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  Subjects -> STATISTICS (Total: 130 journals)
Showing 1 - 151 of 151 Journals sorted by number of followers
Review of Economics and Statistics     Hybrid Journal   (Followers: 277)
Statistics in Medicine     Hybrid Journal   (Followers: 143)
Journal of Econometrics     Hybrid Journal   (Followers: 85)
Journal of the American Statistical Association     Full-text available via subscription   (Followers: 77, SJR: 3.746, CiteScore: 2)
Advances in Data Analysis and Classification     Hybrid Journal   (Followers: 52)
Biometrics     Hybrid Journal   (Followers: 49)
Sociological Methods & Research     Hybrid Journal   (Followers: 49)
Journal of the Royal Statistical Society, Series B (Statistical Methodology)     Hybrid Journal   (Followers: 42)
Journal of Business & Economic Statistics     Full-text available via subscription   (Followers: 41, SJR: 3.664, CiteScore: 2)
Computational Statistics & Data Analysis     Hybrid Journal   (Followers: 37)
Annals of Applied Statistics     Full-text available via subscription   (Followers: 36)
Journal of the Royal Statistical Society Series C (Applied Statistics)     Hybrid Journal   (Followers: 36)
Oxford Bulletin of Economics and Statistics     Hybrid Journal   (Followers: 35)
Journal of Risk and Uncertainty     Hybrid Journal   (Followers: 34)
Journal of the Royal Statistical Society, Series A (Statistics in Society)     Hybrid Journal   (Followers: 30)
Journal of Urbanism: International Research on Placemaking and Urban Sustainability     Hybrid Journal   (Followers: 28)
The American Statistician     Full-text available via subscription   (Followers: 25)
Statistical Methods in Medical Research     Hybrid Journal   (Followers: 23)
Journal of Computational & Graphical Statistics     Full-text available via subscription   (Followers: 21)
Journal of Forecasting     Hybrid Journal   (Followers: 21)
Journal of Applied Statistics     Hybrid Journal   (Followers: 20)
British Journal of Mathematical and Statistical Psychology     Full-text available via subscription   (Followers: 19)
Journal of Time Series Analysis     Hybrid Journal   (Followers: 18)
Statistical Modelling     Hybrid Journal   (Followers: 18)
International Journal of Quality, Statistics, and Reliability     Open Access   (Followers: 18)
Journal of Statistical Software     Open Access   (Followers: 18, SJR: 13.802, CiteScore: 16)
Journal of Biopharmaceutical Statistics     Hybrid Journal   (Followers: 17)
Computational Statistics     Hybrid Journal   (Followers: 16)
Risk Management     Hybrid Journal   (Followers: 16)
Decisions in Economics and Finance     Hybrid Journal   (Followers: 15)
Statistics and Computing     Hybrid Journal   (Followers: 14)
Demographic Research     Open Access   (Followers: 14)
Australian & New Zealand Journal of Statistics     Hybrid Journal   (Followers: 13)
Statistics & Probability Letters     Hybrid Journal   (Followers: 13)
Geneva Papers on Risk and Insurance - Issues and Practice     Hybrid Journal   (Followers: 13)
Journal of Statistical Physics     Hybrid Journal   (Followers: 12)
Structural and Multidisciplinary Optimization     Hybrid Journal   (Followers: 12)
Statistics: A Journal of Theoretical and Applied Statistics     Hybrid Journal   (Followers: 11)
International Statistical Review     Hybrid Journal   (Followers: 10)
Pharmaceutical Statistics     Hybrid Journal   (Followers: 10)
The Canadian Journal of Statistics / La Revue Canadienne de Statistique     Hybrid Journal   (Followers: 10)
Communications in Statistics - Theory and Methods     Hybrid Journal   (Followers: 10)
Journal of Probability and Statistics     Open Access   (Followers: 10)
Advances in Complex Systems     Hybrid Journal   (Followers: 10)
Multivariate Behavioral Research     Hybrid Journal   (Followers: 9)
Scandinavian Journal of Statistics     Hybrid Journal   (Followers: 9)
Communications in Statistics - Simulation and Computation     Hybrid Journal   (Followers: 9)
