Essays on the nonlinear and nonstochastic nature of stock market data [PDF]
, 2002 The nature and structure of stock-market price dynamics is an area of ongoing and rigourous scientific debate. For almost three decades, most emphasis has been given on upholding the concepts of Market Efficiency and rational investment behaviour.
Vorlow, Constantine Euripides
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On the local dynamics of polynomial difference equations with fading stochastic perturbations
, 2010 We examine the stability-instability behaviour of a polynomial difference equa- tion with state-independent, asymptotically fading stochastic perturbations. We find that the set of initial values can be partitioned into a stability region, an instability
Kelly, C. +3 more
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Affine Processes and Application in Finance [PDF]
We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuousstate branching processes with immigration and Ornstein-Uhlenbeck type processes.
D. Duffie +2 more
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Dynamical analysis of a stochastic delayed SIR epidemic model with vertical transmission and vaccination. [PDF]
Adv Contin Discret Model, 2022 Zhang X, Liu M.
europepmc +1 more source
Strong tightness as a condition of weak and almost sure convergence [PDF]
, 1996 summary:A sequence of random elements $\{X_j, j\in J\}$ is called strongly tight if for an arbitrary $\epsilon >0$ there exists a compact set $K$ such that $P\left(\bigcap_{j\in J}[X_j\in K]\right)>1-\epsilon$.
Zieba, Wiesław, Krupa, Grzegorz
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Behavioral inference from non-stationary policies: Theory and application to ridehailing drivers during COVID-19 lockdowns. [PDF]
Transp Res Part C Emerg Technol, 2023 Battifarano M, Qian S.
europepmc +1 more source
Nonparametric estimation of the volatility under microstructure noise: wavelet adaptation
We study nonparametric estimation of the volatility function of a diffusion process from discrete data, when the data are blurred by additional noise. This noise can be white or correlated, and serves as a model for microstructure effects in financial ...
Hoffmann, Marc +2 more
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Application of stochastic programming to management of cash flows with FX exposure
, 2006 This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University, 23/06/2006.In this thesis we formulate a model for foreign exchange (FX) exposure management and multi-currency cash management taking into consideration ...
Volosov, Konstantin
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Online Learning for Linearly Parametrized Control Problems
, 2013 In a discrete-time online control problem, a learner makes an effort to control the state of an initially unknown environment so as to minimize the sum of the losses he suffers, where the losses are assumed to depend on the individual state-transitions ...
Abbasi-Yadkori, Yasin
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Option pricing using hidden Markov models
, 2006 Includes bibliographical references (leaves 144-149).This work will present an option pricing model that accommodates parameters that vary over time, whilst still retaining a closed-form expression for option prices: the Hidden Markov Option Pricing ...
Anderson, Michael
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