Zobrazeno 1 - 10
of 918
pro vyhledávání: '"62P05"'
Autor:
Park, Jihyun, Sarantsev, Andrey
We model time series of VIX (monthly average) and monthly stock index returns. We use log-Heston model: logarithm of VIX is modeled as an autoregression of order 1. Our main insight is that normalizing monthly stock index returns (dividing them by VI
Externí odkaz:
http://arxiv.org/abs/2410.22471
Autor:
Costa, Helder Gomes, Shimoda, Eduardo, Costa, José Fabiano da Serra, Shimoya, Aldo, Eufrazio, Edilvando Pereira
The question that drives this research is: "How to discover the number of respondents that are necessary to validate items of a questionnaire as actually essential to reach the questionnaire's proposal?" Among the efforts in this subject, \cite{Lawsh
Externí odkaz:
http://arxiv.org/abs/2410.11151
We propose a quantitative direct method of proving the local stability for the trivial solution of a rough differential equation and of its regular discretization scheme. Using Doss-Sussmann technique and stopping time analysis, we prove that the tri
Externí odkaz:
http://arxiv.org/abs/2410.07842
When making treatment selection decisions, it is essential to include a causal effect estimation analysis to compare potential outcomes under different treatments or controls, assisting in optimal selection. However, merely estimating individual trea
Externí odkaz:
http://arxiv.org/abs/2410.05177
In this article, we establish a general covariance identity for infinitely divisible distributions (IDD). Using this result, we derive Cacoullos type variance bounds for the IDD. Applications to some important distributions are discussed, in addition
Externí odkaz:
http://arxiv.org/abs/2408.01237
Electricity storage is crucial for a successful transition towards carbon-neutral energy production. Despite considerable research and a number of promising future alternatives such as hydrogen, battery storages currently remain the first choice. How
Externí odkaz:
http://arxiv.org/abs/2407.20038
A key task in actuarial modelling involves modelling the distributional properties of losses. Classic (distributional) regression approaches like Generalized Linear Models (GLMs; Nelder and Wedderburn, 1972) are commonly used, but challenges remain i
Externí odkaz:
http://arxiv.org/abs/2406.00998
Robust estimation for modern portfolio selection on a large set of assets becomes more important due to large deviation of empirical inference on big data. We propose a distributionally robust methodology for high-dimensional mean-variance portfolio
Externí odkaz:
http://arxiv.org/abs/2405.16989
Autor:
Yang, Hongshen, Malik, Avinash
This research proposes a novel arbitrage approach in multivariate pair trading, termed the Optimal Trading Technique (OTT). We present a method for selectively forming a "bucket" of fiat currencies anchored to cryptocurrency for monitoring and exploi
Externí odkaz:
http://arxiv.org/abs/2405.15461
We introduce and develop the concepts of Geometric Backward Stochastic Differential Equations (GBSDEs, for short) and two-driver BSDEs. We demonstrate their natural suitability for modeling continuous-time dynamic return risk measures. We characteriz
Externí odkaz:
http://arxiv.org/abs/2405.09260