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Probability distribution of returns in the exponential Ornstein-Uhlenbeck model
Probability distribution returns exponential Ornstein-Uhlenbeck model
2010/12/17
We analyze the problem of the analytical characterization of the probability distribution of financial returns in the exponential Ornstein-Uhlenbeck model with stochastic volatility. In this model the...
Anomalous Returns in a Neural Network Equity-Ranking Predictor
Anomalous Returns Neural Network Equity-Ranking Predictor
2010/12/20
Using an artificial neural network (ANN), a fixed universe of approximately 1500 equities from the Value Line index are rank-ordered by their predicted price changes over the next quarter. Inputs to ...
On the probability distribution of stock returns in the Mike-Farmer model
probability distribution stock returns Mike-Farmer model
2010/12/20
Recently, Mike and Farmer have constructed a very powerful and realistic behavioral model to mimick the dynamic process of stock price formation based on the empirical regularities of order placement...
Nonlinear Fokker-Planck Equation in the Model of Asset Returns
Nonlinear Fokker-Planck Equation Model Asset Returns
2010/12/17
The Fokker-Planck equation with diffusion coefficient quadratic in space variable, linear drift coefficient, and nonlocal nonlinearity term is considered in the framework of a model of analysis of as...
ARCH and GARCH Models vs. Martingale Volatility of Finance Market Returns
ARCH GARCH Models Martingale Volatility Finance Market Returns
2010/12/17
ARCH and GARCH models assume either i.i.d. or (what economists lable as) white noise as is usual in regression analysis while assuming memory in a conditional mean square fluctuation with stationary ...
Different fractal properties of positive and negative returns
fractal properties positive negative returns
2010/12/17
We perform an analysis of fractal properties of the positive and the negative changes of the German DAX30 index separately using Multifractal Detrended Fluctuation Analysis (MFDFA). By calculating the...