Showing 1 - 10 of 29
We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November …
Persistent link: https://www.econbiz.de/10011762219
models containing news shocks. This paper shows how to formally evaluate the information content of observed variables with …
Persistent link: https://www.econbiz.de/10011864177
Using properties of the cdf of a random variable defined as a saddle-type point of a real valued continuous stochastic process, we derive first-order asymptotic properties of tests for stochastic spanning w.r.t. a stochastic dominance relation. First, we define the concept of Markowitz...
Persistent link: https://www.econbiz.de/10011877232
This paper proposes a machine learning approach to estimate physical forward default intensities. Default probabilities are computed using artificial neural networks to estimate the intensities of the inhomogeneous Poisson processes governing default process. The major contribution to previous...
Persistent link: https://www.econbiz.de/10012419329
We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...
Persistent link: https://www.econbiz.de/10012219063
This article discusses a new application of reinforcement learning: to the problem of hedging a portfolio of “over-the-counter” derivatives under under market frictions such as trading costs and liquidity constraints. It is an extended version of our recent work...
Persistent link: https://www.econbiz.de/10012179635
We develop a new method that detects jumps nonparametrically in financial time series and significantly outperforms the current benchmark on simulated data. We use a long short- term memory (LSTM) neural network that is trained on labelled data generated by a process that experiences both jumps...
Persistent link: https://www.econbiz.de/10012181300
exogenous influences with self-excited dynamics, to the E-mini S&P 500 futures contracts traded in the Chicago Mercantile …% in 1998 to less than 30% since 2007 of the price changes resulting from some revealed exogenous information. Analogous to …
Persistent link: https://www.econbiz.de/10009561617
This paper provides a closed-form solution for the price-dividend ratio in a standard asset pricing model with stochastic volatility. The solution is useful in allowing comparisons among numerical methods used to approximate the non-trivial closed-form
Persistent link: https://www.econbiz.de/10014121046
We develop two novel approaches to solving for the Laplace transform of a time-changed stochastic process. We discard the standard assumption that the background process (X<sub>t</sub>) is Levy. Maintaining the assumption that the business clock (T<sub>t</sub>) and the background process are independent, we develop...
Persistent link: https://www.econbiz.de/10013083784