Search Results - subject:"self-similarity"

A "fractal" solution to the chopstick auction

Ewerhart, Christian - In: Economic theory 74 (2022) 4, pp. 1025-1041

Persistent link: https://www.econbiz.de/10013488786

Multivariate fractional Brownian motion and generalizations of SABR model

Musiela, Marek - In: Options - 45 years since the publication of the …, (pp. 73-87). 2023

Persistent link: https://www.econbiz.de/10014366588

Modeling the bid and ask prices of options

Madan, Dilip B.; Schoutens, Wim; Wang, King - In: The journal of computational finance 26 (2023) 4, pp. 1-36

Persistent link: https://www.econbiz.de/10014342059

Modeling the bid and ask prices of options

Madan, Dilip B.; Schoutens, Wim; Wang, King - In: The journal of computational finance : JFC 26 (2023) 4, pp. 3-36

Persistent link: https://www.econbiz.de/10014486879

Order in Chaos - Cybernetics of Brand Management

Errichiello, Oliver Carlo; Wernke, Marius - 2022

Cybernetics is a science for understanding and systematically using information. As a subject of cybernetics, the brand is becoming increasingly important, especially in times of acceleration and infinite, global commodity markets. Only those who are able to preserve their patterns in the age of...

Persistent link: https://www.econbiz.de/10013341723

Smoothness-adaptive contextual bandits

Gur, Yonatan; Momeni, Ahmadreza; Wager, Stefan - In: Operations research 70 (2022) 6, pp. 3198-3216

Persistent link: https://www.econbiz.de/10014307666

Adaptation bounds for confidence bands under self-similarity

Armstrong, Timothy B. - 2018

is observed with noise, such as a regression function or density, under the self-similarity condition proposed by Gine … to deﬁne self-similarity, and that this term becomes arbitrarily large for conservative choices of the self-similarity … constant. We construct a conﬁdence band that achieves this bound, up to a constant term that does not depend on the self-similarity …

Persistent link: https://www.econbiz.de/10011948626

A "fractal" solution to the chopstick auction

Ewerhart, Christian - 2017

This paper constructs a novel equilibrium in the chopstick auction of Szentes and Rosenthal (Games and Economic Behavior, 2003a, 2003b). In contrast to the existing solution, the identified equilibrium strategy allows a simple and intuitive characterization. Moreover, its best-response set has...

Persistent link: https://www.econbiz.de/10011663188

A "fractal" solution to the chopstick auction

Ewerhart, Christian - 2017 - Revised version

Persistent link: https://www.econbiz.de/10011640552

A test of the long memory hypothesis based on self-similarity

Davidson, James; Rambaccussing, Dooruj - Department of Economics Studies, University of Dundee - 2015

This paper develops a new test of true versus spurious long memory, based on log-periodogram estimation of the long memory parameter using skip-sampled data. A correction factor is derived to overcome the bias in this estimator due to aliasing. The procedure is designed to be used in the context...

Persistent link: https://www.econbiz.de/10011188929