Results 11 to 20 of about 173,418 (245)
Stop-loss and leverage in optimal statistical arbitrage with an application to energy market [PDF]
Energy Economics, 2019 In this paper we develop a statistical arbitrage trading strategy with two key elements in hi-frequency trading: stop-loss and leverage. We consider, as in Bertram (2009), a mean-reverting process for the security price with proportional transaction costs; we show how to introduce stop-loss and leverage in an optimal trading strategy.
Baviera, Roberto +1 more
openaire +2 more sources
On Optimal Ordering in the Optimal Stopping Problem [PDF]
ACM Conference on Economics and Computation, 2019 Consider a player who can probe a sequence of n independent random variables X1, . . . , Xn with known distributions. After observing (the realized value of) Xi, the player needs to decide whether to stop and earn reward Xi, or reject the reward and ...
Shipra Agrawal +2 more
semanticscholar +1 more source
Multi-modal analysis of aerosol robotic network size distributions for remote sensing applications: dominant aerosol type cases [PDF]
Atmospheric Measurement Techniques, 2014 To date, size distributions obtained from the aerosol robotic network (AERONET) have been fit with bi-lognormals defined by six secondary microphysical parameters: the volume concentration, effective radius, and the variance of fine and coarse particle ...
M. Taylor, S. Kazadzis, E. Gerasopoulos
doaj +1 more source
Frontiers in Oncology, 2020 Introduction: Approximately 80% of non-small cell lung cancer (NSCLC) patients with bone metastases have cancer induced bone pain (CIBP).Methods: The NVALT-9 was an open-label, single arm, phase II, multicenter study.
Anita J. W. M. Brouns +10 more
doaj +1 more source
PLoS ONE, 2022 A variety of oxytocin regimens are used for labor induction and augmentation. Considering the increasing rates of labor induction, it is important to assess the most optimal oxytocin regimen without compromising maternal and fetal safety. The aim of this
Heidi Kruit +3 more
doaj +1 more source
On the value of optimal stopping games [PDF]
, 2006 We show, under weaker assumptions than in the previous literature, that a perpetual optimal stopping game always has a value. We also show that there exists an optimal stopping time for the seller, but not necessarily for the buyer.
Ekstrom, Erik +2 more
core +5 more sources
Phase-Type Distributions and Optimal Stopping for Autoregressive Processes [PDF]
Journal of Applied Probability, 2010 Autoregressive processes are intensively studied in statistics and other fields of applied stochastics. For many applications, the overshoot and the threshold time are of special interest.
S. Christensen
semanticscholar +1 more source
Anisotropic Diffusion Based Multiplicative Speckle Noise Removal
Sensors, 2019 Multiplicative speckle noise removal is a challenging task in image processing. Motivated by the performance of anisotropic diffusion in additive noise removal and the structure of the standard deviation of a compressed speckle noisy image, we address ...
Mei Gao +4 more
doaj +1 more source
Almost sure optimal hedging strategy [PDF]
, 2014 In this work, we study the optimal discretization error of stochastic integrals, in the context of the hedging error in a multidimensional It\^{o} model when the discrete rebalancing dates are stopping times.
Gobet, Emmanuel, Landon, Nicolas
core +2 more sources
Early Stopping for Kernel Boosting Algorithms: A General Analysis With Localized Complexities [PDF]
IEEE Transactions on Information Theory, 2017 Early stopping of iterative algorithms is a widely used form of regularization in statistics, commonly used in conjunction with boosting and related gradient-type algorithms.
Yuting Wei, Fanny Yang, M. Wainwright
semanticscholar +1 more source