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pro vyhledávání: '"Večeř Jan"'
Our primary aim is to find an estimate of the expected shortfall in various situations: (1) Nonparametric situation, when the probability distribution of the incurred loss is unknown, only satisfying some general conditions. Then, following [3], the
Externí odkaz:
http://arxiv.org/abs/2212.12419
We propose how to quantify high-frequency market sentiment using high-frequency news from NASDAQ news platform and support vector machine classifiers. News arrive at markets randomly and the resulting news sentiment behaves like a stochastic process.
Externí odkaz:
http://arxiv.org/abs/1906.00059
Akademický článek
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Publikováno v:
In European Journal of Operational Research 1 November 2022 302(3):1215-1229
Autor:
Kampen, Jörg, Vecer, Jan
For linear multivariate purely second order highla degenerated parabolic equations with univariate convex data, monotonicity of the coefficent matrices implies monotonicity of the related value functions under usual regularity and growth assumptions
Externí odkaz:
http://arxiv.org/abs/1706.04503
Autor:
Sadoghi, Amirhossein, Vecer, Jan
Publikováno v:
In European Journal of Operational Research 1 February 2022 296(3):1050-1066
Publikováno v:
In International Review of Financial Analysis October 2021 77