1,721,047 research outputs found
Goodness of fit assessment for a fractal model of stock markets
No full textAn assessment of the goodness of fit of a new stochastic model of stock dynamics is investigated. The model is the multifractional Brownian motion (mBm), introduced independently by Peltier and Levy Vehel (1995) [2] and Benassi (1997) [3]. The analysis concerns the (un)conditional distributions of log-variations of the Dow Jones Industrial Average (DJIA). By comparing the performance of mBm with respect to a Garch (1,1), we argue that the former captures the distributional features as well as the pathwise empirical ones displayed by the U.S. Dow Jones index, while the Garch (1,1) works better in global terms. (C) 2014 Elsevier Ltd. All rights reserved
A fractal-based approach for modeling stock price variations
No full textThe recent global financial crisis has threatened the financial system with total collapse of many economic sectors with a particular penetration to world's stock markets. The large swings in the prices of international stocks or indexes have reinvigorated the debate on their mathematical modeling. The traditional approaches do not seem to be very exhaustive and satisfactory, especially when extreme events occur. We propose a fractal-based approach to model the actual prices by assuming that they follow a Multifractional Process with Random Exponent. An empirical evidence is offered that this stochastic process is able to provide an appropriate modeling of actual series in terms of goodness of fit by comparing three main stock indexes. Published by AIP Publishing
Endotoxins in the plasma and ascitic fluid of the cirrhotic patient. Their clinical significance
No full textForecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process
No full textA new computational approach based on the pointwise regularity exponent of the price time series is proposed to estimate Value at Risk. The forecasts obtained are compared with those of two largely used methodologies: the variance-covariance method and the exponentially weighted moving average method. Our findings show that in two very turbulent periods of financial markets the forecasts obtained using our algorithm decidedly outperform the two benchmarks, providing more accurate estimates in terms of both unconditional coverage and independence and magnitude of losses
Heroin and schizophrenia: subjective responses to abused drugs in dually diagnosed patients
No full textWe believe that the role of methadone as an antipsychotic drug needs to be studied further; a better understanding of the actions of opiates in schizophrenia might lead to etiologic indications, the scope of which could well extend beyond the therapeutic usefulness of opiates for dually diagnosed patients. [troncato
The histopathology of non-steroidal anti-inflammatory drug induced gastroduodenal damage: correlation with Helicobacter pylori, ulcers and haemorrhagic events
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