Results 11 to 20 of about 190,564 (233)
Near-optimal estimation of jump activity in semimartingales [PDF]
, 2015 In quantitative finance, we often model asset prices as semimartingales, with drift, diffusion and jump components. The jump activity index measures the strength of the jumps at high frequencies, and is of interest both in model selection and fitting ...
Bull, Adam D
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Waiting times between orders and trades in double-auction markets [PDF]
, 2006 In this paper, the survival function of waiting times between orders and the corresponding trades in a double-auction market is studied both by means of experiments and of empirical data.
Alessandra Tedeschi +47 more
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, 2010 The concept of absence of opportunities for free lunches is one of the pillars in the economic theory of financial markets. This natural assumption has proved very fruitful and has lead to great mathematical, as well as economical, insights in ...
Kardaras, Constantinos
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QuantCloud: Big Data Infrastructure for Quantitative Finance on the Cloud
IEEE Transactions on Big Data, 2018 In this paper, we present the QuantCloud infrastructure, designed for performing big data analytics in modern quantitative finance. Through analyzing market observations, quantitative finance (QF) utilizes mathematical models to search for subtle ...
Peng Zhang +3 more
semanticscholar +1 more source
Mathematical modeling in Quantitative Finance and Computational Economics
, 2021 The first part of my PhD Thesis deals with different Machine Learning techniques mainly applied to solve financial engineering and risk management issues. After a short literary review, every chapter analyzes a particular topic linked to the implementation of these models, showing the most suitable methodologies able to solve it efficiently.
openaire +2 more sources
The near-extreme density of intraday log-returns [PDF]
, 2011 The extreme event statistics plays a very important role in the theory and practice of time series analysis. The reassembly of classical theoretical results is often undermined by non-stationarity and dependence between increments.
Chakraborti, Anirban +2 more
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Advanced Engineering Materials, EarlyView.A wood‐based magnetic and conductive material called Magwood (MW), capable of blocking almost 99.99% of electromagnetic waves (in the X‐band frequency range), is synthesized using a simple, solvent‐free process. MW is lightweight, resists water, and is flame‐retardant, making it a promising alternative for shielding electronics. The rapid proliferation
Akash Madhav Gondaliya +3 more
wiley +1 more source
What is the best risk measure in practice? A comparison of standard measures [PDF]
, 2015 Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticised for issues relating to backtesting.
Emmer, Susanne +2 more
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Enhancing Low‐Temperature Performance of Sodium‐Ion Batteries via Anion‐Solvent Interactions
Advanced Functional Materials, EarlyView.DOL is introduced into electrolytes as a co‐solvent, increasing slat solubility, ion conductivity, and the de‐solvent process, and forming an anion‐rich solvent shell due to its high interaction with anion. With the above virtues, the batteries using this electrolyte exhibit excellent cycling stability at low temperatures. Abstract Sodium‐ion batteries
Cheng Zheng +7 more
wiley +1 more source
Efficient pricing algorithms for exotic derivatives [PDF]
, 2008 Since the Nobel-prize winning papers of Black and Scholes and Merton in 1973, the derivatives market has evolved into a multi-trillion dollar market. Structures which were once considered as exotic are now commonplace, appearing in retail products such
Lord, R. (Roger)
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