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Academic literature on the topic 'Marked point proce'

Author: Grafiati
Published: 11 March 2023

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Journal articles on the topic "Marked point proce"

1

Siu, Tak Kuen. "A Markov Regime-Switching Marked Point Process for Short-Rate Analysis with Credit Risk." International Journal of Stochastic Analysis 2010 (December 5, 2010): 1–18. http://dx.doi.org/10.1155/2010/870516.

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We investigate a Markov, regime-switching, marked point process for the short-term interest rate in a market. The intensity of the marked point process is a bounded, predictable process and is modulated by two observable factors. One is an economic factor described by a diffusion process, and another one is described by a Markov chain. The states of the chain are interpreted as different rating categories of corporate credit ratings issued by rating agencies. We consider a general pricing kernel which can explicitly price economic, market, and credit risks. It is shown that the price of a pure discount bond satisfies a system of coupled partial differential-integral equations under a risk-adjusted measure.
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2

Tardelli, Paola. "UTILITY MAXIMIZATION IN A PURE JUMP MODEL WITH PARTIAL OBSERVATION." Probability in the Engineering and Informational Sciences 25, no. 1 (2010): 29–54. http://dx.doi.org/10.1017/s0269964810000239.

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This article considers the asset price movements in a financial market when risky asset prices are modeled by marked point processes. Their dynamics depend on an underlying event arrivals process—a marked point process having common jump times with the risky asset price process. The problem of utility maximization of terminal wealth is dealt with when the underlying event arrivals process is assumed to be unobserved by the market agents using, as the main tool, backward stochastic differential equations. The dual problem is studied. Explicit solutions in a particular case are given.
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3

Gerardi, Anna, and Paola Tardelli. "RISK-NEUTRAL MEASURES AND PRICING FOR A PURE JUMP PRICE PROCESS." Probability in the Engineering and Informational Sciences 24, no. 1 (2009): 47–76. http://dx.doi.org/10.1017/s0269964809990131.

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This article considers the asset price movements in a financial market when risky asset prices are modeled by marked point processes. Their dynamics depend on an underlying event arrivals process, modeled again by a marked point process. Taking into account the presence of catastrophic events, the possibility of common jump times between the risky asset price process and the arrivals process is allowed. By setting and solving a suitable control problem, the characterization of the minimal entropy martingale measure is obtained. In a particular case, a pricing problem is also discussed.
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4

Tardelli, P. "Partially informed investors: hedging in an incomplete market with default." Journal of Applied Probability 52, no. 3 (2015): 718–35. http://dx.doi.org/10.1239/jap/1445543842.

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In a defaultable market, an investor trades having only partial information about the behavior of the market. Taking into account the intraday stock movements, the risky asset prices are modelled by marked point processes. Their dynamics depend on an unobservable process, representing the amount of news reaching the market. This is a marked point process, which may have common jump times with the risky asset price processes. The problem of hedging a defaultable claim is studied. In order to discuss all these topics, in this paper we examine stochastic control problems using backward stochastic differential equations (BSDEs) and filtering techniques. The goal of this paper is to construct a sequence of functions converging to the value function, each of these is the unique solution of a suitable BSDE.
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5

Tardelli, P. "Partially informed investors: hedging in an incomplete market with default." Journal of Applied Probability 52, no. 03 (2015): 718–35. http://dx.doi.org/10.1017/s0021900200113397.

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In a defaultable market, an investor trades having only partial information about the behavior of the market. Taking into account the intraday stock movements, the risky asset prices are modelled by marked point processes. Their dynamics depend on an unobservable process, representing the amount of news reaching the market. This is a marked point process, which may have common jump times with the risky asset price processes. The problem of hedging a defaultable claim is studied. In order to discuss all these topics, in this paper we examine stochastic control problems using backward stochastic differential equations (BSDEs) and filtering techniques. The goal of this paper is to construct a sequence of functions converging to the value function, each of these is the unique solution of a suitable BSDE.
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6

Agnihotri, Shalini, and Kanishk Chauhan. "Modeling tail risk in Indian commodity markets using conditional EVT-VaR and their relation to the stock market." Investment Management and Financial Innovations 19, no. 3 (2022): 1–12. http://dx.doi.org/10.21511/imfi.19(3).2022.01.

