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~person:"Papanicolaou, George"
~person:"Smyth, Russell"
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Search: subject:"mean-reverting"
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Papanicolaou, George
Smyth, Russell
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1
Risk Control of Mean-Reversion Time in Statistical Arbitrage
Yeo, Joongyeub
-
2018
selections and screenings. Realizing that each residual has a different mean-reversion time, the ones that are fast
mean-reverting
…
Persistent link: https://www.econbiz.de/10012935241
Saved in:
2
Limit order trading with a
mean
reverting
reference price
Ahuja, Saran
;
Papanicolaou, George
;
Ren, Weiluo
;
Yang, …
- In:
Risk and decision analysis
6
(
2017
)
2
,
pp. 121-136
Persistent link: https://www.econbiz.de/10011743827
Saved in:
3
Mean Reversion Versus Random Walk in G7 Stock Prices Evidence from Multiple Trend Break Unit Root Tests
Narayan, Paresh Kumar
-
2012
This paper provides evidence on the random walk hypothesis in G7 stock price indices using unit root tests which allow for one and two structural breaks in the trend. Of the seven countries we find, at best, evidence of mean reversion in the stock price index of Japan. Thus, overall, our results...
Persistent link: https://www.econbiz.de/10013105330
Saved in:
4
Do Asian stock markets follow a random walk? : evidence from LM unit root tests with one or two structural breaks
Hooi Hooi Lean
;
Smyth, Russell
- In:
Review of Pacific Basin financial markets and policies
10
(
2007
)
1
,
pp. 15-31
Persistent link: https://www.econbiz.de/10003463385
Saved in:
5
Mean reversion versus random walk in G7 stock prices evidence from multiple trend break unit root tests
Narayan, Paresh Kumar
;
Smyth, Russell
- In:
Journal of international financial markets, …
17
(
2007
)
2
,
pp. 152-166
Persistent link: https://www.econbiz.de/10003441591
Saved in:
6
Are Asian real exchange rates
mean
reverting
? : evidence from univariate and panel LM unit root tests with one and two structural breaks
Hooi Hooi Lean
;
Smyth, Russell
- In:
Applied economics
39
(
2007
)
16/18
,
pp. 2109-2120
Persistent link: https://www.econbiz.de/10003589711
Saved in:
7
Maturity cycles in implied volatility
Fouque, Jean-Pierre
;
Papanicolaou, George
;
Sircar, Ronnie
; …
- In:
Finance and Stochastics
8
(
2004
)
4
,
pp. 451-477
volatility surface using the asymptotic pricing theory under fast
mean-reverting
stochastic volatility described in [8]. The time …
Persistent link: https://www.econbiz.de/10005759604
Saved in:
8
From the implied volatility skew to a robust correction to Black-Scholes American option prices
Fouque, Jean-Pierre
;
Papanicolaou, George
;
Sircar, …
- In:
International journal of theoretical and applied finance
4
(
2001
)
4
,
pp. 651-675
Persistent link: https://www.econbiz.de/10001600370
Saved in:
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