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Two-machine open shop scheduling with an availability constraint
Breit, Joachim - 2000
Persistent link: https://www.econbiz.de/10013383924
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Intraday Volatility : An Integer Autoregressive Model
Tapiero, Oren - 2015
Intraday and high frequency time series are mostly defined by a non-continuous prices process. This paper introduces an integer based ARMA model found to be a better predictor for absolute intraday price changes than continuous time estimators (such as GARCH or multiplicative error models)....
Persistent link: https://www.econbiz.de/10013016057
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Efficient pricing algorithms for exotic derivatives
Lord, Roger - 2008
Persistent link: https://www.econbiz.de/10003775897
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SV mixture : classification using EM algorithm
Hachicha, Ahmed; Hachicha, Fatma; Masmoudi, Afif - 2013
with MCMC algorithm” cited, Rev Quant Finan Acc (2012) 38:479-493 DOI 10.1007/s11156-011-0236-1 where we propose initially … estimate the parameter of a mixture stochastic volatility model, we first use the Expectation-Maximisation (EM) algorithm. The …
Persistent link: https://www.econbiz.de/10009755511
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Quasi- Monte Carol methods for the Heston model
Baldeaux, Jan; Roberts, Dale - 2012
Persistent link: https://www.econbiz.de/10009564454
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Particle filters for Markov switching stochastic volatility models
Yun, Bao; Chiarella, Carl; Kang, Boda - 2012
Persistent link: https://www.econbiz.de/10009564477
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Multi-factor RFG-LSTM algorithm for stock sequence predicting
Su, Zhi; Xie, Heliang; Han, Lu - In: Computational economics 57 (2021) 4, pp. 1041-1058
Persistent link: https://www.econbiz.de/10012543252
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Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm
Bağcı, Mahmut; Soylu, Pınar Kaya - In: Financial innovation : FIN 10 (2024), pp. 1-28
We propose a high-frequency rebalancing algorithm (HFRA) and compare its performance with periodic rebalancing (PR) and …
Persistent link: https://www.econbiz.de/10014541693
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Genetic learning as an explanation of stylized facts of foreign exchange markets
Lux, Thomas; Schornstein, Sascha - 2002
the GA algorithm (i.e. utilitybased versus rank-based or tournament selection, binary or real coding). However, appearance … ähnlich ist. Die Ähnlichkeit scheint sehr wenig von speziellen Eigenschaften des gewählten GA-Algorithmus abzuhängen (z. B …
Persistent link: https://www.econbiz.de/10011431839
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Heuristic learning in intraday trading under uncertainty
Bekiros, Stelios D. - In: Journal of empirical finance 30 (2015), pp. 34-49
Persistent link: https://www.econbiz.de/10011489212