Asymptotic Analysis in Stochastic Processes, Nonparametric Estimation, and Related Problems:
نویسندگان
چکیده
A New Look at the Stopping Times Related to the Trading Strategies Vilen Abramov We provide a probabilistic framework by which an analytic analysis can be performed for the trading strategies under various continuous price dynamics. This, in part, is done by making a connection to the cumulative sum (cusum) procedure of quality control. Although the cusum procedure has been studied quiet extensively, its link with the trading strategies has been mostly untapped. We provide probabilistic characteristics of the trading strategies which one can use to optimize the trading and to price some types of options. Statistical Mechanics of Ideal Fluid
منابع مشابه
Wavelets for Nonparametric Stochastic Regression with Pairwise Negative Quadrant Dependent Random Variables
We propose a wavelet based stochastic regression function estimator for the estimation of the regression function for a sequence of pairwise negative quadrant dependent random variables with a common one-dimensional probability density function. Some asymptotic properties of the proposed estimator are investigated. It is found that the estimators have similar properties to their counterparts st...
متن کاملStatistical Modeling with Stochastic Processes Winter 2011 Part 3 : Applications of Dirichlet processes
In these notes, we will see examples of how the Dirichlet process can be used as a prior in classical statistical estimation problems. We will see two examples: density estimation (and its cousin, cluster analysis), and nonparametric Bayesian GLMs (which include nonparametric regression and classification as special cases). We will introduce along the way two MCMC techniques that can be used to...
متن کاملEstimation of Hazard Models with Dependence Across Observations: Correlation, Frailty and Contagion
This paper proposes nonparametric and semi-nonparametric estimation of hazard models with various types of dependence between observations. The methods are designed to examine the impact that di¤erent macroeconomic and nancial conditions have on hazard rates. First, dependence between time-varying covariate processes across observations is examined. Among other possibilities, covariate process...
متن کاملNonparametric estimation for stochastic differential equations with random effects
We consider N independent stochastic processes (Xj(t), t ∈ [0, T ]), j = 1, . . . , N , defined by a one-dimensional stochastic differential equation with coefficients depending on a random variable φj and study the nonparametric estimation of the density of the random effect φj in two kinds of mixed models. A multiplicative random effect and an additive random effect are successively considere...
متن کاملAsymptotic theory for local time density estimation and nonparametric cointegrating regression
Asymptotic theory is developed for local time density estimation for a general class of functionals of integrated time series. The main result provides a convenient basis for developing a limit theory for nonparametric cointegrating regression and nonstationary autoregression. The treatment directly involves local time estimation and the density function of the processes under consideration, pr...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2006