Now showing items 1-5 of 5
Market-neutral trading with fuzzy inference, a new method for the pairs trading strategy
(Kaunas University of Technology, 2019)
Pricing of financial instruments and stock market predictions is a specific and relatively narrow field, which has been mainly explored by mathematicians, economists and financial engineers. Prediction to make profits in ...
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 ...
An approximation of stochastic telegraph equations
(AIP Publishing, 2012)
In the present paper the two-step difference scheme for the telegraph equation is presented. The convergence estimate for the solution of the difference scheme is established. In applications, the convergence estimates for ...
An approximation of stochastic hyperbolic equations: case with Wiener process
In the present paper, the two-step difference scheme for the Cauchy problem for the stochastic hyperbolic equation is presented. The convergence estimate for the solution of the difference scheme is established. In ...
Algorithmic pairs trading with expert inputs, a fuzzy statistical arbitrage framework
(IOS Press, 2020)
Pairs trading is a widespread market-neutral trading strategy aiming to utilize the relationship between pairs of financial instruments in efficient markets, where predictability of separate asset movements is theoretically ...
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