Sweetest taboo processes
A Mazzolo - Journal of Statistical Mechanics: Theory and …, 2018 - iopscience.iop.org
Brownian dynamics play a key role in understanding the diffusive transport of micro particles
in a bounded environment. In geometries containing confining walls, physical laws …
in a bounded environment. In geometries containing confining walls, physical laws …
Diffusing explosive portfolio performance evaluation of high frequency traders
G Charles-Cadogan - Journal of Investment Strategies, 2015 - papers.ssrn.com
Several analysts report explosive annualized Sharpe Ratios (ASRs) for investment portfolio
performance evaluation of high frequency traders (HFTers) ranging from 4.3 to 5,000. This …
performance evaluation of high frequency traders (HFTers) ranging from 4.3 to 5,000. This …
Essays on statistical economics with applications to financial market instability, limit distribution of loss aversion, and harmonic probability weighting functions
G Charles-Cadogan - 2016 - open.uct.ac.za
This dissertation is comprised of four essays. It develops statistical models of decision
making in the presence of risk with applications to economics and finance. The methodology …
making in the presence of risk with applications to economics and finance. The methodology …
Compound Lévy random bridges and credit risky asset pricing
DC Ikpe - 2016 - open.uct.ac.za
In this thesis, we study random bridges of a certain class of Lévy processes and their
applications to credit risky asset pricing. In the first part, we construct the compound random …
applications to credit risky asset pricing. In the first part, we construct the compound random …
[引用][C] Asymptotic Theory Of Myopic Loss Aversion with Applications To Intolerance for Decline in Standard Of Living
G Charles-Cadogan - 2015