1 citations · 2 across the 3 of their papers we have counts for
3 papers
q-fin.TR2015★ 1 cited
Analysis of Ornstein-Uhlenbeck process stopped at maximum drawdown and application to trading strategies with trailing stops
Grigory Temnov
We propose a strategy for automated trading, outline theoretical justification of the profitability of this strategy and overview the hypothetical results in application to currenc…
stat.ME2010
Characterization of a subclass of Tweedie distributions by a property of generalized stability
Lev B. Klebanov, Grigory Temnov
We introduce a class of distributions originating from an exponential family and having a property related to the strict stability property. A characteristic function representatio…
q-fin.RM2009★ 1 cited
Modeling operational risk data reported above a time-varying threshold
Pavel V. Shevchenko, Grigory Temnov
Typically, operational risk losses are reported above a threshold. Fitting data reported above a constant threshold is a well known and studied problem. However, in practice, the l…