Global ETD Search

11	Hierarchical Portfolio Allocation with Community Detection / Hierarkisk Portföljallokering med Community Detection Fatah, Kiar, Nazar, Taariq January 2022 (has links) Traditionally, practitioners use modern portfolio theory to invest optimally. Its appeal lies in its mathematical simplicity and elegance. However, despite its beauty, the theory it is plagued with many problems, which are in combination called the Markowitz curse. Lopéz de Prado introduced Hierarchical Risk Parity (HRP), which deals with the problems of Markwitz’s theory by introducing hierarchical structures into the portfolio allocation step.This thesis is a continuation of the HRP. In contrast to De Prado’s work, we build hierarchical clusters that do not have a predetermined structure and also use portfolio allocation methods that incorporates the mean estimates. We use an algorithm called community detection which is derived from graph theory. The algorithm generates clusters purely from the data without user specification. A problem to overcome is the correct identification of the market mode, whichis non-trivial for futures contracts. This is a serious problem since the specific clustering method we use hinges on correctly identifying this mode. Therefore, in this thesis we introduce a method of finding the market mode for futures data. Finally, we compare the portfolios constructed from the hierarchical clusters to traditional methods. We find that the hierarchical portfolios results in slightly worse performance than the traditional methods when we incorporate the mean and better performance for risk based portfolios. In general, we find that the hierarchical portfolios result in less extreme outcomes. / Traditionellt används modern portföljteori för attinvestera optimalt. Anledningen till detta ligger i dess matematiska enkelhet och elegans. Men trots sina många fördelar är teorin plågad med flertal problem, som i kombination kallas för Markowitz-förbannelsen. Lopéz de Prado introducerade Hierarchical Risk Parity (HRP), som påstås tacköa problemen med Markwitz teori genom att införa hierarkiska strukturer i portföljallokeringssteget. Detta examensarbete är en fortsättning på HRP. I motsats till De Prados arbete bygger vi hierarkiska kluster som inte har en förutbestämd struktur och använder även portföljallokeringsmetoder som inkluderar medelskattningarna. Vi använder en algoritm som kallas communitydetection som härrör från grafteori. Algoritmen genererar kluster enbart från data utan användarspecifikation. Ett problem att överkomma är den korrekta identifieringen av marknadsläget, vilket inte är trivialt för terminskontrakt. Detta är ett allvarligt problem eftersom den specifika klustringsmetoden vi använder hänger samman med att korrekt identifiera detta läge. Därför introducerar vi i denna avhandling en metod för att hitta marknadsläget för terminsdata. Slutligen jämför vi portföljerna konstruerade från de hierarkiska klustren med traditionella metoder. Vi finner att de hierarkiska portföljerna ger något sämre prestandaän de traditionella metoderna när vi tar med medelvärdet och bättre prestanda för riskbaserade portföljer. Generellt finner vi att de hierarkiska portföljerna resulterar i mindre extrema utfall. Portfolio Allocation Hierarchical Clustering Graph Theory Community Detection Modern Portfolio Theory Portföljallokering Hierarkisk klustring Grafteori Community Detection Modern Portföljteori Computational Mathematics Beräkningsmatematik
12	Topology optimization for distributed consensus in multi-agent networks / Topologioptimering för distribuerad konsensus i multiagent-nätverk Niklasson, Johan, Hahr, Oskar January 2019 (has links) Distributed networks, meaning a network in which several agents work together unanimously to perform some task in order to reach goals has become a field with a wide range of applications. One such applications may exist in the form of drones with a purpose of observing and detecting forest fires. In such applications it can be of paramount importance to be able to agree over some opinions or values between the agents. This value could be something such as event detection or a general direction to fly in. However in such a network there might not exist a central hub and it would not be possible for all drones to communicate directly with each other. In order for such a network to be able to reach consensus or agreement, values have to be exchanged between the agents. This thesis focuses on a subset of this problem known as distributed averaging. In the thesis it is investigated how a networks ability to detect forest fires and communicate both efficiently and