搜索结果: 1-12 共查到“理论经济学 An Efficient”相关记录12条 . 查询时间(0.079 秒)
Methods of Efficient Parameter Estimation in Control Problems
Efficient Parameter Estimation Control Problems
2015/8/5
Methods of Efficient Parameter Estimation in Control Problems.
On An Efficient Two-Step Estimator for Dynamic Simultaneous Equation Models with Autoregressive Errors
Dynamic Simultaneous Equation Models Autoregressive Errors
2015/8/5
On An Efficient Two-Step Estimator for Dynamic Simultaneous Equation Models with Autoregressive Errors.
Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets
market timing empirical alpha process unobserved portfolio strategies martingale system behavioural finance high frequency trading Brownian bridge Jensen’salpha portable alpha
2012/9/14
We introduce a trade strategy representation theorem for performance measurement and portable alpha in high fre-quency trading, by embedding a robust trading algorithm that describe portfolio manager ...
Efficient Discretization of Stochastic Integrals
Efficient Discretization of Stochastic Integrals Probability Computational Finance
2012/4/28
Sharp asymptotic lower bounds of the expected quadratic variation of discretization error in stochastic integration are given. The theory relies on inequalities for the kurtosis and skewness of a gene...
In this article, the author comments on the performance of the equity markets in New York. The author mentions that the sector experienced extraordinary returns in the third quarter of 2009, but it is...
NO PAIN, NO GAIN: THE CRIMINAL ABSENCE OF THE EFFICIENT CAPITAL MARKETS THEORY FROM INSIDER TRADING SENTENCING
defendant's gains statutory prohibition criminal sentencing disclosure regulation
2011/9/12
The article stresses the need of the U.S. courts to look to the date that the information on insider trading was disclosed to determine the amount of the defendant's gains. It discusses the statutory ...
Efficient and accurate log-Lévy approximations to Lévy driven LIBOR models
LIBOR market model L´ evy processes drift term Picard approximation option pricing caps swaptions annuities
2011/7/4
The LIBOR market model is very popular for pricing inter-
est rate derivatives, but is known to have several pitfalls. In addition, if
the model is driven by a jump process, then the complexity of t...
Efficient energy use and renewable sources of energy in Slovenia: a survey of public perception
energy efficiency renewable sources of energy operation management sustainability social responsibility
2014/2/27
This paper presents unique survey results with opinions on the competitive supply and efficient energy use, sources of energy and renewable sources of energy. The multivariate factor analysis with thr...
I prove that if markets are weak-form efficient, meaning current prices fully reflect all information available in past prices, then P = NP, meaning every computational problem whose solution can be ...
Most Efficient Homogeneous Volatility Estimators
Variance and volatility estimators efficiency homogeneous functions Variance and volatility estimators efficiency homogeneous functions
2010/11/2
We present a new theory of homogeneous volatility (and variance) estimators for arbitrary stochastic processes. The main tool of our theory is the parsimonious encoding of all the information containe...
Phenomenology of minority games in efficient regime
Minority game adaptive system Markov process de Bruijn graph
2010/11/1
We present a comprehensive study of utility function of the minority game in its efficient
regime. We develop an effective description of state of the game. For the payoff function
g(x) = sgn(x) we ...
A note comprising a negative resolution of the Efficient Market Hypothesis
negative resolution Efficient Market Hypothesis
2010/12/13
This note comprises a negative resolution of the Efficient Market Hypothesis.