Zobrazeno 1 - 10
of 362
pro vyhledávání: '"MARKOV, Vladimir"'
Publikováno v:
Известия высших учебных заведений: Прикладная нелинейная динамика, Vol 28, Iss 6, Pp 643-652 (2020)
Purpose of the study is to obtain a criterion for existence of stationary solution of the complete system of equations describing the flow of ideal perfect gas for a given non-solenoidal helical velocity field. Conditions of such a criterion should c
Externí odkaz:
https://doaj.org/article/f5f30efda3d04f44ac223019099b94c8
Autor:
Markov, Maxime, Markov, Vladimir
In this paper, we explore the portfolio allocation problem involving an uncertain covariance matrix. We calculate the expected value of the Constant Absolute Risk Aversion (CARA) utility function, marginalized over a distribution of covariance matric
Externí odkaz:
http://arxiv.org/abs/2311.07478
Autor:
Markov, Maxime, Markov, Vladimir
In this paper, we revisit the relationship between investors' utility functions and portfolio allocation rules. We derive portfolio allocation rules for asymmetric Laplace distributed $ALD(\mu,\sigma,\kappa)$ returns and compare them with the mean-va
Externí odkaz:
http://arxiv.org/abs/2305.08530
Autor:
Markov, Maxime, Markov, Vladimir
We investigate the impact of big winner stocks on the performance of active and passive investment strategies using a combination of numerical and analytical techniques. Our analysis is based on historical stock price data from 2006 to 2021 for a lar
Externí odkaz:
http://arxiv.org/abs/2210.09302
Publikováno v:
In International Journal of Thermal Sciences November 2024 205
Publikováno v:
In International Journal of Hydrogen Energy 18 October 2024 87:722-735
Publikováno v:
In Combustion and Flame November 2023 257 Part 2
Autor:
Elkrief, Arielle, Odintsov, Igor, Markov, Vladimir, Caeser, Rebecca, Sobczuk, Pawel, Tischfield, Sam E., Bhanot, Umesh, Vanderbilt, Chad M., Cheng, Emily H., Drilon, Alexander, Riely, Gregory J., Lockwood, William W., de Stanchina, Elisa, Tirunagaru, Vijaya G., Doebele, Robert C., Quintanal-Villalonga, Álvaro, Rudin, Charles M., Somwar, Romel, Ladanyi, Marc
Publikováno v:
In Journal of Thoracic Oncology September 2023 18(9):1165-1183
Autor:
Markov, Vladimir
We present a formulation of the transaction cost analysis (TCA) in the Bayesian framework for the primary purpose of comparing broker algorithms using standardized benchmarks. Our formulation allows effective calculation of the expected value of trad
Externí odkaz:
http://arxiv.org/abs/1904.01566
Publikováno v:
Automated Trader Magazine, Issue 44, Q1, 2018
We present a set of models relevant for predicting various aspects of intra-day trading volume for equities and showcase them as an ensemble that projects volume in unison. We introduce econometric methods for predicting total and remaining daily vol
Externí odkaz:
http://arxiv.org/abs/1904.01412