Bayesian two-stage modeling of longitudinal and time-to-event data with an integrated fractional Brownian motion covariance structure. [PDF]
BiometricsPalipana A +3 more
europepmc +1 more source
Agents' Behavior and Interest Rate Model Optimization in DeFi Lending
Mathematical Finance, EarlyView.ABSTRACT Contrasting sharply with traditional money, bond, and bond futures markets, where interest rates emerge organically from participant interactions, DeFi lending platforms employ rule‐based interest rates that are algorithmically set. Thus, the selection of an effective interest rate model (IRM) is paramount for the success of a lending protocol.
Charles Bertucci +4 more
wiley +1 more source
Fractional Brownian motion and multivariate-t models for longitudinal biomedical data, with application to CD4 counts in HIV-positive patients. [PDF]
Stat Med, 2016 Stirrup OT +3 more
europepmc +1 more source
Dynamically Consistent Analysis of Realized Covariations in Term Structure Models
Mathematical Finance, EarlyView.ABSTRACT In this article, we show how to analyze the covariation of bond prices nonparametrically and robustly, staying consistent with a general no‐arbitrage setting. This is, in particular, motivated by the problem of identifying the number of statistically relevant factors in the bond market under minimal conditions.
Dennis Schroers
wiley +1 more source
Order Routing and Market Quality: Who Benefits From Internalization?
Mathematical Finance, EarlyView.ABSTRACT Does retail order internalization benefit (via price improvement) or harm (via reduced liquidity) retail traders? To answer this question, we compare two market designs that differ in their mode of liquidity provision: In the setting capturing retail order internalization, liquidity is provided by market makers (wholesalers) competing for the ...
Umut Çeti̇n, Albina Danilova
wiley +1 more source
Lookback Option Pricing with Fixed Proportional Transaction Costs under Fractional Brownian Motion. [PDF]
Int Sch Res Notices, 2014 Sun JJ, Zhou S, Zhang Y, Han M, Wang F.
europepmc +1 more source
Barrier Options and a Reflection Principle of the Fractional Brownian Motion
, 2003 Ciprian Necula
openalex +1 more source
New Phytologist, EarlyView.Summary Herbarium specimens are widely distributed in space and time, thereby capturing diverse conditions. We reconstructed specimen ‘lived’ climate from knowledge of germination cues and collection dates for 14 annual species in the Streptanthus (s.l.) clade (Brassicaceae) to ask: which climate attributes best explain specimen phenological stage and ...
Megan Bontrager +6 more
wiley +1 more source
Universal algorithm for identification of fractional Brownian motion. A case of telomere subdiffusion. [PDF]
Biophys J, 2012 Burnecki K +5 more
europepmc +1 more source
European option pricing under generalized fractional Brownian motion. [PDF]
, 2021 Axel A. Araneda
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