quickly can change when the number of agents are adjusted in the network. The results showed that, when operating in a fixed area, for a small network of drones the increasing effective energy cost per drone were higher, than that of a larger network. It was also discovered that the speed at which a network could reach an agreement was not necessarily affected by the size of the network. But as the field area being observed was increased, adverse effects were observed in terms of communication and event detection. / Distribuerade nätverk bestående av flera agenter som har som uppgift att tillsammans nå gemensamma resultat har blivit allt mer populärt. Ett sådant användningsområde är hur drönare kan användas för att observera och upptäcka skogsbränder över en given yta. I en sådan tillämpning är det av stor vikt att drönarnätverket kan kommunicera och kongruera över värden nätverket delar med varandra. Dessa värden kan representera händelser som nätverket har som uppgift att upptäcka eller en riktning för drönarna att flyga i. Det är inte alltid garanterat att det finns en central kommunikationscentral för sådana nätverk, utan blir beroende på att kommunicera med varandra för att utbyta och kongruera över värden. Den här rapporten fokuserar på en avgränsad del av det ovanstående problemet som kallas för distribuerat konsensusvärde (eng. distributed averaging). Rapporten undersöker hur ett sådant nätverks konvergeringsförmåga, totala energikostnad samt täckning påverkas när fler drönare tillförs till nätverket. När arbetsytan var satt till statisk storlek visade resultaten att den tillförda energikostnaden per drönare var högre för små nätverk än för större nätverk. Det visades också att hastigheten som nätverket når ett kongruerande värde inte nödvändigtvis påverkas av storleken av nätverket. När arbetsytan ökade i takt med storleken på nätverket observerades däremot motsatt effekt för energikostnad och hastigheten för att nå ett konsensusvärde. Multi-agent networks Distributed systems Wireless Sensor Network Consensus averaging Unmanned Aerial Vehicle Graph-Theory. Multiagent-nätverk Distribuerade system Trådlösa sensornätverk Konsensusvärde Drönare Grafteori. Computer and Information Sciences Data- och informationsvetenskap
13	Reducing software complexity by hidden structure analysis : Methods to improve modularity and decrease ambiguity of a software system Bjuhr, Oscar, Segeljakt, Klas January 2016 (has links) Software systems can be represented as directed graphs where components are nodes and dependencies between components are edges. Improvement in system complexity and reduction of interference between development teams can be achieved by applying hidden structure analysis. However, since systems can contain thousands of dependencies, a concrete method for selecting which dependencies that are most beneficial to remove is needed. In this thesis two solutions to this problem are introduced; dominator- and cluster analysis. Dominator analysis examines the cost/gain ratio of detaching individual components from a cyclic group. Cluster analysis finds the most beneficial subgroups to split in a cyclic group. The aim of the methods is to reduce the size of cyclic groups, which are sets of co- dependent components. As a result, the system architecture will be less prone to propagating errors, caused by modifications of components. Both techniques derive from graph theory and data science but have not been applied to the area of hidden structures before. A subsystem at Ericsson is used as a testing environment. Specific dependencies in the structure which might impede the development process have been discovered. The outcome of the thesis is four to-be scenarios of the system, displaying the effect of removing these dependencies. The to-be scenarios show that the architecture can be significantly improved by removing few direct dependencies. / Mjukvarusystem kan representeras som riktade grafer där komponenter är noder och beroenden mellan komponenter är kanter. Förbättrad systemkomplexitet och minskad mängd störningar mellan utvecklingsteam kan åstadkommas genom att applicera teorin om gömda beroende. Eftersom system kan innehålla tusentals beroenden behövs en konkret metod för att hitta beroenden i systemet som är fördelaktiga att ta bort. I den här avhandlingen presenteras två lösningar till problemet; dominator- och klusteranalys. Dominatoranalys undersöker kostnad/vinst ration av att ta bort individuella komponenter i systemet från en cyklisk grupp. Klusteranalys hittar de mest lönsamma delgrupperna att klyva isär i en cyklisk grupp. Metodernas mål är att minska storleken på cykliska