Stability Analysis of Networked Control Systems with Bounded Random Delay and State Compensation: How Large is the Actual System Scale?

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dc.contributor.authorYipeng, Yang
dc.date.accessioned2020-04-29T18:32:31Z
dc.date.available2020-04-29T18:32:31Z
dc.date.issued2019
dc.description.abstractIn this paper, a level set analysis is proposed which aims to analyze the S&P 500 return with a certain magnitude. It is found that the process of large jumps/drops of return tend to have negative serial correlation, and volatility clustering phenomenon can be easily seen. Then, a nonparametric analysis is performed and new patterns are discovered. An ARCH model is constructed based on the patterns we discovered and it is capable of manifesting the volatility skew in option pricing. A comparison of our model with the GARCH(1,1) model is carried out. The explanation of the validity on our model through prospect theory is provided, and, as a novelty, we linked the volatility skew phenomenon to the prospect theory in behavioral finance.en_US
dc.identifier.citation2. Yipeng Yang, Stability Analysis of Networked Control Systems with Bounded Random Delay and State Compensation: How Large is the Actual System Scale? AIMS Electronic Engineering, 3(1) 16-32, 2019.en_US
dc.identifier.urihttps://hdl.handle.net/10657.1/2307
dc.publisherAIMS Electronic Engineeringen_US
dc.subjectlevel set analysis nonparametric regression ARCH/GARCH model prospect theory behavioral finance agent-based modelingen_US
dc.titleStability Analysis of Networked Control Systems with Bounded Random Delay and State Compensation: How Large is the Actual System Scale?en_US
dc.typeArticleen_US

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Yipeng Yang