IAMINSTITUTE OF APPLIED MATHEMATICS

Reliability and Mean Residual Life Functions of Coherent Systems in an Active Redundancy

Konul Bayramoglu Kavlak

Department of Actuarial Sciences

Hacettepe University

Invited by: Bülent Karasözen

Place: IAM S212

Date/Time: 02.05.2017 -15.40

Abstract: In this talk the reliability and the mean residual life (MRL) functions of a system with active redundancies at the component and system levels are investigated. In active redundancy at the component level, the original and redundant components are working together and lifetime of the system is determined by the maximum of lifetime of the original components and their spares. In the active redundancy at the system level,the system has a spare, and the original and redundant systems work together. The lifetime of such a system is then the maximum of lifetimes of the system and its spare. The lifetimes of the original component and the spare are assumed to be dependent random variables. Key words. Coherent system, reliability function, active redundancy, bivariate order statistics, MRL functions.

Kendiliğindenlik ve Tasarım Ekseninde Oyunlar Kuramı
Semih Koray
Bilkent Üniversitesi 
Ekonomi Bölümü
Place: IAM S212
Date/Time: 25.04.2017/ 16:00-17:00
Abstract: Oyunlar kuramı, genellikle Oskar Morgenstern ve John von Neumann’ın 1944’te yayımlanan “Game Theory and Economic Behavior” başlıklı  itabıyla başlatılır. Daha önceleri aralarında Emil Borel ve J. von Neumann’ın da bulunduğu kimi matematikçiler tarafından oyunlar kuramı kapsamında değerlendirilebilecek çalışmalar yapılmıştır. Ama önemli teoremleri olmayan bir alan, matematikte “özerkliğini” ilan edemez. Oyunlar kuramının ilk önemli teoremi, von Neumann’ın Minimaks Teoremi’dir. John Nash’in doktora tezini oluşturan “işbirliksiz dengelerin varlığı” teoremi de, oyunlar kuramının doğuş sürecinin bir parçasıdır. Princeton Üniversitesi Matematik Bölümü’nde hayata gelmiş olan oyunlar kuramından, doğumunu izleyen ilk yıllarda, diferansiyel ve
integral hesabın Newton kuramına yaptığı katkının bir benzerini iktisat kuramına yapması beklenmekteydi. İktisadi aktörlerin tam rekabet altında kendiliğinden davranışlarına ilişkin bu beklentinin gerçekleştiği söylenemez. Öte yandan, oyunlar kuramı tasarım açısından yeni ufuklara yol açmıştır. Bu konuşmada oyunlar kuramının geleceğine ilişkin öngörüler, kendiliğindenlik ve tasarım ekseninde ele alınacaktır.

External Imbalances in Turkish Economy

Esma Gaygısız

Department of Economics

Middle East Technical University



Place: IAM S212

Date/Time: 18.04.2017 -15.40

Abstract:External imbalances have a crucial role in Turkish economy characterized by chronic current account and financial account deficits. The magnitudes of these crucial deficits, especially relative to the capability of the economy to cover these deficits, have had an increasing trend since 2002. The increasing dependency of the economy on external funds stands in stark contrast to its stagnant and even declining capability to pay back its obligations. This study investigates the compositions of Turkey’s external imbalances and relates these imbalances to the changing sectoral configuration and patterns of its production structures as well as its consumption directions.

Short Biography of the Presenter

Esma Gaygısız is an associate professor in the Department of Economics in Middle East Technical University (METU) in Ankara. She obtained her Doctor of Philosophy Degree in Economics and Econometrics from University of Manchester in United Kingdom. She received Master of Economics and Baccalaureate degrees from the Department of Economics, METU. Recently, she visited Norwegian University of Science and Technology between 2012-2014. In a crisis prone world, she concentrates on the links between real sectors and financial structures which constitute a vital dimension in understanding all economies in good and bad times. She studies on how real sector activities shape the financial outcomes and how distinct financial structures affect real sectors’ production characteristics and quantities.

