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Detrended fluctuation analysis of intertrade durations
Detrended fluctuation analysis intertrade durations
2010/12/20
The intraday pattern, long memory, and multifractal nature of the intertrade durations, which are defined as the waiting times between two consecutive transactions, are investigated based upon the li...
MPS Risk Aversion and MV Analysis in Continuous Time with Lévy Jumps
Risk Aversion MV Analysis temporal efficient frontier
2011/4/6
This paper studies sequential portfolio choices by MPS-risk-averse investors in a continuous time jump-diffusion framework. It is shown that the optimal trading strategies for MPS risk averse investor...