Jimbo Claver - Academia.edu (original) (raw)

Papers by Jimbo Claver

Research paper thumbnail of Identification of a molecular system that regulates growth cone membrane potential during growth cone guidance

BMC Neuroscience, Jul 18, 2011

Research paper thumbnail of Identification and analysis of factors influencing food advertisements on buying behaviour of children in emerging consumption markets: the case study of Afghanistan

International Journal of Business and Systems Research, 2020

This study assessed impact of food advertising on purchasing behaviour of children in emerging co... more This study assessed impact of food advertising on purchasing behaviour of children in emerging consumption markets. A case study was conducted in Kabul, Afghanistan. In this research, we considered a system where children's buying behaviour was the output and food advertising and moderator variables namely age, siblings, gender, parent's influence and media type were considered as inputs. The study relied on primary data collected from 385 children aged between 5 and 15. Data were analysed with STATA 2013. The data and statistical models were tested for validity and reliability; the tests included Cronbach's alpha, Jarque-Bera, Bruesch-Pagan/Cook-Wisberg, Winsorization, Skewness and Kurtosis, Akaike information criterion (AIC), and variance inflation factor (VIF). The study found that television advertisements had the most influence on purchasing behaviour of children directly or indirectly through their parents. The study also found that the magnitude of advertising outcome on children varied based on moderator variables mentioned above.

Research paper thumbnail of A dynamical model of cancer chemotherapy with disturbance

This work proposes a controlled stochastic difference equation model of scheduling, with quadrati... more This work proposes a controlled stochastic difference equation model of scheduling, with quadratic cost criteria, for cancer chemotherapy. By reducing the problem to quadratic control optimization and introducing a random search algorithm, we seek an optimal chemotherapy schedule. Our ultimate goal is to provide more realistic solutions than previous models. To reach this goal, our model ideally kills the maximum number of cancer cells to eradicate the disease while preserving the number of normal cells. Our results show the proposed model works well for cancer chemotherapy. Our algorithm is fast and helps produce practical schedules.

Research paper thumbnail of Application of limit theorem to sum of Legendre symbols

Acta Mathematica Universitatis Comenianae, Jan 24, 2019

In this work, we make an extension of earlier results provided by Kubilus and Linnik who modelled... more In this work, we make an extension of earlier results provided by Kubilus and Linnik who modelled specific class of Brownian motions using the sums [1], where p is the sequence of odd square free numbers. Our results are relevant and can be used in a range of applications, especially when applying Monte-Carlo methods in finance and econometrics.

Research paper thumbnail of A Novel Solution to a Strategic Learning Search Problem

Research paper thumbnail of Novel Quantitative Approach for Predicting mRNA/Protein Counts in Living Cells

Applied mathematics, 2017

One of the most complex questions in quantitative biology is how to manage noise sources and the ... more One of the most complex questions in quantitative biology is how to manage noise sources and the subsequent consequences for cell functions. Noise in genetic networks is inevitable, as chemical reactions are probabilistic and often, genes, mRNAs and proteins are present in variable numbers per cell. Previous research has focused on counting these numbers using experimental methods such as complex fluorescent techniques or theoretical methods by characterizing the probability distribution of mRNAs and proteins numbers in cells. In this work, we propose a modeling based approach; we build a mathematical model that is used to predict the number of mRNAs and proteins over time, and develop a computational method to extract the noise-related information in such a biological system. Our approach contributes to answering the question of how the number of mRNA and proteins change in living cells over time and how these changes induce noise. Moreover, we calculate the entropy of the system; this turns out to be important information for prediction which could allow us to understand how noise information is generated and expanded.

Research paper thumbnail of Modelling, Simulation and Analysis of Noise in Biological Systems

Research paper thumbnail of An EA for portfolio selection over multiple investment periods with exponential transaction costs

We study a matrix representation for an EA attack on the CCPOP with transaction costs. The repres... more We study a matrix representation for an EA attack on the CCPOP with transaction costs. The representation is based on portfolio sequences which change over the investment lifetime in response to asset price changes. We show the approach is effective and that EA performance is directly related to asset price correlation. We compare the EA with a matrix hillclimber and show some common results of vector representations do not hold for a matrix one, potentially providing a step forward in performance of such algorithms.