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Investment in commodity markets in India accelerated after 2007; this was accompanied by large price variability, hence, it becomes imperative to measure commodity price risk precisely. It becomes equally important to study the relationship between commodity price variability and the stock market. Hence, this study aims to calculate the tail risk of highly traded Indian commodity futures returns using the conditional EVT-VaR method for risk measurement. Secondly, the linkage between commodity markets and the stock market is also studied using the Delta CoVaR method. Results highlight the following points. There is risk transfer from the extreme increase/decrease in crude oil futures returns to the Nifty Index returns. Both extreme price increase or decrease of crude oil futures driven either by financial or a combination of financial and economic shocks affect the stock market. Zinc and Natural gas futures are not linked to the stock market, which means they can be useful in portfolio diversification. The findings suggest that, in Indian commodity markets, EVT-VaR is a useful tool for measuring risk. Only Crude oil futures shocks affect the stock market, and extreme integration between them becomes more prominent when oil shocks are driven by financial factors. Commodities other than Crude oil are not integrated with stock markets in India.
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7

Wu, Chunyan, Li Yang, Zai Luo, and Wensong Jiang. "Linear Laser Scanning Measurement Method Tracking by a Binocular Vision." Sensors 22, no. 9 (2022): 3572. http://dx.doi.org/10.3390/s22093572.

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The 3D scanning of a freeform structure relies on the laser probe and the localization system. The localization system, determining the effect of the point cloud reconstruction, will generate positioning errors when the laser probe works in complex paths with a fast speed. To reduce the errors, in this paper, a linear laser scanning measurement method is proposed based on binocular vision calibration. A simple and effective eight-point positioning marker attached to the scanner is proposed to complete the positioning and tracking procedure. Based on this, the method of marked point detection based on image moment and the principle of global coordinate system calibration are introduced in detail. According to the invariance principle of space distance, the corresponding points matching method between different coordinate systems is designed. The experimental results show that the binocular vision system can complete localization under different light intensities and complex environments, and that the repeated translation error of the binocular vision system is less than 0.22 mm, while the rotation error is less than 0.15°. The repeated error of the measurement system is less than 0.36 mm, which can meet the requirements of the 3D shape measurement of the complex workpiece.
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8

Riley, Christopher, Barbara Summers, and Darren Duxbury. "Capital Gains Overhang with a Dynamic Reference Point." Management Science 66, no. 10 (2020): 4726–45. http://dx.doi.org/10.1287/mnsc.2019.3404.

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Financial models incorporating a reference point, such as the Capital Gains Overhang (CGO) model, typically assume it is fixed at the purchase price. Combining experimental and market data, this paper examines whether such models can be improved by incorporating reference-point adjustment. Using real stock prices over horizons from 6 months to 5 years, experimental evidence demonstrates that a number of salient points in the prior share price path are key determinants of the reference point, in addition to the purchase price. Market data testing is then undertaken by using the CGO model. We show that composite CGO variables, created by using a mix of salient points with weights determined in the experiment, have greater predictive power than the traditional CGO variable in both cross-sectional U.S. equity-return analysis and when analyzing the performance of double-sorted portfolios. In addition, future trading volume is more sensitive to changes in the composite CGO variables than to the traditional CGO, further emphasizing the importance of adjusting reference points. This paper was accepted by Tyler Shumway, Finance.
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9

Kumar Inani, Sarveshwar, Harsh Pradhan, R. Prasanth Kumar, and Ajay Kumar Singal. "Do daily price extremes influence short-term investment decisions? Evidence from the Indian equity market." Investment Management and Financial Innovations 19, no. 4 (2022): 122–31. http://dx.doi.org/10.21511/imfi.19(4).2022.10.

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For short-term investments in equity markets, investors use price points, candlestick patterns, moving averages, support and resistance levels, trendlines, price patterns, relative strength index, and moving average convergence-divergence as reference(s) for making decisions. This study investigates whether investors use daily price extremes (highest and lowest prices for the day) for making short-term investments or trading decisions in the context of the Indian equity market. Using 6,902 observations of daily data of the NIFTY 50 index since its launch, it is observed that daily price extremes (high or low) have no impact on opening returns of the next trading day. Based on the dummy regression analysis, next-day opening returns were found to be statistically significant, which implies the presence of momentum behavior. However, insignificant coefficients for high or low-price extremes of the day mean that investors do not use them as an anchor or reference point for decisions. Results are consistent over time and robust to the rising or falling markets. Further, opening returns were seen to be more volatile than closing returns in the first half of the sample, and they are less volatile in the second half, implying that markets have become more efficient in the last few years.
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10

Iwayama, Koji, Yoshito Hirata, and Kazuyuki Aihara. "Nonlinear time series analysis of marked point process data." IEICE Proceeding Series 2 (March 17, 2014): 189–92. http://dx.doi.org/10.15248/proc.2.189.

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