ICASSP
2011
IEEE
13 years 3 months ago
2011
IEEE
Hawkes processes are used for modeling tick-by-tick variations of a single or of a pair of asset prices. For each asset, two counting processes (with stochastic intensities) are a...
SIAMAM
2008
13 years 11 months ago
2008
Abstract. We develop a partial equilibrium model to investigate the problem of optimal liquidation over a finite or infinite time horizon for an investor with large holdings in a r...
COR
2007
13 years 11 months ago
2007
The decision of whether to manufacture products within the US, manufacture internationally or to outsource production depends critically upon a thorough understanding of the costs...
IJCSA
2008
13 years 11 months ago
2008
: The management of engineering assets such as facilities and equipments can be a challenging task and optimising their usage is critical. To ensure effective utilization of an ass...
DA
2010
13 years 11 months ago
2010
Several papers compare auctioning heterogeneous assets sequentially with sequentially selling the right to choose among assets not yet taken. Typically motivated by auctions of co...
CISS
2008
IEEE
14 years 1 months ago
2008
IEEE
Abstract-- Successful investment management relies on allocating assets so as to beat the stock market. Asset classes are affected by different market dynamics or latent trends. Th...
ECML
2004
Springer
14 years 4 months ago
2004
Springer
Given the pattern-based multi-predictors of the stock price, we study a method of dynamic asset allocation to maximize the trading performance. To optimize the proportion of asset ...