Research paper thumbnail of Evolutionary algorithm solution of the multiple conjugacy search problem in groups, and its applications to cryptography

Groups, complexity, cryptology, 2012

We consider the multiple conjugacy search problem over a subclass of partially commutative groups... more We consider the multiple conjugacy search problem over a subclass of partially commutative groups and experimentally attack it with a genetic algorithm hybridised with a "length attack". We detail symbolic computation of words over the groups, constructing functions which measure certain statistics of those words. By experimentation, the hybrid algorithm is shown to be effective, showing that the standard conjugacy search problem is harder than the multiple conjugacy search problem for our groups. Moreover, some intuitive methods of increasing problem difficulty are overcome by the algorithm, and in fact make the problem easier to solve. We show our algorithm is efficient, comparing well with traditional approaches in groups that are statistically similar. Finally, via "approximation" of braid groups by our subclass, we consider implications of the attack on certain cryptosystems, pointing to further work in the discipline of group-theoretic cryptography.

Research paper thumbnail of Factors Influencing Optimal Budget Execution in Developing Countries

This book main goal is to develop research that aim identify the factors that influence the budge... more This book main goal is to develop research that aim identify the factors that influence the budget execution. Quantitative research method is adopted for the research and a survey iss conducted. There were 81 respondents from different ministries. The data was sorted, cleaned and analyzed using STATA13. Ordered Probit Regression model was used to analyze the data. The analysis found a positive relation between the dependent variable budget execution and independent variables. The research conducted in this book also analyzed the marginal effect of the independent variables on outcome and show the budget execution rate at highly successful 80%-90% of the dependent variable. The marginal effect analysis explained that variables such as accuracy, monitoring, coordination, foreign aid, level of bureaucracy, level of centralization are significant variables and have influential role on the budget execution.

Research paper thumbnail of A Kolmogorov-Type Stability Measure for Evolutionary Algorithms

Springer eBooks, 2011

In previous work, EAs were shown to efficiently solve certain equations over partially commutativ... more In previous work, EAs were shown to efficiently solve certain equations over partially commutative groups. The EAs depend on the values of several control parameters for success. Generally these values must be tuned to the structure of the equation or problem to be solved. Supposing suitable values are found, a natural concern is stability of the EA under random perturbation of its parameters. This work considers such a model of EA stability by defining neighbourhoods over EA parameter space and examining their properties. We define stability based upon Kolmogorov distance and analyse that distance between repeated random perturbations of parameters, forming a statistical indication of EA stability under parameter perturbation. We then analyse the model for the wider class of general EAs, meaning our model may serve as a framework for parameter optimisation and stability analysis.

Research paper thumbnail of Multivariate Option Pricing with Gaussian Mixture Distributions and Mixed Copulas

Journal of Mathematics and Statistics

Recently, it has been reported that the hypothesis proposed by the classical black Scholes model ... more Recently, it has been reported that the hypothesis proposed by the classical black Scholes model to price multivariate options in finance were unrealistic, as such, several other methods have been introduced over the last decades including the copulas methods which uses copulas functions to model the dependence structure of underlying assets. However, the previous work did not take into account the use of mixed copulas to assess the underlying assets' dependence structure. The approach we propose consists of selecting the appropriate mixed copula's structure which captures as much information as possible about the asset's dependence structure and apply a copulas-based martingale strategy to price multivariate equity options using monte Carlo simulation. A mixture of normal distributions estimated with the standard EM algorithm is also considered for modeling the marginal distribution of financial asset returns. Moreover, the Monte Carlo simulation is performed to compute the values of exotic and up and out barrier options such as worst of, spread, and rainbow options, which shows that the clayton gumble and clayton gaussian have relatively large values for all the options. Our results further indicate that the mixed copula-based approach can be used efficiently to capture heterogeneous dependence structure existing in multivariate assets, price exotic options and generalize the existing results.

Research paper thumbnail of Kalman Filtering for Stocks Price Prediction and Control

Journal of Computer Science

Stocks price analysis has been a critical area of research as the stock market is a very fluctuat... more Stocks price analysis has been a critical area of research as the stock market is a very fluctuating market. Stocks price is affected by demand and supply dynamics making it difficult to forecast the price of a stock at a particular instant. The entire idea of predicting stocks price is to gain significant profits but predicting how the stock market will perform is a difficult task to carry out. In an attempt to do this, we construct a dynamical system for the stock's price and simulate it using the Kalman filter. The dynamic tracking features of the filter here enable us to track the price of the Boeing stock. The stock price variation appears to be a maneuvering system from which we derive the state space model. Further, the robustness of the model is investigated by examining observability and controllability in the state space and proving that the system can be stabilized through state feedback. Finally, the forecasting result of 252 stock closing prices from January 01, 2021, to January 01, 2022, is provided by Kalman predictor and Python simulation. The evaluation of the prediction is done using absolute and relative error which gives relatively small values and thus makes the filter accurate for prediction.

