Results 11 to 20 of about 200 (110)
Deepening the real options debate: Real options as dynamic optimization
Strategic Management Journal, EarlyView.Abstract Research Summary Is real option theory useful for management research? This topic was hotly debated two decades ago. Real options were said to be inapplicable to management research and to lack conceptual distinctiveness. Whereas responses to the claim about the non‐distinctiveness of real options were disparate, the concern about the theory's
Arkadiy V. Sakhartov +2 more
wiley +1 more source
Economic Record, EarlyView.We study the effects of heat and high temperature shocks on inflation in Australia using monthly, state‐level temperature anomaly data via two stages. In the first stage, we decompose temperature anomalies into orthogonal components using a structural vector autoregression with long‐run restrictions.
Tan Dat Huynh, Mengheng Li
wiley +1 more source
Who Moves First? Price Discovery by Institutional and Retail Investors
Accounting &Finance, EarlyView.ABSTRACT This paper uses 77 million Finnish trades, classified as foreign institutional or domestic retail, to examine the drivers of price discovery. The results show that foreign institutional investors dominate price discovery overall, including during the Global Financial Crisis. Their informational advantage is explained by buy‐ and sell‐initiated
Zheng Wu +2 more
wiley +1 more source
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 +4 more
wiley +1 more source
Detecting Periodicity of a General Stationary Time Series via AR(2)‐Model Fitting
Journal of Time Series Analysis, EarlyView.ABSTRACT Estimating the periodicity of a stationary time series via fitting a second‐order stationary autoregressive (AR(2)) model has been initiated by the seminal paper of Yule (1927). We investigate properties of this procedure when applied to general stationary processes possessing a spectral density with a dominant peak at some unknown frequency ...
Jens‐Peter Kreiss +2 more
wiley +1 more source
Measure‐valued processes for energy markets
Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero +3 more
wiley +1 more source
Optimal Portfolio Choice With Cross‐Impact Propagators
Mathematical Finance, EarlyView.ABSTRACT We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross‐impact driven by a matrix‐valued Volterra propagator, as well as temporary price impact. We formulate this problem as the maximization of a revenue‐risk functional, where the agent also exploits available ...
Eduardo Abi Jaber +2 more
wiley +1 more source
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
wiley +1 more source
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
wiley +1 more source
Equilibrium Reward for Liquidity Providers in Automated Market Makers
Mathematical Finance, EarlyView.ABSTRACT We find the equilibrium contract that an automated market maker (AMM) offers to their strategic liquidity providers (LPs) in order to maximize the order flow that gets processed by the venue. Our model is formulated as a leader–follower stochastic game, where the venue is the leader and a representative LP is the follower.
Alif Aqsha +2 more
wiley +1 more source