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2017年金融数学与金融数据处理研讨会（Workshop on Mathematical Finance and Financial Data Processing）
2017年 金融数学与金融数据处理 研讨会
2017/2/15
由曲阜师范大学统计学院承办的“2017年金融数学与金融数据处理研讨会”初步定于2017 年3月31日至4月2日在曲阜师范大学（山东曲阜）举行。本次会议旨在探讨金融数学与金融数据处理的最新学术动态和前沿信息，交流最新的研究成果，给广大青年学者和金融业界人士一个交流沟通合作的平台。
Benford's law and Theil transform of financial data
income expenses religious community Benford's laws Theil map time series.
2012/9/14
Among econophysics investigations, studies of religious groups have been of interest. On one hand, the present paper concerns the Antoinist community nancial reports, - a community which appeared at ...
Functional Coefficient Models for Economic and Financial Data
Bandwidth selection Bootstrap Capital asset pricing model Dimensionality reduction Endogeneity Functional linear process Functional varying coefficient model Generalized likelihood ratio test Instrumental variables model Local linear estimation Locally stationary model Longitudinal data Misspecification test Piecewise stationary process Structural change model Threshold model Time-varying model Trending panel
2011/4/2
This paper gives a selective overview on the functional coefficient models with their particular applications in economics and finance. Functional coefficient models are very useful analytic tools to ...
Record statistics for biased random walks, with an application to financial data
asymmetric jump distributions finite variance mechanism
2011/3/30
We consider the occurrence of record-breaking events in random walks with asymmetric jump distributions. The statistics of records in symmetric random walks was previously analyzed by Majumdar and Zif...
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
Covariance Generalized synchronization method Market microstructure noise Quasi-Maximum Likelihood Estimator Refresh Time.
2014/3/13
This article proposes a consistent and efficient estimator of the high-frequency covariance (quadratic covariation) of two arbitrary assets,observed asynchronously with market microstructure noise. Th...