Results 61 to 70 of about 14,389 (211)
Quantum Programming Made Easy [PDF]
, 2019 We present IQu, namely a quantum programming language that extends Reynold's Idealized Algol, the paradigmatic core of Algol-like languages. IQu combines imperative programming with high-order features, mediated by a simple type theory. IQu mildly merges
Paolini, Luca +2 more
core +2 more sources
Speed Bump and Stock Market Quality: Evidence From NYSE American
Financial Management, EarlyView.ABSTRACT Should trading speed of high‐frequency traders be regulated? Using the data from the New York Stock Exchange American, this paper examines the impact of a speed bump on market liquidity and price discovery. Our results indicate that the use of a speed bump can lower the costs of adverse selection through reducing informed trading.
Bo Liu, Ke Xu
wiley +1 more source
Forecasting of CVaR based on intraday trading in Tehran ETFs: The approach of heterogeneous autoregression models [PDF]
تصمیم گیری و تحقیق در عملیاتPurpose: This study examines the accuracy of Heterogeneous Autoregressive (HAR) models in forecasting the Conditional Value-at-Risk (CVaR) of Exchange-Traded Funds (ETFs) on the Tehran Stock Exchange.
Shiva Hallaji +3 more
doaj +1 more source
Interval Optimization In Portfolio Selection with Conditional Value At Risk [PDF]
تحقیقات مالی, 2017 In this paper portfolio selection problem with interval optimization approach is surveyed. CVaR is risk measure. CVaR is the expected loss depending on the chosen confidence level.
Amir Abbas Najafi +2 more
doaj +1 more source
Price Discovery in Bitcoin ETF Market
Financial Review, EarlyView.ABSTRACT In this study, we explore price discovery across the following three Bitcoin markets: spot, futures, and exchange‐traded funds (ETFs). Employing the fractionally cointegrated vector autoregressive (FCVAR) model, we estimate price discovery in each market using minute‐level price data from October 19, 2021, the launch date of the first US ...
Kiana Kia +4 more
wiley +1 more source
Robust Optimal Power Flow with Wind Integration Using Conditional Value-at-Risk
, 2013 Integrating renewable energy into the power grid requires intelligent risk-aware dispatch accounting for the stochastic availability of renewables. Toward achieving this goal, a robust DC optimal flow problem is developed in the present paper for power ...
Giannakis, Georgios B., Zhang, Yu
core +1 more source
Multi‐period optimal bidding strategy with energy storage
International Transactions in Operational Research, EarlyView.Abstract We consider a setting where a wind power producer (WPP) bids in a multi‐period ahead electricity market. The new elements we take into account are (i) the integration of electricity storage devices, (ii) the extension from single‐period to multi‐period optimal bidding, (iii) the implementation of a short‐sighted strategy versus a far‐sighted ...
Azin Khaleghi, Wouter Baar, Dario Bauso
wiley +1 more source
Fitting heavy-tailed mixture models with CVaR constraints
Dependence Modeling, 2019 Standard methods of fitting finite mixture models take into account the majority of observations in the center of the distribution. This paper considers the case where the decision maker wants to make sure that the tail of the fitted distribution is at ...
Pertaia Giorgi, Uryasev Stan
doaj +1 more source
Portfolio optimization with structured products under return constraint [PDF]
Yugoslav Journal of Operations Research, 2015 A new approach for optimizing risk in a portfolio of financial instruments involving structured products is presented. This paper deals with a portfolio selection model which uses optimization methodology to minimize conditional Value-at-Risk ...
Baweja Meena, Saxena Ratnesh R.
doaj +1 more source
Portfolio Selection Problem Using CVaR Risk Measures Equipped with DEA, PSO, and ICA Algorithms
Mathematics, 2022 Investors always pay attention to the two factors of return and risk in portfolio optimization. There are different metrics for the calculation of the risk factor, among which the most important one is the Conditional Value at Risk (CVaR).
Abdelouahed Hamdi +3 more
doaj +1 more source