We decompose financial return series via wavelets into different time scales to analyse their information content regarding the volatility of the returns. Moreover, we investigate the information of each scale and discuss the decomposition of daily Value-at-Risk (VaR) forecasts. By an extensive empirical analysis, we analyse financial assets in calm and turmoil market times and show that daily ...

This paper presents the work of the MMIS group done at ImageCLEF 2009. We submitted five different runs to the Photo Annotation task. These runs were based on two non-parametric density estimation models. The first one evaluates a set of visual features and proposes a better, weighted set of features. The second approach uses keyword correlation to compute semantic similarity measures using sev...

We develop and test an integrated forecasting and stochastic programming approach to workforce management in call centers. We first demonstrate that parametric forecasts can be used to drive stochastic programs whose results are stable with relatively small numbers of scenarios. We then extend our approach to include forecast updates and two-stage stochastic programs with recourse and provide a...

We develop and test an integrated forecasting and stochastic programming approach to workforce management in call centers. We first demonstrate that parametric forecasts can be used to drive stochastic programs whose results are stable with relatively small numbers of scenarios. We then extend our approach to include forecast updates and two-stage stochastic programs with recourse and provide a...

In this paper we test computationally the performance of CAPM in an evolutionary setting. In particular we study the stability of wealth distribution in a financial market where some traders invest as prescribed by CAPM and others behave according to different portfolio rules. Our study is motivated by recent analytical results that show that, whenever a logarithmic utility maximiser enters the...

This paper evaluates and compares the direct effects of two Swedish active labour market programmes for youth, namely youth practice and labour market training. Effectiveness of the programmes is measured by subsequent annual earnings, re-employment probability, and probability of regular education. A non-parametric matching approach based on conditional independence assumption is applied to es...

IML is a simple markup language that extends HTML. IML makes it practical for even unskilled authors to produce multiversion Web pages. The form and content of a particular version of a page are determined by the settings of a collection of parameters that specify (for example) layout, in terms of font and size, color, and background color; they can determine sections to be included or omitted,...

Gradual type systems offer the possibility of migrating programs in dynamically-typed languages to more statically-typed ones. There is little evidence yet that large, real-world dynamically-typed programs can be migrated with a large degree of automation. Unfortunately, since these systems typically lack principal types, fully automatic type inference is beyond reach. To combat this challenge,...