Current Research in Biostatistics     Open Access   (Followers: 9)
Stata Journal     Full-text available via subscription   (Followers: 9)
Journal of Educational and Behavioral Statistics     Hybrid Journal   (Followers: 8)
Teaching Statistics     Hybrid Journal   (Followers: 8)
Law, Probability and Risk     Hybrid Journal   (Followers: 8)
Fuzzy Optimization and Decision Making     Hybrid Journal   (Followers: 8)
Research Synthesis Methods     Hybrid Journal   (Followers: 8)
Environmental and Ecological Statistics     Hybrid Journal   (Followers: 7)
Journal of Combinatorial Optimization     Hybrid Journal   (Followers: 7)
Journal of Global Optimization     Hybrid Journal   (Followers: 7)
Journal of Statistical Planning and Inference     Hybrid Journal   (Followers: 7)
Queueing Systems     Hybrid Journal   (Followers: 7)
Argumentation et analyse du discours     Open Access   (Followers: 7)
Handbook of Statistics     Full-text available via subscription   (Followers: 7)
Asian Journal of Mathematics & Statistics     Open Access   (Followers: 7)
Biometrical Journal     Hybrid Journal   (Followers: 6)
Journal of Nonparametric Statistics     Hybrid Journal   (Followers: 6)
Lifetime Data Analysis     Hybrid Journal   (Followers: 6)
Significance     Hybrid Journal   (Followers: 6)
International Journal of Computational Economics and Econometrics     Hybrid Journal   (Followers: 6)
Journal of Mathematics and Statistics     Open Access   (Followers: 6)
Applied Categorical Structures     Hybrid Journal   (Followers: 5)
Engineering With Computers     Hybrid Journal   (Followers: 5)
Optimization Methods and Software     Hybrid Journal   (Followers: 5)
Statistical Methods and Applications     Hybrid Journal   (Followers: 5)
CHANCE     Hybrid Journal   (Followers: 5)
ESAIM: Probability and Statistics     Open Access   (Followers: 4)
Mathematical Methods of Statistics     Hybrid Journal   (Followers: 4)
Metrika     Hybrid Journal   (Followers: 4)
Statistical Papers     Hybrid Journal   (Followers: 4)
TEST     Hybrid Journal   (Followers: 3)
Journal of Algebraic Combinatorics     Hybrid Journal   (Followers: 3)
Journal of Theoretical Probability     Hybrid Journal   (Followers: 3)
Statistical Inference for Stochastic Processes     Hybrid Journal   (Followers: 3)
Monthly Statistics of International Trade - Statistiques mensuelles du commerce international     Full-text available via subscription   (Followers: 3)
Handbook of Numerical Analysis     Full-text available via subscription   (Followers: 3)
Sankhya A     Hybrid Journal   (Followers: 3)
Journal of Statistical and Econometric Methods     Open Access   (Followers: 3)
AStA Advances in Statistical Analysis     Hybrid Journal   (Followers: 2)
Extremes     Hybrid Journal   (Followers: 2)
Optimization Letters     Hybrid Journal   (Followers: 2)
Stochastic Models     Hybrid Journal   (Followers: 2)
Stochastics An International Journal of Probability and Stochastic Processes: formerly Stochastics and Stochastics Reports     Hybrid Journal   (Followers: 2)
IEA World Energy Statistics and Balances -     Full-text available via subscription   (Followers: 2)
Building Simulation     Hybrid Journal   (Followers: 2)
Technology Innovations in Statistics Education (TISE)     Open Access   (Followers: 2)
International Journal of Stochastic Analysis     Open Access   (Followers: 2)
Measurement Interdisciplinary Research and Perspectives     Hybrid Journal   (Followers: 1)
Statistica Neerlandica     Hybrid Journal   (Followers: 1)
Sequential Analysis: Design Methods and Applications     Hybrid Journal   (Followers: 1)
Wiley Interdisciplinary Reviews - Computational Statistics     Hybrid Journal   (Followers: 1)
Statistics and Economics     Open Access  
Review of Socionetwork Strategies     Hybrid Journal  
SourceOECD Measuring Globalisation Statistics - SourceOCDE Mesurer la mondialisation - Base de donnees statistiques     Full-text available via subscription  
Journal of the Korean Statistical Society     Hybrid Journal  

