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Reinforced urn processes for credit risk models

Peluso, Stefano; Mira, Antonietta; Mulière, Pietro - In: Journal of econometrics 184 (2015) 1, pp. 1-12

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Fractional stochastic gradient descent for recommender systems

Khan, Zeshan Aslam; Chaudhary, Naveed Ishtiaq; Zubair, Syed - In: Electronic markets : the international journal on … 29 (2019) 2, pp. 275-285

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A mean bound financial model and options pricing

Li, Yu - In: International journal of financial engineering 4 (2017) 4, pp. 1-31

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Fat tails and spurious estimation of consumption‐based asset pricing models

Akira Toda, Alexis; Walsh, Kieran - In: Journal of applied econometrics 32 (2017) 6, pp. 1156-1177

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Fat tails and spurious estimation of consumption-based asset pricing models

Akira Toda, Alexis; Walsh, Kieran - 2017

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Is index concentration an inevitable consequence of market-capitalization weighting?

Goldberg, Lisa; Madhavan, Ananth Narayan; Selwitz, Harrison - In: Journal of investment management : JOIM 21 (2023) 2, pp. 50-71

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Linear stochastic dynamics with nonlinear fractal properties

Sornette, Didier - In: Physica A: Statistical Mechanics and its Applications 250 (1998) 1, pp. 295-314

Stochastic processes with multiplicative noise have been studied independently in several different contexts over the past decades. We focus on the regime, found for a generic set of control parameters, in which stochastic processes with multiplicative noise produce intermittency of a special...

Persistent link: https://www.econbiz.de/10010599536