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Piecewise-tunneled captive processes and corridored random particle systems
(Springer, 2023-01)
We introduce a family of processes that generalises captive diffusions, whereby the stochastic evolution that remains within a pair of time-dependent boundaries can further be piecewise-tunneled internally. The tunneling ...
Captive jump processes for bounded random systems with discontinuous dynamics
(Elsevier, 2024-01)
Stochastic captive jump processes are explicitly constructed in continuous time, whose non-linear dynamics are strictly confined by bounded domains that can be time-dependent. By introducing non-anticipative path-dependency, ...
How do line extensions impact brand sales? The role of feature similarity and brand architecture
(Springer, 2023-11)
Brand architecture decisions have important performance implications but have seen little quantitative research. In particular, there is little empirical evidence on how the strength of the link established among clusters ...
Unveiling the dynamics of emotions in society through an analysis of online social network conversations
(Springer Nature, 2023-09-11)
Social networks can provide insights into the emotions expressed by a society. However, the dynamic nature of emotions presents a significant challenge for policymakers, politicians, and communication professionals who ...
Price of regulations: Regulatory costs and the cross-section of stock returns
(Oxford University Press, 2024-01)
Regulations introduce significant fixed costs and add to operating leverage. Fixed regulatory costs that contribute to operating leverage should generate a risk premium. To explore whether such a premium exists, we introduce ...
Big data–enabled sign prediction for Borsa Istanbul intraday equity prices
(Elsevier, 2023-12)
This paper employs a big data source, the Borsa Istanbul's “data analytics” information, to predict 5-min up, down, and steady signs drawn from closing price changes. Seven machine learning algorithms are compared with ...
On the numerical schemes for Langevin-type equations
(Karaganda University, 2020)
In this paper, a numerical approach is proposed based on the variation-of-constants formula for the numerical discretization Langevin-type equations. Linear and non-linear cases are treated separately. The proofs of ...
Dynamic durable goods monopoly and market power
(MDPI, 2020-06)
We analyze a vertically differentiated market for an imperfectly durable good served by a monopolist in an infinite-horizon, discrete-time game. Our goal is to identify the Markov perfect stationary equilibria where the ...
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