The Experts below are selected from a list of 321 Experts worldwide ranked by ideXlab platform
Tim Leung - One of the best experts on this subject based on the ideXlab platform.
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optimal mean reverting spread trading Nonlinear Integral Equation approach
Annals of Finance, 2017Co-Authors: Yerkin Kitapbayev, Tim LeungAbstract:We study several optimal stopping problems that arise from trading a mean-reverting price spread over a finite horizon. Modeling the spread by the Ornstein–Uhlenbeck process, we analyze three different trading strategies: (i) the long-short strategy; (ii) the short-long strategy, and (iii) the chooser strategy, i.e. the trader can enter into the spread by taking either long or short position. In each of these cases, we solve an optimal double stopping problem to determine the optimal timing for starting and subsequently closing the position. We utilize the local time-space calculus of Peskir (J Theor Probab 18:499–535, 2005a) and derive the Nonlinear Integral Equations of Volterra-type that uniquely characterize the boundaries associated with the optimal timing decisions in all three problems. These Integral Equations are used to numerically compute the optimal boundaries.
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optimal mean reverting spread trading Nonlinear Integral Equation approach
2017Co-Authors: Yerkin Kitapbayev, Tim LeungAbstract:We study several optimal stopping problems that arise from trading a mean-reverting price spread over a finite horizon. Modeling the spread by the Ornstein-Uhlenbeck process, we analyze three different trading strategies: (i) the long-short strategy; (ii) the short-long strategy, and (iii) the chooser strategy, i.e. the trader can enter into the pair spread by taking either long or short position. In each of these cases, we solve an optimal double stopping problem to determine the optimal timing for starting and subsequently closing the position. We utilize the local time-space calculus of Peskir (2005a) and derive the Nonlinear Integral Equations of Volterra-type that uniquely characterize the boundaries associated with the optimal timing decisions in all three problems. These Integral Equations are used to numerically compute the optimal boundaries.
Yerkin Kitapbayev - One of the best experts on this subject based on the ideXlab platform.
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optimal mean reverting spread trading Nonlinear Integral Equation approach
Annals of Finance, 2017Co-Authors: Yerkin Kitapbayev, Tim LeungAbstract:We study several optimal stopping problems that arise from trading a mean-reverting price spread over a finite horizon. Modeling the spread by the Ornstein–Uhlenbeck process, we analyze three different trading strategies: (i) the long-short strategy; (ii) the short-long strategy, and (iii) the chooser strategy, i.e. the trader can enter into the spread by taking either long or short position. In each of these cases, we solve an optimal double stopping problem to determine the optimal timing for starting and subsequently closing the position. We utilize the local time-space calculus of Peskir (J Theor Probab 18:499–535, 2005a) and derive the Nonlinear Integral Equations of Volterra-type that uniquely characterize the boundaries associated with the optimal timing decisions in all three problems. These Integral Equations are used to numerically compute the optimal boundaries.
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optimal mean reverting spread trading Nonlinear Integral Equation approach
2017Co-Authors: Yerkin Kitapbayev, Tim LeungAbstract:We study several optimal stopping problems that arise from trading a mean-reverting price spread over a finite horizon. Modeling the spread by the Ornstein-Uhlenbeck process, we analyze three different trading strategies: (i) the long-short strategy; (ii) the short-long strategy, and (iii) the chooser strategy, i.e. the trader can enter into the pair spread by taking either long or short position. In each of these cases, we solve an optimal double stopping problem to determine the optimal timing for starting and subsequently closing the position. We utilize the local time-space calculus of Peskir (2005a) and derive the Nonlinear Integral Equations of Volterra-type that uniquely characterize the boundaries associated with the optimal timing decisions in all three problems. These Integral Equations are used to numerically compute the optimal boundaries.
G Takacs - One of the best experts on this subject based on the ideXlab platform.
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truncated conformal space at c 1 Nonlinear Integral Equation and quantization rules for multi soliton states
Physics Letters B, 1998Co-Authors: G Feverati, Francesco Ravanini, G TakacsAbstract:Abstract We develop truncated conformal space (TCS) technique for perturbations of c =1 conformal field theories. We use it to give the first numerical evidence of the validity of the non-linear Integral Equation (NLIE) derived from light-cone lattice regularization at intermediate scales. A controversy on the quantization of Bethe states is solved by this numerical comparison and by using the locality principle at the ultraviolet fixed point. It turns out that the correct quantization for pure hole states is the one with half-integer quantum numbers originally proposed by Fioravanti et al. [Phys. Lett. B 390 (1997) 243]. Once the correct rule is imposed, the agreement between TCS and NLIE for pure hole states turns out to be impressive.
