Results 61 to 70 of about 66,313 (214)

Miners' Reward Elasticity and Stability of Competing Proof‐of‐Work Cryptocurrencies

International Economic Review, EarlyView.
ABSTRACT Proof‐of‐Work cryptocurrencies employ miners to sustain the system through algorithmic reward adjustments. We develop a stochastic model of the multicurrency mining and identify conditions for stable transaction speeds. Bitcoin's algorithm requires hash supply elasticity <$<$1 for stability, while ASERT remains stable for any elasticity and ...
Kohei Kawaguchi, Junpei Komiyama, Shunya Noda   +2 more
wiley   +1 more source

Are MENA and Pacific Basin Stock Equity Markets Predictable?

SAGE Open, 2014
This research uses variance ratio analysis to test whether Middle Eastern, North African (MENA) and Pacific Basin emerging equity markets follow a martingale behavior during the period1980-2004.
Fathia Elleuch Lahyani
doaj   +1 more source

New procedures for testing whether stock price processes are martingales

, 2009
We propose procedures for testing whether stock price processes are martingales based on limit order type betting strategies. We first show that the null hypothesis of martingale property of a stock price process can be tested based on the capital ...
A. Shmilovici, A. Timmermann, A. W. Lo, Akimichi Takemura, B. G. Malkiel, D. Revuz, G. Shafer, J. L. Kelly, J. Ville, J. Y. Cambell, K. Takeuchi, Kei Takeuchi, L. C. G. Rogers, L. E. Dubins, M. Kumon, M. Rubinstein, Masayuki Kumon, R. Giglio, S. F. LeRoy, T. M. Cover   +19 more
core   +3 more sources

On Metric Choice in Dimension Reduction for Fréchet Regression

International Statistical Review, EarlyView.
Summary Fréchet regression is becoming a mainstay in modern data analysis for analysing non‐traditional data types belonging to general metric spaces. This novel regression method is especially useful in the analysis of complex health data such as continuous monitoring and imaging data.
Abdul‐Nasah Soale, Congli Ma, Siyu Chen, Obed Koomson   +3 more
wiley   +1 more source

Strong Law of Large Numbers of Pettis-Integrable Multifunctions

Journal of Mathematics, 2019
Using reversed martingale techniques, we prove the strong law of large numbres for independent Pettis-integrable multifunctions with convex weakly compact values in a Banach space.
Hamid Oulghazi, Fatima Ezzaki
doaj   +1 more source

A Comparative Review of Specification Tests for Diffusion Models

International Statistical Review, EarlyView.
Summary Diffusion models play an essential role in modelling continuous‐time stochastic processes in the financial field. Therefore, several proposals have been developed in the last decades to test the specification of stochastic differential equations.
A. López‐Pérez, D. Diz‐Castro, M. Febrero‐Bande, W. González‐Manteiga   +3 more
wiley   +1 more source

Pricing Asian options in financial markets using Mellin transforms

Electronic Journal of Differential Equations, 2014
We derived an expression for the floating strike put arithmetic asian options in financial market when the asset is driven by the generalized Barndorff-Nielsen and Shephard model with stochastic volatility.
Indranil SenGupta
doaj  

On the asymptotic events of a Markov chain

International Journal of Mathematics and Mathematical Sciences, 1979
In this paper we investigate some structure properties of the tail σ-field and the invariant σ-field of both homogeneous and nonhomogeneous Markov chains as representations for asymptotic events, descriptions of completely nonatomic and atomic sets and ...
Harry Cohn
doaj   +1 more source

What Are Asset Price Bubbles? A Survey on Definitions of Financial Bubbles

Journal of Economic Surveys, EarlyView.
ABSTRACT Financial bubbles and crashes have repeatedly caused economic turmoil notably but not just during the 2008 financial crisis. However, both in the popular press as well as scientific publications, the meaning of bubble is sometimes unspecified.
Michael Heinrich Baumann, Anja Janischewski   +1 more
wiley   +1 more source

Model Ambiguity versus Model Misspecification in Dynamic Portfolio Choice

The Journal of Finance, EarlyView.
ABSTRACT We study aversion to model ambiguity and misspecification in dynamic portfolio choice. Risk‐averse investors (relative risk aversion γ>1$\gamma > 1$) fear return persistence, while risk‐tolerant investors (0<γ<1$0<\gamma <1$) fear mean reversion, when confronting model misspecification concerns of identically and independently distributed (IID)
PASCAL J. MAENHOUT, HAO XING, ANNE G. BALTER   +2 more
wiley   +1 more source