Quantitative Methods & Information Systems

On the Equilibrium Behavior of a Supply Chain Market for Capacity

Acapacity market is a business-to-business exchange in which equally capable suppliers compete with one another to satisfy generic orders from diverse buyers. The market is asymmetric because the buyers can carry inventory of the products ordered but the suppliers cannot store their capacity.

Author(s) Name: 
Amar Sapra and Jackson, P
Journal Name: 
Manufacturing and Service Operations Management
Published Date: 
Vol. 15 No. 1, 2013, P 132-147
Year of Publication: 
2013

Zero-Sum Risk-Sensitive Stochastic Differential Games

We study zero-sum risk-sensitive stochastic differential games on the infinite horizon with discounted and ergodic payoff criteria. Under certain assumptions, we establish the existence of values and saddle-point equilibria. We obtain our results by studying the corresponding Hamilton-Jacobi-Isaacs equations.

Author(s) Name: 
Arnab Basu and Mrinal K Ghosh
Journal Name: 
Mathematics of Operations Research
Published Date: 
Vol. 37(3), August 2012, P 437-449
Year of Publication: 
2012

Sampling designs via a multivariate hypergeometric-Dirichlet process

In a sample of mRNA species counts, sequences without duplicates or with small numbers of copies are likely to carry information related to mutations or diseases and can be of great interest. However, in some situations, sequence abundance is unknown and sequencing the whole sample to find the rare sequences is not practically possible.

Author(s) Name: 
Zhang, H., ghosh, k and ghosh, P.
Journal Name: 
Computational Statistics and Data Analysis
Published Date: 
Vol. 56, PP 2562-2573, 2012
Year of Publication: 
2012

Alarm system for insurance companies: A strategy for capital allocation

One possible way of risk management for an insurance company is to develop an early and appropriate alarm system before the possible ruin. The ruin is defined through the status of the aggregate risk process, which in turn is determined by premium accumulation as well as claim settlement outgo for the insurance company.

Author(s) Name: 
S Das and M Kratz
Journal Name: 
Insurance: Mathematics and Economics
Published Date: 
Vol. 51, PP 53-65, February 2012
Year of Publication: 
2012

A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns

The paper presents and tests Dynamic Value at Risk (VaR) estimation procedures for equity index returns. Volatility clustering and leptokurtosis are well-documented characteristics of such time series. An ARMA (1, 1)-GARCH (1, 1) approach models the inherent autocorrelation and dynamic volatility. Fat-tailed behavior is modeled in two ways.

Author(s) Name: 
Malay Bhattacharyya and Siddarth Madhav R
Journal Name: 
Journal of Mathematical Finance
Published Date: 
Vol. 2, PP 13-30, February 2012
Year of Publication: 
2012

Modeling Member Behaviors in User-Generated Content Sites: A Semiparametric Bayesian Approach

We develop a model to understand and describe the inherent behaviours and interactions of members over time through the medium of user-generated content (UGC) in an on-line community.

Author(s) Name: 
Park, Y. H., Park, C. H and Ghosh, P
Journal Name: 
Journal of the Royal Statistical Society: Series A
Published Date: 
174, Part 4, PP 1051-1069, 2011
Year of Publication: 
2011

A stochastic model for assessing Chlamydia trachomatis transmission risk by using longitudinal observational data

Bacterium Chlamydia trachomatis causes genital chlamydia infection. Yet little is known about the efficiency of transmission of this organism. Ethical constraint against exposing healthy subjects to infected partners precludes the possibility of quantifying the risk of transmission through controlled experiments.

Author(s) Name: 
Tu, W., Ghosh, P, and Katz, B
Journal Name: 
Journal of the Royal Statistical Society: Series A
Published Date: 
174, Part 4, PP 975-989, 2011
Year of Publication: 
2011

Sequential Grid Computing: Models and Computational Experiments

Through recent technical advances, multiple resources can be connected to provide a computing grid for processing computationally intensive applications. We build on an approach, termed sequential grid computing, that takes advantage of idle processing power by routing jobs that require lengthy processing through a sequence of processors.

Author(s) Name: 
S. Ransbotham, Ishwar Murthy, S. Mitra and S. Narasimhan
Journal Name: 
INFORMS Journal of Computing
Published Date: 
Vol. 23(2), PP 174-188, 2011
Year of Publication: 
2011

Buyer Behavior in Online Retail Operations in Apparel Stores

Online retailing started in a big way in the late nineties and grew into a major business in the past decade to become a major strategy for many retail companies. A large number of retail companies maintain a brick and mortar outlets as well as online presence.

Author(s) Name: 
Vishnuprasad Nagadevara
Journal Name: 
Review of Business Research
Published Date: 
Vol. 11(4), PP 106-111, 2011
Year of Publication: 
2011

A fuzzy approach for component selection amongst different versions of alternatives for a Fault Tolerant modular software system

Software projects generally have to deal with producing and managing large and complex software products. As the functionality of computer operations become more essential and yet more critical, there is a great need for the development of modular software system.

Author(s) Name: 
PC Jha, R Arora and U Dinesh Kumar
Journal Name: 
American Journal of Operations Research
Published Date: 
Vol.1(4), PP 249-258, December 2011
Year of Publication: 
2011
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