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Similar Journals
Journal Cover
Decisions in Economics and Finance
Journal Prestige (SJR): 0.116
Number of Followers: 15  
 
  Hybrid Journal Hybrid journal (It can contain Open Access articles)
ISSN (Print) 1129-6569 - ISSN (Online) 1593-8883
Published by Springer-Verlag Homepage  [2468 journals]
  • A mean field game model for optimal trading in the intraday electricity
           market

    • Free pre-print version: Loading...

      Abstract: Abstract In this study, we provide a simple one period mean-field-games setting for the joint optimal trading problem for electricity producers in the electricity markets. Based on the Markowitz mean-variance approach from stock trading, we consider a decision problem of an electricity provider when determining the optimal fractions of production that should be traded in the day-ahead and in the intraday markets. Moreover, all such providers are related by a ranking criterion and each one wants to perform as good as possible in this ranking. We first start with a simple model where only the price risk in the intraday market is present and subsequently extend the problem to the cases involving either production and/or demand uncertainty. The key technique is to reduce the optimality conditions to a first order non-linear ordinary differential equation. We will illustrate our findings by various numerical examples. Our findings will in particular be important for electricity producers using renewable resources.
      PubDate: 2024-04-16
       
  • Risk assessment for synthetic GICs: a quantitative framework for
           asset–liability management

    • Free pre-print version: Loading...

      Abstract: Abstract This study addresses a research gap in quantitative modeling framework and scenario analysis for the risk management of stable value fund wraps, a crucial segment of the U.S. financial market with over USD $400 billion in assets. In this paper, we present an asset–liability model that encompasses an innovative approach to modeling the assets of fixed-income funds coupled with a liability model backed by empirical analysis on a unique data set covering 80% of the stand-alone plan sponsor market, contrasting with models based solely on regular deterministic cash flows and interest rate differences. Our model identifies and analyzes two critical risk scenarios from the insurer’s perspective: inflationary and yield spike. Our approach demonstrates that the tail risk of wraps, used as an economic capital measure, is sensitive to characteristic parameters of the fund, such as the duration, portfolio composition and credit quality of assets. This finding significantly differs from U.S. regulatory approaches like the NAIC’s, which often result in a zero capital requirement. These findings reveal limitations in current actuarial risk and profitability metrics for U.S. insurers and argue that a more sophisticated risk model reproducing the two critical scenarios is necessary.
      PubDate: 2024-04-11
       
  • Simon’s bounded rationality

    • Free pre-print version: Loading...

      Abstract: Abstract This note in the Milestones series is dedicated to the paper “A Behavioral Model of Rational Choice”, written by Herbert Simon and published in 1955 on the Quarterly Journal of Economics.
      PubDate: 2024-04-10
       
  • Rank-two programs involving linear fractional functions

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      Abstract: Abstract The aim of this paper is to deepen the study of solution methods for rank-two nonconvex problems with polyhedral feasible region, expressed by means of equality, inequality and box constraints, and objective function in the form of \(\phi \left( c^Tx+c_0,\frac{d^Tx+d_0}{b^Tx+b_0}\right) \) or \(\bar{\phi }\left( \frac{\bar{c}^Ty+\bar{c}_0}{a^Ty+a_0}, \frac{d^Ty+d_0}{b^Ty+b_0}\right) \) . These problems arise in bicriteria programs, quantitative management science, data envelopment analysis, efficiency analysis and performance measurement. Theoretical results are proved and applied to propose a solution algorithm. Computational results are provided, comparing various splitting criteria.
      PubDate: 2024-04-09
       
  • Modeling and forecasting mortality with economic, environmental and
           lifestyle variables

    • Free pre-print version: Loading...

      Abstract: Abstract Traditional stochastic mortality models tend to extrapolate, to focus on identifying trends in mortality without explaining them. Those that do link mortality with other variables usually limit themselves to GDP. This article presents a novel stochastic mortality model that incorporates a wide range of variables related to economic, environmental and lifestyle factors to predict mortality. The model uses principal components derived from these variables, extending the Niu and Melenberg (Demography 51(5):1755–1773, 2014) model to variables other than GDP, and is applied to 37 countries from the Human Mortality Database. Model fit is superior to the Lee–Carter model for 18 countries. The forecasting accuracy of the proposed model is better than that of the Niu–Melenberg model for half of the countries analyzed under various jump-off years. The model highlights the importance of economic prosperity and healthy lifestyle choices in improving lifespan, while the effect of environmental variables is mixed. By clarifying the specific contributions of different factors and thus making trade-offs explicit, the model is designed to facilitate scenario building and policy planning.
      PubDate: 2024-03-28
       
  • Risk sharing rule and safety loading in a peer to peer cooperative
           insurance model

    • Free pre-print version: Loading...

