In the execution cost problem, an investor wants to minimize the total expected cost and risk in the execution of a portfolio of risky assets in order to achieve desired positions. A major source of ...
采用 Jump Model来识别市场状态。该模型通过对资产收益率的变化进行分解，区分出平稳变化与跳跃变化，以捕捉市场的结构性变化。其优势在于能够更精确地识别市场的非连续性变化，从而提供比传统波动率模型更清晰的市场状态划分。 市场状态预测 使用 XGBoost ...
The Annals of Applied Probability, Vol. 28, No. 3 (June 2018), pp. 1821-1855 (35 pages) We prove a sample path Large Deviation Principle (LDP) for a class of jump processes whose rates are not ...
一些您可能无法访问的结果已被隐去。
显示无法访问的结果
反馈