A pseudo-analytic generalization of the memoryless property for continuous random variables and its use in pricing contingent claims. [PDF]
R Soc Open SciCarr P, Cirillo P, Cirillo P.
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A Stochastic Tree for Bubble Asset Modelling and Pricing
Journal of Time Series Analysis, Volume 46, Issue 5, Page 932-944, September 2025.ABSTRACT We introduce a new stochastic tree representation of a strictly stationary submartingale process for modelling, forecasting, and pricing speculative bubbles on commodity and cryptocurrency markets. The model is compared to other trees proposed in the literature on bubble asset modelling and stochastic volatility approximation. We show that the
Christian Gourieroux, Joann Jasiak
wiley +1 more source
Reclaiming Resilience Through Granular Arbitrage: Anticipating Sea Level Rise in Singapore. [PDF]
Crit Asian StudJamieson W.
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Cross-section without factors: a string model for expected returns. [PDF]
Quant FinanceDistaso W, Mele A, Vilkov G.
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Hedging irrigated maize crop yields using temperature derivatives in Malawi. [PDF]
HeliyonDennis Chirwa PB, Dzupire NC.
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Breaking the traditional: a survey of algorithmic mechanism design applied to economic and complex environments. [PDF]
Neural Comput Appl, 2023 Chen Q +6 more
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Enhanced futures price-spread forecasting based on an attention-driven optimized LSTM network: integrating an improved grey wolf optimizer algorithm for enhanced accuracy. [PDF]
PeerJ Comput SciTang Y, Gao Z, Cai Z, Yu J, Qin P.
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Emerging markets' response to COVID-19: Insights from arbitrages strategies. [PDF]
HeliyonJialu W, Zhao L, Li H, Guo X.
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