Research paper thumbnail of Synthesis and Physicochemical Study of Methyl Ester from Black and Castor Seed Oil Admixture

American Journal of Environmental Protection, 2018

There is increasing effort in biodiesel production (fatty acid methyl ester) because of the deple... more There is increasing effort in biodiesel production (fatty acid methyl ester) because of the depleting fossil fuel resources as well as similarity in properties when compared to those of diesel fuels. Diesel engines operated on biodiesel have lower emissions of carbon monoxide, unburned hydrocarbons and air toxics than those operated on petroleum-based diesel fuel. Herein we reported the optimization of Black and Castor oils methyl esters production via KOH catalyzed transesterification under various superintended conditions. The optimum yield, temperature, catalyst concentration and reaction time found to be 97%, 60°C, 1.0% (wt of crude black/castor oil) and 45 minutes respectively. A number of the fuel properties (viscosity, specific gravity and flash point) were measured according to standard methods, and were found to conform to international standards.

Research paper thumbnail of Distribution Characterization in a Practical Moment Problem

We investigate a problem connected with the evaluation of the asymp- totic probability distributi... more We investigate a problem connected with the evaluation of the asymp- totic probability distribution function (APDFs) given from a set of nite order moments by applying the Gram-Schmidt process with the aid of computer algebra. By selecting weighting (discrete or continuous) function of similar shape to desired (APDFs), orthogonal polynomial series are obtained that are stable at high order and

Research paper thumbnail of New Prospective on Multiple Dice Rolling Game and Its Statistical Implications

American Journal of Applied Mathematics and Statistics, 2017

We present a mathematical formulation of the Multiple Dice Rolling (MDR) game and develop an adap... more We present a mathematical formulation of the Multiple Dice Rolling (MDR) game and develop an adaptive computational algorithm to simulate such game over time. We use an extended version of the well-known Chapman-Kolmogorov Equations (CKEs) to model the state transition of the probability mass function of each side of the dice during the game and represent the time-dependent propensity of the game by a simple regression process, which enable to capture the change in the expectation over time. Furthermore, we perform a quantitative analysis on the outcome of the game in a framework of Average Probability Value (APV) of appearance of a side of the dice over trials. The power of our approach is demonstrated. Our results also suggest that in the MDR game, the APV of appearance of a side of a dice can be appropriately predicted independently of the number of sides and trials.

Research paper thumbnail of Kalman Filtering for Stocks Price Prediction and Control

Journal of Computer Science, 2023

Stocks price analysis has been a critical area of research as the stock market is a very fluctuat... more Stocks price analysis has been a critical area of research as the stock market is a very fluctuating market. Stocks price is affected by demand and supply dynamics making it difficult to forecast the price of a stock at a particular instant. The entire idea of predicting stocks price is to gain significant profits but predicting how the stock market will perform is a difficult task to carry out. In an attempt to do this, we construct a dynamical system for the stock's price and simulate it using the Kalman filter. The dynamic tracking features of the filter here enable us to track the price of the Boeing stock. The stock price variation appears to be a maneuvering system from which we derive the state space model. Further, the robustness of the model is investigated by examining observability and controllability in the state space and proving that the system can be stabilized through state feedback. Finally, the forecasting result of 252 stock closing prices from January 01, 2021, to January 01, 2022, is provided by Kalman predictor and Python simulation. The evaluation of the prediction is done using absolute and relative error which gives relatively small values and thus makes the filter accurate for prediction.

