Zobrazeno 1 - 10
of 5 133
pro vyhledávání: '"Mean reversion"'
Autor:
Enow, Samuel Tabot1
Publikováno v:
International Journal of Research in Business & Social Science. Sep2023, Vol. 12 Issue 6, p197-201. 5p.
Autor:
Michaelides, Alexander, Zhang, Yuxin
Publikováno v:
Journal of Financial & Quantitative Analysis. Jun2017, Vol. 52, p1183-1209. 27p.
Autor:
Xin-Jiang He, Sha Lin
Publikováno v:
AIMS Mathematics, Vol 9, Iss 8, Pp 22225-22238 (2024)
The CIR stochastic volatility model is modified to introduce nonlinear mean reversion, with the long-run volatility average as a random variable controlled by two parts being modeled through a Brownian motion and a Markov chain, respectively. This mo
Externí odkaz:
https://doaj.org/article/c4cb729213e4463082470662b52730c7
Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations.
Autor:
Isaenko, Sergey1 sisaenko@jmsb.concordia.ca
Publikováno v:
Quantitative Finance. Dec2018, Vol. 18 Issue 12, p2051-2065. 15p. 6 Diagrams, 5 Charts.
Autor:
Ahmed, Rizwan Raheem1, Vveinhardt, Jolita2, Streimikiene, Dalia2 Dalia.Streimikiene@lei.lt, Channar, Zahid Ali3
Publikováno v:
Economic Research-Ekonomska Istrazivanja. Dec2018, Vol. 31 Issue 1, p1198-1217. 20p.
Publikováno v:
American Business Review, Vol 27, Iss 1, Pp 207-220 (2024)
We define an extreme loss event as a daily return at the left tail of negative two standard deviations of all daily returns for a specific stock. Prior studies focus on the relationship between extreme losses and specific anticipated announcements. O
Externí odkaz:
https://doaj.org/article/449a264dc82c42d38fb2c81f9c80aaa1
Autor:
PALWASHA, Rana Imroze1, AHMAD, Nawaz2, AHMED, Rizwan Raheem3, VVEINHARDT, Jolita4, ŠTREIMIKIENĖ, Dalia4 dalia.streimikiene@lsu.lt
Publikováno v:
Technological & Economic Development of Economy. 2018, Vol. 24 Issue 4, p1435-1452. 18p.
Autor:
Stübinger, Johannes1 johannes.stuebinger@fau.de, Endres, Sylvia1
Publikováno v:
Quantitative Finance. Oct2018, Vol. 18 Issue 10, p1735-1751. 17p. 1 Diagram, 11 Charts, 3 Graphs.
Publikováno v:
Ratio Mathematica, Vol 51, Iss 0 (2024)
The study investigates the existence of long-run equilibrium or mean-reversion using bivariate analysis of paired prices, as well as to test for linear and nonlinear threshold-type mean-reversion of bivariate relationships. The coefficient parameters
Externí odkaz:
https://doaj.org/article/0b30f504f0214c1693deaa9446584ec2
Autor:
Hütteroth, Alexander, Budinský, Petr
Publikováno v:
ACTA VŠFS, Vol 17, Iss 2, Pp 125-144 (2023)
In 2022 European equity markets lost some of their value, led by high-growth sectors, which generally have a significantly higher growth rate. The prevailing academic opinion is that the European Central Bank's monetary policy during the COVID-19 pan
Externí odkaz:
https://doaj.org/article/3833fb899c3f4a0d8eb9b91a36f5481a