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Venture capital optimal investment portfolio strategies selection in diffusion - type financial systems in global capital markets with nonlinearities
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - 2013
The condensed research article presents some innovative research results on the venture capital optimal investment … corporation funded venture capital firm, investment bank funded venture capital firm, private equity funded venture capital firm …, state funded venture capital firm. We consider the complicated issues on the venture capital optimal investment portfolio …
Persistent link: https://www.econbiz.de/10015239836
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Venture capital optimal investment portfolio strategies selection in diffusion - type financial systems in global capital markets with nonlinearities
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - 2013
The condensed research article presents some innovative research results on the venture capital optimal investment … corporation funded venture capital firm, investment bank funded venture capital firm, private equity funded venture capital firm …, state funded venture capital firm. We consider the complicated issues on the venture capital optimal investment portfolio …
Persistent link: https://www.econbiz.de/10015239923
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Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - 2015
exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent / time independent wave equation in the quantum finances theory; 5) the … independent wave equation in the quantum finances theory; 6) the discussion on the developed software program with the embedded …
Persistent link: https://www.econbiz.de/10015249544
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The Market-Based Asset Price Probability
Olkhov, Victor - 2022
We consider volume weighted average price (VWAP) as the 1st market-based statistical moment and derive the dependence of higher statistical moments of price on statistical moments and correlations of the values and volumes of market trades. If all trade volumes are constant during the averaging...
Persistent link: https://www.econbiz.de/10015214615
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Penalized Convex Estimation in Dynamic Location-Scale models
ALAMI CHENTOUFI, Reda - 2024
This paper introduces a two-step procedure for convex penalized estimation in dynamic location-scale models. The method uses a consistent, non-sparse first-step estimator to construct a convex Weighted Least Squares (WLS) optimization problem compatible with the Least Absolute Shrinkage and...
Persistent link: https://www.econbiz.de/10015214778
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The Mean Squared Prediction Error Paradox: A summary
Pincheira, Pablo; Hardy, Nicolas - 2020
This is a summary of the paper entitled : “The Mean Squared Prediction Error Paradox”. In that paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of...
Persistent link: https://www.econbiz.de/10015229363
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Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate
Pincheira, Pablo; Jarsun, Nabil - 2020
-value theory for exchange rate determination and on the strong co-movement displayed by some commodity prices. The Chilean economy … attracts a similar share in terms of Foreign Direct Investment. As a consequence, the floating Chilean exchange rate is …
Persistent link: https://www.econbiz.de/10015229382
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Forward Ordinal Probability Models for Point-in-Time Probability of Default Term Structure
Yang, Bill Huajian - 2017
Common ordinal models, including the ordered logit model and the continuation ratio model, are structured by a common score (i.e., a linear combination of a list of given explanatory variables) plus rank specific intercepts. Sensitivity with respect to the common score is generally not...
Persistent link: https://www.econbiz.de/10015256549
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Risk Estimation when the Zero Probability of Financial Return is Time-Varying
Grønneberg, Steffen; Sucarrat, Genaro - 2014
The probability of an observed financial return being equal to zero is not necessarily zero. This can be due to liquidity issues (e.g. low trading volume), market closures, data issues (e.g. data imputation due to missing values), price discreteness or rounding error, characteristics specific to...
Persistent link: https://www.econbiz.de/10015257749
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A Class of Generalized Dynamic Correlation Models
He, Zhongfang - 2018
This paper proposes a class of parametric correlation models that apply a two-layer autoregressive-moving-average structure to the dynamics of correlation matrices. The proposed model contains the Dynamic Conditional Correlation model of Engle (2002) and the Varying Correlation model of Tse and...
Persistent link: https://www.econbiz.de/10015259413