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During the past decade, Value at Risk (VaR) has become one of most commonly used Tools in risk measurement. In this paper, We propose a new method for estimating VaR. Our approach combines HS method to estimate the interior and the extreme value theory to estimate the tails. This paper uses a sample of the returns of S&P 500 daily closing index to test the performance of our VaR procedure. This...
A novel algorithm, called quantum-inspired immune evolutionary algorithm (QIEA), is proposed to avoid premature convergence. Based on the combining of the quantum evolutionary algorithm with the main mechanisms of immune, QIEA can adopt the high-effective parallelism of QEA and using a lot of operators such as mutation and selection to improve the traditional quantum evolutionary algorithm (QEA),...
Most of the quantum-inspired evolution algorithms (QEA) is improved and used for the optimization of continuous functions with multi-peak now, However, they are easy to be trapped into the local deceptive peak. In this paper a new improved quantum evolution algorithm is proposed to overcome the shortcoming of traditional QEA. The new improved QEA combines the main mechanisms of clone (QCEA). Every...
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