搜索结果: 1-15 共查到“理论经济学 Markov”相关记录22条 . 查询时间(0.125 秒)
A multi-agent nonlinear Markov model of the order book
A multi-agent nonlinear Markov model order book
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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.
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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...
Weighted-indexed semi-Markov models for modeling financial returns
rst passage time distribution autocorrelation function exponentially weighted moving average Monte Carlo
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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...
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
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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
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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
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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
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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
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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
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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
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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
Cointegrated Vector Auto Regressions Markov chain Monte Carlo
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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...
Statistical identification with hidden Markov models of large order splitting strategies in an equity market
Statistical identification hidden Markov models splitting strategies equity market
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2010/10/19
Large trades in a financial market are usually split into smaller parts and traded incrementally over extended periods of time. We address these large trades as hidden orders. In order to identify an...
A Coupled Markov Chain approach to risk analysis of credit default swap index products
Coupled Markov Chain risk analysis credit default swap index products
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2010/11/3
We apply a Coupled Markov Chain approach to model rating transitions and thereby default probabilities of companies. We estimate parameters by applying a maximum likeli-hood estimation using a large s...
NONPARAMETRIC TESTS OF THE MARKOV HYPOTHESIS IN CONTINUOUS-TIME MODELS
Markov hypothesis Chapman–Kolmogorov equation locally linear smoother transition density diffusion
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2014/3/13
We propose several statistics to test the Markov hypothesis forβ-mixing stationary processes sampled at discrete time intervals. Our tests are based on the Chapman–Kolmogorov equation. We establish th...
Optimisation of Stochastic Programming by Hidden Markov Modelling based Scenario Generation
Markov Processes Risk Analysis Stochastic Programming Scenarios
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2010/10/29
This paper formed part of a preliminary research report for a risk consultancy and academic research. Stochastic Programming models provide a powerful paradigm for decision making under uncertainty. I...