Zobrazeno 1 - 10
of 16
pro vyhledávání: '"Miguel Angel Sánchez-Granero"'
Autor:
María Nieves López-García, Miguel Angel Sánchez-Granero, Juan Evangelista Trinidad-Segovia, Antonio Manuel Puertas, Francisco Javier De las Nieves
Publikováno v:
Mathematics, Vol 9, Iss 6, p 598 (2021)
The volatility and log-price collective movements among stocks of a given market are studied in this work using co-movement functions inspired by similar functions in the physics of many-body systems, where the collective motions are a signal of stru
Externí odkaz:
https://doaj.org/article/70fc5399b8ac4a1789f17bddf9b12c61
Autor:
Karen Balladares, José Pedro Ramos-Requena, Juan Evangelista Trinidad-Segovia, Miguel Angel Sánchez-Granero
Publikováno v:
Mathematics, Vol 9, Iss 2, p 179 (2021)
In this paper, we use a statistical arbitrage method in different developed and emerging countries to show that the profitability of the strategy is based on the degree of market efficiency. We will show that our strategy is more profitable in emergi
Externí odkaz:
https://doaj.org/article/9af314d5bd8947f18e9fb4a1ab6541b4
Autor:
María Nieves López-García, Miguel Angel Sánchez-Granero, Juan Evangelista Trinidad-Segovia, Antonio Manuel Puertas, Francisco Javier De las Nieves
Publikováno v:
Entropy, Vol 22, Iss 9, p 954 (2020)
One of the main contributions of the Capital Assets Pricing Model (CAPM) to portfolio theory was to explain the correlation between assets through its relationship with the market index. According to this approach, the market index is expected to exp
Externí odkaz:
https://doaj.org/article/0510038ce16c45b9a2d0a29f74ab8223
Autor:
Venelina Nikolova, Juan E. Trinidad Segovia, Manuel Fernández-Martínez, Miguel Angel Sánchez-Granero
Publikováno v:
Mathematics, Vol 8, Iss 8, p 1216 (2020)
One of the main characteristics of cryptocurrencies is the high volatility of their exchange rates. In a previous work, the authors found that a process with volatility clusters displays a volatility series with a high Hurst exponent. In this paper,
Externí odkaz:
https://doaj.org/article/8e7245014dbd4cdeab918ac093c251d2
Autor:
Manuel Fernández-Martínez, Juan Luis García Guirao, Miguel Ángel Sánchez-Granero, Juan Evangelista Trinidad Segovia
This book provides a generalised approach to fractal dimension theory from the standpoint of asymmetric topology by employing the concept of a fractal structure. The fractal dimension is the main invariant of a fractal set, and provides useful inform
Autor:
Catalina Beatriz García García, María del Mar López Martín, Miguel Angel Sánchez Granero, José García Pérez
Publikováno v:
Operations Research Perspectives, Vol 3, Iss C, Pp 67-76 (2016)
The beta distribution has traditionally been employed in the PERT methodology and generally used for modeling bounded continuous random variables based on expert’s judgment. The impossibility of estimating four parameters from the three values prov
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::89bd4601a8f6714e987741d0b56a4407
https://doi.org/10.1016/j.orp.2016.09.001
https://doi.org/10.1016/j.orp.2016.09.001
Publikováno v:
Mathematics, Vol 12, Iss 2, p 310 (2024)
In this work we start developing a Riemann-type integration theory on spaces which are equipped with a fractal structure. These topological structures have a recursive nature, which allows us to guarantee a good approximation to the true value of a c
Externí odkaz:
https://doaj.org/article/4c83663b78324059bd14b73ccf1a02a8
Autor:
Carmen Eloísa Ruiz López, Miguel Angel Sánchez Granero, Sonia Benito Muela, Pilar Abad Romero
Publikováno v:
The Journal of Risk. 18
This paper evaluates the performance of several skewed and symmetric distributions in modeling the tail behavior of daily returns and forecasting Value at Risk (VaR). First, we used some goodness of fit tests to analyze which distribution best fits t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f8a89c41ee117052b2e46f85d419dfbb
https://doi.org/10.21314/j0r.2016.332
https://doi.org/10.21314/j0r.2016.332
Autor:
Miguel Angel Sánchez Granero, Salvador Cruz Rambaud, José García Pérez, Juan Evangelista Trinidad Segovia
Publikováno v:
European Journal of Operational Research. 196:1245-1248
In this paper a new approach of the Markowitz’s model is presented. Indeed, using an inner product, a quantitative and explicit solution for optimal portfolio selection is given. To do this, a scalar product is defined in R n which allows us to cal
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a97b1db84e4872b824dd22a12a482272
https://doi.org/10.1016/j.ejor.2008.04.021
https://doi.org/10.1016/j.ejor.2008.04.021
Publikováno v:
Publicationes Mathematicae Debrecen. 73:471-488
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c08c8394fcab9bde96f21a253583fd98
https://doi.org/10.5486/pmd.2008.4137
https://doi.org/10.5486/pmd.2008.4137