Statistical simulation is used in cases which there is not enough theoretical background about the method in hand. It is used to derive the performances of inferential methods like empirical estimation of sampling distributions, the power of statistical tests or robustness of met...
Open access
Research Article10.9734/AJEBA/2017/29139
The asymmetric information plays critical role in all economics. In the presence of asymmetric information in a given market, market prices of assets are different with those prices under the no arbitrage assumption. It has fundamental effects on the market equilibrium. [1] consi...
Open access
Research Article10.9734/ARJOM/2017/29175
In this paper, the Kalman filter for a variance term of state space models is derived. First, it is assumed that the innovation term of state space model have a GARCH structure and the Kalman filter is derived. Then, it is assumed that the error term of observation equation is GA...
Open access
Research Article10.9734/ARJOM/2017/29172
Applications of three computational methods in the evaluation of NPV and NPV at risk (NPVaR) of a project are studied. These methods are stochastic dominance, dynamic programming and Bayes filtering. First, the definition of NPVaR is related to the stochastic dominance as a maxim...
Open access
Research Article10.9734/AJEBA/2017/29173
The Edgeworth expansion plays important role in approximating the distribution function, specially the tail probabilities of a complicated statistic. For example, sometimes, the test statistic, in hand, is too complicated and deriving its quantiles is too hard. However, these qua...
Open access
Research Article10.9734/ARJOM/2016/27313
Pairs trading are standard approaches for statistical arbitrage detection. The logic behind pair trading approach is to construct a portfolio of two financial assets with special weights where this portfolio has zero value in time zero and creates positive value with a high proba...
Open access
Research Article10.9734/ARJOM/2016/27315
In this note, an asymmetric coin game is studied. The winning scheme of Skeptic is given. Also, the mixed strategy and arbitrage opportunity are considered.
Open access
Research Article10.9734/ARJOM/2016/27312
This paper uses the dynamic programming to detect the optimal statistical arbitrage opportunities in a market including a bond and a stock. First, it is assumed that the growth rates of stock are independent random variables and Bellman equation is derived for probability of gain...
Open access
Research Article10.9734/BJMCS/2016/25967
In this note, the non-sampling information in portfolio management is considered. These information may be the past belief of investor about a special asset. They are characterized as the correlated binary random variables. Then, the Monte Carlo is applied to derive the posterior...
Open access
Research Article10.9734/BJEMT/2016/25634