搜索结果: 1-15 共查到“经济学 Markov”相关记录28条 . 查询时间(0.203 秒)
A multi-agent nonlinear Markov model of the order book
A multi-agent nonlinear Markov model order book
2012/9/14
We introduce and treat rigorously a new multi-agent model of the limit order book. Our model is designed to explain a behavior of the market when new information a ecting the market arrives. Our model...
Numerical methods for the quadratic hedging problem in Markov models with jumps
Quadratic hedging Hamilton-Jacobi-Bellman equation Markov jump processes Par-tial integro-di erential equation Holder spaces electricity markets discretization schemes for PIDE.
2012/9/14
We develop algorithms for the numerical computation of the quadratic hedging strategy in incomplete markets modeled by pure jump Markov process. Using the Hamilton-Jacobi-Bellman approach, the value f...
Modeling and Pricing of Covariance and Correlation Swaps for Financial Markets with Semi-Markov Volatilities
Modeling and Pricing of Covariance Correlation Swaps Financial Markets Semi-Markov Volatilities Pricing of Securities
2012/6/5
In this paper, we model financial markets with semi-Markov volatilities and price covarinace and correlation swaps for this markets. Numerical evaluations of vari- nace, volatility, covarinace and cor...
Weighted-indexed semi-Markov models for modeling financial returns
rst passage time distribution autocorrelation function exponentially weighted moving average Monte Carlo
2012/6/4
In this paper we propose a new stochastic model based on a generalization of semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that the financial returns are de...
Dividend Payments and Related Problems in a Markov-Dependent Insurance Risk Model under Absolute Ruin
Absolute Ruin Markov-Dependent Insurance Risk Model Debit Interest Moment-Generating Function
2013/2/19
In this paper, we study the dividend payments prior to absolute ruin in a Markov-dependent risk process in which the claim occurrence and the claim amount are regulated by an external discrete time Ma...
Comparing the reliability of a discrete-time and a continuous-time Markov chain model in
discrete-time transition matrix the default probability the empirical results
2011/8/30
This article compares the reliability of a discrete-time and a continuous-time Markov chain model for estimating credit risk and for investigating loans of Chiao Tung Bank in Taiwan. The continuous-ti...
Geometric Allocation Approach for Transition Kernel of Markov Chain
Markov chain Transition kernel Geometric allocation Detailed balance Reversibility
2011/7/5
We introduce a new geometric approach that constructs a
transition kernel of Markov chain. Our method always minimizes the av-
erage rejection rate and even reduce it to zero in many relevant cases,...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametric Regression
Characteristic Function Markov models conditional distribution
2011/4/2
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed form o...
Nonanalytic behaviour in a log-normal Markov functional model
Markov functional model Nonanalytic behaviour Computational Finance
2011/7/22
Abstract: In a previous paper it was shown that a Markov-functional model with log-normally distributed rates in the terminal measure displays nonanalytic behaviour as a function of the volatility, wh...
Testing for the Markov Property in Time Series
Conditional characteristic function Generalized cross-spectrum Markov property Smoothed nonparametric bootstrap
2011/4/1
The Markov property is a fundamental property in time series analysis and is often assumed in economic and …nancial modelling. We develop a new test for the Markov property using the conditional chara...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametric Regression
nonparametric regression economics and finance easy-to-interpret diagnostic procedures
2011/4/1
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed form o...
Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes
Heat Kernel Interest Rate Models Time-Inhomogeneous Markov Processes
2011/1/4
We consider a heat kernel approach for the development of stochastic pricing kernels. The kernels are constructed by positive propagators, which are driven by time-inhomogeneous Markov processes. We m...
Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model
Markov chain Monte Carlo Bayesian Cointegrated VAR model
2010/10/19
This paper develops a matrix-variate adaptive Markov chain Monte Carlo (MCMC) methodology for Bayesian Cointegrated Vector Auto Regressions (CVAR). We replace the popular approach to sampling Bayesia...
Phase transition in a log-normal Markov functional model
Phase transition log-normal Markov functional model
2010/10/21
We derive the exact solution of a one-dimensional Markov functional model with log-normally distributed interest rates in discrete time. The model is shown to have two distinct limiting states, corres...
Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model
Cointegrated Vector Auto Regressions Markov chain Monte Carlo
2010/4/28
This paper develops a matrix-variate adaptive Markov chain Monte Carlo (MCMC) methodology for Bayesian Cointegrated Vector Auto Regressions (CVAR). We replace the popular approach to sampling Bayesian...