grupper. Cykliska grupper är uppsättningar av komponenter som är beroende av varandra. Som resultat blir systemarkitekturen mindre benägen till propagering av fel, orsakade av modifiering av komponenter. Båda metoderna härstammar från grafteori och datavetenskap men har inte applicerats på området kring gömda strukturer tidigare. Ett subsystem på Ericsson användes som testmiljö. Specifika beroenden i strukturen som kan vara hämmande för utvecklingsprocessen har identifierats. Resultatet av avhandlingen är fyra potentiella framtidsscenarion av systemet som visualiserar effekten av att ta bort de funna beroendena. Framtidsscenariona visar att arkitekturen kan förbättras markant genom att avlägsna ett fåtal direkta beroenden. DSM VSM Hidden Structure Analysis Directed Graphs Graph Theory Data Science DSM VSM Analys av Gömda Strukturer Riktade Grafer Grafteori Datavetenskap Elektroteknik och elektronik
14	Ge igen med samma mynt : Ekonomiska och sociala relationer i Sundborns socken i Dalarna 1820–1849 Nibon, Karin January 2016 (has links) The aim of this thesis is to visualize and explain how people’s economic and social relations were connected in the parish of Sundborn, in the south east of Dalarna, in the period 1820-1849. The study is based on records of claims and debts in inventories and parish registers, which enable reconstruction of the private local credit market. The study shows that the majority in the economic network lived in Sundborn, and that while few people had formal loans at the institutional credit market, many had loans by trust at the private local credit market. Also, while few people were lenders, almost everyone was a borrower. The most common credit relationship was between people who lived near one another, and people who lived near one another or were related received a higher average credit. The private local credit market consisted primarily of men. These results have been interpreted with the use of social network theory, it being shown that people depended on their social network to obtain the necessary credit. In creating an economic network graph, I show that households in the parish of Sundborn were interconnected by debt relations. By using this method, it is possible to identify significant persons and potential parish bankers. Through combining the network graph with a landscape map, I show connections between the settlement, the assets, economic relations, centrality and the long valley of Sundborn river. The study opens up possibilities for further development of the same method to visualize historic data and relate it to the landscape, with a view to generating new related questions and spatial analyses. Sundborn Dalarna inventory parish register private local credit market claim debt economic network lender borrower social network theory social network credit graph theory household parish banker spatial analyses Sundborn Dalarna Kopparbergs län bouppteckning kyrkoarkiv privat lokal kreditmarknad fordring skuld ekonomiskt nätverk fordringsägare gäldenär social nätverksteori socialt nätverk kredit grafteori hushåll sockenbankir rumslig analys 1800-talet
15	Network Based Tools and Indicators for Landscape Ecological Assessments, Planning, and Design Zetterberg, Andreas January 2009 (has links) <p>Land use change constitutes a primary driving force in shaping social-ecological systems world wide, and its effects reach far beyond the directly impacted areas. Graph based landscape ecological tools have become established as a promising way to efficiently explore and analyze the complex, spatial systems dynamics of ecological networks in physical landscapes. However, little attention has been paid to making these approaches operational within ecological assessments, physical planning, and design. This thesis presents a network based, landscape-ecological tool that can be implemented for effective use by practitioners within physical planning and design, and ecological assessments related to these activities. The tool is based on an ecological profile system, a common generalized network model of the ecological infrastructure, graph theoretic metrics, and a spatially explicit, geographically defined representation, deployable in a GIS. Graph theoretic metrics and analysis techniques are able to capture the spatio-temporal dynamics of complex systems, and the generalized network model places the graph theoretic toolbox in a geographically defined landscape. This provides completely new insights for physical planning, and environmental assessment activities. The design of the model is based on the experience gained through seven real-world cases, commissioned by different