Data Analysis and Related Applications 4

Yiannis Dimotikalis is Assistant Professor of Quantitative Methods in the Department of Management Science and Technology at Hellenic Mediterranean University, Greece.Christos H. Skiadas was the Founder and Director of Data Analysis and Forecasting and Former Vice-Rector at the Technical University of Crete, Greece. He is the Chair of the Applied Stochastic Models and Data Analysis conference series.

• Chapter 1. On the First-Passage Area of a One-Dimensional Diffusion Process with Stochastic Resetting 1Mario ABUNDO1.1. Formulation of the problem and general results 11.2. Brownian motion with resetting 51.3. Drifted Brownian motion with resetting 151.4. References 17Chapter 2. Statistical Analysis of Groundwater Level in Slovakia 19Dominika SONAK BALLOVA, Jana KALICKA and Michaela CERVENANSKA2.1. Introduction 192.2. Data and methods 202.3. Results 252.4. Conclusion 272.5. Acknowledgment 282.6. References 28Chapter 3. Stochastic Processes Associated with Fully Nonlinear Parabolic Equations Arising in Financial Mathematics 29Yana BELOPOLSKAYA and Andrey CHUBATOV3.1. Semilinear and fully nonlinear PDEs 293.2. BSDE, FBSDE and deep learning algorithms 343.3. Acknowledgments 423.4. References 42Chapter 4. An Improved Shape Parameter Estimation Method for the Pareto Model 45Frederico CAEIRO and Ayana MATEUS4.1. Introduction 454.2. Estimators under study 474.3. An algorithm for selection of the control parameter of the LGPWM shape parameter estimator 504.4. Numerical results 514.5. Conclusion 544.6. Acknowledgments 554.7. References 55Chapter 5. BSDE-θ Scheme for the Heston Model: Valuation of American Options 57Marko DIMITROV, Abigail BERTA, Achref BACHOUCH, Christian EWALD and Ying NI5.1. Background 575.2. BSDE numerical schemes 595.3. Numerical experimental studies: valuation of American options 685.4. Conclusion and future work. 725.5. References 72Chapter 6. Age-replacement Policy for Series Systems Under Parameter Uncertainty in Lifetime Distribution 75Kentaro FUJIOKA, Ying NI and Lu JIN6.1. Introduction 756.2.The model 786.3. Optimization 816.4. Numerical example 866.5. Conclusion 896.6. References 90Chapter 7. New Bicluster Algorithm for Trading 93Gloria GHENO7.1. Introduction 937.2. Fuzzy logic and trading rules 987.3. Sentiment analysis, trading indicators and fuzzy rules 1047.4. Conclusion 1067.5. References 107Chapter 8. A Flexible Generalization of the Latent Dirichlet Allocation 109Alice GIAMPINO, Roberto ASCARI and Sonia MIGLIORATI8.1. Introduction 1098.2. Distributions on the simplex 1118.3. Latent topic models 1138.4. Collapsed Gibbs sampling 1148.5. Simulation study 1178.6. References 122Chapter 9. Extreme Value Parameters Estimation: An Overview 123Dora Prata GOMES and M. Manuela NEVES9.1. Introduction and overview of extreme value theory 1239.2. Some parameters of interest in EVT 1269.3. EVI and EI estimation 1279.4. Extreme quantile estimation 1309.5. Application to the daily mean flow discharge in river Tejo 1329.6. Conclusion and work in progress 1359.7. Acknowledgments 1359.8. References 135Chapter 10. Some Properties on Optimal Maintenance Policies for k-out-of-n:G Systems Considering Imperfect Repair with Controllable Repair Levels 139Sota IKENOYA and Lu JIN10.1. Introduction 13910.2. System description 14110.2.1. Deterioration state 14110.2.2. Maintenance actions 14210.3. Total expected discounted cost 14210.4. Optimization of maintenance policy 14410.5. Numerical studies 14910.6. Conclusion 15410.7. References 155Chapter 11. Stochastic Orders and Reliability Properties for the Deficit at Ruin and Bounds for the Laplace Transform of a Compound Geometric Distribution 157Lazaros KANELLOPOULOS and Konstantinos POLITIS11.1. Introduction 15711.2. Model description and results 15911.3. Bounds for the LT of the maximal aggregate loss 16211.4. Examples 