73 search results - page 1 / 15 » Trading in Markovian Price Models |
79
Voted
COLT
2005
Springer
15 years 6 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...
85
Voted
FS
2006
15 years 12 days 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...
109
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ACMICEC
2007
ACM
15 years 4 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
16 years 5 days 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...
67
Voted
CORR
2004
Springer
15 years 8 days 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...