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Microscopic understanding of heavy-tailed return distributions in an agent-based model
Microscopic understanding of heavy-tailed return distributions agent-based model
2012/9/14
The distribution of returns in nancial time series exhibits heavy tails. In empirical studies, it has been found that gaps between the orders in the order book lead to large price shifts and thereby ...
On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability
multi-period asset allocation expected utility optimization exponential utility func-tion return predictability.
2012/9/14
In this paper we derive the exact solution of the multi-period portfolio choice problem for an exponential utility function under return predictability. It is assumed that the asset returns depend on ...
An algorithm for the orthogonal decomposition of financial return data
portfolio selection mean-variance analysis principal components of risk
2012/9/14
We present an algorithm for the decomposition of periodic financial return data into orthogonal factors of expected return and “systemic”, “productive”, and “nonproductive”risk. Generally, when the nu...
Drive for Show, Putt for Dough: Rates of Return to Golf Skills, Events Played, and Age on the PGA Tour
Golf Skills Events Played Age on the PGA Tour
2009/11/30
The “winner take all” structure of professional golf, where there i
substantial incentive to perform at one's highest ability, invites investigation
into the rates of return to golf skills on the PG...
Statistical analysis of the overnight and daytime return
price modelling Quantum neural computation nonlinear Schr¨odinger equations leverage effect bidirectional associative memory
2010/10/29
We propose a new cognitive framework for option price modelling, using quantum
neural computation formalism. Briefly, when we apply a classical nonlinear neuralnetwork
learning to a linear quantum S...