Modeling a Multivariate Transaction Process

Modelling a Multivariate Transaction Process

In this paper a model for the specification of the multivariate density of the transaction process is presented. The transaction process is characterized by four marks: price changes, transaction volumes, bid-ask spreads and trade durations. The resulting four dimensional density is decomposed into its conditional and unconditional densities. The density of price changes is modelled with an int...

Transaction Technology for Process Modeling

Process as a World Transaction

Transaction is process closure: for a transaction is the limiting process of process itself. In the process world view the universe is the ultimate (intensional) transaction of all its extensional limiting processes that we call reality. ANPA’s PROGRAM UNIVERSE is a computational model which can be explored empirically in commercial database transactions where there has been a wealth of activit...

Multivariate utility maximization with proportional transaction costs

We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor’s preferences are represented by a multivariate utility function, allowing for simultaneous consumption of any prescribed selection of the currencies at a given terminal date. We prove the existence of an optimal portfolio process under the a...

Bayesian Multivariate Process Modeling for Prediction of Forest Attributes

This article investigates multivariate spatial process models suitable for predicting multiple forest attributes using a multisource forest inventory approach. Such data settings involve several spatially dependent response variables arising in each location. Not only does each variable vary across space, they are likely to be correlated among themselves. Traditional approaches have attempted t...