      Abstract: Abstract The evolution of digital technologies is reshaping consumer habits and needs, driving process automation, and giving rise to innovative business models like Insurtech. Peer-to-peer (P2P) insurance is emerging as part of this trend. P2P involves purchasing an insurance policy by sharing the risk with a group of peers. This group transparently monitors real-time savings and tracks claims filed by its members. At the policy’s expiration, if the actual risk is lower than anticipated, the peers receive a partial refund of their premium. This paper introduces a model to determine the entry price in a broker-based P2P scheme using a cooperative game approach. We employ the Shapley Value method to distribute the risk among participants. Numerical examples are included for illustration and discussion.
      PubDate: 2024-03-27
       
  • Profit testing of profit sharing life insurance policies when asset
           returns are variance gamma distributed

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      Abstract: Abstract This paper examines the profit testing of life insurance companies that issue participating policies, type B and type A universal life policies, and variable annuities with guaranteed minimum maturity and death benefits, when investment returns are stochastic and modeled by normal or variance gamma distributions. We rely on the stochastic profit testing techniques introduced in Dickson et al. (Actuarial mathematics for life contingent risks, 2nd edn, Cambridge University Press, Cambridge, 2013) to examine the influence of the models’ parameters and of the models themselves on the profit testing indicators. We show that the variance gamma model results in more conservative predictions than the normal model for most cases.
      PubDate: 2024-03-26
       
  • Multivariate risk attitude: a comparison of alternative approaches in
           sustainability policies

    • Free pre-print version: Loading...

      Abstract: Abstract Risk aversion has an unambiguous meaning in the univariate context: But, what does it mean to be risk averse in the multivariate case' Concave Risk Aversion (CRA) and Multivariate Risk Aversion (MRA) are relevant extensions of the risk aversion concept used in the univariate case to the multivariate case, corresponding to concave and ultramodular utility classes, respectively. Although CRA and MRA can coexist, they are dramatically different in some ways, leading to opposite preferences under some circumstances, as in the face of irreversible risks. We introduce the notions of purely concave and purely multivariate risk aversion, related to disjoint utility classes. We apply the purely risk aversion notions to the field of sustainability, where catastrophic and irreversible outcomes can be faced, in order to highlight and compare the consequences of the two approaches on sustainability policies. In this respect, we provide three main results. First, the kind of risk aversion determines the pursued goal. Second, the principle of “rejecting any fair bet” is not always preserved. Third, sustainability policies induced by different risk aversions, if repeated, produce final states in which mean-variance criterion holds.
      PubDate: 2024-03-21
       
  • Optimal liquidation with high risk aversion and small linear price impact

    • Free pre-print version: Loading...

      Abstract: Abstract We consider the Bachelier model with linear price impact. Exponential utility indifference prices are studied for vanilla European options in the case where the investor is required to liquidate her position. Our main result is establishing a non-trivial scaling limit for a vanishing price impact which is inversely proportional to the risk aversion. We compute the limit of the corresponding utility indifference prices and find explicitly a family of portfolios which are asymptotically optimal.
      PubDate: 2024-03-13
       
  • Fundamental Theorem of Asset Pricing under fixed and proportional costs in
           multi-asset setting and finite probability space

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      Abstract: Abstract The Fundamental Theorem of Asset Pricing is extended to a market model over a finite probability space with many assets that can be exchanged into one another under combined fixed and proportional transaction costs. The absence of arbitrage in this setting is shown to be equivalent to the existence of a family of absolutely continuous single-step probability measures and a multi-dimensional martingale with respect to such a family.
      PubDate: 2024-03-12
       
  • The power of derivatives in portfolio optimization under affine GARCH
           models

    • Free pre-print version: Loading...

