Questions tagged [dynamic]
The dynamic tag has no usage guidance.
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Financial Time-Series: Stochastic or Dynamic?
I have learned how some methods of constructing predictive models of financial time-series involves assumptions of stochasticity. For example, reinforcement learning utilizes the Markov Decision ...
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dynamic hedging Formula
novice member here. not sure if im in the right forum, if not please let me know.
I am trying to create a hedging EA for my specific needs, but cant figure out the right formula, so i was wondering if ...
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Time-varying Normal copulas, generating residulas with parameters
I am working with time-varying normal copulas who equation is given by
The dynamic equation of dependence parameter $\rho$ is :
Where
$u_1=F_1 (ε_{1,t} )$ and $u_2=F_2 (ε_{2,t} ) $
I ...
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Construct DeFi yield curve
I was wondering if anyone knows how to construct a yield curve for cryptocurrencies (for yTokens like yDAI and yETH for example). It'd be best if yield curves could be dynamic (though I think it could ...
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Interpreting parameters on Matlab from Patton's code on time varying copulas
I ran Andrew Patton's code (2006) for Markov switching time varying copulas with an example code given in the Matlab tool box. This is the equation for Markov switching time varying normal copulas
I ...
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Why is the dynamic mean-variance problem time-inconsistent?
A lot of the literature in dynamic mean-variance problem states that the dynamic mean-variance problem is time-inconsistent. Now I was not able to find an example of why the problem is time ...
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Dynamic portfolio optimization with cumulative prospect theory
i'm new to this forum and i hope i can get some help or at least some guidance how to tackle the following problem: I'm tasked to write a VBA Macro that conducts an intertemporal portfolio ...
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Markov Switching Vector Autoregressive (MSVAR) and Markov Switching Dynamic Stochastic General Equilibrium (MSDSGE) Models
I want to reproduce the results of Bianchi et al (2017) Escaping the Great Recession using R and/or Python. Authors in the ...
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Are there stocks dynamic that cannot be represented by Generalized Black Scholes model?
The generalized Black Scholes Model refers to a stock dynamic that satisfy
$$
dS(t)=S(t)(\mu_t dt+ \sigma_t dW(t))
$$
By martingale representation theorem, it seems that if there is a risk neutral ...
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Trading 3 stocks X Y Z where X cointegrated to Y, Y to Z, but no other cointegration is available
Suppose you have 3 stocks, say X Y Z. You also know that
X is cointegrated to Y using some test (say ADF)
and
Y is cointegrated to Z.
However, no transitivity, and no threesome cointegration ...
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Inverse Problems in Finance
Are there any canonical references for inverse problems in finance? For example, if I have a measure that evolves with Fokker-Planck dynamics, are there standard approaches used by the community to ...
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Dynamical Behavior of Hurst Exponent
I feel that the dynamic of financial market is not really modeled by standard Brownian motion, but fractional Brownian motion or even multifractional Brownian motion.
I have read some references on ...
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Value function does not converge when applying the general value iteration adaptive dynamic programming [closed]
Recently,I am trying to control a marco traffic system with the general value iteration adaptive dynamic programming algorithm.However,the results do not reach my expectation.
Here is the pseudo code:...
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Sharpe ratio for dynamic portfolio
I want to test the performance of my strategy with different rebalancing period. I'm struggle with calculating the overall performance on backtest results and making final conclusions.
For example, ...
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Dynamics of LIBOR foward rate under T-forward measure
Assume that under the physical measure $\mathbb{P}$ we have for the LIBOR forward rate $L(t):=L(t;S,T) = \frac{1}{T-S}\left(\frac{P(t,S)}{P(t,T)}-1\right)$ that
$$
\mathrm{d}L(t) = L(t)\left(\mu(t)\...
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