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1دورية أكاديمية
المؤلفون: Matthew J. Penn, Daniel J. Laydon, Joseph Penn, Charles Whittaker, Christian Morgenstern, Oliver Ratmann, Swapnil Mishra, Mikko S. Pakkanen, Christl A. Donnelly, Samir Bhatt
المصدر: Communications Physics, Vol 6, Iss 1, Pp 1-9 (2023)
مصطلحات موضوعية: Astrophysics, QB460-466, Physics, QC1-999
وصف الملف: electronic resource
Relation: https://doaj.org/toc/2399-3650
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2دورية أكاديمية
المصدر: Taylor & Francis Journals, Applied Mathematical Finance. 30(4):175-206
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3دورية أكاديمية
المؤلفون: Mikkel Bennedsen, Asger Lunde, Mikko S Pakkanen
المصدر: Society for Financial Econometrics, The Journal of Financial Econometrics. 20(5):961-1006
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4دورية أكاديمية
المؤلفون: Maxime Morariu-Patrichi, Mikko S. Pakkanen
المصدر: Taylor & Francis Journals, Quantitative Finance. 22(3):563-583
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المؤلفون: Maxime Morariu-Patrichi, Mikko S. Pakkanen
المصدر: Morariu-Patrichi, M & Pakkanen, M S 2022, ' State-dependent Hawkes processes and their application to limit order book modelling ', Quantitative Finance, vol. 22, no. 3, pp. 563-583 . https://doi.org/10.1080/14697688.2021.1983199
مصطلحات موضوعية: Mathematics, Interdisciplinary Applications, DYNAMICS, FOS: Computer and information sciences, REPRESENTATION, Market microstructure, Endogeneity, Economics, IMPACT, Social Sciences, Statistics - Applications, POINT-PROCESSES, FOS: Economics and business, Limit order book, 60G55, 62M09, 62P05, Business & Economics, Applications (stat.AP), stat.AP, Hawkes process, q-fin.ST, 01 Mathematical Sciences, 14 Economics, Quantitative Finance - Trading and Market Microstructure, Science & Technology, 15 Commerce, Management, Tourism and Services, Statistical Finance (q-fin.ST), STABILITY, Quantitative Finance - Statistical Finance, Social Sciences, Mathematical Methods, Maximum likelihood estimation, Business, Finance, TIME, Trading and Market Microstructure (q-fin.TR), q-fin.TR, MARKET, Physical Sciences, SIMULATION, PRICE, High-frequency financial data, General Economics, Econometrics and Finance, Mathematics, Mathematical Methods In Social Sciences, BEHAVIOR, Finance
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المصدر: Pakkanen, M S, Passeggeri, R, Sauri, O & Veraart, A E D 2021, ' Limit theorems for trawl processes ', Electronic Journal of Probability, vol. 26, 116 . https://doi.org/10.1214/21-EJP652
مصطلحات موضوعية: Statistics and Probability, Discretization, Gaussian, Statistics & Probability, Trawl process, Measure (mathematics), Computer Science::Digital Libraries, math.PR, symbols.namesake, Moving average, FOS: Mathematics, Applied mathematics, Partial sum, Limit (mathematics), Stable convergence, Mathematics, 0105 Mathematical Physics, Probability (math.PR), 0104 Statistics, Moving-average model, Distribution (mathematics), Convergence of random variables, Functional limit theorem, symbols, Statistics, Probability and Uncertainty, Mathematics - Probability
وصف الملف: application/pdf
URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2bf31b973b8010e7a31ebaaef289c14a
http://hdl.handle.net/10044/1/90110 -
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المؤلفون: Murray Phillip, Mikko S. Pakkanen, Hans Buehler, Ben Wood
مصطلحات موضوعية: FOS: Computer and information sciences, History, Polymers and Plastics, Computer science, Computational Finance (q-fin.CP), Machine Learning (stat.ML), Implied volatility, Measure (mathematics), Industrial and Manufacturing Engineering, Risk neutral, FOS: Economics and business, Quantitative Finance - Computational Finance, Statistics - Machine Learning, Econometrics, FOS: Mathematics, Reinforcement learning, Business and International Management, Mathematics - Optimization and Control, Computer Science::Databases, Transaction cost, Statistical arbitrage, Statistical Finance (q-fin.ST), 91G60, 65K99, 91G70, Quantitative Finance - Statistical Finance, Fundamental theorem of asset pricing, Minimal-entropy martingale measure, Optimization and Control (math.OC)
URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1fb16587615a117beacd1bd3d3d560ba
http://arxiv.org/abs/2103.11948 -
8دورية أكاديمية
المؤلفون: Mikkel Bennedsen, Ulrich Hounyo, Asger Lunde, Mikko S. Pakkanen
المصدر: Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, Scandinavian Journal of Statistics. 46(1):329-359
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المساهمون: Engineering & Physical Science Research Council (EPSRC)
المصدر: Journal of Applied Probability. 58:849-850
مصطلحات موضوعية: Statistics and Probability, Science & Technology, Rough volatility, Statistics & Probability, General Mathematics, 0104 Statistics, Mathematical proof, asymptotics, 0102 Applied Mathematics, Physical Sciences, Applied mathematics, Large deviations theory, Statistics, Probability and Uncertainty, reproducing kernel Hilbert space, Rate function, Mathematics, Reproducing kernel Hilbert space
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المؤلفون: Anine E. Bolko, Kim Christensen, Mikko S. Pakkanen, Bezirgen Veliyev
المصدر: Bolko, A E, Christensen, K, Pakkanen, M & Veliyev, B 2022, ' A GMM approach to estimate the roughness of stochastic volatility ', Journal of Econometrics .
Bolko, A E, Christensen, K, Pakkanen, M S & Veliyev, B 2023, ' A GMM approach to estimate the roughness of stochastic volatility ', Journal of Econometrics, vol. 235, no. 2, pp. 745-778 . https://doi.org/10.1016/j.jeconom.2022.06.009مصطلحات موضوعية: Hurst exponent, Economics and Econometrics, Statistical Finance (q-fin.ST), Applied Mathematics, Realized variance, Quantitative Finance - Statistical Finance, Mathematics - Statistics Theory, Statistics Theory (math.ST), Fractional Brownian motion, Roughness, FOS: Economics and business, GMM estimation, FOS: Mathematics, Log-normal stochastic volatility, Primary 91G70, Secondary 62M09
URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::901929ba3ba9d9031dad57882723c983
http://arxiv.org/abs/2010.04610