      Abstract: Abstract This paper demonstrates the benefits, from an expected utility perspective, of including a derivative into the universe of tradeable assets under the affine GARCH model proposed by Heston and Nandi (Rev Financ Stud 13(3):585–625, 2000. https://doi.org/10.1093/rfs/13.3.585). For this purpose, we first introduce a Power Option into the market, derive its value and moment generating function thanks to the affine GARCH structure. We then expand on the results presented by Escobar-Anel et al. (Oper Res Perspect 9:100216, 2022) by solving for the optimal investment allocations into the stock, a cash account and the option. We show that investors who are able to include a derivative indeed outperform those who only invest into the stock and the bank account. In this spirit, investors who fail to include, even a low level of exposure to the derivative, could see up to 7% annual wealth-equivalent losses. This confirms findings in continuous-time models dating to Liu and Pan (J Financ Econ 69(3):401–430, 2003). An empirical analysis on the S &P500 confirms the superiority in terms of Sharpe ratio, and maximum drawdown of portfolios with options, in-sample and out-of-sample.
      PubDate: 2024-03-01
       
  • Disposition effect and its outcome on endogenous price fluctuations

    • Free pre-print version: Loading...

      Abstract: Abstract We have developed a financial market model that incorporates the Disposition Effect, which refers to traders’ tendency to avoid realizing losses. Specifically, our model replicates several stylized facts commonly observed in financial markets, such as fat tails and volatility clustering. These market characteristics can be attributed to the Disposition Effect, especially when the trading behavior of agents aligns with the findings of Ben-David and Hirshleifer (Rev Financ Stud 25(8):2485–2532, 2012). To demonstrate this, we examine two versions of the model: one where a class of agents exhibits a high degree of Disposition Effect and another where traders are not influenced by it. By comparing the simulated time series generated by both versions, we find that the one with agents affected by the Disposition Effect better replicates the features observed in real financial markets. This holds true for both the deterministic and stochastic versions of the model.
      PubDate: 2024-01-28
      DOI: 10.1007/s10203-023-00431-z
       
  • On entropy martingale optimal transport theory

    • Free pre-print version: Loading...

      Abstract: Abstract In this paper, we give an overview of (nonlinear) pricing-hedging duality and of its connection with the theory of entropy martingale optimal transport (EMOT), recently developed, and that of convex risk measures. Similarly to Doldi and Frittelli (Finance Stoch 27(2):255–304, 2023), we here establish a duality result between a convex optimal transport and a utility maximization problem. Differently from Doldi and Frittelli (Finance Stoch 27(2):255–304, 2023), we provide here an alternative proof that is based on a compactness assumption. Subhedging and superhedging can be obtained as applications of the duality discussed above. Furthermore, we provide a dual representation of the generalized optimized certainty equivalent associated with indirect utility.
      PubDate: 2024-01-26
      DOI: 10.1007/s10203-023-00432-y
       
  • The impact of a winner takes all tournament on managers’ strategies
           and asset mispricing

    • Free pre-print version: Loading...

      Abstract: Abstract We investigate the asset’s price and the portfolio choices of the managers in the equilibrium generated by a winner takes all contest in a financial market with cash and a risky asset. The manager’s payoff consists in the value of the portfolio at the maturity and a prize, which is assigned according to the ranking based on the absolute performance. Our analysis focuses on the one-periodical game between an infinite number of identical managers. We found the existence of three regions where we can find the possible equilibria: according to the region the equilibrium can predict an overvalued, a valued as much as the fundamental value or an undervalued price of the asset. Then, the model allows for mispricing. We study the equilibria according to the parameters and the type of distribution of the risky asset, finding that only the latter is relevant to characterize the type of equilibrium. We find that the absolute value of mispricing is increasing with the tournament incentive: the inefficiency in pricing financial assets is increasing in managers’ competition concern. Finally, we explore the case of elimination contest and beat the market tournament finding similar results.
      PubDate: 2024-01-22
      DOI: 10.1007/s10203-023-00426-w
       
  • Modeling financial leasing by optimal stopping approach

    • Free pre-print version: Loading...

      Abstract: Abstract Leasing valuation is a topic that has aroused considerable interest in business circles. This paper examines leasing from the point of view of the lessor who can decide to leave the contract due to default. We analyze in introducing a model in which the lessor decides whether or not to terminate the contract at a given point in time, comparing it with the cost of capital of alternative investments. The proposed model is stochastic, and it is strongly based on correlated random walks, making it more adaptable to real-world circumstances. Furthermore, we propose a recombinant binomial tree based on correlated random walks, performing numerical simulations starting from CIR and Vasicek models. We will point out that as the rate of cost of capital of an alternative investment increases, the optimal boundary curve decreases, so the lessor leaves, while as the past interest rates increases, the curve rises and the lessor will have a concrete interest in maintaining the contract.
      PubDate: 2024-01-22
      DOI: 10.1007/s10203-023-00429-7
       
  • The interaction between variable annuity providers and their customers
           under a dynamic approach

    • Free pre-print version: Loading...