Research paper thumbnail of Multivariate Option Pricing with Gaussian Mixture Distributions and Mixed Copulas

Journal of Mathematics and Statistics, 2023

Recently, it has been reported that the hypothesis proposed by the classical black Scholes model ... more Recently, it has been reported that the hypothesis proposed by the classical black Scholes model to price multivariate options in finance were unrealistic, as such, several other methods have been introduced over the last decades including the copulas methods which uses copulas functions to model the dependence structure of underlying assets. However, the previous work did not take into account the use of mixed copulas to assess the underlying assets' dependence structure. The approach we propose consists of selecting the appropriate mixed copula's structure which captures as much information as possible about the asset's dependence structure and apply a copulas-based martingale strategy to price multivariate equity options using monte Carlo simulation. A mixture of normal distributions estimated with the standard EM algorithm is also considered for modeling the marginal distribution of financial asset returns. Moreover, the Monte Carlo simulation is performed to compute the values of exotic and up and out barrier options such as worst of, spread, and rainbow options, which shows that the clayton gumble and clayton gaussian have relatively large values for all the options. Our results further indicate that the mixed copula-based approach can be used efficiently to capture heterogeneous dependence structure existing in multivariate assets, price exotic options and generalize the existing results.

Research paper thumbnail of EA stability visualization

It is well-known that Evolutionary Algorithms (EAs) are sensitive to changes in their control par... more It is well-known that Evolutionary Algorithms (EAs) are sensitive to changes in their control parameters, and it is generally agreed that too large a change may turn the EA from being successful to unsuccessful. This work reports on an experimental hybrid visualization scheme for the determination of EA stability according to perturbation of EA parameters. The scheme gives a visual representation of local neighborhoods of the parameter space according to a choice of two perturbation metrics, relating perturbations to EA performance as a variant of Kolmogorov distance. Through visualization and analysis of twelve thousand case study EA runs, we illustrate that we are able to distinguish between EA stability and instability depending upon perturbation and performance metrics. Finally we use what we have learned in the case study to provide a methodology for more general EAs.

Research paper thumbnail of О распределении арифметических функций по простому модулю

Дискретная математика, 2001

Дискретная математика том 13 ВЫПУСК 3 * 2001 УДК 511.37 О распределении арифметических функций по... more Дискретная математика том 13 ВЫПУСК 3 * 2001 УДК 511.37 О распределении арифметических функций по простому модулю © 2001 г. Э. К. Жимбо, В. Н. Чубариков В статье рассматриваются задачи, связанные с распределением значений аналогов неполных сумм Клостермана по простому модулю и их обобщений, совместному распределению квадратичных вычетов и невычетов по разным простым модулям.

Research paper thumbnail of Identification of a molecular system that regulates growth cone membrane potential during growth cone guidance

BMC Neuroscience, Jul 18, 2011

Research paper thumbnail of Identification and analysis of factors influencing food advertisements on buying behaviour of children in emerging consumption markets: the case study of Afghanistan

International Journal of Business and Systems Research, 2020

This study assessed impact of food advertising on purchasing behaviour of children in emerging co... more This study assessed impact of food advertising on purchasing behaviour of children in emerging consumption markets. A case study was conducted in Kabul, Afghanistan. In this research, we considered a system where children's buying behaviour was the output and food advertising and moderator variables namely age, siblings, gender, parent's influence and media type were considered as inputs. The study relied on primary data collected from 385 children aged between 5 and 15. Data were analysed with STATA 2013. The data and statistical models were tested for validity and reliability; the tests included Cronbach's alpha, Jarque-Bera, Bruesch-Pagan/Cook-Wisberg, Winsorization, Skewness and Kurtosis, Akaike information criterion (AIC), and variance inflation factor (VIF). The study found that television advertisements had the most influence on purchasing behaviour of children directly or indirectly through their parents. The study also found that the magnitude of advertising outcome on children varied based on moderator variables mentioned above.

Research paper thumbnail of A dynamical model of cancer chemotherapy with disturbance

This work proposes a controlled stochastic difference equation model of scheduling, with quadrati... more This work proposes a controlled stochastic difference equation model of scheduling, with quadratic cost criteria, for cancer chemotherapy. By reducing the problem to quadratic control optimization and introducing a random search algorithm, we seek an optimal chemotherapy schedule. Our ultimate goal is to provide more realistic solutions than previous models. To reach this goal, our model ideally kills the maximum number of cancer cells to eradicate the disease while preserving the number of normal cells. Our results show the proposed model works well for cancer chemotherapy. Our algorithm is fast and helps produce practical schedules.

