Zobrazeno 1 - 10
of 34 611
pro vyhledávání: '"Mean Reverting"'
Autor:
Rácz, Attila1, Fogarasi, Norbert1
Publikováno v:
Contemporary Economics. Sep2024, Vol. 18 Issue 3, p336-351. 16p.
Autor:
Yoon, Sung Min
Mean-reverting behavior of individuals assets is widely known in financial markets. In fact, we can construct a portfolio that has mean-reverting behavior and use it in trading strategies to extract profits. In this paper, we show that we are able to
Externí odkaz:
http://arxiv.org/abs/2406.17155
Autor:
Cao, Yiyang1 (AUTHOR), Lu, Shunfeng1 (AUTHOR), Wan, Cong1 (AUTHOR), Wang, Yiguang2 (AUTHOR), Liu, Xuan2 (AUTHOR), Guo, Kangjun2 (AUTHOR), Cao, Yubin2 (AUTHOR), Li, Zilong2 (AUTHOR), Liu, Qiegen2 (AUTHOR) liuqiegen@ncu.edu.cn, Song, Xianlin2 (AUTHOR) songxianlin@ncu.edu.cn
Publikováno v:
Journal of Innovative Optical Health Sciences. Sep2024, p1. 20p. 8 Illustrations.
We examine a mean-reverting Ornstein-Uhlenbeck process that perturbs an unknown Lipschitz-continuous drift and aim to estimate the drift's value at a predetermined time horizon by sampling the path of the process. Due to the time varying nature of th
Externí odkaz:
http://arxiv.org/abs/2405.10795
Autor:
Zhang, Huina1 (AUTHOR) 20060050@upc.edu.cn, Sun, Jianguo1 (AUTHOR) sunjg616@upc.edu.cn, Wen, Xuhan1 (AUTHOR)
Publikováno v:
Axioms (2075-1680). Nov2024, Vol. 13 Issue 11, p768. 23p.
Autor:
Fanelli, Viviana1 (AUTHOR) viviana.fanelli@uniba.it
Publikováno v:
Risks. Jul2024, Vol. 12 Issue 7, p106. 19p.
Autor:
Tondapu, Narayan
In this paper, we explore the application of Gaussian Processes (GPs) for predicting mean-reverting time series with an underlying structure, using relatively unexplored functional and augmented data structures. While many conventional forecasting me
Externí odkaz:
http://arxiv.org/abs/2403.00796
Publikováno v:
In North American Journal of Economics and Finance January 2025 76
Akademický článek
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Publikováno v:
Nonlinear Engineering, Vol 13, Iss 1, Pp 19677-98 (2024)
A forward start option is an exotic option with delayed activation and reduced premium that allows investors to avail market opportunities in the future. Moreover, mean-reversion explores the investment strategies. This study examines the pricing of
Externí odkaz:
https://doaj.org/article/6ba363766fd7475886fc611b0dbef5c9