Zobrazeno 1 - 10
of 115
pro vyhledávání: '"Villena, Marcelo"'
Autor:
Villena, Marcelo J., Araneda, Axel A.
Publikováno v:
In Finance Research Letters March 2024 61
In this paper, we analyze classical and quantum physical systems from an optimal control perspective. Specifically, we explore whether their associated dynamics can correspond to an open or closed-loop feedback evolution of a control problem. Firstly
Externí odkaz:
http://arxiv.org/abs/2006.06162
Publikováno v:
In Journal of Policy Modeling September-October 2023 45(5):975-993
Autor:
Araneda, Axel A., Villena, Marcelo J.
The Constant Elasticity of Variance (CEV) model significantly outperforms the Black-Scholes (BS) model in forecasting both prices and options. Furthermore, the CEV model has a marked advantage in capturing basic empirical regularities such as: hetero
Externí odkaz:
http://arxiv.org/abs/1803.10376
Autor:
Contreras González, Mauricio1 (AUTHOR) mauricio.contreras@umce.cl, Villena, Marcelo2 (AUTHOR) marcelo.villena@usm.cl, Ortiz Herrera, Roberto3,4 (AUTHOR) roberto.ortiz@udp.cl
Publikováno v:
Symmetry (20738994). Nov2023, Vol. 15 Issue 11, p2033. 35p.
We study the structure of a simple dynamic optimization problem consisting of one state and one control variable, from a physicist's point of view. By using an analogy to a physical model, we study this system in the classical and quantum frameworks.
Externí odkaz:
http://arxiv.org/abs/1607.01317
Autor:
Villena, Marcelo Ricardo
Publikováno v:
Repositório Institucional da UFPRUniversidade Federal do ParanáUFPR.
Este trabalho apresenta a memória do processo compositivo de peças para instrumentos e vozes compostas a partir da escuta de paisagens sonoras somada à reflexão teórica dos aspectos que contribuíram a sua criação. Avalia, sobretudo, os mecani
Externí odkaz:
http://hdl.handle.net/1884/30453
An interacting Black-Scholes model for option pricing, where the usual constant interest rate r is replaced by a stochastic time dependent rate r(t) of the form r(t)=r+f(t) dW/dt, accounting for market imperfections and prices non-alignment, was deve
Externí odkaz:
http://arxiv.org/abs/1512.05377
Autor:
Villena, Marcelo J., Araneda, Axel A.
Publikováno v:
Mathematics and computers in simulation 2017
Retail competition today can be described by three main features: i) oligopolistic competition, ii) multi-store settings, and iii) the presence of large economies of scale. In these markets, firms usually apply a centralized decisions making process
Externí odkaz:
http://arxiv.org/abs/1510.04550
In this article, the long-term behavior of the stock market index of the New York Stock Exchange is studied, for the period 1950 to 2013. Specifically, the CRSP Value-Weighted and CRSP Equal-Weighted index are analyzed in terms of market efficiency,
Externí odkaz:
http://arxiv.org/abs/1510.03926