Using Ultra High Frequency Data for Integrated Variance Estimation: Gathering Evidence on Market Microstructure Noise

İnci Esen Kılıçkaya

Place: IAM S-211

Date / Time: 14.04.2017 / 10.00

Abstract. On the one hand, as a result of the more ready availability of ultra high frequency data (UHFD), realized volatility (RV) measures became popular in the finance literature since in theory, sampling at increasingly higher frequencies should lead to, in the limit, a consistent estimator of the integrated return volatility (IV) for Ito-semimartingale asset prices. On the other hand, when the observed prices are contaminated with an additive market microstructure noise (MMN), an asymptotic bias appears, and, therefore, it becomes necessary to mitigate the effect of MMN in the estimation of IV. The success of the available methods in the literature to suppress the MMN effects must be considered only if the empirical evidence backs the assumptions underlying the methods developed for handling the MMN. On this issue, we realize that the empirical evidence on the MMN structure should be collected taking into account the dimensions of volatility estimation using high frequency data as these dimensions may impair the validity of methods adopted to handle the MMN in the first place. Accordingly, in this thesis, first we provide a complete discussion of the dimensions of volatility estimation using UHFD, Next, we prove that the formal tests regarding the existence of MMN and the constant variance of MMN increments originally developed under calendar time sampling also can be used under transaction time sampling. Third, we propose a new approach to measuring the liquidity of stocks in a high frequency setting. Finally, by using tick data from Borsa İstanbul National Equity Market for a period of 6 months, we show that (i) the data handling procedures as various combinations of cleaning and aggregation methods do not distort UHFD’s original traits, (ii) the return dynamics in transaction time are different from those in calendar time, (iii) the RV dynamics are affected by the sampling scheme and liquidity but not by the data handling methods, (iv) volatility signature plots point to the existence of the MMN and suggest a positive relationship between the noise increment and the true price return, valid in all possible dimensions (sampling scheme, liquidity, data handling methods, and session-based or daily calculations), (v) MMN exhibits statistically significant existence under both CTS and TTS for all stocks, however, liquidity and data handling methods matter under TTS in terms of rejection rates of the null hypothesis that  MMN statistically does not exist, (vi) formal tests on the existence of MMN offer positive correlation between noise and efficient price, (vii) liquidity and sampling schemes are very influential on the rejection of the null hypothesis that the MMN increments have constant variance independent of the sampling frequency, in particular, under CTS, (assuming i.i.d MMN with constant variance is proper for frequencies lower than 1 min but under TTS, this assumption fails especially for liquid stocks), (viii) data handling has suppressive effects under TTS on the rejection percentages regarding the null hypothesis that the MMN increments have constant variance independent of sampling frequency.

 

Keywords: Integrated Variance, Realized Volatility, Market Microstructure Noise, Sampling Schemes, Data Handling Methods, Liquidity in High Frequency Finance


Bounded Component Analysis: An Algorithmic Framework  for Blind Separation of Independent and Dependent Sources

Alper Erdoğan

Department of Electrical-Electronics Engineering 

Koç University

Invited by: Bülent Karasözen

Place: IAM S212

Date/Time: 11.04.2017 -15.40

Abstract: In many scientific experiments and engineering applications, measurements can be modeled as linear mixtures of  desired source signals, while the mixing system is unknown. The goal in Blind Source Separation (BSS) is to process these measurement sequences in an unsupervised manner to learn the inverse of the mixing  system, potentially by ​exploiting some side information about the sources. Most popular solution to BSS problem is Independent Component Analysis (ICA) which assumes that the sources are mutuallly statistically independent.  The fact that strong independence assumption may not hold in various scenarios has led to search for new frameworks that are capable of separating dependent sources.

 

Bounded Component Analysis (BCA) is a recent algorithmic BSS framework introduced in this direction. BCA can be considered as an extension of  the ICA framework  where the boundedness of sources is exploited to replace independence assumption with a weaker ``domain separability'' assumption. As a result BCA algorithms can be used to separate dependent as well as independent  signals from their linear mixtures.  In this talk, I'll introduce a geometric approach for developing instantaneous and convolutive BCA algorithms.  Furthermore, I'll illustrate the potential benefits of the corresponding BCA algorithms through different application examples.

