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Full characterization of the fractional Poisson process
Full characterization fractional Poisson process Data Analysis
2011/7/25
Abstract: The fractional Poisson process (FPP) is a counting process with independent and identically distributed inter-event times following the Mittag-Leffler distribution. This process is very usef...
A sharp analysis on the asymptotic behavior of the Durbin-Watson statistic for the first-order autoregressive process
Durbin-Watson statistic first-order autoregressive process Statistical test for serial correlation
2011/7/25
Abstract: The purpose of this paper is to provide a sharp analysis on the asymptotic behavior of the Durbin-Watson statistic. We focus our attention on the first-order autoregressive process where the...
Optimal execution of Portfolio transactions with geometric price process
Optimal execution Portfolio geometric price process
2010/11/2
In this paper we derive the Markowitz-optimal, deterministic-execution trajectory for a trader who wishes to buy or sell a large position of a share which evolves as a geometric Brownian
motion in co...
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Continuous-Time Process iin the Presence of Market Microstructure Noise
2014/3/13
In theory, the sum of squares of log returns sampled at high frequency estimates their variance. When market microstructure noise is present but unaccounted for, however,we show that the optimal sampl...