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most citedRisk-Adjusted Performance of Random Forest Models in High-Frequency Trading

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q-fin.MF2025

Probability Weighting Meets Heavy Tails: An Econometric Framework for Behavioral Asset Pricing

Akash Deep, Svetlozar T. Rachev, Frank J. Fabozzi

We develop an econometric framework integrating heavy-tailed Student's distributions with behavioral probability weighting while preserving infinite divisibility. Using 432{,}7…