搜索结果: 1-9 共查到“经济学 Weighted”相关记录9条 . 查询时间(0.022 秒)
Stock prices assessment: proposal of a new index based on volume weighted historical prices through the use of computer modeling
Agent based simulation Computer modeling, Complex systems Financial analysis Stock market Stock price Volume weighted average price Stock price index.
2012/9/14
The importance of considering the volumes to analyze stock prices movements can be considered as a well-accepted practice in the financial area. However, when we look at the sc...
Weighted Kolmogorov-Smirnov test: accounting for the tails
Goodness-of-Fit tests Kolmogorov-Smirnov Survival probability Particle in a box
2012/9/14
Accurate Goodness of Fit tests for the extreme tails of empirical distributions is a very im-portant issue, relevant in many contexts, including geophysics, insurance and finance. We have derived exac...
Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework
exponential weighted moving average time -varying higher moments Cornish-Fisher expansion Gram -Charlier density risk management Value-at -Risk
2012/9/14
This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that joint...
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...
Weighted Monte Carlo: Calibrating the Smile and Preserving Martingale Condition
Monte Carlo exotic options the Martingale condition might geometric cliquet option
2011/3/23
Weighted Monte Carlo prices exotic options calibrating the probabilities of previously generated paths by a regular Monte Carlo to fit a set of option premiums. When only vanilla call and put options ...
Log-supermodularity of weight functions and the loading monotonicity of weighted insurance premiums
Insurance premium Weighted premium Weighted distribution
2010/10/21
The paper is motivated by a problem concerning the monotonicity of insurance premiums with respect to their loading parameter: the larger the parameter, the larger the insurance premium is expected to...
The Structure and Growth of Weighted Networks
weighted networks analysis proportionate growth preferential attachment international trade
2010/11/1
We develop a simple theoretical framework for the evolution of weighted networks that is consistent with a number of stylized features of real-world data. In our framework, the Barab´asi-Albert ...
Consider a frictionless market trading a finite number of co-maturing European call and put options written on a risky asset plus an instrument with path-dependent payoff known as a weighted variance...
Weighted Trade Network in a Model of Preferential Bipartite Transactions
Weighted Trade Network Preferential Bipartite Transactions
2010/11/2
Using a model of wealth distribution where traders are characterized by quenched random saving
propensities and trade among themselves by bipartite transactions, we mimic the enhanced rates
of tradi...