16311.5. References 165Chapter 12. A New Family of Continuous Univariate Distributions with Applications in Actuarial Science 167Markos V. KOUTRAS and Spiros D. DAFNIS12.1. Introduction 16712.2. Definitions and notations 16912.3. Probability bounds 17312.4. Aging properties and unimodality 17612.5. Tail behavior of Dg+(h) 18012.6. Conclusion 18112.7. Acknowledgment 18112.8. References 181Chapter 13. Simple Form of Probability Density Functions via Sampling 183Maria LEDAKI and Myrto PAPAGEORGIOU13.1. Introduction 18313.2. The sense and the method 18413.3. Using sampling data 18713.4. Results and discussion 19113.5. References 192Chapter 14. Optimizing Financial Trading Strategies Using Dynamic Bayesian Networks 193Karl LEWIS, Mark Anthony CARUANA and David Paul SUDA14.1. Introduction 19314.2. Theoretical framework 194arameters 20114.3. Methodology of analysis and results 20314.4. Conclusion 20614.5. References 207Chapter 15. Quantitative Methods for Analysing the Risk and Timing of Bankruptcy of Small and Medium Enterprises 209Francesca PIERRI and Chrys CARONI15.1.Introduction 20915.2. Approaches to statistical modeling 21015.3. Imbalanced data 21115.4. Competing risks 21415.5. Conclusion 21815.6. References 219Chapter 16. Network of Adaptive Frequency Oscillators in a Ballistic, Non-Gaussian, Noisy Environment 223Julio RODRIGUEZ16.1. Introduction 22316.2. Dynamics of the network 22416.3. Analyzing the dynamics 22616.4. Numerical simulations 23116.5. Discussion and perspectives 23316.6. Appendices 23416.7. References 249Chapter 17. Penalised Regression Adaptations of the Longstaff-Schwartz Algorithm for Pricing American Options 251David Paul SUDA, Monique BORG INGUANEZ and Lara CILIA17.1. Introduction 25217.2. The Longstaff-Schwartz algorithm and proposed extensions 25317.3. Stochastic processes in finance and relevant theoretical considerations 25517.4. Simulation design 25717.5. Results 25917.6. Conclusion 26317.7. References 264Chapter 18. International Auditing Standards and Their Contribution to the Limitation of Accounting Fraud 267Efthalia TABOURATZI and Leonidas FANOURAKIS18.1. Introduction 26718.2. Literature review 26918.3. Empirical analysis 27718.4. Conclusion 29218.5. References 292Chapter 19. Equivariant Robust Estimators for Moment Condition Models 295Aida TOMA, Amor KEZIOU, Luiza BADIN and Silvia DEDU19.1. Introduction 29519.2. Robust estimators for moment condition models 29719.3. Equivariance of robust minimum empirical divergence estimators 30119.4. Acknowledgments 30519.5. References 305Chapter 20. Continuous Increasing Probability Density Functions: An Approach Through Sampling 309Maria TSIFOUTIDOU and Nikolaos FARMAKIS20.1. Introduction 30920.2. Theoretical approach 31020.3. Examples for illustration 31220.4. Results and discussion 31520.5. References 315Chapter 21. The Importance of the Initial Selection of Suppliers in the Food Service Divisions of Hotels, the Current Situation in the Supply Chain of Greece 317Konstantinos VASILAKAKIS, Efthalia TABOURATZI and Despoina SDRALI21.1. Introduction 31721.2. Literature review 31921.3. Benefits of supply chain management 32021.4. Research methodology 32121.5. Data analysis 32221.6. Discussion. 33121.7. Conclusion 33221.8. References 332Chapter 22. Compliance with IUU Fisheries of Manila Clams in the Tagus Estuary 337Margarida XAVIER, Ana LORGA DA SILVA and Paula CHAINHO22.1. Introduction 33822.2. Research methodology 34122.3. Analysis and interpretation of results 34322.4. Conclusion 35022.5. Acknowledgments 35122.6. References 351Chapter 23. The Expectation of a Mixed Moving Average Process Subject to Ambiguous Lévy Basis 355Hidekazu YOSHIOKA and Yumi YOSHIOKA23.1. Introduction 35523.2. supOU process 35623.3. Optimization problems 35823.4. Application 36323.5. Conclusion 36723.6. Acknowledgments 36823.7. References 368List of Authors 371Index 377