5 citations · 17 across the 13 of their papers we have counts for
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q-fin.MF2017
A Mathematical Analysis of Technical Analysis
Matthew Lorig, Zhou Zhou, Bin Zou
In this paper, we investigate trading strategies based on exponential moving averages (ExpMAs) of an underlying risky asset. We study both logarithmic utility maximization and long…
q-fin.RM2017
An Explicit Default Contagion Model and Its Application to Credit Derivatives Pricing
Dianfa Chen, Jun Deng, Jianfen Feng +1
We propose a novel credit default model that takes into account the impact of macroeconomic information and contagion effect on the defaults of obligors. We use a set-valued Markov…