Research paper thumbnail of Application of limit theorem to sum of Legendre symbols

Acta Mathematica Universitatis Comenianae, Jan 24, 2019

In this work, we make an extension of earlier results provided by Kubilus and Linnik who modelled... more In this work, we make an extension of earlier results provided by Kubilus and Linnik who modelled specific class of Brownian motions using the sums [1], where p is the sequence of odd square free numbers. Our results are relevant and can be used in a range of applications, especially when applying Monte-Carlo methods in finance and econometrics.

Research paper thumbnail of A Novel Solution to a Strategic Learning Search Problem

Research paper thumbnail of Novel Quantitative Approach for Predicting mRNA/Protein Counts in Living Cells

Applied mathematics, 2017

One of the most complex questions in quantitative biology is how to manage noise sources and the ... more One of the most complex questions in quantitative biology is how to manage noise sources and the subsequent consequences for cell functions. Noise in genetic networks is inevitable, as chemical reactions are probabilistic and often, genes, mRNAs and proteins are present in variable numbers per cell. Previous research has focused on counting these numbers using experimental methods such as complex fluorescent techniques or theoretical methods by characterizing the probability distribution of mRNAs and proteins numbers in cells. In this work, we propose a modeling based approach; we build a mathematical model that is used to predict the number of mRNAs and proteins over time, and develop a computational method to extract the noise-related information in such a biological system. Our approach contributes to answering the question of how the number of mRNA and proteins change in living cells over time and how these changes induce noise. Moreover, we calculate the entropy of the system; this turns out to be important information for prediction which could allow us to understand how noise information is generated and expanded.

Research paper thumbnail of Modelling, Simulation and Analysis of Noise in Biological Systems

Research paper thumbnail of An EA for portfolio selection over multiple investment periods with exponential transaction costs

We study a matrix representation for an EA attack on the CCPOP with transaction costs. The repres... more We study a matrix representation for an EA attack on the CCPOP with transaction costs. The representation is based on portfolio sequences which change over the investment lifetime in response to asset price changes. We show the approach is effective and that EA performance is directly related to asset price correlation. We compare the EA with a matrix hillclimber and show some common results of vector representations do not hold for a matrix one, potentially providing a step forward in performance of such algorithms.

Research paper thumbnail of Evolutionary algorithm solution of the multiple conjugacy search problem in groups, and its applications to cryptography

Groups, complexity, cryptology, 2012

We consider the multiple conjugacy search problem over a subclass of partially commutative groups... more We consider the multiple conjugacy search problem over a subclass of partially commutative groups and experimentally attack it with a genetic algorithm hybridised with a "length attack". We detail symbolic computation of words over the groups, constructing functions which measure certain statistics of those words. By experimentation, the hybrid algorithm is shown to be effective, showing that the standard conjugacy search problem is harder than the multiple conjugacy search problem for our groups. Moreover, some intuitive methods of increasing problem difficulty are overcome by the algorithm, and in fact make the problem easier to solve. We show our algorithm is efficient, comparing well with traditional approaches in groups that are statistically similar. Finally, via "approximation" of braid groups by our subclass, we consider implications of the attack on certain cryptosystems, pointing to further work in the discipline of group-theoretic cryptography.

Research paper thumbnail of Factors Influencing Optimal Budget Execution in Developing Countries

This book main goal is to develop research that aim identify the factors that influence the budge... more This book main goal is to develop research that aim identify the factors that influence the budget execution. Quantitative research method is adopted for the research and a survey iss conducted. There were 81 respondents from different ministries. The data was sorted, cleaned and analyzed using STATA13. Ordered Probit Regression model was used to analyze the data. The analysis found a positive relation between the dependent variable budget execution and independent variables. The research conducted in this book also analyzed the marginal effect of the independent variables on outcome and show the budget execution rate at highly successful 80%-90% of the dependent variable. The marginal effect analysis explained that variables such as accuracy, monitoring, coordination, foreign aid, level of bureaucracy, level of centralization are significant variables and have influential role on the budget execution.

Research paper thumbnail of A Kolmogorov-Type Stability Measure for Evolutionary Algorithms

Springer eBooks, 2011

In previous work, EAs were shown to efficiently solve certain equations over partially commutativ... more In previous work, EAs were shown to efficiently solve certain equations over partially commutative groups. The EAs depend on the values of several control parameters for success. Generally these values must be tuned to the structure of the equation or problem to be solved. Supposing suitable values are found, a natural concern is stability of the EA under random perturbation of its parameters. This work considers such a model of EA stability by defining neighbourhoods over EA parameter space and examining their properties. We define stability based upon Kolmogorov distance and analyse that distance between repeated random perturbations of parameters, forming a statistical indication of EA stability under parameter perturbation. We then analyse the model for the wider class of general EAs, meaning our model may serve as a framework for parameter optimisation and stability analysis.

