Results 51 to 60 of about 173,527 (356)
International Journal of Financial Studies, 2021 The change of information near light speed, advances in high-speed trading, spatial arbitrage strategies and foreseen space exploration, suggest the need to consider the effects of the theory of relativity in finance models. Time and space, under certain
Vitor H. Carvalho, Raquel M. Gaspar
doaj +1 more source
Extraction of the underlying structure of systematic risk from non-Gaussian multivariate financial time series using independent component analysis: Evidence from the Mexican stock exchange [PDF]
, 2018 Regarding the problems related to multivariate non-Gaussianity of financial time series, i.e., unreliable results in extraction of underlying risk factors -via Principal Component Analysis or Factor Analysis-, we use Independent Component Analysis (ICA ...
Ladrón de Guevara Cortés, Rogelio +2 more
core +2 more sources
Business Strategy and the Environment, EarlyView.ABSTRACT Global net‐zero ambitions require transformative strategies to decarbonise carbon‐intensive global value chains (GVCs). This study examines how multinational enterprises (MNEs) in sunset industries integrate carbon capture technologies (CCT) with operational and supply chain dynamics (OSCD) to advance decarbonisation.
Muhammad Mustafa Kamal +6 more
wiley +1 more source
Low‐Carbon Optimal Scheduling of Multiple Virtual Power Plants Based on Asymmetric Nash Bargaining
Energy Science &Engineering, EarlyView.ABSTRACT To effectively investigate the structural discrepancies and complementary energy characteristics among multiple virtual power plants (VPPs), and to improve the economic efficiency, low‐carbon performance, and operational reliability of the multi‐agent system, this paper proposes a low‐carbon collaborative optimal operation strategy for ...
Junjie Qiu +5 more
wiley +1 more source
BSDEs driven by a multi-dimensional martingale and their applications to market models with funding costs [PDF]
, 2014 We establish some well-posedness and comparison results for BSDEs driven by one- and multi-dimensional martingales. On the one hand, our approach is largely motivated by results and methods developed in Carbone et al. (2008) and El Karoui and Huang (1997)
Nie, Tianyang, Rutkowski, Marek
core
Journal of Forecasting, EarlyView.ABSTRACT We study the accuracy of a variety of parametric price duration‐based realized variance estimators constructed via various financial duration models and compare their forecasting performance with the performance of various nonparametric return‐based realized variance estimators.
Björn Schulte‐Tillmann +2 more
wiley +1 more source
Arbitrage pricing theory [PDF]
, 2005 Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the expected return and
Huberman, Gur
core
Stochastic relaxational dynamics applied to finance: towards non-equilibrium option pricing theory
, 1999 Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory.
Otto, Matthias
core +1 more source
Ambiguous volatility and asset pricing in continuous time [PDF]
, 2012 This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both volatility and drift.
Epstein, Larry G., Ji, Shaolin
core +2 more sources
Journal of Forecasting, EarlyView.ABSTRACT This paper presents a new hybrid model for predicting German electricity prices. The algorithm is based on a combination of Gaussian process regression (GPR) and support vector regression (SVR). Although GPR is a competent model for learning stochastic patterns within data and for interpolation, its performance for out‐of‐sample data is not ...
Abhinav Das +2 more
wiley +1 more source