Results 41 to 50 of about 766,215 (314)

An Entropic Approach for Pair Trading

Entropy, 2017
In this paper, we derive the optimal boundary for pair trading. This boundary defines the points of entry into or exit from the market for a given stock pair.
Daisuke Yoshikawa
doaj   +1 more source

Forecasting the Crude Oil Spot Price with Bayesian Symbolic Regression

Energies, 2022
In this study, the crude oil spot price is forecast using Bayesian symbolic regression (BSR). In particular, the initial parameters specification of BSR is analysed.
Krzysztof Drachal
doaj   +1 more source

Time-Varying Window Length for Correlation Forecasts

Econometrics, 2017
Forecasting correlations between stocks and commodities is important for diversification across asset classes and other risk management decisions. Correlation forecasts are affected by model uncertainty, the sources of which can include uncertainty about
Yoontae Jeon, Thomas H. McCurdy
doaj   +1 more source

To the brave scientists: Aren't we strong enough to stand (and profit from) uncertainty in Earth system measurement and modelling?

Geoscience Data Journal, 2022
The current handling of data in earth observation, modelling and prediction measures gives cause for critical consideration, since we all too often carelessly ignore data uncertainty.
Hendrik Paasche, Matthias Gross, Jakob Lüttgau, David S. Greenberg, Tobias Weigel   +4 more
doaj   +1 more source

Conditional Coherent and Convex Risk Measures Under Uncertainty

Mathematics
In this paper, we take a new perspective to describe the model uncertainty, and thus propose two new classes of risk measures under model uncertainty. To be precise, we use an auxiliary random variable to describe model uncertainty. By proposing new sets
Shuo Gong, Yijun Hu
doaj   +1 more source

Applying Uncertainty Quantification to Structural Systems: Parameter Reduction for Evaluating Model Complexity

, 2022
S.241-256Different mathematical models can be developed to represent the dynamic behavior of structural systems and assess properties, such as risk of failure and reliability. Selecting an adequate model requires choosing a model of sufficient complexity
Platz, Roland, Locke, Robert, Gehb, Christopher M., Atamturktur, Sez, Kupis, Shyla   +4 more
core   +1 more source

Model Uncertainty in Commodity Markets [PDF]

SSRN Electronic Journal, 2015
Summary: Agents who acknowledge that their models are incorrectly specified are said to be ambiguity averse, and this affects the prices they are willing to trade at. Models for prices of commodities attempt to capture three stylized features: seasonal trend, moderate deviations (a diffusive factor), and large deviations (a jump factor) both of which ...
Álvaro Cartea, Sebastian Jaimungal, Zhen Qin   +2 more
openaire   +2 more sources

Essays on macro-labour and uncertainty

, 2022
This dissertation consists of three self-contained chapters which discuss topics related to macro-labour and uncertainty. Chapter 1 examines the impact of cross-border migration on business cycle dynamics and focuses on the implications of brain-drain ...
Oikonomou, Myrto
core   +1 more source

Optimising Sensor Placement in Heritage Buildings: A Comparison of Model-Based and Data-Driven Approaches

Sensors
The long-term preservation of heritage structures relies on effective Structural Health Monitoring (SHM) systems, where sensor placement is key to ensuring early damage detection and guiding conservation efforts.
Estefanía Chaves, Alberto Barontini, Nuno Mendes, Víctor Compán   +3 more
doaj   +1 more source

Hedge fund pricing and model uncertainty

, 2008
This article uses Bayesian model averaging to study model uncertainty in hedge fund pricing. We show how to incorporate heteroscedasticity, thus, we develop a framework that jointly accounts for model uncertainty and heteroscedasticity.
Ioannis D Vrontos, Daniel Giamouridis, Giamouridis, Daniel, Vrontos, I.D., Vrontos, Spyridon D, Vrontos, Ioannis D, Spyridon D Vrontos, Vrontos, S., Giamouridis, D.   +8 more
core   +1 more source