      Abstract: Abstract We consider an insurer offering various single premium variable annuity contracts with a guaranteed lifetime withdrawal benefit (GLWB) rider to policyholders. All the contracts have the same structure, but differ for the contractual parameters or the risk/return profile of the reference fund in which the premium is invested. For comparability, the premium is the same for all contracts, and the contractual parameters are set in such a way that the contracts are fairly priced. To price them, the insurer fixes a risk-neutral probability measure and computes the initial contract value as if the policyholder chose a withdrawal strategy in order to maximize the expected present value of her future cash flows. However, the policyholder can have different preferences; in particular, we assume that she acts in order to maximize the expected discounted utility, under the physical measure, of the cash flows. This leads to a ranking of the various contracts from the policyholder’s perspective and, in turn, for the insurer, since the expected present value, under the insurer’s probability, of the cash flows induced by the actual policyholder’s strategy does not exceed the single premium, thus leaving room for a gain. In the paper, after defining the whole model with related optimization problems of insurer and policyholder, we numerically compare the two orders implied by our approach for different preferences of both parties involved.
      PubDate: 2024-01-22
      DOI: 10.1007/s10203-023-00430-0
       
  • Mortgages with non-random time-varying interest rates

    • Free pre-print version: Loading...

      Abstract: Abstract Here we introduce an “alternative” version of the standard traditional amortization plan, where sequences of non-random time-varying periodic interest rates replace the usual constant periodic effective rate, while preserving all the other classical rules. In particular, we use two of these sequences coherently generated by two different specific hyperbolic instantaneous intensity functions. We found that the two standard amortization plans obtained through this approach match perfectly with the two main amortization plans recently proposed under the simple capitalization law. This matching provides thus a clear link between the traditional scheme and the new wave of proposals in simple regime.
      PubDate: 2024-01-18
      DOI: 10.1007/s10203-023-00423-z
       
  • Input/output-style approach to standardized traditional amortization plans

    • Free pre-print version: Loading...

      Abstract: Abstract We apply an Input/Output approach to the analysis of the so-called traditional standardized amortization plans (STAP). The approach is based on a clear distinction between Input/trigger and Output of a STAP. The Output is a set of four vectors obtained by applying a set of transformation matrices to an appropriate Input/trigger vector. The main result of the paper is that, by this approach, any STAP reveals a dual nature through the introduction of the twin trigger theory.
      PubDate: 2024-01-12
      DOI: 10.1007/s10203-023-00428-8
       
  • Designing amortization plans by fairness

    • Free pre-print version: Loading...

      Abstract: Abstract Amortization plans are well-known financial operations to repay interest-bearing loans through a sequence of periodic payments. Since amortization plans are generally settled according to the compound interest law, some questions arise about the supposed presence of anatocism and the consequent legal matters. In this paper, we derive the traditional amortization plans by means of an alternative approach, based on the concept of fair amortization and without assuming a financial law. We find that the traditional amortization plan with constant installments can be derived in this way and the supposed presence of anatocism is excluded. An investigation on the possible anatocism, in case of delayed payment of interest, completes the discussion.
      PubDate: 2024-01-11
      DOI: 10.1007/s10203-023-00424-y
       
  • Variance of entropy for testing time-varying regimes with an application
           to meme stocks

    • Free pre-print version: Loading...

      Abstract: Abstract Shannon entropy is the most common metric for assessing the degree of randomness of time series in many fields, ranging from physics and finance to medicine and biology. Real-world systems are typically non-stationary, leading to entropy values fluctuating over time. This paper proposes a hypothesis testing procedure to test the null hypothesis of constant Shannon entropy in time series data. The alternative hypothesis is a significant variation in entropy between successive periods. To this end, we derive an unbiased sample entropy variance, accurate up to the order \(O(n^{-4})\) with n the sample size. To characterize the variance of the sample entropy, we first provide explicit formulas for the central moments of both binomial and multinomial distributions describing the distribution of the sample entropy. Second, we identify the optimal rolling window length to estimate time-varying Shannon entropy. We optimize this choice using a novel self-consistent criterion based on counting significant entropy variations over time. We corroborate our findings using the novel methodology to assess time-varying regimes of entropy for stock price dynamics by presenting a comparative analysis between meme and IT stocks in 2020 and 2021. We show that low entropy values correspond to periods when profitable trading strategies can be devised starting from the symbolic dynamics used for entropy computation, namely periods of market inefficiency.
      PubDate: 2024-01-05
      DOI: 10.1007/s10203-023-00427-9
       
