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A multi-agent nonlinear Markov model of the order book
A multi-agent nonlinear Markov model order book
2012/9/14
We introduce and treat rigorously a new multi-agent model of the limit order book. Our model is designed to explain a behavior of the market when new information a ecting the market arrives. Our model...
On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability
multi-period asset allocation expected utility optimization exponential utility func-tion return predictability.
2012/9/14
In this paper we derive the exact solution of the multi-period portfolio choice problem for an exponential utility function under return predictability. It is assumed that the asset returns depend on ...
A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function
multi-period asset allocation quadratic utility function closed-form solution tan-gency portfolio
2012/9/14
In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results are derived under we...
A Multi-Level Lorentzian Analysis of the Basic Structures of the Daily DJIA
Multi-Level Lorentzian Analysis the Daily DJIA Statistical Finance
2012/6/5
A quantitative analysis of the basic components of the daily DJIA. The parameters of the underlying Lorentzian states are obtained by fitting the data. Statistical properties of the states are discuss...
Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas
Dependence Modeling Arrival Times Sampling Archimedean Copula Gumbel-Hougaard Copula Marshall-Olkin Copula
2012/4/28
This paper deals with dependence across marginally exponentially distributed arrival times, such as default times in financial modeling or inter-failure times in reliability theory. We explore the rel...