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Inverse Signal Classification for Financial Instruments
time-series classification signal analysis decision tree learning
2013/4/28
The paper presents new machine learning methods: signal composition, which classifies time-series regardless of length, type, and quantity; and self-labeling, a supervised-learning enhancement. The pa...
Princing European options on instruments with a constant dividend yield:The randomized discrete-time approach
Option pricing dividends randomization alternative models
2009/9/21
Due to the well-known fact that market returns are not
normally distributed, we use generalized hyperbolic distributions for
pricing options in a randomized discrete-time setup. The obtained
formul...
Approximate Distributions of the Likelihood Ratio Statistic in a Structural Equation with Many Instruments
Asymptotic expansion large-Kn asymptotics many instruments
2009/3/5
This paper studies properties of the likelihood ratio (LR) tests associated with the limited information maximum likelihood (LIML) estimators in a structural form estimation when the number of instrum...