 
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  Subjects -> STATISTICS (Total: 130 journals)
Showing 1 - 151 of 151 Journals sorted by number of followers
Review of Economics and Statistics     Hybrid Journal   (Followers: 277)
Statistics in Medicine     Hybrid Journal   (Followers: 143)
Journal of Econometrics     Hybrid Journal   (Followers: 85)
Journal of the American Statistical Association     Full-text available via subscription   (Followers: 77, SJR: 3.746, CiteScore: 2)
Advances in Data Analysis and Classification     Hybrid Journal   (Followers: 52)
Biometrics     Hybrid Journal   (Followers: 49)
Sociological Methods & Research     Hybrid Journal   (Followers: 49)
Journal of the Royal Statistical Society, Series B (Statistical Methodology)     Hybrid Journal   (Followers: 42)
Journal of Business & Economic Statistics     Full-text available via subscription   (Followers: 41, SJR: 3.664, CiteScore: 2)
Computational Statistics & Data Analysis     Hybrid Journal   (Followers: 37)
Annals of Applied Statistics     Full-text available via subscription   (Followers: 36)
Journal of the Royal Statistical Society Series C (Applied Statistics)     Hybrid Journal   (Followers: 36)
Oxford Bulletin of Economics and Statistics     Hybrid Journal   (Followers: 35)
Journal of Risk and Uncertainty     Hybrid Journal   (Followers: 34)
Journal of the Royal Statistical Society, Series A (Statistics in Society)     Hybrid Journal   (Followers: 30)
Journal of Urbanism: International Research on Placemaking and Urban Sustainability     Hybrid Journal   (Followers: 28)
The American Statistician     Full-text available via subscription   (Followers: 25)
Statistical Methods in Medical Research     Hybrid Journal   (Followers: 23)
Journal of Computational & Graphical Statistics     Full-text available via subscription   (Followers: 21)
Journal of Forecasting     Hybrid Journal   (Followers: 21)
Journal of Applied Statistics     Hybrid Journal   (Followers: 20)
British Journal of Mathematical and Statistical Psychology     Full-text available via subscription   (Followers: 19)
Journal of Time Series Analysis     Hybrid Journal   (Followers: 18)
Statistical Modelling     Hybrid Journal   (Followers: 18)
International Journal of Quality, Statistics, and Reliability     Open Access   (Followers: 18)
Journal of Statistical Software     Open Access   (Followers: 18, SJR: 13.802, CiteScore: 16)
Journal of Biopharmaceutical Statistics     Hybrid Journal   (Followers: 17)
Computational Statistics     Hybrid Journal   (Followers: 16)
Risk Management     Hybrid Journal   (Followers: 16)
Decisions in Economics and Finance     Hybrid Journal   (Followers: 15)
Statistics and Computing     Hybrid Journal   (Followers: 14)
Demographic Research     Open Access   (Followers: 14)
Australian & New Zealand Journal of Statistics     Hybrid Journal   (Followers: 13)
Statistics & Probability Letters     Hybrid Journal   (Followers: 13)
Geneva Papers on Risk and Insurance - Issues and Practice     Hybrid Journal   (Followers: 13)
Journal of Statistical Physics     Hybrid Journal   (Followers: 12)
Structural and Multidisciplinary Optimization     Hybrid Journal   (Followers: 12)
Statistics: A Journal of Theoretical and Applied Statistics     Hybrid Journal   (Followers: 11)
International Statistical Review     Hybrid Journal   (Followers: 10)
Pharmaceutical Statistics     Hybrid Journal   (Followers: 10)
The Canadian Journal of Statistics / La Revue Canadienne de Statistique     Hybrid Journal   (Followers: 10)
Communications in Statistics - Theory and Methods     Hybrid Journal   (Followers: 10)
Journal of Probability and Statistics     Open Access   (Followers: 10)
Advances in Complex Systems     Hybrid Journal   (Followers: 10)
Multivariate Behavioral Research     Hybrid Journal   (Followers: 9)
Scandinavian Journal of Statistics     Hybrid Journal   (Followers: 9)
Communications in Statistics - Simulation and Computation     Hybrid Journal   (Followers: 9)
Current Research in Biostatistics     Open Access   (Followers: 9)
