Results 41 to 50 of about 1,204,996 (162)
Regularity properties of the stochastic flow of a skew fractional Brownian motion [PDF]
Infinite Dimensional Analysis, Quantum Probability and Related Topics, 2020 In this paper we prove, for small Hurst parameters, the higher-order differentiability of a stochastic flow associated with a stochastic differential equation driven by an additive multi-dimensional fractional Brownian noise, where the bounded variation part is given by the local time of the unknown solution process. The proof of this result relies on
Amine, Oussama +2 more
openaire +4 more sources
Alternative Data for Realised Volatility Forecasting: Limit Order Book and News Stories
International Journal of Finance &Economics, EarlyView.ABSTRACT We examine whether two major alternative data sources, limit order book information and firm‐specific news, provide incremental predictive information for daily realised volatility forecasting within the HAR‐family, using a parsimonious framework to ensure practical implementation and comparability. The framework is designed for practical real‐
Eghbal Rahimikia, Ser‐Huang Poon
wiley +1 more source
Integrative Zoology, EarlyView.We decode mitochondrial genomes across all extant canids, revealing lineage‐specific codon optimization driven by altitude, predation, and body size. A tripartite framework integrates geological events, metabolic constraints, and adaptive radiation to explain carnivore evolution.
Xiaoyang Wu +8 more
wiley +1 more source
The Role of Index Fund Ownership in the Era of Say‐on‐Pay
Financial Management, EarlyView.ABSTRACT We examine whether and how index funds influence executive compensation in the post‐Say‐on‐Pay era. Using the annual reconstitution of the Russell indexes as a source of exogenous variation in index fund ownership, we document a causal effect of index ownership on CEO pay structure.
Kiseo Chung, Hwanki Brian Kim
wiley +1 more source
Life Cycle Consumption and Portfolio Choice Under Real Interest Rate Risk
Financial Management, EarlyView.ABSTRACT We set up a life cycle model with real interest rate risk to demonstrate that real interest rates have implications for optimal household consumption and investments. Lower interest rates lead to higher optimal stock investments and lower consumption.
Marcel Fischer, Natascha Jankowski
wiley +1 more source
A dual skew symmetry for transient reflected Brownian motion in an orthant
Queueing Systems, 2022 14 ...
Sandro Franceschi, Kilian Raschel
openaire +4 more sources
Fisheries Management and Ecology, EarlyView.ABSTRACT Shark populations are declining globally and the effectiveness of marine protected areas (MPAs) as a conservation tool may vary by species and environmental context. This study assessed space use and residency of smoothhound sharks (Mustelus mustelus)—an endangered, yet highly exploited shark—in relation to spatial protection and fishing risk ...
Eugin Bornman +3 more
wiley +1 more source
Ergodicity of hypoeliptic SDEs driven by fractional Brownian motion [PDF]
, 2009 We demonstrate that stochastic differential equations (SDEs) driven by fractional Brownian motion with Hurst parameter H > 1/2 have similar ergodic properties as SDEs driven by standard Brownian motion.
Hairer, Martin, Pillai, Natesh S.
core
Functionals of exponential Brownian motion and divided differences [PDF]
, 2011 We provide a surprising new application of classical approximation theory to a fundamental asset-pricing model of mathematical finance. Specifically, we calculate an analytic value for the correlation coefficient between exponential Brownian motion and ...
R. Brummelhuis +6 more
core +1 more source
Ibis, EarlyView.Translocations are often used in the conservation of large raptors, including Old World vultures. Different release methods are usually assessed by comparing the movement patterns and survival of released individuals. However, these approaches fail to capture the gregarious behaviour of many vulture species.
Jacopo Cerri +11 more
wiley +1 more source