Results 141 to 150 of about 444,491 (252)
Multiple Chains Markov Switching Vector Autoregression
Journal of Time Series Analysis, EarlyView.ABSTRACT Both the U.S. stock and bond returns exhibit distinct Markovian regimes. However, because these regimes display limited coherence, conventional models typically require highly parameterized systems to adequately capture their joint distribution.
Leopoldo Catania
wiley +1 more source
Information‐Theoretic Approach to Financial Market Modeling
Mathematical Finance, EarlyView.ABSTRACT The paper treats the financial market as a communication system, using four information‐theoretic assumptions to derive an idealized model with only one parameter. State variables are scalar stationary diffusions. The model maximizes the surprisal of the market and minimizes the Kullback–Leibler divergence between the benchmark‐neutral pricing
Eckhard Platen
wiley +1 more source
On Short‐Term Behavior of Implied Volatility for Index Options
Mathematical Finance, EarlyView.ABSTRACT This paper investigates short‐term behavior of implied volatility of derivatives written on a market index when the index is constructed using a ranking procedure. Even when stock prices follow geometric Brownian motion dynamics, the ranking mechanism can lead to the observed term structure of at‐the‐money (ATM) implied volatility skew for ...
Huy N. Chau, Duy Nguyen, Thai Nguyen
wiley +1 more source
The computation of case fatality rate for novel coronavirus (COVID-19) based on Bayes theorem: An observational study. [PDF]
Medicine (Baltimore), 2020 Chang CS +5 more
europepmc +1 more source
Is A Little Learning Dangerous?
Noûs, EarlyView.ABSTRACT I argue that a little learning is often dangerous even for ideal reasoners who are operating in extremely simple scenarios and know all the relevant facts about how the evidence is generated. More precisely, I show that, on many plausible ways of assigning value to a credence in a hypothesis H, ideal Bayesians should sometimes expect other ...
Bernhard Salow
wiley +1 more source
Weighted naïve bayes multi-user classification for adaptive authentication
Journal of Physics CommunicationsMachine learning classification algorithms have been extensively utilized in addressing user authentication challenges. Nonetheless, a majority of solutions categorize users into three classes, whereas adaptive authentication scenarios necessitate ...
Prudence M Mavhemwa +3 more
doaj +1 more source
Assessing the Effectiveness of Workers' Selection Exams: The Case of the Bank of Italy
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT High‐stakes exams can be used to rank and select candidates for job openings, and the ability of those selected hinges on the design of the exam. I propose a method to model candidates' performance to assess how effective the exam is at selecting high‐ability candidates.
Santiago Pereda‐Fernández
wiley +1 more source
The Astrophysical Journal Supplement SeriesDetecting oscillations in solar and stellar time series is complicated by nonstationary red noise and evolving background emission. Methods based on detrending and AR(1)-based wavelet analysis can introduce spurious periodicities and do not adequately ...
Song Feng, Lin Li, Ding Yuan
doaj +1 more source
Circular inference in visual cortical hierarchies in schizophrenia
Psychiatry and Clinical Neurosciences, EarlyView.Aim In schizophrenia, disrupted perceptual processes contribute to positive symptoms. However, it remains unclear how top‐down priors and bottom‐up likelihoods are represented across the hierarchy of visual cortices. To identify these processes within cortical hierarchies, the circular inference model offers a framework to account for the biased ...
Shuhei Hara +7 more
wiley +1 more source
Using Bayes' Theorem to solve marketing problems with uncertainty
In today's dynamic market environment and an increasing amount of data, there is a problem of decision-making in the field of marketing due to a large number of uncertainties.
Viktor S. Shamanov
core +1 more source