Results 111 to 120 of about 38,919 (183)

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

Bayes Theorem and Protopathic Bias: Methodological Concerns When Addressing the Impact of Fetal Heart Rate Patterns on the Cesarean Section Rate. [PDF]

AJP Rep, 2020
Balayla J, Lasry A, Gil Y, Volodarsky-Perel A.   +3 more
europepmc   +1 more source

Convergence of Heavy‐Tailed Hawkes Processes and the Microstructure of Rough Volatility

Mathematical Finance, EarlyView.
ABSTRACT We establish the weak convergence of the intensity of a nearly‐unstable Hawkes process with heavy‐tailed kernel. Our result is used to derive a scaling limit for a financial market model where orders to buy or sell an asset arrive according to a Hawkes process with power‐law kernel.
Ulrich Horst, Wei Xu, Rouyi Zhang
wiley   +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

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, Keita Suzuki, Akio Murakami, Kei Majima, Mohamed Abdelhack, Fan L. Cheng, Kenji Doya, Hidehiko Takahashi   +7 more
wiley   +1 more source

Simulations All the Way Up! An Atheist's Response to the Fine‐Tuning Argument

Analytic Philosophy, EarlyView.
ABSTRACT So the Fine‐tuning Argument goes, because it is so unlikely for the physical constants of the laws of nature to have taken the values that they in fact take, we should significantly raise our credence that God exists. Simulation Arguments argue that our world might be (or, in stronger versions, that it probably is) a mere computer simulation ...
Nikk Effingham
wiley   +1 more source

Diagnosing ectopic pregnancy using the bayes theorem and neural network: a validation of a retrospective cohort study. [PDF]

Rev Bras Ginecol Obstet
Maroni L, Silva PC, Kunst R, Savaris RF.
europepmc   +1 more source

The Problem of Psychonomic Harmony

Philosophy and Phenomenological Research, EarlyView.
ABSTRACT The problem of nomological harmony is the problem of explaining why the laws of nature match or apply to the states of the universe in a way that results in temporal evolution. The problem of psychophysical harmony is the problem of explaining why phenomenal states are paired with physical states and other phenomenal states in surprisingly ...
Joseph C. Schmid
wiley   +1 more source