Results 71 to 80 of about 4,922,677 (379)
Forecasting semi-stationary processes and statistical arbitrage
Statistical Theory and Related Fields, 2020 If a financial derivative can be traded consecutively and its terminal payoffs can be adjusted as the sum of a bounded process and a stationary process, then we can use the moving average of the historical payoffs to forecast and the corresponding errors
Si Bao, Shi Chen, Wei An Zheng, Yu Zhou
doaj +1 more source
Mean reversion in international markets: evidence from G.A.R.C.H. and half-life volatility models
, 2018 The objective of this research is to examine and compare the mean reversion phenomenon in developed and emerging stock markets. An important aim is to measure and compare the speed of mean reversion and half-life of volatility shocks of emerging and ...
Rizwan Raheem Ahmed +3 more
semanticscholar +1 more source
Trading VIX Futures Under Mean Reversion with Regime Switching [PDF]
, 2016 This paper studies the optimal VIX futures trading problems under a regime-switching model. We consider the VIX as mean reversion dynamics with dependence on the regime that switches among a finite number of states. For the trading strategies, we analyze
Jiao Li
semanticscholar +1 more source
Emergence of Light‐Transforming Layered Hybrid Halide Perovskites
Advanced Functional Materials, EarlyView.The emerging class of light‐transforming layered halide perovskite materials is reviewed, outlining challenges for their development and perspectives toward application in the future. Abstract Layered hybrid halide perovskites (LHPs) have attracted considerable attention in optoelectronics.
Ghewa AlSabeh, Jovana V. Milić
wiley +1 more source
Ratio MathematicaThe study investigates the existence of long-run equilibrium or mean-reversion using bivariate analysis of paired prices, as well as to test for linear and nonlinear threshold-type mean-reversion of bivariate relationships. The coefficient parameters of (
Emmanuel deGraft Johnson Owusu Ansah +3 more
doaj +1 more source
Large deviations for a mean field model of systemic risk
, 2012 We consider a system of diffusion processes that interact through their empirical mean and have a stabilizing force acting on each of them, corresponding to a bistable potential.
Garnier, Josselin +2 more
core +2 more sources
Asymmetric Mean Reversion of Bitcoin Price Returns
International Review of Financial Analysis, 2018 Non-linearity is characterised by an asymmetric mean-reverting property, which has been found to be inherent in the short-term return dynamics of stocks.
S. Corbet, Paraskevi Katsiampa
semanticscholar +1 more source
Photoswitching Conduction in Framework Materials
Advanced Functional Materials, EarlyView.This mini‐review summarizes recent advances in state‐of‐the‐art proton and electron conduction in framework materials that can be remotely and reversibly switched on and off by light. It discusses the various photoswitching conduction mechanisms and the strategies employed to enhance photoswitched conductivity.
Helmy Pacheco Hernandez +4 more
wiley +1 more source
Thermal Phase‐Modulation of Thickness‐Dependent CVD‐Grown 2D In2Se3
Advanced Functional Materials, EarlyView.A comprehensive study of CVD‐grown 2D In2Se3 reveals a distinct thickness‐dependent phase landscape and a reversible, thermally driven transformation between β″ and β* variants. In situ TEM electron diffraction and Raman spectroscopy reveal structural dynamics, while the structural invariance of the α‐phase in ultrathin regimes highlights its stability—
Dasun P. W. Guruge +6 more
wiley +1 more source
Change Point Testing for the Drift Parameters of a Periodic Mean Reversion Process [PDF]
, 2013 In this paper we investigate the problem of detecting a change in the drift parameters of a generalized Ornstein-Uhlenbeck process which is defined as the solution of $dX_t=(L(t)-\alpha X_t) dt + \sigma dB_t$, and which is observed in continuous time. We
Dehling, Herold +3 more
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