Questions tagged [dynamic]
The dynamic tag has no summary.
32 questions
0
votes
0
answers
108
views
A potential generalization of Kyle 1985 with a general information structure
I will add my question here as well. It is also posted in eonomicsstack exchange
I am trying to think of a way to generalize Kyle's static model of 1985 and then the dynaic of the same paper to many ...
- 141
0
votes
0
answers
122
views
Questions on Predicion markets and thin markets
I am posting the question below, as a sequel of a previous question that is already posted in here. Thank you in advance.
I have some generic question about prediction markets and thin markets. I see ...
- 141
0
votes
0
answers
69
views
How to estimate the time-varying tail-dependence functions of Liu, Ji, and Fan's 2016 Paper?
Paper Title: A new time-varying optimal copula model identifying the dependence across markets
Paper's Authors: BING-YUE LIU, QIANG JI, and YING FAN
Primary Concern: Tail-dependence Functions were ...
1
vote
0
answers
144
views
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 ...
- 23
2
votes
0
answers
143
views
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 ...
- 21
1
vote
1
answer
183
views
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 ...
- 391
3
votes
0
answers
164
views
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 ...
- 169
2
votes
0
answers
111
views
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:...
- 21
1
vote
1
answer
549
views
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)\...
- 383
3
votes
1
answer
276
views
Why is this utility function not picking up its penalty?
I was reading this seminal paper by Infanger. On page 40, Figure 11. was quite interesting. In particular I was interested in the top one, 19 Years and I wanted to reproduce this plot. To give some ...
- 1,810
0
votes
1
answer
2k
views
How to estimate an Engle's asymmetric DCC model in R?
I have a $N x d$ matrix of standardized residuals, and I want to estimate the parameters $\alpha$, $\beta$ and $\gamma$ of the asymmetric version (Cappiello, Engle, Sheppard, 2006) of the usual ...
- 449
2
votes
0
answers
76
views
Dynamic programming problem with dimension over 1000.
I am working on a dynamic programming problem with dimension over 1000. In this past, there exist methods like Smolyak algorithm and Adaptive sparse grid method to solve dynamic programming problem ...
- 29
1
vote
0
answers
55
views
Is there any theoretical work to find an optimum size for the size of horizon in finite-horizon optimization or control?
we learn a lot about finite and infinite horizon control in dynamic programming. but I was wondering if we want to minimize the cost per time(discrete time) is there any work to find the optimum size ...
- 111
3
votes
0
answers
870
views
How can I do a dynamic GARCH model using extended Kalman filter in R?
Today I was reading an article quoted here, in this article is proposed an adaptive (dynamic) Garch model. How can I do it in R? The use of extended Kalman filter or particle filter is indifferent. I ...
- 31
2
votes
1
answer
312
views
Simulate from time-dependent copula in MatLab using COPULARND
I would like to simulate from a t-copula with time-dependent correlation matrices.
Say I have a series of 2000 correlation matrices (obtained from a copula-DCC model for data consisting of 2000 ...
- 23
5
votes
0
answers
236
views
Dividend Index Futures
My question is dealing with the proportionality between Dividend Index Futures prices and Index prices. Indeed, we in the past we used to do a simple regression between these variables and use the ...
- 663