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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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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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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 … regular time intervals, whereas TR is a process of setting allocation limits for portfolios and rebalancing when portfolios … exceed a specifc percentage of deviation from the target allocation. The HFRA is constructed as an integration of pairs …
Persistent link: https://www.econbiz.de/10014541693
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On forecasting realized volatility for bitcoin based on deep learning PSO-GRU model
Tang, Xiaolong; Song, Yuping; Jiao, Xingrui; Sun, Yankun - In: Computational economics 63 (2024) 5, pp. 2011-2033
Persistent link: https://www.econbiz.de/10014550858
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Volatility in the capital markets : state-of-the-art techniques for modeling, managing, and trading volatility
Nelken, Israel (ed.) - 1997
Persistent link: https://www.econbiz.de/10001783628
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On American derivates and related obstacle problems
Kampen, Jörg - In: International journal of theoretical and applied finance 6 (2003) 6, pp. 565-591
Persistent link: https://www.econbiz.de/10001794260
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Stock Market Volatility and Mathematical Expectations
James, Robert G. - 2019
It is generally believed that excessive stock market volatility reflects non-mathematical market expectations that are driven by “irrational exuberance” or “animal spirits”. As shown in this paper, there is an alternative explanation. If ex-ante and ex-post expectations are calculated in...
Persistent link: https://www.econbiz.de/10012862894
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Efficient pricing algorithms for exotic derivatives
Lord, Roger - 2008
Persistent link: https://www.econbiz.de/10003775897
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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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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