Stata Journal     Full-text available via subscription   (Followers: 9)
Journal of Educational and Behavioral Statistics     Hybrid Journal   (Followers: 8)
Teaching Statistics     Hybrid Journal   (Followers: 8)
Law, Probability and Risk     Hybrid Journal   (Followers: 8)
Fuzzy Optimization and Decision Making     Hybrid Journal   (Followers: 8)
Research Synthesis Methods     Hybrid Journal   (Followers: 8)
Environmental and Ecological Statistics     Hybrid Journal   (Followers: 7)
Journal of Combinatorial Optimization     Hybrid Journal   (Followers: 7)
Journal of Global Optimization     Hybrid Journal   (Followers: 7)
Journal of Statistical Planning and Inference     Hybrid Journal   (Followers: 7)
Queueing Systems     Hybrid Journal   (Followers: 7)
Argumentation et analyse du discours     Open Access   (Followers: 7)
Handbook of Statistics     Full-text available via subscription   (Followers: 7)
Asian Journal of Mathematics & Statistics     Open Access   (Followers: 7)
Biometrical Journal     Hybrid Journal   (Followers: 6)
Journal of Nonparametric Statistics     Hybrid Journal   (Followers: 6)
Lifetime Data Analysis     Hybrid Journal   (Followers: 6)
Significance     Hybrid Journal   (Followers: 6)
International Journal of Computational Economics and Econometrics     Hybrid Journal   (Followers: 6)
Journal of Mathematics and Statistics     Open Access   (Followers: 6)
Applied Categorical Structures     Hybrid Journal   (Followers: 5)
Engineering With Computers     Hybrid Journal   (Followers: 5)
Optimization Methods and Software     Hybrid Journal   (Followers: 5)
Statistical Methods and Applications     Hybrid Journal   (Followers: 5)
CHANCE     Hybrid Journal   (Followers: 5)
ESAIM: Probability and Statistics     Open Access   (Followers: 4)
Mathematical Methods of Statistics     Hybrid Journal   (Followers: 4)
Metrika     Hybrid Journal   (Followers: 4)
Statistical Papers     Hybrid Journal   (Followers: 4)
TEST     Hybrid Journal   (Followers: 3)
Journal of Algebraic Combinatorics     Hybrid Journal   (Followers: 3)
Journal of Theoretical Probability     Hybrid Journal   (Followers: 3)
Statistical Inference for Stochastic Processes     Hybrid Journal   (Followers: 3)
Monthly Statistics of International Trade - Statistiques mensuelles du commerce international     Full-text available via subscription   (Followers: 3)
Handbook of Numerical Analysis     Full-text available via subscription   (Followers: 3)
Sankhya A     Hybrid Journal   (Followers: 3)
Journal of Statistical and Econometric Methods     Open Access   (Followers: 3)
AStA Advances in Statistical Analysis     Hybrid Journal   (Followers: 2)
Extremes     Hybrid Journal   (Followers: 2)
Optimization Letters     Hybrid Journal   (Followers: 2)
Stochastic Models     Hybrid Journal   (Followers: 2)
Stochastics An International Journal of Probability and Stochastic Processes: formerly Stochastics and Stochastics Reports     Hybrid Journal   (Followers: 2)
IEA World Energy Statistics and Balances -     Full-text available via subscription   (Followers: 2)
Building Simulation     Hybrid Journal   (Followers: 2)
Technology Innovations in Statistics Education (TISE)     Open Access   (Followers: 2)
International Journal of Stochastic Analysis     Open Access   (Followers: 2)
Measurement Interdisciplinary Research and Perspectives     Hybrid Journal   (Followers: 1)
Statistica Neerlandica     Hybrid Journal   (Followers: 1)
Sequential Analysis: Design Methods and Applications     Hybrid Journal   (Followers: 1)
Wiley Interdisciplinary Reviews - Computational Statistics     Hybrid Journal   (Followers: 1)
Statistics and Economics     Open Access  
Review of Socionetwork Strategies     Hybrid Journal  
SourceOECD Measuring Globalisation Statistics - SourceOCDE Mesurer la mondialisation - Base de donnees statistiques     Full-text available via subscription  
Journal of the Korean Statistical Society     Hybrid Journal  

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