搜索结果: 1-15 共查到“商业经济学 Time”相关记录27条 . 查询时间(0.203 秒)
Many theoretical models of labor market search imply a tight link between worker
flows (hires and separations) and job gains and losses at the employer level. We use rich
establishment-level data to...
How Do Customers Utilitize Real-Time Usage Feedback? Evidence from Singapore
Real-Time Usage Feedback Singapore
2015/7/31
Real-time household-level feedback has the potential to improve the eciency of electricity
consumption. This feedback allows a household to obtain a better understanding of the relationship between ...
Initiative for a Competitive Milwaukee:The Time for Action
Economics Growth and Development United States
2015/5/8
Initiative for a Competitive Milwaukee:The Time for Action.
Time-Changed Ornstein-Uhlenbeck Processes And Their Applications In Commodity Derivative Models
Time-Changed Ornstein-Uhlenbeck Processes Commodity Derivative Models Pricing of Securities
2012/4/28
This paper studies subordinate Ornstein-Uhlenbeck (OU) processes, i.e., OU diffusions time changed by L\'{e}vy subordinators. We construct their sample path decomposition, show that they possess mean-...
Optimal execution and price manipulations in time-varying limit order books
Market impact model optimal order execution limit order book market makers price manipulation
2012/4/28
This paper focuses on an extension of the Limit Order Book (LOB) model with general shape introduced by Alfonsi, Fruth and Schied. Here, the additional feature allows a time-varying LOB depth. We solv...
Time and frequency domain in the business cycle structure
spectrum business cycle frequency domain time domain
2014/2/24
The presented paper deals with the identification of cyclical behaviour of business cycle from the time and frequency domain perspective. Herewith, methods for obtaining the growth business cycle are ...
This paper develops a structural credit risk model to characterize the difference between the economic and recorded default times for a firm. Recorded default occurs when default is recorded in the le...
BSDEs with time-delayed generators of a moving average type with applications to pricing and utilities
backward stochastic differential equations time-delayed
2010/10/21
In this paper we consider backward stochastic differential equations with time-delayed generators of a moving average type. The classical and well-known framework with linear generators depending on $...
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...
On detecting the dependence of time series
serial dependence non-parametric methods technical analysis
2010/10/22
This short note suggests a heuristic method for detecting the dependence of random time series that can be used in the case when this dependence is relatively weak and such that the traditional metho...
In a continuous-path semimartingale market model, we perform an initial enlargement of the filtration by including the overall minimum of the numeraire portfolio. We establish that all discounted ass...
On Calibrating Stochastic Volatility Models with time-dependent Parameters
Calibrating Stochastic Volatility Models time-dependent Parameters
2010/10/22
We consider stochastic volatility models using piecewise constant parameters. We suggest a hybrid optimization algorithm for fitting the models to a volatility surface and provide some numerical resu...
Small-time asymptotics for fast mean-reverting stochastic volatility models
Small-time asymptotics fast mean-reverting stochastic volatility models
2010/10/21
In this paper, we study stochastic volatility models in regimes where the maturity is small but large compared to the mean-reversion time of the stochastic volatility factor. The problem falls in the...
Statistical and Multifractal Properties of the Time Series Generated by a Modified Minority Game
Statistical Multifractal Properties Time Series
2010/10/21
In this paper it was developed a modification of the known multiagent model Minority Game, designed to simulate the behavior of traders in financial markets and the resulting price dynamics on the ab...
Transversality Conditions for Higher Order Infinite Horizon Discrete Time Optimization Problems
Transversality condition Dynamic optimization
2010/10/20
In this paper, we examine higher order difference problems. Using the "squeezing" argument, we derive both Euler's condition and the transversality condition. In order to derive the two conditions, tw...