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Persistent link: https://www.econbiz.de/10005345450
In this paper the issue of dichotomous growth and development is addressed by means of computer simulation. As previously remarked by many authors (see for example Marengo and Willinger [5], or McCain [6]), computer simulation is a key technique to model economic dynamics. The specific...
Persistent link: https://www.econbiz.de/10005706432
This work focuses on a method to characterize stochastic processes by way of their scaling function tau(·). The kernel idea is that, notwithstanding the properties of the stochastic generating process of raw data, a minimum set of conditions is required to provide empirical estimation of the...
Persistent link: https://www.econbiz.de/10005706832
Since the beginning of this century, the normal distribution has played a central role in the mathematical finance literature. However, major drawbacks insight this assumption rely in the absence of closed form expressions for both its cumulative and probability density functions. Additionally,...
Persistent link: https://www.econbiz.de/10005132892
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We use Object Oriented Bayesian Networks (OOBNs) to analyze complex ties in the equity market and to detect drivers for the Standard & Poor's 500 (S&P 500) index. To such aim, we consider a vast number of indicators drawn from various investment areas (Value, Growth, Sentiment, Momentum, and...
Persistent link: https://www.econbiz.de/10013200426
In this paper we aimed to examine the profitability of technical trading rules in the Bitcoin market by using trend-following and mean-reverting strategies. We applied our strategies on the Bitcoin price series sampled both at 5-min intervals and on a daily basis, during the period 1 January...
Persistent link: https://www.econbiz.de/10013200578
We compare parametric and machine learning techniques (namely: Neural Networks) for in-sample modeling of the yield curve of the BRICS countries (Brazil, Russia, India, China, South Africa). To such aim, we applied the Dynamic De Rezende-Ferreira five-factor model with time-varying decay...
Persistent link: https://www.econbiz.de/10013200927