Search results for: expectile
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 2

Search results for: expectile

2 Bayesian Value at Risk Forecast Using Realized Conditional Autoregressive Expectiel Mdodel with an Application of Cryptocurrency

Authors: Niya Chen, Jennifer Chan

Abstract:

In the financial market, risk management helps to minimize potential loss and maximize profit. There are two ways to assess risks; the first way is to calculate the risk directly based on the volatility. The most common risk measurements are Value at Risk (VaR), sharp ratio, and beta. Alternatively, we could look at the quantile of the return to assess the risk. Popular return models such as GARCH and stochastic volatility (SV) focus on modeling the mean of the return distribution via capturing the volatility dynamics; however, the quantile/expectile method will give us an idea of the distribution with the extreme return value. It will allow us to forecast VaR using return which is direct information. The advantage of using these non-parametric methods is that it is not bounded by the distribution assumptions from the parametric method. But the difference between them is that expectile uses a second-order loss function while quantile regression uses a first-order loss function. We consider several quantile functions, different volatility measures, and estimates from some volatility models. To estimate the expectile of the model, we use Realized Conditional Autoregressive Expectile (CARE) model with the bayesian method to achieve this. We would like to see if our proposed models outperform existing models in cryptocurrency, and we will test it by using Bitcoin mainly as well as Ethereum.

Keywords: expectile, CARE Model, CARR Model, quantile, cryptocurrency, Value at Risk

Procedia PDF Downloads 71
1 The Asymmetric Proximal Support Vector Machine Based on Multitask Learning for Classification

Authors: Qing Wu, Fei-Yan Li, Heng-Chang Zhang

Abstract:

Multitask learning support vector machines (SVMs) have recently attracted increasing research attention. Given several related tasks, the single-task learning methods trains each task separately and ignore the inner cross-relationship among tasks. However, multitask learning can capture the correlation information among tasks and achieve better performance by training all tasks simultaneously. In addition, the asymmetric squared loss function can better improve the generalization ability of the models on the most asymmetric distributed data. In this paper, we first make two assumptions on the relatedness among tasks and propose two multitask learning proximal support vector machine algorithms, named MTL-a-PSVM and EMTL-a-PSVM, respectively. MTL-a-PSVM seeks a trade-off between the maximum expectile distance for each task model and the closeness of each task model to the general model. As an extension of the MTL-a-PSVM, EMTL-a-PSVM can select appropriate kernel functions for shared information and private information. Besides, two corresponding special cases named MTL-PSVM and EMTLPSVM are proposed by analyzing the asymmetric squared loss function, which can be easily implemented by solving linear systems. Experimental analysis of three classification datasets demonstrates the effectiveness and superiority of our proposed multitask learning algorithms.

Keywords: multitask learning, asymmetric squared loss, EMTL-a-PSVM, classification

Procedia PDF Downloads 74