Results 41 to 50 of about 1,288 (228)
Pair Trading in Tehran Stock Exchange based on Smooth Transition GARCH Model [PDF]
Iranian Journal of Finance, 1999 In this research, we use a pair trading strategy to make a profit in an emerging market. This is a statistical arbitrage strategy used for similar assets with dissimilar valuations.
Saeed Bajalan +2 more
doaj +1 more source
Forecasting Natural Gas Prices in Real Time
Journal of Applied Econometrics, EarlyView.ABSTRACT This paper provides a comprehensive analysis of the forecastability of the real price of natural gas in the United States at the monthly frequency considering a universe of models that differ in complexity and economic content. We find that considerable reductions in mean‐squared prediction error relative to a no‐change benchmark can be ...
Christiane Baumeister +3 more
wiley +1 more source
Quantum Quantitative Trading: High-Frequency Statistical Arbitrage Algorithm [PDF]
, 2021 Xi‐Ning Zhuang +3 more
openalex +1 more source
Doubtful Receivables' Risk and Its Impact on Stock Returns
Journal of Corporate Accounting &Finance, EarlyView.ABSTRACT The current research proposes a previously unknown source of risk in relation to companies’ doubtful receivables. Higher relative doubtful receivables present a risk for companies' future cash flows. Hence, the article discusses an innovative risk measure associated with companies’ doubtful receivables.
Roi D. Taussig
wiley +1 more source
MathematicsThe estimation of drift parameters in the Ornstein–Uhlenbeck (O-U) process with jumps primarily employs methods such as maximum likelihood estimation, least squares estimation, and least absolute deviation estimation.
Yuping Song +4 more
doaj +1 more source
Conditional Generative Modeling for Enhanced Credit Risk Management in Supply Chain Finance
Naval Research Logistics (NRL), EarlyView.ABSTRACT The rapid expansion of cross‐border e‐commerce (CBEC) has created significant opportunities for small‐ and medium‐sized sellers, yet financing remains a critical challenge due to their limited credit histories. Third‐party logistics (3PL)‐led supply chain finance (SCF) has emerged as a promising solution, leveraging in‐transit inventory as ...
Qingkai Zhang, L. Jeff Hong, Houmin Yan
wiley +1 more source
End‐to‐End Portfolio Optimization with Hybrid Quantum Annealing
Advanced Quantum Technologies, EarlyView.This works presents a hybrid quantum‐classical framework for portfolio optimization that combines quantum assisted asset selection and rebalancing with classical weight allocation. The approach processes real market data, embeds it into Quadratic Unconstrained Binary Optimization formulations, and evaluates performance within a unified workflow ...
Sai Nandan Morapakula +5 more
wiley +1 more source
The Two-Tiered Structure of Cryptocurrency Funding Rate Markets
MathematicsPerpetual futures account for approximately 93% of cryptocurrency futures trading volume, yet funding rate dynamics across fragmented markets remain understudied. We construct a high-frequency panel dataset comprising 35.7 million one-minute observations
Petar Zhivkov
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Some Divergence Properties of Asset Price Models
Entropy, 2001 : We consider asset price processes Xt which are weak solutions of one-dimensional stochastic differential equations of the form (equation (2)) Such price models can be interpreted as non-lognormally-distributed generalizations of the geometric Brownian ...
Wolfgang Stummer
doaj +1 more source
An Alternative Approach to Measure Co-Movement between Two Time Series
Mathematics, 2020 The study of the dependences between different assets is a classic topic in financial literature. To understand how the movements of one asset affect to others is critical for derivatives pricing, portfolio management, risk control, or trading strategies.
José Pedro Ramos-Requena +2 more
doaj +1 more source