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A Stochastic LQR Model for Child Order Placement in Algorithmic Trading
Shen, Jackie - 2020
stochastic linear-quadratic regulator (LQR) and allows closed-form solutions under the backward Bellman equations. Explored in …
Persistent link: https://www.econbiz.de/10012837206
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Capturing the volatility smile : parametric volatility models versus stochastic volatility models
Blanco, Belen - In: Public and municipal finance : PMF ; international … 5 (2016) 4, pp. 15-22
Persistent link: https://www.econbiz.de/10011776077
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Investors' behavior in alternative asset classes
Papavasiliou, Ellie; Topaloglou, Nikolas; Tsomidis, Georgios - In: Spoudai : journal of economics and business 72 (2022) 3/4, pp. 3-55
investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss … Averse types of investors. We develop a stochastic spanning approach for each type of investor. Using the Stochastic Spanning …
Persistent link: https://www.econbiz.de/10014246136
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On the invertibility of EGARCH(p, q)
Martinet, Guillaume Gaetan; McAleer, Michael - In: Econometric reviews 37 (2018) 6/10, pp. 824-849
Persistent link: https://www.econbiz.de/10012040413
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Nonparametric prediction for univariate spatial data : methods and applications
Arancibia, Rodrigo García; Llop, Pamela; Lovatto, Mariel - In: Papers in regional science : the journal of the … 102 (2023) 3, pp. 635-672
Persistent link: https://www.econbiz.de/10014342459
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Extraction and backfill scheduling in a complex underground mine
O’Sullivan, Dónal; Newman, Alexandra - In: Interfaces : the INFORMS journal on the practice of … 44 (2014) 2, pp. 204-221
Persistent link: https://www.econbiz.de/10010359436
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Pricing carpool rides based on schedule displacement
Li, Ruijie; Nie, Yu; Liu, Xiaobo - In: Transportation science : a journal of the Institute for … 54 (2020) 4, pp. 1134-1152
Persistent link: https://www.econbiz.de/10012294354
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A novel mixed integer programming model for freight train travel time estimation
Taslimi, Bijan; Sarijaloo, Farnaz Babaie; Liu, Hongcheng; … - In: European journal of operational research : EJOR 300 (2022) 2, pp. 676-688
Persistent link: https://www.econbiz.de/10013207292
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Pricing options under generalised GARCH and stochastic volatility processes
Ritchken, Peter H.; Trevor, Robert G. - 1997
Persistent link: https://www.econbiz.de/10000978436
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Forecasting variance using stochastic volatility and GARCH
Hansson, Björn A.; Hördahl, Peter - 1998
Persistent link: https://www.econbiz.de/10000981021