments and underwriting volume. The model is particularly valuable for business lines with significant exposure to extreme events and disaster risk, as it accounts for features usually depicted during negative economic shocks and catastrophic events, such as Levy-type jump-diffusion dynamics for the financial log-returns that are in turn correlated with insurance premiums and liabilities, as well as worst-case scenarios in which policyholders in the insurance portfolio report claims with the same severity simultaneously. Using the martingale method, we determine an optimal solvency threshold or wealth-income ratio, and investment strategy that maximizes the expected utility from dividend payouts that follows a (possibly stochastic) consumption clock. We illustrate the main results with numerical examples for log- and power-utility functions, and (bounded variation) tempered stable Levy jumps.

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Chen, Xin, Long Shao, Ming Wei Lv, and Qian Yu. "Protein Folding Prediction Based on Levy Flight Particle Swarm Optimization." Applied Mechanics and Materials 195-196 (August 2012): 435–40. http://dx.doi.org/10.4028/www.scientific.net/amm.195-196.435.

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PSO has slow convergence speed and low precision. In this paper, we combine Particle Swarm Optimization (PSO) and levy flight for the task of predicting protein folding based on the 3D off-lattice model. We introduce levy flight into PSO to improve the precision and enhance the capability of jumping out of the local optima through particle mutation mechanism.Experiments show that the proposed method outperforms other algorithms on the accuracy of calculating the protein sequence energy value, which is turned to be an effective way to analyze protein structure.

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Vadori, Nelson, and Anatoliy Swishchuk. "Inhomogeneous Random Evolutions: Limit Theorems and Financial Applications." Mathematics 7, no. 5 (May 19, 2019): 447. http://dx.doi.org/10.3390/math7050447.

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The paper is devoted to the inhomogeneous random evolutions (IHRE) and their applications in finance. We introduce and present some properties of IHRE. Then, we prove weak law of large numbers and central limit theorems for IHRE. Financial applications are given to illiquidity modeling using regime-switching time-inhomogeneous Levy price dynamics, to regime-switching Levy driven diffusion based price dynamics, and to a generalized version of the multi-asset model of price impact from distress selling, for which we retrieve and generalize their diffusion limit result for the price process.

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Murad, Muhammed A. S. "Property Claim Services by Compound Poisson Process And Inhomogeneous Levy Process." Science Journal of University of Zakho 6, no. 1 (March 28, 2018): 32. http://dx.doi.org/10.25271/2018.6.1.420.

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In this paper, stochastic compound Poisson process is employed to value the catastrophic insurance options and model the claim arrival process for catastrophic events, which were written in the loss period , during which the catastrophe took place. Here, a time compound process gives the underlying loss index before and after whose losses are revaluated by inhomogeneous exponential Levy process factor. For this paper, an exponential Levy process is used to evaluate the well-known European call option in order to price Property Claim Services catastrophe insurance based on catastrophe index.

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Hauser, Kai. "A minimal counterexample to universal baireness." Journal of Symbolic Logic 64, no. 4 (December 1999): 1601–27. http://dx.doi.org/10.2307/2586801.

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AbstractFor a canonical model of set theory whose projective theory of the real numbers is stable under set forcing extensions, a set of reals of minimal complexity is constructed which fails to be universally Baire. The construction uses a general method for generating non-universally Baire sets via the Levy collapse of a cardinal, as well as core model techniques. Along the way it is shown (extending previous results of Steel) how sufficiently iterable fine structure models recognize themselves as global core models.

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Heidrich, Tobias, Jonathan Grobe, Henning Meschede, and Jens Hesselbach. "Economic Multiple Model Predictive Control for HVAC Systems—A Case Study for a Food Manufacturer in Germany." Energies 11, no. 12 (December 11, 2018): 3461. http://dx.doi.org/10.3390/en11123461.

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The following paper describes an economical, multiple model predictive control (EMMPC) for an air conditioning system of a confectionery manufacturer in Germany. The application consists of a packaging hall for chocolate bars, in which a new local conveyor belt air conditioning system is used and thus the temperature and humidity limits in the hall can be significantly extended. The EMMPC calculates the optimum energy or cost humidity and temperature set points in the hall. For this purpose, time-discrete state space models and an economic objective function with which it is possible to react to flexible electricity prices in a cost-optimised manner are created. A possible future electricity price model for Germany with a flexible Renewable Energies levy (EEG levy) was used as a flexible electricity price. The flexibility potential is determined by variable temperature and humidity limits in the hall, which are oriented towards the comfort field for easily working persons, and the building mass. The building mass of the created room model is used as a thermal energy store. Considering the electricity price and weather forecasts as well as an internal, production plan-dependent load forecasts, the model predictive controller directly controls the heating and cooling register and the humidifier of the air conditioning system.

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