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Effect of volatility fluctuations on optimal execution schedules
Criscuolo, Adriana M.; Waelbroeck, Henri - In: The journal of trading 9 (2014) 4, pp. 82-90
Persistent link: https://www.econbiz.de/10011291061
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Effect of Volatility Fluctuations on Optimal Execution Schedules
Criscuolo, Adriana - 2019
fair pricing theory of market impact and the Heston model for volatility. We use computer optimization to solve common …
Persistent link: https://www.econbiz.de/10012904961
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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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The effects of schedule volatility on supply chain performance
Childerhouse, P.; Disney, S. M.; Towill, D. R. - In: International journal of logistics : research and … 12 (2009) 4, pp. 313-328
Persistent link: https://www.econbiz.de/10003884935
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Avoiding Volatility : Institutional Trading Before Scheduled News
Di Maggio, Marco; Franzoni, Francesco A.; Kogan, Shimon; … - 2021
The paper studies institutional trading ahead of scheduled information releases, notably earnings announcements. While scheduled news are known to be preceded by sizeable stock returns, we find that institutional investors on average forego part of these premia as they decrease their exposure to...
Persistent link: https://www.econbiz.de/10013236648