Results 51 to 60 of about 740,184 (197)
MathematicsFinancial time series forecasting remains a persistent challenge due to the non-stationary nature, inherent noise, and multi-scale temporal dependencies present in market data.
Qian Xia, Wenhao Kang
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Operator-valued martingale transforms
Operator-valued martingale transformsWe develop a general theory of martingale transform operators with operator-valued multiplying sequences. Applications are given to classical operators such as Doob's maximal function and the square function. Some geometric properties of the underlying Banach spaces are also considered.
Torrea, JoseL., Martinez, Teresa
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Reinforcement Learning for Jump‐Diffusions, With Financial Applications
Mathematical Finance, EarlyView.ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
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Martingale Transforms and Related Singular Integrals [PDF]
Transactions of the American Mathematical Society, 1986 The operators obtained by taking conditional expectation of continuous time martingale transforms are studied, both on the circle T T
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Never, Ever Getting Started: On Prospect Theory Without Commitment
Mathematical Finance, EarlyView.ABSTRACT Prospect theory is arguably the most prominent alternative to expected utility theory. We study the investment or gambling behavior of a prospect theory decision maker who is aware of his time‐inconsistency but lacks commitment. For the empirically relevant prospect theory specifications, we obtain the extreme prediction that such a decision ...
Sebastian Ebert, Philipp Strack
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Pricing of a Binary Option Under a Mixed Exponential Jump Diffusion Model
MathematicsThis paper focuses on the pricing problem of binary options under stochastic interest rates, stochastic volatility, and a mixed exponential jump diffusion model.
Yichen Lu, Ruili Song
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On singular integral and martingale transforms [PDF]
Transactions of the American Mathematical Society, 2009 Linear equivalences of norms of vector-valued singular integral operators and vector-valued martingale transforms are studied. In particular, it is shown that the UMD(p)-constant of a Banach space X equals the norm of the real (or the imaginary) part of the Beurling-Ahlfors singular integral operator, acting on the X-valued L^p-space on the plane ...
Geiss, Stefan +2 more
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On the Exact Limiting Distribution of a Volatility Target Index
Mathematical Finance, EarlyView.ABSTRACT Assuming a lognormal distribution for the underlying risky asset, we study the limiting distribution of a volatility target index as the rebalancing time step approaches zero. Two limit theorems (a strong law of large numbers and a central limit theorem) are established, and as an application, the exact limiting distribution is derived.
Xuan Liu, Michel Gauthier
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Market Making With Fads, Informed, and Uninformed Traders
Mathematical Finance, EarlyView.ABSTRACT We characterize the solution to a continuous‐time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibits fads —these are short‐term deviations from the fundamental value of the asset.
Emilio Barucci +2 more
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Mathematical Finance, EarlyView.ABSTRACT We extend the notion of forward performance criteria to settings with random endowment in incomplete markets. Building on these results, we introduce and develop the novel concept of forward optimized certainty equivalent (forward OCE), which offers a genuinely dynamic valuation mechanism that accommodates progressively adaptive market model ...
Gechun Liang +2 more
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