Zobrazeno 1 - 10
of 437
pro vyhledávání: '"Scalas, E"'
We modify ETAS models by replacing the Pareto-like kernel proposed by Ogata with a Mittag-Leffler type kernel. Provided that the kernel decays as a power law with exponent $\beta + 1 \in (1,2]$, this replacement has the advantage that the Laplace tra
Externí odkaz:
http://arxiv.org/abs/2003.01027
We test three common information criteria (IC) for selecting the order of a Hawkes process with an intensity kernel that can be expressed as a mixture of exponential terms. These processes find application in high-frequency financial data modelling.
Externí odkaz:
http://arxiv.org/abs/1702.06055
We introduce a non-homogeneous fractional Poisson process by replacing the time variable in the fractional Poisson process of renewal type with an appropriate function of time. We characterize the resulting process by deriving its non-local governing
Externí odkaz:
http://arxiv.org/abs/1601.03965
In financial time series there are periods in which the value increases or decreases monotonically. We call those periods elemental trends and study the probability distribution of their duration for the indices DJIA, NASDAQ and IPC. It is found that
Externí odkaz:
http://arxiv.org/abs/1211.3060
Publikováno v:
Phys. Rev. E 84, 016113 (2011)
We study some properties of eigenvalue spectra of financial correlation matrices. In particular, we investigate the nature of the large eigenvalue bulks which are observed empirically, and which have often been regarded as a consequence of the suppos
Externí odkaz:
http://arxiv.org/abs/1102.4076
Publikováno v:
Physica A 339 (2004) 189-196
At present, there is an explosion of practical interest in the pricing of interest rate (IR) derivatives. Textbook pricing methods do not take into account the leptokurticity of the underlying IR process. In this paper, such a leptokurtic behaviour i
Externí odkaz:
http://arxiv.org/abs/cond-mat/0401445
In financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we analyse the statistical properties of General Electric stock prices, tra
Externí odkaz:
http://arxiv.org/abs/cond-mat/0203596
Publikováno v:
International Journal of Theoretical and Applied Finance 3, 563-564 (2000)
We present a neural-network valuation of financial derivatives in the case of fat-tailed underlying asset returns. A two-layer perceptron is trained on simulated prices taking into account the well-known effect of volatility smile. The prices of the
Externí odkaz:
http://arxiv.org/abs/cond-mat/0001253
Publikováno v:
Acta Physica Polonica: A. Jun2018, Vol. 133 Issue 6, p1421-1432. 12p.
Publikováno v:
In Physica A: Statistical Mechanics and its Applications 2008 387(25):6385-6390