 

This is a joint work with Huseyin A. Inan. and Eren Babatas


Short Bio


Alper T, Erdogan received his B.S.(93) in EE from Middle East Technical University in Turkey, M.S. (95) and Ph.D.(99) in EE from Stanford University. He worked as a principal research engineer in Globespan-Virata (formerly Excess Bandwidth) in Santa Clara CA during 1999-2001. In 2002, he joined Electrical-Electronics Engineering Department of Koc University in Istanbul, Turkey where he is currently an associate professor. Dr. Erdogan served as an associate editor for IEEE Transactions on Signal Processing and as a member of IEEE Signal Processing Theory and Methods Technical Committee. He is a recipient of TUBITAK Encouragement Award, Werner Von Siemens Award and Turkish Academy of Sciences Outstanding Young Scholar Award. His research interest is on Adaptive Signal Processing, Machine Learning, Communication Systems, Computational Neuroscience and Convex Optimization Applications.

A. N. Kolmogorov ve Olasılık Teorisine Katkıları

Tahir Hanalioğlu (Khaniyev)

TOBB Ekonomi ve Teknoloji Üniversitesi
Endüstri Mühendisliği Bölüm Başkanı


Click for Presentation PDF

Place: IAM - S212

Date / Time:  28.03.2017 / 15:40

Abstract: Sunumda 20. yüzyılın en büyük matematikçisi sayılan A.N. Kolmogorovun hayatından parçalar anlatılacaktır. Ayrıca, olasılık teorisinin oluşumundaki kıyaslanamaz katkıları vurgulanacaktır. Bununla birlikte, konuşmacı Lomonosov Moskova Devlet Üniversitesi Matematik Bölümündeki öğrencilik yıllarındaki Kolmogrov ile ilgili anılarını paylaşacaktır.

Spatial Analysis of Residentıal Prices in ISTANBUL

Hilal Esin Coskun
Institute of Applied Mathematics

Place: IAM S212
Date/Time:  28.03.2017 -14.40
Abstract:  The main aim of this research is to examine the spatial distribution of housing prices at the metropolian and at the district level of Istanbul. At the metropolian level, the most important factors which affect housing prices are sub-market, floor area and sea view. At the district level, housing prices vary from district to district according to locational, socio-economic and property characteristics. High-income sub-markets have higher coefficient of determinations and more significant variables than low income sub-markets. Furthermore, the results suggest that planned districts have higher housing prices; thus, restructuring squatter areas and revitalizing inner city areas provide not only benefits to individuals but also higher tax revenues to the city.

Pricing Risk and Risk Premium in Flood Insurance
Kerim Mert Erozden
Institute of Applied Mathematics

Place: IAM S212
Date/Time:  28.03.2017 -14.40
Abstract: Flood is one of the natural disasters that can be specifically insured.To estimate the risk of floodplain, hydrology studies gives useful data.In this study two hydrology studies are used which are AVV and VNK. To project the risk Monte Carlo Simulation method and for pricing the risk bayesian inference method is used. In this presentation, flood insurance pricing techniques will be briefly defined.

The Nature of Life Insurance
Esin Bilgin
Institute of Applied Mathematics

Place: IAM S212
Date/Time:  21.03.2017 -14.40
Abstract: Life insurance is one of the important insurance type since death is an inevitable and unpredictablefor us. Also, the life of a person may depend on lives of others financially. Life insurance is a protection against financial loss if insured dies. Therefore, life insurance is significant type ofinsurance. In this presentation, we will briefly define life insurance then explain the nature of life insurance and discuss life insurance in Turkey.

History of Cryptography
Yalin Yalcin
Institute of Applied Mathematics

Place: IAM S212
Date/Time:  21.03.2017 -14.40
Abstract: People have been trying to communicate with each other and hide the information which are believed to be kept as secret from the third parties by the help of the predecided ciphers. In the modern age, which is called as the age of information, ciphers have a great importance both in the areas of finance and military. States spend money in order to acquire the information and to keep them confidential. Finance institutions spend money to keep the personal informations of their clients. In this presentation, historical development of cryptograpghy will be examined.