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Found 157 Documents (Results 1–100)

Weak stationarity of Ornstein-Uhlenbeck processes with stochastic speed of mean reversion. (English) Zbl 1354.60035

Podolskij, Mark (ed.) et al., The fascination of probability, statistics and their applications. In honour of Ole E. Barndorff-Nielsen. Cham: Springer (ISBN 978-3-319-25824-9/hbk; 978-3-319-25826-3/ebook). 153-189 (2016).
MSC:  60G10 60J60
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Determining the long-run equilibrium price by the mean reversion process and the cobweb model. (English) Zbl 1411.91237

Proceedings of the 2nd annual international conference on computational mathematics, computational geometry and statistics, CMCGS 2013, Singapore, February 4–5, 2013. Singapore: Global Science and Technology Forum (GSTF). 81-85 (2013).
MSC:  91B24 60H10
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A homoclinic route to volatility: dynamics of asset prices under autoregressive forecasting. (English) Zbl 1296.91120

Bischi, Gian Italo (ed.) et al., Global analysis of dynamic models in economics and finance. Essays in honour of Laura Gardini. Berlin: Springer (ISBN 978-3-642-29502-7/hbk; 978-3-642-29503-4/ebook). 289-316 (2013).
MSC:  91B25 91B55 37N40
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Detecting mean-reverted patterns in algorithmic pairs trading. (English) Zbl 1264.62101

Latorre Carmona, Pedro (ed.) et al., Mathematical methodologies in pattern recognition and machine learning. Contributions from the international conference on pattern recognition applications and methods (ICPRAM), 2012, Vilamoura, Portugal, February 6–8, 2012. New York, NY: Springer (ISBN 978-1-4614-5075-7/hbk; 978-1-4614-5076-4/ebook). Springer Proceedings in Mathematics & Statistics 30, 127-147 (2013).
MSC:  62P20 91B60 62F15
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