Results 31 to 40 of about 4,922,677 (379)
Variational inequality arising from variable annuity with mean reversion environment
Journal of Inequalities and Applications, 2023 In this paper, we study a variational inequality arising from variable annuity (VA) to find the optimal surrender strategy for a VA investor when the underlying asset follows a mean reverting process.
Junkee Jeon, Geonwoo Kim
doaj +1 more source
Gaussian Estimation of One-Factor Mean Reversion Processes
Journal of Probability and Statistics, 2013 We propose a new alternative method to estimate the parameters in one-factor mean reversion processes based on the maximum likelihood technique. This approach makes use of Euler-Maruyama scheme to approximate the continuous-time model and build a new ...
Freddy H. Marín Sánchez +1 more
doaj +1 more source
Water prices: persistence, mean reversion and trends
, 2020 Time series referring to water prices at different regions all over the world are examined in this paper by using fractionally integrated methods. We look at series corresponding to the following regions: Asia Pacific and Russia, Europe, United States ...
M. Monge, L. Gil‐Alana
semanticscholar +1 more source
Mean Reversion and Consumption Smoothing [PDF]
Review of Financial Studies, 1990 Most models of the evolution of wealth and consumption assume that wealth volatility and risk premium are constant. But in fact, volatility declines, and risk premium seems to decline, as wealth rises. A model that allows mean reversion in the sense that the risk premium declines as wealth rises can help explain both the "consumption smoothing puzzle ...
openaire +2 more sources
The Hurst Exponent as an Indicator to Anticipate Agricultural Commodity Prices
Entropy, 2023 Anticipating and understanding fluctuations in the agri-food market is very important in order to implement policies that can assure fair prices and food availability.
Leticia Pérez-Sienes +3 more
doaj +1 more source
MEAN REVERSION IN INTERNATIONAL EQUITY MARKETS
Ege Akademik Bakis (Ege Academic Review), 2020 Mean reversion is a phenomenon that has been consistently observed and refuted in several studies over the last decades. This study first aims at shedding further light on this unsettled issue by assessing mean reversion on recent data in a broad range of international equity markets including developed and emerging markets and international indices ...
KARAHAN, Cenk C., EREN, Ömer
openaire +3 more sources
A new method based on range to detect mean reversion
IIMB Management Review, 2020 We propose a new measure of risk called the expected lifetime range (ELR) ratio, based on high and low prices. We point out that it becomes possible for us to uncover the evidence of mean reversion based on the new ELR ratio even when the classic Lo and ...
Muneer Shaik, Maheswaran S
doaj +1 more source
Market making and mean reversion [PDF]
Proceedings of the 12th ACM conference on Electronic commerce, 2011 Market making refers broadly to trading strategies that seek to profit by providing liquidity to other traders, while avoiding accumulating a large net position in a stock. In this paper, we study the profitability of market making strategies in a variety of timeseries models for the evolution of a stock's price.
Tanmoy Chakraborty, Michael Kearns
openaire +1 more source
A Threshold Model for Local Volatility: Evidence of Leverage and Mean Reversion Effects on Historical Data [PDF]
International Journal of Theoretical and Applied Finance, 2017 In financial markets, low prices are generally associated with high volatilities and vice-versa, this well-known stylized fact is usually referred to as the leverage effect. We propose a local volatility model, given by a stochastic differential equation
A. Lejay, P. Pigato
semanticscholar +1 more source
Investigating the Performance of Life Cycle Based Forecasts and Determining the Components Affecting it [PDF]
مجله دانش حسابداری, 2020 Objective: Company growth and profitability forecasts are important inputs in the valuation process. Also, mean reversion estimates can serve as inputs in estimating steady-state final value parameters.
Behzad Kardan +2 more
doaj +1 more source