governmental organizations within Stockholm County. A participatory approach was used in these case studies, involving stakeholders of different backgrounds, in which the tool proved to be flexible and effective in the communication and negotiation of indicators, targets, and impacts. In addition to successful impact predictions for alternative planning scenarios, the tool was able to highlight critical ecological structures within the landscape, both from a system-centric, and a site-centric perspective. In already being deployed and used in planning, assessments, inventories, and monitoring by several of the involved organizations, the tool has proved to effectively meet some of the challenges of application in a multidisciplinary landscape.</p> Least-cost modeling Functional connectivity Environmental planning tool Resilience Spatial redundancy Ecological integrity Landscape Ecology Graph Theory Ecological Network Graphs Biodiversity Conservation Biology Urban Planning Regional Planning EIA SEA Environmental Assessment Ecological Indicator Impact prediction Habitat suitability Species distribution Urban ecology GIS Urbanization Miljöbedömningsverktyg Landskapsplanering Resiliens Ekologisk integritet Landskapsekologi Grafteori Ekologiska nätverk Biologisk mångfald Bevarandebiologi Urban planering Regional planering MKB SMB Miljöbedömning Ekologisk indikator Konsekvensbedömning Habitatmodellering GIS Urbanisering Natur- och landskapsvård Environmental engineering Miljöteknik Terrestrial ecology Terrestisk ekologi
16	Network Based Tools and Indicators for Landscape Ecological Assessments, Planning, and Design Zetterberg, Andreas January 2009 (has links) Land use change constitutes a primary driving force in shaping social-ecological systems world wide, and its effects reach far beyond the directly impacted areas. Graph based landscape ecological tools have become established as a promising way to efficiently explore and analyze the complex, spatial systems dynamics of ecological networks in physical landscapes. However, little attention has been paid to making these approaches operational within ecological assessments, physical planning, and design. This thesis presents a network based, landscape-ecological tool that can be implemented for effective use by practitioners within physical planning and design, and ecological assessments related to these activities. The tool is based on an ecological profile system, a common generalized network model of the ecological infrastructure, graph theoretic metrics, and a spatially explicit, geographically defined representation, deployable in a GIS. Graph theoretic metrics and analysis techniques are able to capture the spatio-temporal dynamics of complex systems, and the generalized network model places the graph theoretic toolbox in a geographically defined landscape. This provides completely new insights for physical planning, and environmental assessment activities. The design of the model is based on the experience gained through seven real-world cases, commissioned by different governmental organizations within Stockholm County. A participatory approach was used in these case studies, involving stakeholders of different backgrounds, in which the tool proved to be flexible and effective in the communication and negotiation of indicators, targets, and impacts. In addition to successful impact predictions for alternative planning scenarios, the tool was able to highlight critical ecological structures within the landscape, both from a system-centric, and a site-centric perspective. In already being deployed and used in planning, assessments, inventories, and monitoring by several of the involved organizations, the tool has proved to effectively meet some of the challenges of application in a multidisciplinary landscape. Least-cost modeling Functional connectivity Environmental planning tool Resilience Spatial redundancy Ecological integrity Landscape Ecology Graph Theory Ecological Network Graphs Biodiversity Conservation Biology Urban Planning Regional Planning EIA SEA Environmental Assessment Ecological Indicator Impact prediction Habitat suitability Species distribution Urban ecology GIS Urbanization Miljöbedömningsverktyg Landskapsplanering Resiliens Ekologisk integritet Landskapsekologi Grafteori Ekologiska nätverk Biologisk mångfald Bevarandebiologi Urban planering Regional planering MKB SMB Miljöbedömning Ekologisk indikator Konsekvensbedömning Habitatmodellering GIS Urbanisering Landscape Architecture Landskapsarkitetktur Other Environmental Engineering Annan naturresursteknik Ecology Ekologi

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