Computational Finance
An algorithm was developed and implemented to find controllers from the stock shares for some financial institutions for the Brazilian Central Bank (BCB). The original problem is similar to a typical Sum of Subset problem that is suggested to be solved by a backtracking algorithm and the problem complexity is NP-complete. Usually BCB solves this problem manually which is time consuming and prone to errors. The heuristical approximation algorithm presented in this paper has polynomial complexity O(n 3 ) and is based on sub-routines for determining controllers at the first two levels. The paper describes the basic concepts and business rules currently employed in BCB, our algorithm and its major subroutines, it gives a brief complexity analysis and an ex-ample illustration at level 2. Our experimental results indicate the feasibility of an automation of the process of finding controllers. Though developed for BCB, our algorithm works equally well for other financial institutions.
To improve the management of Employment Time Guaranty Fund (FGTS), a research in Brazil is conducted to analyze past data and anticipate future trends of this fund. In this paper, Nonlinear Principal Component Analysis (NLPCA) is used to reduce data dimension in describing various causes of withdrawal from FGTS. Properties of these withdrawals are analyzed. Causality between the policy of free treatment of SIDA/AIDS patients and the withdrawal by these people are discussed. Nonlinear time series corresponding to each cause of withdrawal in 75 months from 1994 to 2000 are collected from administrator of FGTS. Using NLPCA, 17 small quantity time series (group 1) are combined into one series and then combine with other 7 middle quantity series (group 2) to form another series. Finally, four combined time series (group 3) are formed which can well represent features of totally 27 kinds of withdrawals with respect to different causes. As a criterion of dimension reducing, the coefficient of correlation between the output of group 1 and the sum of 17 is 0.8486 and that between group 2 and sum of 8 is 0.9765.
- Li Weigang, Vinícius G. F. Branco, “A Web information system for determining the controllers of financial entities in Brazilian Central Bank”, Web Intelligence and Agent Systems, ISSN: 1570-1263, Vol. 4-1, pp. 99-126, 2006.
- Vinícius G. F. Branco, Li Weigang, M. P. E. Abad, J. Denzinger: An Algorithm for Determining the Controllers of Supervised Entities at the First and Second Levels: Brazilian Central Bank Case Study, In: The 2003 International Conference on Computational Science and Its Applications (ICCSA 2003), 2003, Montreal. Lecture Notes in Computer Science. Berlin: Springer-Verlag, 2003. v.2669. p.148 - 157.
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Initial publication : 09-15-95; Last updated: 06-09-2006.