Zobrazeno 1 - 8
of 8
pro vyhledávání: '"J E Trinidad Segovia"'
Publikováno v:
PLoS ONE, Vol 14, Iss 7, p e0219243 (2019)
In this paper, we explore the (in)efficiency of the continuum Bitcoin-USD market in the period ranging from mid 2010 to early 2019. To deal with, we dynamically analyse the evolution of the self-similarity exponent of Bitcoin-USD daily returns via ac
Externí odkaz:
https://doaj.org/article/fb1d876c631d4f57b5d42b9c5d9f79c8
Publikováno v:
Financial Innovation, Vol 8, Iss 1, Pp 1-21 (2022)
Abstract This research aims to improve the efficiency in estimating the Hurst exponent in financial time series. A new procedure is developed based on equality in distribution and is applicable to the estimation methods of the Hurst exponent. We show
Externí odkaz:
https://doaj.org/article/95dac2e0a1b04ea69bedfedc4c58d0fb
Autor:
Arthur Matsuo Yamashita Rios de Sousa, Hideki Takayasu, Misako Takayasu, J E. Trinidad Segovia
Publikováno v:
PLoS ONE, Vol 15, Iss 9 (2020)
We propose the epsilon-tau procedure to determine up- and down-trends in a time series, working as a tool for its segmentation. The method denomination reflects the use of a tolerance level ε for the series values and a patience level τ in the time
Externí odkaz:
https://doaj.org/article/e08820a4b937416292ea97d2f48cb524
Publikováno v:
Humanities and Social Sciences Communications. 9
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2a928a22c1a80950b923f6b1aaa85ad1
https://doi.org/10.1057/s41599-022-01402-2
https://doi.org/10.1057/s41599-022-01402-2
Publikováno v:
PLoS ONE, Vol 12, Iss 12, p e0188814 (2017)
In this work we extend a well-known model from arrested physical systems, and employ it in order to efficiently depict different currency pairs of foreign exchange market price fluctuation distributions. We consider the exchange rate price in the tim
Externí odkaz:
https://doaj.org/article/a12557fe084348e4a7e13b3ab7adaf77
Publikováno v:
Humanities and Social Sciences Communications. 9
Discussion about the effect of constraints in portfolio selection is a popular topic in finance. In this paper, we test the portfolio performance under the existence of regulatory constraints. This paper tries to provide evidence of whether the exist
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::570d9231ac8b5a65b9afcf3b2e6a108e
https://doi.org/10.1057/s41599-022-01327-w
https://doi.org/10.1057/s41599-022-01327-w
Publikováno v:
riUAL. Repositorio Institucional de la Universidad de Almería
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In this paper, three new algorithms are introduced in order to explore long memory in financial time series. They are based on a new concept of fractal dimension of a curve. A mathematical support is provided for each algorithm and its accuracy is te
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::992796da42660604fb9cb881a8a6a9ac
https://doi.org/10.1140/epjb/e2012-20803-2
https://doi.org/10.1140/epjb/e2012-20803-2
Publikováno v:
Complexity, Vol 2021 (2021)
Based on recent works on stocks comovement, Pairs Trading’s strategy is enhanced by reducing the stock universe to the stocks with the lower volatility on a given date. From this universe of low volatility stocks, pairs are selected by looking for
Externí odkaz:
https://doaj.org/article/a076071dac5c49b58d45af1927a83fe2