منابع مشابه
Mean-reversion Jump-diffusion
From the spot prices we have to identify the following six parameters: α , μ, σ, Km , γ, Φ. If necessary, a seventh parameter, λ, should be identified from the futures prices. The six parameters mentioned above can be identified using the maximum likelihood method (Ball and Torous, 1983; Lien and Strom, 1999; Clewlow and Strickland, 2000) or the moments method (Lien and Strom, 1999; Deng, 1999)...
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We study how the 1997-1998 Asian Financial Crisis affected consumption smoothing across households in Korean prefectures. The crisis caused the cross-sectional mean and volatility of household consumption to fall substantially. We show that such falls bias two standard tests towards rejecting consumption risk sharing. Exploiting the different sizes of bias in these two tests, we find that full ...
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The dramatic impact of the current crisis on performance of businesses across sectors and economies have been headlining the business press for the past many months. Extant reconciliations of these patterns in the popular press rely on ad-hoc reasoning. Using historical data on currency crisis episodes across the world, we examine how consumers respond to a crisis and identify interesting patte...
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In this paper we introduce an intra-sector dynamic trading strategy that captures mean-reversion opportunities across liquid U.S. stocks. Our strategy combines the Avellaneda and Lee methodology (AL; Quant. Financ. 2010, 10, 761–782) within the Black and Litterman framework (BL; J. Fixed Income, 1991, 1, 7–18; Financ. Anal. J. 1992, 48, 28–43). In particular, we incorporate the s-scores and the...
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We model happiness as an innate incentive mechanism molded by natural selection. The metaphorical objective is to motivate the individual towards seeking goals that favor genetic replication. The end result of this evolutionary process is a mean-reverting happiness function that is based on a contextdependent reference point. This reference point will incorporate all information that is valuabl...
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ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 1990
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/3.1.107