Weighted-indexed semi-Markov model: calibration and application to financial modeling

Application of Hidden Markov Models and Hidden Semi-Markov Models to Financial Time Series

Modeling and Pricing of Variance and Volatility Swaps for Local Semi-Markov Volatilities in Financial Engineering

We consider a semi-Markov modulated security market consisting of a riskless asset or bond with constant interest rate and risky asset or stock, whose dynamics follow gemoetric Brownian motion with volatility that depends on semi-Markov process. Two cases for semi-Markov volatilities are studied: local current and local semi-Markov volatilities. Using the martingale characterization of semi-Mar...

Hidden Semi-markov Model for Detecting Application Layer Ddos Attacks

Distributed denials of Service attacks (DDoS) have become one of the major threat on the internet. Most defence methods are focused on detecting DDoS attack on IP & TCP layer instead of application layer. With profiling of web browsing behaviour, the sequence order of web page request can be used for detecting Application layer DDoS (App_DDoS) attacks. Based on Hidden semi-Markov model (HsMM) ,...

Recurrent Hidden Semi-markov Model

Segmentation and labeling of high dimensional time series data has wide applications in behavior understanding and medical diagnosis. Due to the difficulty of obtaining a large amount the label information, realizing this objective in an unsupervised way is highly desirable. Hidden Semi-Markov Model (HSMM) is a classical tool for this problem. However, existing HSMM and its variants typically m...

construction and validation of translation metacognitive strategy questionnaire and its application to translation quality

like any other learning activity, translation is a problem solving activity which involves executing parallel cognitive processes. the ability to think about these higher processes, plan, organize, monitor and evaluate the most influential executive cognitive processes is what flavell (1975) called “metacognition” which encompasses raising awareness of mental processes as well as using effectiv...