Continuous-in-time financial model for public communities

Continuous-time random-walk model for financial distributions.

We apply the formalism of the continuous-time random walk to the study of financial data. The entire distribution of prices can be obtained once two auxiliary densities are known. These are the probability densities for the pausing time between successive jumps and the corresponding probability density for the magnitude of a jump. We have applied the formalism to data on the U.S. dollar-deutsch...

Financial Mathematics in Continuous Time

Inverse problem stability of a continuous-in-time financial model

In this work, we study the inverse problem stability of the continuous-in-time model which is designed to be used for the finances of public institutions. We discuss this study with determining the Loan Measure from Algebraic Spending Measure in Radon measure spaceM([tI,Θmax]), and in Hilbert space L([tI,Θmax]) when they are density measures. For this inverse problem we prove the uniqueness the...

Testing Continuous Time Models in Financial Markets

The aim of the thesis is to provide a wide range of statistical methods designed to test parametric assumptions about the evolution of continuous time processes in financial markets. The main focus is on the statistical methodology and the investigation of the properties of the proposed methods when applied to finite samples. The latter aspect is particularly important for empirical application...

Machine learning algorithms for time series in financial markets

This research is related to the usefulness of different machine learning methods in forecasting time series on financial markets. The main issue in this field is that economic managers and scientific society are still longing for more accurate forecasting algorithms. Fulfilling this request leads to an increase in forecasting quality and, therefore, more profitability and efficiency. In this pa...