Matches in SemOpenAlex for { <https://semopenalex.org/work/W2158201685> ?p ?o ?g. }
Showing items 1 to 92 of
92
with 100 items per page.
- W2158201685 abstract "This paper treats jump-diffusion process in continuous time, with emphasis on jump-amplitude distributions, developing more appropriate models using parameter estimation for the market. The proposed method of parameter estimation is weighted least squares of the difference between theoretical and experimental bin frequencies, where the weights of reciprocal variances are chosen by the theory of jump-diffusion simulation applied to bin frequencies. The empirical data is taken from a decade of Standard & Poor 500 index of stock closings and are viewed as one moderately large simulation. The new developments are the combined use of uniform jump-amplitude distributions, least squares weights and time-varying market parameters, introducing more realism into the model, a log-normal-diffusion, log-uniform-jump financial market model. The optimal parameter estimation is highly nonlinear, computationally intensive, and the optimization is with respect to the three parameters of the log-uniform jump distribution, while the diffusion parameters are constrained by the first two moments of the S&P500 data." @default.
- W2158201685 created "2016-06-24" @default.
- W2158201685 creator A5048375888 @default.
- W2158201685 creator A5089228130 @default.
- W2158201685 date "2004-02-03" @default.
- W2158201685 modified "2023-09-23" @default.
- W2158201685 title "Jump-diffusion stock-return model with weighted fitting of time-dependent parameters" @default.
- W2158201685 cites W1538842345 @default.
- W2158201685 cites W1899323773 @default.
- W2158201685 cites W1964262399 @default.
- W2158201685 cites W2024683548 @default.
- W2158201685 cites W2044793768 @default.
- W2158201685 cites W2077791698 @default.
- W2158201685 cites W2110667266 @default.
- W2158201685 cites W2133334225 @default.
- W2158201685 cites W2140733846 @default.
- W2158201685 cites W2165812955 @default.
- W2158201685 cites W2199704568 @default.
- W2158201685 cites W2317997851 @default.
- W2158201685 cites W2751862591 @default.
- W2158201685 cites W4953610 @default.
- W2158201685 cites W72512823 @default.
- W2158201685 doi "https://doi.org/10.1109/acc.2003.1242494" @default.
- W2158201685 hasPublicationYear "2004" @default.
- W2158201685 type Work @default.
- W2158201685 sameAs 2158201685 @default.
- W2158201685 citedByCount "5" @default.
- W2158201685 countsByYear W21582016852015 @default.
- W2158201685 crossrefType "proceedings-article" @default.
- W2158201685 hasAuthorship W2158201685A5048375888 @default.
- W2158201685 hasAuthorship W2158201685A5089228130 @default.
- W2158201685 hasConcept C105795698 @default.
- W2158201685 hasConcept C121332964 @default.
- W2158201685 hasConcept C151730666 @default.
- W2158201685 hasConcept C167928553 @default.
- W2158201685 hasConcept C180205008 @default.
- W2158201685 hasConcept C183115368 @default.
- W2158201685 hasConcept C24890656 @default.
- W2158201685 hasConcept C2779664328 @default.
- W2158201685 hasConcept C2780299701 @default.
- W2158201685 hasConcept C2780695682 @default.
- W2158201685 hasConcept C2780762169 @default.
- W2158201685 hasConcept C28826006 @default.
- W2158201685 hasConcept C33923547 @default.
- W2158201685 hasConcept C62520636 @default.
- W2158201685 hasConcept C69357855 @default.
- W2158201685 hasConcept C86803240 @default.
- W2158201685 hasConcept C97355855 @default.
- W2158201685 hasConceptScore W2158201685C105795698 @default.
- W2158201685 hasConceptScore W2158201685C121332964 @default.
- W2158201685 hasConceptScore W2158201685C151730666 @default.
- W2158201685 hasConceptScore W2158201685C167928553 @default.
- W2158201685 hasConceptScore W2158201685C180205008 @default.
- W2158201685 hasConceptScore W2158201685C183115368 @default.
- W2158201685 hasConceptScore W2158201685C24890656 @default.
- W2158201685 hasConceptScore W2158201685C2779664328 @default.
- W2158201685 hasConceptScore W2158201685C2780299701 @default.
- W2158201685 hasConceptScore W2158201685C2780695682 @default.
- W2158201685 hasConceptScore W2158201685C2780762169 @default.
- W2158201685 hasConceptScore W2158201685C28826006 @default.
- W2158201685 hasConceptScore W2158201685C33923547 @default.
- W2158201685 hasConceptScore W2158201685C62520636 @default.
- W2158201685 hasConceptScore W2158201685C69357855 @default.
- W2158201685 hasConceptScore W2158201685C86803240 @default.
- W2158201685 hasConceptScore W2158201685C97355855 @default.
- W2158201685 hasLocation W21582016851 @default.
- W2158201685 hasOpenAccess W2158201685 @default.
- W2158201685 hasPrimaryLocation W21582016851 @default.
- W2158201685 hasRelatedWork W136001544 @default.
- W2158201685 hasRelatedWork W1598230356 @default.
- W2158201685 hasRelatedWork W1967384877 @default.
- W2158201685 hasRelatedWork W1975381788 @default.
- W2158201685 hasRelatedWork W2054874969 @default.
- W2158201685 hasRelatedWork W2072389800 @default.
- W2158201685 hasRelatedWork W2086827197 @default.
- W2158201685 hasRelatedWork W2087102000 @default.
- W2158201685 hasRelatedWork W2090631661 @default.
- W2158201685 hasRelatedWork W2099803214 @default.
- W2158201685 hasRelatedWork W2119727628 @default.
- W2158201685 hasRelatedWork W2132405245 @default.
- W2158201685 hasRelatedWork W2132629253 @default.
- W2158201685 hasRelatedWork W2135016186 @default.
- W2158201685 hasRelatedWork W2136190751 @default.
- W2158201685 hasRelatedWork W2147328901 @default.
- W2158201685 hasRelatedWork W2162318086 @default.
- W2158201685 hasRelatedWork W2369864032 @default.
- W2158201685 hasRelatedWork W2569472017 @default.
- W2158201685 hasRelatedWork W2491410714 @default.
- W2158201685 isParatext "false" @default.
- W2158201685 isRetracted "false" @default.
- W2158201685 magId "2158201685" @default.
- W2158201685 workType "article" @default.