5 citations · 6 across the 6 of their papers we have counts for
6 papers
On the excision of Brownian bridge paths
Gabriel Berzunza Ojeda, Ju-Yi Yen
Path transformations are fundamental to the study of Brownian motion and related stochastic processes, offering elegant constructions of the Brownian bridge, meander, and excursion…
Detailed study of a moving average trading rule
Fernando F. Ferreira, A. Christian Silva, Ju-Yi Yen
We present a detailed study of the performance of a trading rule that uses moving average of past returns to predict future returns on stock indexes. Our main goal is to link perfo…
Information ratio analysis of momentum strategies
Fernando F. Ferreira, A. Christian Silva, Ju-Yi Yen
In the past 20 years, momentum or trend following strategies have become an established part of the investor toolbox. We introduce a new way of analyzing momentum strategies by loo…
Measuring the "non-stopping timeness" of ends of previsible sets
Ju-Yi Yen, Marc Yor
In this paper, we propose several "measurements" of the "non-stopping timeness" of ends g of previsible sets, such that g avoids stopping times, in an ambiant filtration. We then s…
Call option prices based on Bessel processes
Ju-Yi Yen, Marc Yor
As a complement to some recent work by Pal and Protter, "Strict local martingales, bubbles, and no early exercise", we show that the call option prices associated with the Bessel s…
Stochastic resonance and the trade arrival rate of stocks
A. Christian Silva, Ju-Yi J. Yen
We studied non-dynamical stochastic resonance for the number of trades in the stock market. The trade arrival rate presents a deterministic pattern that can be modeled by a cosine…