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Comprehensive Analysis of Market Conditions in the Foreign Exchange Market: Fluctuation Scaling and Variance-Covariance Matrix
Foreign Exchange Market Fluctuation Scaling Scaling Breaking Global Average of Cross-Correlations
2012/4/28
We investigate quotation and transaction activities in the foreign exchange market for every week during the period of June 2007 to December 2010. A scaling relationship between the mean values of num...
Optimal Robust Mean-Variance Hedging in Incomplete Financial Markets
Optimal Robust Mean-Variance Hedging Incomplete Financial Markets
2010/12/17
Optimal B-robust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal mean-variance robust (optimal V -robust) trading strate...