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Nonlinear Integral Equation and finite volume spectrum of sine gordon theory
arXiv: High Energy Physics - Theory, 1998Co-Authors: G Feverati, Francesco Ravanini, G TakacsAbstract:We examine the connection between the Nonlinear Integral Equation (NLIE) derived from light-cone lattice and sine-Gordon quantum field theory, considered as a perturbed c=1 conformal field theory. After clarifying some delicate points of the NLIE deduction from the lattice, we compare both analytic and numerical predictions of the NLIE to previously known results in sine-Gordon theory. To provide the basis for the numerical comparison we use data from Truncated Conformal Space method. Together with results from analysis of infrared and ultraviolet asymptotics, we find evidence that it is necessary to change the rule of quantization proposed by Destri and de Vega to a new one which includes as a special case that of Fioravanti et al. This way we find strong evidence for the validity of the NLIE as a description of the finite size effects of sine-Gordon theory.
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truncated conformal space at c 1 Nonlinear Integral Equation and quantization rules for multi soliton states
arXiv: High Energy Physics - Theory, 1998Co-Authors: G Feverati, Francesco Ravanini, G TakacsAbstract:We develop Truncated Conformal Space (TCS) technique for perturbations of c=1 Conformal Field Theories. We use it to give the first numerical evidence of the validity of the non-linear Integral Equation (NLIE) derived from light-cone lattice regularization at intermediate scales. A controversy on the quantization of Bethe states is solved by this numerical comparison and by using the locality principle at the ultra- violet fixed point. It turns out that the correct quantization for pure hole states is the one with half-integer quantum numbers originally proposed by Mariottini et al. Once the correct rule is imposed, the agreement between TCS and NLIE for pure hole states turns out to be impressive.
Sergey Buterin - One of the best experts on this subject based on the ideXlab platform.
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On Global Solvability and Uniform Stability of One Nonlinear Integral Equation
Results in Mathematics, 2018Co-Authors: Sergey Buterin, Margarita MalyuginaAbstract:We consider Nonlinear Integral Equations of a special type that appear in the inverse spectral theory of Integral and integro-differential operators. We generalize the approach for solving Equations of this type by introducing some abstract Nonlinear Equation and proving its global solvability. Moreover, we establish the uniform stability of such Nonlinear Equations.
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on the reconstruction of a convolution perturbation of the sturm liouville operator from the spectrum
Differential Equations, 2010Co-Authors: Sergey ButerinAbstract:We consider the sum of the Sturm-Liouville operator and a convolution operator. We study the inverse problem of reconstructing the convolution operator from the spectrum. This problem is reduced to a Nonlinear Integral Equation with a singularity. We prove the global solvability of this Nonlinear Equation, which permits one to show that the asymptotics of the spectrum is a necessary and sufficient condition for the solvability of the inverse problem. The proof is constructive.
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inverse spectral reconstruction problem for the convolution operator perturbed by a one dimensional operator
Mathematical Notes, 2006Co-Authors: Sergey ButerinAbstract:We consider a one-dimensional perturbation of the convolution operator. We study the inverse reconstruction problem for the convolution component using the characteristic numbers under the assumption that the perturbation summand is known a priori. The problem is reduced to the solution of the so-called basic Nonlinear Integral Equation with singularity. We prove the global solvability of this Nonlinear Equation. On the basis of these results, we prove a uniqueness theorem and obtain necessary and sufficient conditions for the solvability of the inverse problem.
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the inverse problem of recovering the volterra convolution operator from the incomplete spectrum of its rank one perturbation
Inverse Problems, 2006Co-Authors: Sergey ButerinAbstract:An Integral operator is considered which can be represented as the sum of the convolution operator and a rank-one operator. The reconstruction of the convolution component, provided that the other term is known a priori, from a part of the characteristic numbers is investigated. This inverse problem is reduced to the so-called main Nonlinear Integral Equation with a singularity, which we solve globally. The uniqueness of the solution of the inverse problem in an appropriate class is proved and conditions are obtained that are necessary and sufficient for its solvability. A constructive procedure for solving the inverse problem is given.
Shin Min Kang - One of the best experts on this subject based on the ideXlab platform.
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Solvability of Nonlinear Integral Equations of Volterra Type
Abstract and Applied Analysis, 2012Co-Authors: Zeqing Liu, Sunhong Lee, Shin Min KangAbstract:This paper deals with the existence of continuous bounded solutions for a rather general Nonlinear Integral Equation of Volterra type and discusses also the existence and asymptotic stability of continuous bounded solutions for another Nonlinear Integral Equation of Volterra type. The main tools used in the proofs are some techniques in analysis and the Darbo fixed point theorem via measures of noncompactness. The results obtained in this paper extend and improve essentially some known results in the recent literature. Two nontrivial examples that explain the generalizations and applications of our results are also included.
