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On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
Stock price model random walk Gaussian processes weak con-vergence
2012/9/14
This paper considers a sequence of discrete-time random walk markets with a safe and a single risky investment opportunity, and gives conditions for the existence of arbitrages or free lunches with va...
Generalized Gaussian Bridges
Canonical representation enlargement of filtration fractional Brownian motion Gaussian process Gaussian bridge Hitsuda representation
2012/6/5
A generalized bridge is the law of a stochastic process that is conditioned on linear functionals of its path. We consider two types of representations of such bridges: orthogonal and canonical. In th...
Gaussian Noise Effects on the Evolution of Wealth in a Closed System of n-Economies
stochastic economic agents wealth distribution
2011/3/23
Based on the stochastic model proposed by Patriarca-Kaski-Chakraborti that describes the exchange of wealth between $n$ economic agents, we analyze the evolution of the corresponding economies under t...
Time-lagged covariance estimator for i.i.d. Gaussian assets
Time-lagged covariance estimator i.i.d. Gaussian assets
2010/10/22
I apply the method of planar diagrammatic expansion to solve the problem of finding the mean spectral density of the non-Hermitian time-lagged covariance estimator for a system of i.i.d. Gaussian ran...
Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in under-
standing the origin of this behavior. Here, we present a model that explains the shape and scaling of the...