[PDF] Top 20 Application of continuous-time random walk to statistical arbitrage
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Application of continuous-time random walk to statistical arbitrage
... predictability of the Markovian and non-Markovian approaches of the strategy for a range of transaction ...required to take a long or short position in the ...function of the ... See full document
5
A ratio to evaluate harvest procedures management in an economic system where resources dynamics is ruled by an Ornstein-Uhlenbeck process
... velocity of a massive Brownian particle under the influence of ...up to allowing linear transformations of the space and time ...Over time, the process tends to drift ... See full document
7
Application of time-series analysis for prediction of molding sand properties in production cycle
... unsuccessful. To answer this question some statistical tests can be ...One of them is the non-parametric runs-test that verifies a randomness hypothesis for a binary-valued data sequence; in case ... See full document
5
Detecting customer defections: an application of continuous duration models
... A continuous survival analysis will be used to understand the residential customer churn in the FT industry (contractual settings) in ...a continuous non-negative random variable, which ... See full document
9
RBRH vol.22
... quality continuous monitoring is a complex ...with time series of many variables and monitoring points that require the application of statistical methods for the information ... See full document
13
Factor analysis in the stock market: an application to statistical arbitrage
... was to divide all the 260 stocks into 13 different groups (20 assets per group), using a simply percentile division of the different ...chose to neglect that fact and used the available information ... See full document
25
Dry Markets and Statistical Arbitrage Bounds for European Derivatives
... derive statistical arbitrage bounds for the buying and selling price of European derivatives under incomplete ...due to the fact that the market is dry, ...in time. In particular, we ... See full document
57
An Introduction to the Fractional Continuous- Time Linear Systems: The 21
... Applications of Fractional Differentia- tion,” Presentation at the Symposium on Applied Fractional Calculus (SAFC07), Industrial Engineering School (University of Extremadura), ... See full document
8
On equilibrium prices in continuous time
... I of agents live in a world of uncertainty from time 0 to time T ...state of nature which is a complete description of one possible realization of all exogenous ... See full document
24
Parameter Estimation in Continuous Time Domain
... aim to presents the applications of a continuous-time parameter estimation method for estimating structural parameters of a real bridge ...purpose of illustrating this method two ... See full document
5
Efficient Market Hypothesis in European Stock Markets
... results of tests on the weak-form market efficiency applied to stock market indexes of France, Germany, UK, Greece, Portugal and Spain, from January 1993 to December ...period of the ... See full document
20
An Introduction to the Fractional Continuous- Time Linear Systems: The 21
... case of the two parameter Mittag-Leffler function that is a generalization of the exponential to what it reduces when ν = ...site of MatLab. It is an implementation of the two param- ... See full document
8
STEGANALYSIS OF REAL TIME IMAGE BY STATISTICAL ATTACKS
... class of steganalysis techniques pioneered independently can be designed to work with any steganographic embedding algorithm, even an unknown ...set of cover-objects and stego-objects arrived at from ... See full document
10
Reserves Represented by Random Walks
... problem of Gambler's ruin, which reserves behave according to a simple random walk, is presented in a lot of textbooks about the stochastic processes theory in relation with Markov ... See full document
7
Modelos de comportamento para simulação de mobilidade em ambientes urbanos
... O The ONE (Opportunistic Network Environment) é um simulador de redes oportunísticas. O simulador está a ser desenvolvido pelos projetos SINDTN (Security Infrastructure for Delay Tolerant Network) (SINDTN 2011) e CATDTN ... See full document
152
Application of Site- and Time- Heterogeneous Evolutionary Models to Mitochondrial Phylogenomics
... majority of genes show positive AT and negative GC ...origins of replication also switch their orientation in many taxa (Hassanin et ...orientation of the replication process, a reverse replication ... See full document
136
Selection of the temperature of casting the bronzes to plaster moulds
... temperature of casting the bronze to the mould on Figure ...section of casts from the probe TDAg, it results that it together with considerably grows up the depth of the contraction cavity ... See full document
6
Evaluation of susceptibility of the ZRE1 alloy to hot cracking in conditions of forced strain
... tests of casting welding show that the causes of high-temperature brittleness are the partial tears of the structure and the hot cracks of both the castings and the welded and padded ... See full document
6
Dissertação de Mestrado Previsão do Lucro Contábil e do Fluxo de Caixa: Análise Por Meio do Modelo Random Walk
... (random walk em vez de regressão linear), a eficácia da projeção ex ante de quatro medidas futuras de fluxo de caixa para um e dois anos à frente, a partir de medidas ex post do fluxo de caixa das ... See full document
62
Ambient. constr. vol.17 número3
... used to help design energy-efficient buildings reducing energy loads while maintaining the desired internal ...set of inputs such as building geometry, material properties, project costs, local weather ... See full document
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