Research paper thumbnail of Multivariate Option Pricing with Gaussian Mixture Distributions and Mixed Copulas

Journal of Mathematics and Statistics

Recently, it has been reported that the hypothesis proposed by the classical black Scholes model ... more Recently, it has been reported that the hypothesis proposed by the classical black Scholes model to price multivariate options in finance were unrealistic, as such, several other methods have been introduced over the last decades including the copulas methods which uses copulas functions to model the dependence structure of underlying assets. However, the previous work did not take into account the use of mixed copulas to assess the underlying assets' dependence structure. The approach we propose consists of selecting the appropriate mixed copula's structure which captures as much information as possible about the asset's dependence structure and apply a copulas-based martingale strategy to price multivariate equity options using monte Carlo simulation. A mixture of normal distributions estimated with the standard EM algorithm is also considered for modeling the marginal distribution of financial asset returns. Moreover, the Monte Carlo simulation is performed to compute the values of exotic and up and out barrier options such as worst of, spread, and rainbow options, which shows that the clayton gumble and clayton gaussian have relatively large values for all the options. Our results further indicate that the mixed copula-based approach can be used efficiently to capture heterogeneous dependence structure existing in multivariate assets, price exotic options and generalize the existing results.

Research paper thumbnail of Kalman Filtering for Stocks Price Prediction and Control

Journal of Computer Science

Stocks price analysis has been a critical area of research as the stock market is a very fluctuat... more Stocks price analysis has been a critical area of research as the stock market is a very fluctuating market. Stocks price is affected by demand and supply dynamics making it difficult to forecast the price of a stock at a particular instant. The entire idea of predicting stocks price is to gain significant profits but predicting how the stock market will perform is a difficult task to carry out. In an attempt to do this, we construct a dynamical system for the stock's price and simulate it using the Kalman filter. The dynamic tracking features of the filter here enable us to track the price of the Boeing stock. The stock price variation appears to be a maneuvering system from which we derive the state space model. Further, the robustness of the model is investigated by examining observability and controllability in the state space and proving that the system can be stabilized through state feedback. Finally, the forecasting result of 252 stock closing prices from January 01, 2021, to January 01, 2022, is provided by Kalman predictor and Python simulation. The evaluation of the prediction is done using absolute and relative error which gives relatively small values and thus makes the filter accurate for prediction.

Research paper thumbnail of Synthesis and Physicochemical Study of Methyl Ester from Black and Castor Seed Oil Admixture

American Journal of Environmental Protection, 2018

There is increasing effort in biodiesel production (fatty acid methyl ester) because of the deple... more There is increasing effort in biodiesel production (fatty acid methyl ester) because of the depleting fossil fuel resources as well as similarity in properties when compared to those of diesel fuels. Diesel engines operated on biodiesel have lower emissions of carbon monoxide, unburned hydrocarbons and air toxics than those operated on petroleum-based diesel fuel. Herein we reported the optimization of Black and Castor oils methyl esters production via KOH catalyzed transesterification under various superintended conditions. The optimum yield, temperature, catalyst concentration and reaction time found to be 97%, 60°C, 1.0% (wt of crude black/castor oil) and 45 minutes respectively. A number of the fuel properties (viscosity, specific gravity and flash point) were measured according to standard methods, and were found to conform to international standards.

Research paper thumbnail of Distribution Characterization in a Practical Moment Problem

We investigate a problem connected with the evaluation of the asymp- totic probability distributi... more We investigate a problem connected with the evaluation of the asymp- totic probability distribution function (APDFs) given from a set of nite order moments by applying the Gram-Schmidt process with the aid of computer algebra. By selecting weighting (discrete or continuous) function of similar shape to desired (APDFs), orthogonal polynomial series are obtained that are stable at high order and

Research paper thumbnail of New Prospective on Multiple Dice Rolling Game and Its Statistical Implications

American Journal of Applied Mathematics and Statistics, 2017

We present a mathematical formulation of the Multiple Dice Rolling (MDR) game and develop an adap... more We present a mathematical formulation of the Multiple Dice Rolling (MDR) game and develop an adaptive computational algorithm to simulate such game over time. We use an extended version of the well-known Chapman-Kolmogorov Equations (CKEs) to model the state transition of the probability mass function of each side of the dice during the game and represent the time-dependent propensity of the game by a simple regression process, which enable to capture the change in the expectation over time. Furthermore, we perform a quantitative analysis on the outcome of the game in a framework of Average Probability Value (APV) of appearance of a side of the dice over trials. The power of our approach is demonstrated. Our results also suggest that in the MDR game, the APV of appearance of a side of a dice can be appropriately predicted independently of the number of sides and trials.

