Results 221 to 230 of about 156,527 (368)
Pricing of Shanghai stock exchange 50 ETF options based on different volatility models. [PDF]
Wu Q, Kuang X, Wu B, Xu X.
europepmc +1 more source
The fundamental theorem of asset pricing with and without transaction costs
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
Improving long short-term memory (LSTM) networks for arbitrage spread forecasting: integrating cuckoo and zebra algorithms in chaotic mapping space for enhanced accuracy. [PDF]
Zhu M+9 more
europepmc +1 more source
Private and External Costs and Benefits of Replacing High-Emitting Peaker Plants with Batteries. [PDF]
Porzio J+3 more
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Factor Models With Sparse Vector Autoregressive Idiosyncratic Components
ABSTRACT We reconcile dense and sparse modelling by exploiting the positive aspects of both. We employ a high‐dimensional, approximate static factor model and assume the idiosyncratic term follows a sparse vector autoregressive model (VAR). The estimation is articulated in two steps: (i) factors and loadings are estimated via principal component ...
Jonas Krampe, Luca Margaritella
wiley +1 more source
Forecasting of virtual power plant generating and energy arbitrage economics in the electricity market using machine learning approach. [PDF]
Sarathkumar TV+5 more
europepmc +1 more source
Pricing, No-arbitrage Bounds and Robust Hedging of Installment Options [PDF]
Mark H. Davis+2 more
openalex +1 more source
ABSTRACT In this paper, we propose a two‐step procedure based on the group LASSO estimator in combination with a backward elimination algorithm to detect multiple structural breaks in linear regressions with multivariate responses. Applying the two‐step estimator, we jointly detect the number and location of structural breaks and provide consistent ...
Karsten Schweikert
wiley +1 more source