Results 181 to 190 of about 163,993 (328)

Tensor Changepoint Detection and Eigenbootstrap

open access: yesJournal of Time Series Analysis, EarlyView.
ABSTRACT Tensor data consisting of multivariate outcomes over the items and across the subjects with longitudinal and cross‐sectional dependence are considered. A completely distribution‐free and tweaking‐parameter‐free detection procedure for changepoints at different locations is designed, which does not require training data.
Michal Pešta   +2 more
wiley   +1 more source

On the Multiplicity of Algebraic Limit Cycles

open access: green, 2012
Belén García   +3 more
openalex   +2 more sources

The fundamental theorem of asset pricing with and without transaction costs

open access: yesMathematical Finance, Volume 35, Issue 2, Page 567-609, April 2025.
Abstract We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no‐arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs. We consider a market with a single risky asset whose ask price process is higher than or equal to its ...
Christoph Kühn
wiley   +1 more source

Order Routing and Market Quality: Who Benefits From Internalization?

open access: yesMathematical Finance, EarlyView.
ABSTRACT Does retail order internalization benefit (via price improvement) or harm (via reduced liquidity) retail traders? To answer this question, we compare two market designs that differ in their mode of liquidity provision: In the setting capturing retail order internalization, liquidity is provided by market makers (wholesalers) competing for the ...
Umut Çeti̇n, Albina Danilova
wiley   +1 more source

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