First-passage Phenomena And Their Applications Pdf
(Submitted on 13 Jun 2013) Abstract: Many problems in finance are related to first passage times. Among all ofthem, we chose three on which we contributed personally. Our first examplerelates Kolmogorov-Smirnov like goodness-of-fit tests, modified in such a waythat tail events and core events contribute equally to the test (in thestandard Kolmogorov-Smirnov, the tails contribute very little to the measure ofgoodness-of-fit).
First-passage Phenomena And Their Applications Pdf Online
We show that this problem can be mapped onto that of a randomwalk inside moving walls. The second example is the optimal time to sell anasset (modelled as a random walk with drift) such that the sell time is asclose as possible to the time at which the asset reaches its maximum value. Thelast example concerns optimal trading in the presence of transaction costs. Inthis case, the optimal strategy is to wait until the predictor reaches (plus orminus) a threshold value before buying or selling. The value of this thresholdis found by mapping the problem onto that of a random walk between two walls.
Phenomena and their Applications I. Verkelov, Visiting Professor in Department of Physics UNAM, R. Goborov, Soviet Science Research Group, Russia, F. Bulnes, Head of Research Department TESCHA.1 R. JOURNAL ON PHOTONICS AND SPINTRONICS VOL.2 NO.4 NOVEMBER 2013 ISSN 2324 - 8572.