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The fractional volatility model: No-arbitrage, leverage and risk measures
Fractional noise Arbitrage Incomplete market Risk measures
2010/10/21
Based on a criterium of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Dep...
A New Forecasting Model for USD/CNY Exchange Rate
Nonlinearity Functional-coefficient regression model GARCH model Index model Quantile regression
2011/4/2
his paper models the return series of USD/CNY exchange rate by considering the conditional mean and conditional volatility simultaneously. An index type functional-coefficient model is adopted to mode...
Understanding small private retail firm growth using the sustainable growth model
small business financial ratios retail growth cycle sustainable growth model
2010/10/18
An analysis was conducted to evaluate the cross-sectional variations of financial ratios
among privatively held retail companies measured as different growth cycle stages. The study
examines four fi...
Absolute ruin in the Ornstein-Uhlenbeck type risk model
Risk theory absolute ruin Ornstein-Uhlenbeck type processes
2010/10/20
We start by showing that the finite-time absolute ruin probability in the classical risk model with constant interest force can be expressed in terms of the transition probability of a positive Ornst...
The Model of Intellectual Capital Approach on the Human Capital Vision
Intellectual capital Knowledge management Human capital
2010/10/18
The management of human capital had passionate scholars all over time. The managers have taken a long time to find the best way to monetize their human assets.
Scaling and multiscaling in financial indexes: a simple model
Scaling multiscaling financial indexes simple model
2010/10/20
We propose a simple stochastic model for time series which is analytically tractable, easy to simulate and which captures some relevant stylized facts of financial indexes, including scaling properti...
We study simultaneous price drops of real stocks and show that for high drop thresholds they follow a power-law distribution. To reproduce these collective downturns, we propose a self-organized model...
"Market making" behaviour in an order book model and its impact on the bid-ask spread
Market making behaviour order book model impact bid-ask spread
2010/10/19
It has been suggested that marked point processes might be good candidates for the modelling of financial high-frequency data. A special class of point processes, Hawkes processes, has been the subje...
A Loan Portfolio Model Subject to Random Liabilities and Systemic Jump Risk
A Loan Portfolio Model Random Liabilities Systemic Jump Risk
2010/10/20
We extend the Vasi\v{c}ek loan portfolio model to a setting where liabilities fluctuate randomly and asset values may be subject to systemic jump risk. We derive the probability distribution of the pe...
The Euler-Maruyama approximations for the CEV model
The Euler-Maruyama approximations the CEV model
2010/10/20
The CEV model is given by the stochastic differential equation $X_t=X_0+\int_0^t\mu X_sds+\int_0^t\sigma (X^+_s)^pdW_s$, $\frac{1}{2}\le p<1$. It features a non-Lipschitz diffusion coefficient and ge...
An Econophysics Model for the Currency Exchange with Commission
econophysics electrochemical sources contact phenomena electrode
2010/10/20
In this paper an econophysics model for the currency exchange operations with commission is proposed. With this purpose some analogies and similarities of the processes that take place in the frame o...
Delta Hedging in Financial Engineering: Towards a Model-Free Approach
Financial engineering delta hedging
2010/10/20
Delta hedging, which plays a crucial r\^ole in modern financial engineering, is a tracking control design for a "risk-free" management. We utilize the existence of trends in financial time series (Fli...
Improved Frechet bounds and model-free pricing of multi-asset options
copulas Frechet-Hoeffding bounds concordance order basket options
2010/4/28
We compute the improved bounds on the copula of a bivariate random vector when partial information is available, such as the values of the copula on the subset of $[0,1]^2$, or the value of a function...
Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model
Cointegrated Vector Auto Regressions Markov chain Monte Carlo
2010/4/28
This paper develops a matrix-variate adaptive Markov chain Monte Carlo (MCMC) methodology for Bayesian Cointegrated Vector Auto Regressions (CVAR). We replace the popular approach to sampling Bayesian...
Optimal closing of a pair trade with a model containing jumps
short position investment strategy financial industry
2010/4/28
A pair trade is a portfolio consisting of a long position in one asset and a short position in another, and it is a widely applied investment strategy in the financial industry. Recently, Ekstr\"om, L...