English (en) Save The advantage of using the logarithmic return on prices over a non-stationary process?
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Using the logarithmic return on prices has advantages over a non-stationary process. It allows for the detection of timely and confident change in business processes . Additionally, it can provide improved estimates of return values when data exhibits covariate dependence . The use of a non-stationary model can capture key features of the data and produce more reliable results in certain cases . Furthermore, it can be used to approximate a general, multivariate lognormal distribution with changing volatilities and time-varying covariance structures . In the presence of non-stationary prices, the choice of the numeraire can affect the rate of profit, but it does not impact the ranking of processes according to profitability . Finally, with proper modifications and test design, the mean-adjusted return method and cumulative sum method can be used to analyze call price behavior in response to changing risk-reward characteristics over time .
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Open access•Posted Content 26 Citations | The advantage of using the logarithmic return on prices over a non-stationary process is not mentioned in the provided information. |
14 Citations | The advantage of using the logarithmic return on prices over a non-stationary process is not mentioned in the provided information. |
3 Citations | The advantage of using the logarithmic return on prices over a non-stationary process is not mentioned in the provided information. |
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| The paper discusses the use of process mining in non-stationary environments and how it can detect timely changes in business processes. |
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