Results 151 to 160 of about 1,853,662 (312)
Journal of Forecasting, EarlyView.ABSTRACT This paper presents a method for forecasting limit order book durations using a self‐exciting flexible residual point process. High‐frequency events in modern exchanges exhibit heavy‐tailed interarrival times, posing a significant challenge for accurate prediction.
Kyungsub Lee
wiley +1 more source
This paper explores the inter-connectedness and co-evolution of transportation networks and land use through the application of a Markov Chain model to the Twin Cities from 1958 through 1990.
Wei Chen, David Levinson
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Bayesian Multivariate Two‐Stage Volatility‐Return Models (MTS‐VR)
Journal of Forecasting, EarlyView.ABSTRACT This paper develops a class of models to capture the joint dynamics of asset returns and multivariate volatility. Owing to its two‐stage construction, this class is referred to as the multivariate two‐stage volatility‐return (MTS‐VR) model.
Zhenglyu Huang +2 more
wiley +1 more source
State‐Dependent Market (In)Efficiency in Cryptocurrency Markets
Journal of Futures Markets, EarlyView.ABSTRACT This paper develops a meta‐learning framework to test whether cryptocurrency market inefficiency is static or state‐dependent. To resolve competing claims between the Efficient and Adaptive Market Hypotheses (AMH), we construct an adaptive trading strategy using high‐frequency data for 50 major cryptocurrencies.
Sasan Barak +2 more
wiley +1 more source
On Markov Chains with Uncertain Data [PDF]
In this paper, a general method is described to determine uncertainty intervals for performance measures of Markov chains given an uncertainty region for the parameters of the Markov chains.
Blanc, J.P.C., Hertog, D. den
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Nonparametric Regression for Cost‐Effectiveness Analyses With Observational Data—A Tutorial
Health Economics, EarlyView.ABSTRACT Healthcare decision‐making often requires selecting among multiple treatment options under budget constraints, particularly when one option is more effective but also more costly. Cost‐effectiveness analysis (CEA) provides a framework for evaluating whether the health benefits of a treatment justify its additional costs.
Jonas Esser +3 more
wiley +1 more source
PENERAPAN MODEL MARKOV CHAIN DALAM MEMPREDIKSI KEBERHASILAN STUDI
, 1999 Konsep dasar Markov Chain baru diperkenalkan sekitar tahun 1907, oleh seorang Matenlatisi Rusia Andrei A. Markov (1856-1922). Model in; berhubungan dengal?
Abdurachman, Edi
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Iterated Function Systems Controlled by a Semi-Markov Chain
, 1996 .In this paper we consider a finite set of m maps fw 1 ; w 2 ; :::; wm g; w i : X ! X, where X is a complete metric space, together with a sequence fI n g of random variables taking values in the finite set f1; 2; : : : ; mg: This sequence controls the ...
A Semi-markov Chain, Örjan Stenflo
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Modelling dairy farm size distribution in Poland using an instrumental variable generalized cross entropy markov chain approach [PDF]
, 2008 The aim of this paper is to analyse the evolution of the dairy farm structure of Poland during the post-socialist period. First the paper focuses on how the farm structure has changed over time and what path it is likely to follow in the coming decade ...
Tonini, A., Jongeneel, R.
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Heat Transfer, EarlyView.ABSTRACT This work presents and compares two explicit approaches for estimating space‐ and time‐dependent source terms in parabolic diffusion equations, derived from analytical solutions obtained through the Classical Integral Transform Technique (CITT).
André J. P. de Oliveira +5 more
wiley +1 more source