Results 211 to 220 of about 37,570 (330)

Adaptive Estimation for Weakly Dependent Functional Times Series

Journal of Time Series Analysis, EarlyView.
ABSTRACT We propose adaptive mean and autocovariance function estimators for stationary functional time series under 𝕃p−m‐approximability assumptions. These estimators are designed to adapt to the regularity of the curves and to accommodate both sparse and dense data designs.
Hassan Maissoro, Valentin Patilea, Myriam Vimond   +2 more
wiley   +1 more source

Universal algorithm for identification of fractional Brownian motion. A case of telomere subdiffusion. [PDF]

Biophys J, 2012
Burnecki K, Kepten E, Janczura J, Bronshtein I, Garini Y, Weron A.   +5 more
europepmc   +1 more source

Functional Vašiček Model

Journal of Time Series Analysis, EarlyView.
ABSTRACT We propose a new formulation of the Vašičekmodel within the framework of functional data analysis. We treat observations (continuous‐time rates) within a suitably defined trading day as a single statistical object. We then consider a sequence of such objects, indexed by day.
Piotr Kokoszka, Neda Mohammadi, Leonardo Santoro, Hong Miao, Haonan Wang   +4 more
wiley   +1 more source

The fundamental theorem of asset pricing with and without transaction costs

Mathematical Finance, Volume 35, Issue 2, Page 567-609, April 2025.
Abstract We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no‐arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs. We consider a market with a single risky asset whose ask price process is higher than or equal to its ...
Christoph Kühn
wiley   +1 more source

Unified Asymptotics for Investment Under Illiquidity: Transaction Costs and Search Frictions

Mathematical Finance, EarlyView.
ABSTRACT This paper investigates the optimal investment problem in a market with two types of illiquidity: transaction costs and search frictions. We analyze a power‐utility maximization problem where an investor encounters proportional transaction costs and trades only when a Poisson process triggers trading opportunities.
Tae Ung Gang, Jin Hyuk Choi
wiley   +1 more source

Stationarity and Self-Similarity Characterization of the Set-Indexed Fractional Brownian Motion [PDF]

, 2008
Érick Herbin, Ely Merzbach
openalex   +1 more source

Fractional Brownian motion [PDF]

, 2013
openaire   +2 more sources

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, Louis Bertucci, Mathis Gontier Delaunay, Olivier Guéant, Matthieu Lesbre   +4 more
wiley   +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

Error bounds on the non-normal approximation of Hermite power variations of fractional Brownian motion [PDF]

, 2008
Jean-Christophe Breton, Ivan Nourdin
openalex   +1 more source