Matches in SemOpenAlex for { <https://semopenalex.org/work/W1707098303> ?p ?o ?g. }
Showing items 1 to 85 of
85
with 100 items per page.
- W1707098303 abstract "This paper use a discrete time microstructure model which considers excess demand and market liquidity as two unobservable state variables as determinants whether the market is overvalued or undervalued. The model expresses the variation of conditional variance of price, were the amplitude of the price changes is dependent on the liquidity of the market. It is shown that the filtered process of hidden excess demand and its liquidity is meaningful to apply in an asset allocation strategy and is efficient in terms of producing a residual money gain compared to a passive strategy." @default.
- W1707098303 created "2016-06-24" @default.
- W1707098303 creator A5040249404 @default.
- W1707098303 date "2006-01-01" @default.
- W1707098303 modified "2023-09-27" @default.
- W1707098303 title "Optimal dynamic asset allocation using a non-linear discrete time liquidity driven microstructure market model and extended Kalman filtering" @default.
- W1707098303 cites W1543339665 @default.
- W1707098303 cites W1575104486 @default.
- W1707098303 cites W1973340530 @default.
- W1707098303 cites W2017059355 @default.
- W1707098303 cites W2044503966 @default.
- W1707098303 cites W2093230975 @default.
- W1707098303 cites W2105934661 @default.
- W1707098303 cites W2121489545 @default.
- W1707098303 cites W2327683694 @default.
- W1707098303 cites W2743981914 @default.
- W1707098303 cites W3146166473 @default.
- W1707098303 cites W2114001875 @default.
- W1707098303 hasPublicationYear "2006" @default.
- W1707098303 type Work @default.
- W1707098303 sameAs 1707098303 @default.
- W1707098303 citedByCount "0" @default.
- W1707098303 crossrefType "journal-article" @default.
- W1707098303 hasAuthorship W1707098303A5040249404 @default.
- W1707098303 hasConcept C10138342 @default.
- W1707098303 hasConcept C105795698 @default.
- W1707098303 hasConcept C149782125 @default.
- W1707098303 hasConcept C157286648 @default.
- W1707098303 hasConcept C162324750 @default.
- W1707098303 hasConcept C175444787 @default.
- W1707098303 hasConcept C182306322 @default.
- W1707098303 hasConcept C183582576 @default.
- W1707098303 hasConcept C189259953 @default.
- W1707098303 hasConcept C2780695315 @default.
- W1707098303 hasConcept C33923547 @default.
- W1707098303 hasConcept C38652104 @default.
- W1707098303 hasConcept C41008148 @default.
- W1707098303 hasConcept C51926234 @default.
- W1707098303 hasConcept C556758197 @default.
- W1707098303 hasConcept C55689738 @default.
- W1707098303 hasConcept C76178495 @default.
- W1707098303 hasConceptScore W1707098303C10138342 @default.
- W1707098303 hasConceptScore W1707098303C105795698 @default.
- W1707098303 hasConceptScore W1707098303C149782125 @default.
- W1707098303 hasConceptScore W1707098303C157286648 @default.
- W1707098303 hasConceptScore W1707098303C162324750 @default.
- W1707098303 hasConceptScore W1707098303C175444787 @default.
- W1707098303 hasConceptScore W1707098303C182306322 @default.
- W1707098303 hasConceptScore W1707098303C183582576 @default.
- W1707098303 hasConceptScore W1707098303C189259953 @default.
- W1707098303 hasConceptScore W1707098303C2780695315 @default.
- W1707098303 hasConceptScore W1707098303C33923547 @default.
- W1707098303 hasConceptScore W1707098303C38652104 @default.
- W1707098303 hasConceptScore W1707098303C41008148 @default.
- W1707098303 hasConceptScore W1707098303C51926234 @default.
- W1707098303 hasConceptScore W1707098303C556758197 @default.
- W1707098303 hasConceptScore W1707098303C55689738 @default.
- W1707098303 hasConceptScore W1707098303C76178495 @default.
- W1707098303 hasLocation W17070983031 @default.
- W1707098303 hasOpenAccess W1707098303 @default.
- W1707098303 hasPrimaryLocation W17070983031 @default.
- W1707098303 hasRelatedWork W1029012154 @default.
- W1707098303 hasRelatedWork W1598508137 @default.
- W1707098303 hasRelatedWork W1967081259 @default.
- W1707098303 hasRelatedWork W1967701631 @default.
- W1707098303 hasRelatedWork W1999291812 @default.
- W1707098303 hasRelatedWork W2018715923 @default.
- W1707098303 hasRelatedWork W2116572559 @default.
- W1707098303 hasRelatedWork W2124286411 @default.
- W1707098303 hasRelatedWork W2140481415 @default.
- W1707098303 hasRelatedWork W2140688168 @default.
- W1707098303 hasRelatedWork W2144428672 @default.
- W1707098303 hasRelatedWork W2147954735 @default.
- W1707098303 hasRelatedWork W2164290834 @default.
- W1707098303 hasRelatedWork W2290373007 @default.
- W1707098303 hasRelatedWork W2321417889 @default.
- W1707098303 hasRelatedWork W2390771517 @default.
- W1707098303 hasRelatedWork W3011931442 @default.
- W1707098303 hasRelatedWork W3124287650 @default.
- W1707098303 hasRelatedWork W3197522808 @default.
- W1707098303 hasRelatedWork W659507044 @default.
- W1707098303 isParatext "false" @default.
- W1707098303 isRetracted "false" @default.
- W1707098303 magId "1707098303" @default.
- W1707098303 workType "article" @default.