Results 131 to 140 of about 5,443 (259)
The Nominal Share Price Anchor: A Theoretical Model of Social Norms and Behavioral Martingales in Stock ...
Fei Qiu
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Adaptive CUSUM Chart for Simultaneous Monitoring of Mean and Variance
Quality and Reliability Engineering International, Volume 42, Issue 5, Page 2150-2164, July 2026.ABSTRACT Simultaneously monitoring changes in both the mean and variance is a fundamental problem in statistical process control, and numerous methods have been developed to address it. However, many existing approaches face notable limitations: Some rely on tuning parameters that can significantly affect performance; others are biased toward detecting
Gokul Parakulum, Jun Li
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Stochastics integral equations with respect to semimartingales [PDF]
Stochastic integral equations were first developed by mathematicians as a tool for the explicit construction of the paths of diffusion processes for given coefficients of drift and diffusion. Since many physical, engineering, biological as well as social
Mao, Xuerong
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What Are Asset Price Bubbles? A Survey on Definitions of Financial Bubbles
Journal of Economic Surveys, Volume 40, Issue 3, Page 1572-1592, July 2026.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 +1 more
wiley +1 more source
Time‐Varying Dispersion Integer‐Valued GARCH Models
Journal of Time Series Analysis, Volume 47, Issue 4, Page 839-853, July 2026.ABSTRACT We introduce a general class of INteger‐valued Generalized AutoRegressive Conditionally Heteroscedastic (INGARCH) processes by allowing simultaneously time‐varying mean and dispersion parameters. We call such models time‐varying dispersion INGARCH (tv‐DINGARCH) models.
Wagner Barreto‐Souza +3 more
wiley +1 more source
Decomposition of two parameter martingales.
, 1981 In this paper we exhibit some decompositions in orthogonal stochastic integrals of two-parameter square integrable martingales adapted to a Brownian sheet which generalize the representation theorem of E. Wong and M. Zakai ([6]).
Nualart Rodón, David
core
, 2015 Let M be a smooth manifold endowed with a symmetric connection del. There are two important ways of lift the connection del of M to the frame bundle BM, the canonical lift del(c) and the horizontal lift del(h). The aim of this work is determine the del(c)
Stelmastchuk, S, Catuogno, P
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Mathematical Finance, Volume 36, Issue 3, Page 481-499, July 2026.ABSTRACT Perpetual futures are contracts without expiration date in which the anchoring of the futures price to the spot price is ensured by periodic funding payments from long to short. We derive explicit expressions for the no‐arbitrage price of various perpetual contracts, including linear, inverse, and quantos futures in both discrete and ...
Damien Ackerer +2 more
wiley +1 more source
Mathematical Finance, Volume 36, Issue 3, Page 595-619, July 2026.ABSTRACT We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark‐to‐market valuation adjustment for interbank claims, leading to a forward‐backward approach to the equilibrium dynamics whereby future default ...
Zachary Feinstein, Andreas Søjmark
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Scottish Journal of Political Economy, Volume 73, Issue 3, July 2026.ABSTRACT Forecasting economic activity during institutional collapse requires nowcasts derived exclusively from alternative data sources. Such sources are abundant yet theoretically unanchored and potentially weakly informative. This study examines whether sparse supervised dimension reduction extracts reliable signals in a context rich in data but ...
Mihnea Constantinescu
wiley +1 more source