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Self-decomposability and option pricing
Yor, Marc; Madan, Dilip B.; Carr, Peter; Geman, Hélyette - Université Paris-Dauphine (Paris IX) - 2007
The risk-neutral process is modeled by a four parameter self-similar process of independent increments with a self-decomposable law for its unit time distribution. Six different processes in this general class are theoretically formulated and empirically investigated. We show that all six models...
Persistent link: https://www.econbiz.de/10010905156
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FRACTAL MARKETS HYPOTHESIS AND THE GLOBAL FINANCIAL CRISIS: SCALING, INVESTMENT HORIZONS AND LIQUIDITY
KRISTOUFEK, LADISLAV - In: Advances in Complex Systems (ACS) 15 (2012) 06, pp. 1250065-1
through the scaling of variance of the underlying processes. On the three most liquid US indices — DJI, NASDAQ and S&P500 — we …
Persistent link: https://www.econbiz.de/10011010862
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Scaling issues for risky asset modelling
Heyde, Chris - In: Mathematical Methods of Operations Research 69 (2009) 3, pp. 593-603
In this paper we investigate scaling properties of risky asset returns and make a strong case (1) against the need for …-range dependent. These scaling properties are well known, although commonly ignored for modeling convenience. However, much more can … be inferred from the scaling properties of the returns. It turns out that the empirical scaling functions are initially …
Persistent link: https://www.econbiz.de/10010950160
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Similarity is not enough: Tipping points of Ebola Zaire mortalities
Phillips, J.C. - In: Physica A: Statistical Mechanics and its Applications 427 (2015) C, pp. 277-281
mortality is significantly reduced, while the transmission appears to have increased strongly. Bioinformatic scaling had …
Persistent link: https://www.econbiz.de/10011209668
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Defining least community as a homogeneous group in complex networks
Jiang, Bin; Ma, Ding - In: Physica A: Statistical Mechanics and its Applications 428 (2015) C, pp. 154-160
This paper introduces a new concept of least community that is as homogeneous as a random graph, and develops a new community detection algorithm from the perspective of homogeneity or heterogeneity. Based on this concept, we adopt head/tail breaks–a newly developed classification scheme for...
Persistent link: https://www.econbiz.de/10011209705
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An Empirically Based Model of the Supply Schedule in Day-Ahead Electricity Markets
Sapio, Sandro - Laboratory of Economics and Management (LEM), Scuola … - 2006
/P scaling). In the second part of the paper, it is shown that a linear supply function with stochastic intercept and … constant slope suffices to explain the 1/P scaling. Furthermore, this model allows to decompose price fluctuations in an …
Persistent link: https://www.econbiz.de/10005292633
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Scaling a conditional proximity matrix to symmetry
Levin, Joseph; Brown, Morton - In: Psychometrika 44 (1979) 2, pp. 239-243
Persistent link: https://www.econbiz.de/10005381839
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An entropy approach to the scaling of ordinal categorical data
Jefferson, T.; May, J.; Ravi, N. - In: Psychometrika 54 (1989) 2, pp. 203-215
Persistent link: https://www.econbiz.de/10005381863
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Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate
Jamdee, Sutthisit; Los, Cornelis A. - EconWPA - 2005
particular in terms of scaling distribution preservation. Identified distributions of all simulated processes are compared with …
Persistent link: https://www.econbiz.de/10005077018
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SCALING EFFECTS IN THE PENNA AGEING MODEL
ŁASZKIEWICZ, A.; CEBRAT, S.; STAUFFER, D. - In: Advances in Complex Systems (ACS) 08 (2005) 01, pp. 7-14
We have analyzed the possibility of scaling the sexual Penna ageing model. Assuming that the number of genes expressed …
Persistent link: https://www.econbiz.de/10005080914