Andrejs Matvejevs

Riga Technical University | RTU · Faculty of Computer Science and Information Technology (FCSIT)

As digitalization and artificial intelligence advance, cybersecurity threats intensify, making malware—a type of software installed without authorization to harm users—an increasingly urgent concern. Due to malware's social and economic impacts, accurately modeling its spread has become essential. While diverse models exist for malware propagation,...

Analysing real-life data of commodity price dynamics is challenging, there can be non-stationary, non-linear, contain structural breaks. In this paper, we explore whether threshold models are preferable to linear autoregressive models (ARIMA) and whether the logistic smooth transition (LSTAR) model is preferable to the self-exciting threshold autor...

This paper deals with a logistic system consisting of a wholesale store, a retail store and automobiles that are taking part in goods delivery from a wholesale store to a retail store. Assuming random and coming at random time moments demands, we construct a stochastic model for this transport logistic scheme and derive Gaussian approximation for t...

Normal inverse Gaussian (NIG) distribution is quite a new distribution introduced in 1997. This is distribution, which describes evolution of NIG process. It appears that in many cases NIG distribution describes log-returns of stock prices with a high accuracy. Unlike normal distribution, it has higher kurtosis, which is necessary to fit many histo...

This paper deals with stability analysis of elastic pipeline containing water flow, the velocity of which is perturbed harmonically under an action of pulsate fluid flow. The stability conditions of the pipeline section are analyzed under assumption of the mathematical model of fluid caused by longitudinal force with Poisson characteristics and app...

Our research studies the construction and estimation of copula-based semi parametric Markov model for the processes, which involved in water flows in the hydro plants. As a rule analyzing the dependence structure of stationary time series regressive models defined by invariant marginal distributions and copula functions that capture the temporal de...

Very few models allow expressing European call option price in closed form. Out of them, the famous Black- Scholes approach sets strong constraints - innovations should be normally distributed and independent. Availability of a corresponding characteristic function of log returns of underlying asset in analytical form allows pricing European call o...

This paper deals with stability analysis of pin-jointed beams that are affected to random pulsating load. The stability conditions of a pin-jointed beam are analysed using a mathematical model of the beam characterised by longitudinal force with Poisson characteristics and applying the stochastic modification of the second Lyapunov method.

This paper deals with stability analysis of elastic pipes containing water flow, the velocity of which is perturbed harmonically with random rush of phas. Applying diffusion approximation approch to analysis of Markov dynamical systems we derive the Lyapunov index for the pipe shapes. We have proved that for the pipe safekeeping examination is not...

The research studies the estimation of a semiparametric stationary Markov models based on a Frank copula density function. Described techniques allow us to estimate the parameters of the Frank copula, which has a better fit compared to previously selected regression models (estimators of the marginal distribution and the copula parameters are provi...

This paper explores an alternative volatility estimation approach discovering the helical structure of Fourier coefficients of volatility wave. Volatility wave is calculated by using wavelet decomposition with consequent logarithmic variance indicator estimation for each decomposed part of the signal and subsequent volatility matrix transform in a...

The paper presents algorithms for insurance technical provisions taking into account losses, which are incurred but not reported. Evaluation of insurance technical provisions for the kinds of insurance, such as Motor Third Party Liability (MTPL) Insurance, Property Insurance and some others, have difficulties in assessing the impact of the losses f...

The possibility of identifying nonlinear time series using nonparametric estimates of the conditional mean and conditional variance were studied in many papers. One of the main problems in these papers is development of time series {xt,t ε Z} methods of analysis through regression models even without knowing the regression function. The article dea...

In this paper, we will describe an analytical solution to a problem of pricing financial assets with autocorrelations in returns. We will develop a continuous diffusion model for the case of autocorrelation in stock returns, obtain the European call option pricing formula written on a stock with autocorrelation in returns and show that even small l...

This paper describes an approach that is able to fix difference in multifractal behaviour of various World Stock Indexes. The approach is beneficial for the forecasting and simulations of the most European and Asian stock indexes. Multifractal analysis is provided using the so-called Wavelet Transform Modulus Maxima approach, which involves two bas...

Solution of the nano-acceleration problem of solid body in the diluted gas environment is considered. To resolve the problem, the interaction effect principle of kinematic solid bodies in sparse atmosphere is used. The bodies differ by weights, midsection areas, and facing resistances in the environment, while there is a variety of moving options f...

This article continues research on the pantograph-catenary system started in the previous papers [1], [2]. The main purpose of the study is to use a computer of high-speed train to optimize the pantograph-catenary system by reducing power consumption when basic parameters of pantograph and catenary (contact network) change over time randomly. A lin...

Pantograph-Catenary System Modeling Using MATLAB-Simulink Algorithms Contacts between pantograph and catenary are the most critical parts in the transmission of electrical energy for modern high-speed trains. Contact wire oscillations change combined force between pantograph and catenary, and the contact may even get lost. Therefore special pantogr...

Three kinds of the insurance policies for the net premium calculation for married couples are considered. The net premium equation principle is used in all premium calculations. The particular quality of the additional pension assurance is the individual form of its undertaking and the limitation of annual (monthly) pension payments. Due to this fa...

The aim of the article is to adapt algorithms for private pension fund additional capital valuation to real time model and to estimate acquired model. We found that in most papers about DC plans are assumed that contributions are defined as fixed part of salary. From one point of view it is very essential because in such assumptions are taken in ac...

The possibility of identifying nonlinear time series using nonparametric estimates of the conditional mean and conditional variance is studied. Most nonlinear models satisfy the assumptions needed to apply nonparametric asymptotic theory. Sampling variations of the conditional quantities are studied by simulation and explained by asymptotic argumen...