73 search results - page 1 / 15 » Trading in Markovian Price Models |
COLT
2005
Springer
13 years 10 months ago
2005
Springer
We examine a Markovian model for the price evolution of a stock, in which the probability of local upward or downward movement is arbitrarily dependent on the current price itself...
FS
2006
13 years 5 months ago
2006
Fads models were introduced by Shiller (1984) and Summers (1986) as plausible alternatives to the efficient markets/constant expected returns assumptions. Under these models, loga...
ACMICEC
2007
ACM
13 years 9 months ago
2007
ACM
We present a semi-parametric model that describes pricing behaviors in a market environment, and we show how that model can be used to guide resource allocation and pricing decisi...
ICDE
2010
IEEE
14 years 5 months ago
2010
IEEE
Abstract-- A large amount of the world's data is both sequential and imprecise. Such data is commonly modeled as Markovian streams; examples include words/sentences inferred f...
CORR
2004
Springer
13 years 5 months ago
2004
Springer
We compare static arbitrage price bounds on basket calls, i.e. bounds that only involve buy-and-hold trading strategies, with the price range obtained within a multivariate genera...