Results 81 to 90 of about 38,563 (254)
The objective of this paper is to model the volatility of Istanbul Stock Exchange market, ISE100 Index by ARMA and GARCH models and then take a step further into the analysis from discrete modeling to continuous modeling.
Yildirim, Yavuz, Unal, Gazanfer
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Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae [PDF]
This paper examines international equity market co-movements using time-varying copulae. We examine distributions from the class of Symmetric Generalized Hyperbolic (SGH) distributions for modelling univariate marginals of equity index returns.
Katja Ignatieva, Eckhard Platen
core
Valuing Bermudan options when asset returns are Levy processes
Evidence from the financial markets suggests that empirical returns distributions, both historical and implied, do not arise from diffusion processes.
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Advanced Science, EarlyView.Defect‐configurational origins of the asymmetric apparent electrostrain are revealed in different piezoelectric ceramics via atomic‐scale visualization of defect configurations. Migration of oxygen vacancies leads to the electrobending effect in N2‐sintered BaTiO3, while defect dipoles in Ba0.99TiO2.99 generate true asymmetric electrostrain without ...
Jie Wang +7 more
wiley +1 more source
Annals of FinanceWe study quadratic risk minimization for discounted exponential asset prices driven by time-inhomogeneous pure-jump additive processes whose compensator factorizes through a deterministic time change and a family of Lévy kernels. Using Malliavin–Skorohod
Yunosuke Mukai, R. Suzuki, Nino Nagata
semanticscholar +1 more source
A Data‐Driven Inverse Design Methodology for Magnetic Soft Millirobots Navigating in Confined Spaces
Advanced Science, EarlyView.A data‐efficient inverse design framework automates the optimization of magnetic soft millirobots for confined‐space navigation. Integrating a physics‐based Cosserat rod model with Bayesian optimization efficiently identifies high‐performance geometries.
Ziyu Ren +5 more
wiley +1 more source
Advanced Science, EarlyView.Expanded‐graphite/graphene‐nanoplatelet hybrids deliver a near‐order‐of‐magnitude thermal‐conductivity enhancement in paraffin phase‐change materials. A microCT‐informed 3D modeling framework resolves the percolating EG backbone and captures sub‐voxel GNP enrichment, quantitatively linking microstructure to heat flow and revealing a graphene‐enabled ...
Thomas Hoke +4 more
wiley +1 more source
Submitted to the Annals of Probability COMPARISON OF SEMIMARTINGALES AND LÉVY PROCESSES
, 2008 In this paper we derive comparison results for terminal values of d-dimensional special semimartingales and also for finite-dimensional distributions of multivariate Lévy processes.
Ludger Rüschendorf, Jan Bergenthum
core
Advanced Science, EarlyView.An interpretable machine learning framework integrating SHAP and PDP analysis identifies critical design descriptors from 139 physicochemical features for Nb─Si alloys. The framework achieves <7% prediction error and guides the discovery of Nb38.5Ti38.5Si3Zr18V2 alloy with 22.791 MPa·m1/2 fracture toughness, breaking the 20 MPa·m1/2 barrier.
Dezhi Chen +7 more
wiley +1 more source