Results 121 to 130 of about 116,745 (301)

Microscopic Origin of Non-Gaussian Distributions of Financial Returns

, 2007
In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments.
Black, Borland, Borland, Dragulescu, Eisler, Eisler, Gopikrishnan, Heston, Heston, Hull, Hull, Mantegna, Mantegna, Miccichè, Osborne, Osborne, Plerou, R. Rosenfeld, Remer, Silva, Silva, T.S. Biró, Taqqu, Tsallis, Vicente   +24 more
core   +3 more sources

Photoresponsive Rotaxanes Switch Lipid Bilayer Neuromorphic Behavior with Light

Advanced Electronic Materials, EarlyView.
A rotaxane consisting of a macrocycle ring with two azobenzene units mechanically interlocked onto an amphiphilic axle was incorporated into droplet interface bilayers (DIBs). Photoswitching between the azobenzene configurations on the ring resulted in cycling between memristive and memcapacitive behaviors in lipid bilayers, enabling programmable ...
P.T. Podar, U.N.K. Conthagamage, J. Katsaras, V. García‐López, C. P. Collier   +4 more
wiley   +1 more source

Robust and Compatible Ferroelectric Memories with Polycrystalline TiO2 Channel for 3D Integration

Advanced Electronic Materials, EarlyView.
Robust and monolithic 3D compatible ferroelectric memories are realized using the polycrystalline TiO2 channel‐based FeFET. The review covers physical mechanisms of the TiO2 channel FeFET, quantitative benchmarking, and advanced planar/vertical architectures for monolithic 3D integration based on HfO2‐TiO2 gate stack, offering a roadmap for reliable ...
Xujin Song, Chenxi Yu, Shangze Li, Dijiang Sun, Jiajia Zhang, Haotong Zhu, Xiaomin Xiao, Xionghao Qin, Xiaoyan Liu, Xing Zhang, Jinfeng Kang   +10 more
wiley   +1 more source

Estimation of the Cholesky Multivariate Stochastic Volatility Model Using Iterated Filtering

Ekonometria
Aim: The paper aims to propose a new estimation method for the Cholesky Multivariate Stochastic Volatility Model based on the iterated filtering algorithm (Ionides et al., 2006, 2015).
Piotr Szczepocki
doaj  

Indirect inference for stochastic volatility models via the log-squared observations. [PDF]

Model; Models; Stochastic volatility; Volatility;
Dhaene, Geert
core  

Stochastic Volatility Models with Skewness Selection

Entropy
This paper expands traditional stochastic volatility models by allowing for time-varying skewness without imposing it. While dynamic asymmetry may capture the likely direction of future asset returns, it comes at the risk of leading to overparameterization.
Martins, Igor, Freitas Lopes, Hedibert
openaire   +5 more sources

Model‐Based Time‐Modulated Write Algorithm for 1R Analog Memristive Crossbar Arrays

Advanced Electronic Materials, EarlyView.
A novel model‐based time‐modulated write algorithm efficiently programs analog 1R memristive crossbar arrays by varying pulse duration at a fixed voltage. By leveraging a physics‐based compact model and a dynamic gain mechanism, this approach overcomes device nonlinearities and parasitic effects.
Richard Schroedter, Ahmet Samil Demirkol, Ioannis Messaris, Christian Bruchatz, Eter Mgeladze, Stefan Slesazeck, Thomas Mikolajick, Ronald Tetzlaff   +7 more
wiley   +1 more source

A simple test for GARCH against a stochastic volatility [PDF]

The GARCH model and the Stochastic Volatility [SV] model are competing butnon-nested models to describe unobserved volatility in asset returns. Wepropose a GARCH model with an additional error term, which can capture SV modelproperties, and which can be ...
Franses, Ph.H.B.F., Leij, M.J. van der, Paap, R.   +2 more
core   +1 more source

Emerging Memory and Device Technologies for Hardware‐Accelerated Model Training and Inference

Advanced Electronic Materials, EarlyView.
This review investigates the suitability of various emerging memory technologies as compute‐in‐memory hardware for artificial intelligence (AI) applications. Distinct requirements for training‐ and inference‐centric computing are discussed, spanning device physics, materials, and system integration.
Yoonho Cho, Dae‐won Kim, Yujin Kim, Jung‐Heum Na, Yuwon Jeong, Dong‐Yeop Lee, Shinhyun Choi   +6 more
wiley   +1 more source

On the Pricing of Vulnerable Foreign Equity Options with Stochastic Volatility in an Intensity-Based Model

Mathematics
In this study, we investigate the pricing of two types of vulnerable foreign equity options using an intensity-based model. It is considered that the intensity process consists of both systematic and idiosyncratic components.
Junkee Jeon, Geonwoo Kim
doaj   +1 more source