Research paper thumbnail of Kalman Filtering for Stocks Price Prediction and Control

Journal of Computer Science, 2023

Stocks price analysis has been a critical area of research as the stock market is a very fluctuat... more Stocks price analysis has been a critical area of research as the stock market is a very fluctuating market. Stocks price is affected by demand and supply dynamics making it difficult to forecast the price of a stock at a particular instant. The entire idea of predicting stocks price is to gain significant profits but predicting how the stock market will perform is a difficult task to carry out. In an attempt to do this, we construct a dynamical system for the stock's price and simulate it using the Kalman filter. The dynamic tracking features of the filter here enable us to track the price of the Boeing stock. The stock price variation appears to be a maneuvering system from which we derive the state space model. Further, the robustness of the model is investigated by examining observability and controllability in the state space and proving that the system can be stabilized through state feedback. Finally, the forecasting result of 252 stock closing prices from January 01, 2021, to January 01, 2022, is provided by Kalman predictor and Python simulation. The evaluation of the prediction is done using absolute and relative error which gives relatively small values and thus makes the filter accurate for prediction.

Research paper thumbnail of Multivariate Option Pricing with Gaussian Mixture Distributions and Mixed Copulas

Journal of Mathematics and Statistics, 2023

Recently, it has been reported that the hypothesis proposed by the classical black Scholes model ... more Recently, it has been reported that the hypothesis proposed by the classical black Scholes model to price multivariate options in finance were unrealistic, as such, several other methods have been introduced over the last decades including the copulas methods which uses copulas functions to model the dependence structure of underlying assets. However, the previous work did not take into account the use of mixed copulas to assess the underlying assets' dependence structure. The approach we propose consists of selecting the appropriate mixed copula's structure which captures as much information as possible about the asset's dependence structure and apply a copulas-based martingale strategy to price multivariate equity options using monte Carlo simulation. A mixture of normal distributions estimated with the standard EM algorithm is also considered for modeling the marginal distribution of financial asset returns. Moreover, the Monte Carlo simulation is performed to compute the values of exotic and up and out barrier options such as worst of, spread, and rainbow options, which shows that the clayton gumble and clayton gaussian have relatively large values for all the options. Our results further indicate that the mixed copula-based approach can be used efficiently to capture heterogeneous dependence structure existing in multivariate assets, price exotic options and generalize the existing results.

Research paper thumbnail of EA stability visualization

It is well-known that Evolutionary Algorithms (EAs) are sensitive to changes in their control par... more It is well-known that Evolutionary Algorithms (EAs) are sensitive to changes in their control parameters, and it is generally agreed that too large a change may turn the EA from being successful to unsuccessful. This work reports on an experimental hybrid visualization scheme for the determination of EA stability according to perturbation of EA parameters. The scheme gives a visual representation of local neighborhoods of the parameter space according to a choice of two perturbation metrics, relating perturbations to EA performance as a variant of Kolmogorov distance. Through visualization and analysis of twelve thousand case study EA runs, we illustrate that we are able to distinguish between EA stability and instability depending upon perturbation and performance metrics. Finally we use what we have learned in the case study to provide a methodology for more general EAs.

Research paper thumbnail of О распределении арифметических функций по простому модулю

Дискретная математика, 2001

Дискретная математика том 13 ВЫПУСК 3 * 2001 УДК 511.37 О распределении арифметических функций по... more Дискретная математика том 13 ВЫПУСК 3 * 2001 УДК 511.37 О распределении арифметических функций по простому модулю © 2001 г. Э. К. Жимбо, В. Н. Чубариков В статье рассматриваются задачи, связанные с распределением значений аналогов неполных сумм Клостермана по простому модулю и их обобщений, совместному распределению квадратичных вычетов и невычетов по разным простым модулям.