The paper outlines the use of an altemative option pricing scheme to perform statistical arbitrage in derivative markets. The method links a binomial tree to an innovative stochastic volatility model that is based on wavelets and artificial neural networks. Wavelets provide a convenient signalhoise decomposition of volatility in a non-linear feature space. Neural networks are used to infer futu...

We address the problem of mapping divide-and-conquer programs to mesh connected multicomputers with wormhole or store-and-forward routing. We propose the binomial tree as an eecient model of parallel divide-and-conquer and present two mappings of the binomial tree to the 2D mesh. Our mappings exploit regularity in the communication structure of the divide-and-conquer computation and are also se...

We consider optimal stopping problems for ambiguity averse decision makers with multiple priors. In general, backward induction fails. If, however, the class of priors is time–consistent, we establish a generalization of the classical theory of optimal stopping. To this end, we develop first steps of a martingale theory for multiple priors. We define minimax (super)martingales, provide a Doob–M...

Embedding is of great importance in the applications of parallel computing. Every parallel application has its intrinsic communication pattern. The communication pattern graph is mapped onto the topology of multiprocessor structures so that the corresponding application can be executed. To increase the reliability of parallel applications, fault-tolerant embedding is necessary. In this paper, w...

In this paper we introduce efficient parallel quadtree construction and manipulation algorithms on hypercube multiprocessors. The notion of extended binomial tree is introduced to represent the distributed quadtree structure on a hypercube. By incorporating the geometric property into the distributed quadtree structure, we devise a data assignment scheme which satisfies the multi-level adjacenc...

A communication tree is a binomial tree embedded in a hypercube, whose communication direction is from its leaves to its root. If a problem to be solved is first divided into independent subproblems, then each subproblem can be solved by one of the hypercube processors, and all the subresults can be merged into the final results through tree communication. This paper uses two random search tech...