Related papers: Mixing Kohonen Algorithm, Markov Switching Model a…
Many biological and medical questions can be modeled using time-to-event data in finite-state Markov chains, with the phase-type distribution describing intervals between events. We solve the inverse problem: given a phase-type…
We consider option pricing using a discrete-time Markov switching stochastic volatility with co-jump model, which can model volatility clustering and varying mean-reversion speeds of volatility. For pricing European options, we develop a…
A Parallel Self-Organizing Map (Parallel-SOM) is proposed to modify Kohonen's SOM in parallel computing environment. In this model, two separate layers of neurons are connected together. The number of neurons in both layers and connections…
We study a simple Markov chain, the switch chain, on the set of all perfect matchings in a bipartite graph. This Markov chain was proposed by Diaconis, Graham and Holmes as a possible approach to a sampling problem arising in Statistics. We…
Market timing is an investment technique that tries to continuously switch investment into assets forecast to have better returns. What is the likelihood of having a successful market timing strategy? With an emphasis on modeling…
In this paper we study limit behavior for a Markov-modulated (MM) binomial counting process, also called a binomial counting process under regime switching. Such a process naturally appears in the context of credit risk when multiple…
Switching dynamical systems provide a powerful, interpretable modeling framework for inference in time-series data in, e.g., the natural sciences or engineering applications. Since many areas, such as biology or discrete-event systems, are…
The Markov-modulated Poisson process is utilised for count modelling in a variety of areas such as queueing, reliability, network and insurance claims analysis. In this paper, we extend the Markov-modulated Poisson process framework through…
Substitution Markov chains have been introduced [7] as a new model to describe molecular evolution. In this note, we study the associated Martin boundaries from a probabilistic and topological viewpoint. An example is given that, although…
A modified shoving model is applied to estimate the location of the glass transition in a one-component plasma. The estimated value of the coupling parameter $\Gamma\simeq 570$ at the glass transition is compared with other predictions…
Apparent critical phenomena, typically indicated by growing correlation lengths and dynamical slowing-down, are ubiquitous in non-equilibrium systems such as supercooled liquids, amorphous solids, active matter and spin glasses. It is often…
The paper describes a general glance to the use of element exchange techniques for optimization over permutations. A multi-level description of problems is proposed which is a fundamental to understand nature and complexity of optimization…
This paper proposes a new method for financial portfolio optimization based on reducing simultaneous asset shocks across a collection of assets. This may be understood as an alternative approach to risk reduction in a portfolio based on a…
A possibly time-dependent transition intensity matrix or generator $(Q(t))$ characterizes the law of a Markov jump process (MP). For a time homogeneous MP, the transition probability matrix (TPM) can be expressed as a matrix exponential of…
We exploit a recent computational framework to model and detect financial crises in stock markets, as well as shock events in cryptocurrency markets, which are characterized by a sudden or severe drop in prices. Our method manages to detect…
We present a multivariate central limit theorem for a general class of interacting Markov chain Monte Carlo algorithms used to solve nonlinear measure-valued equations. These algorithms generate stochastic processes which belong to the…
The research described herewith investigates detecting change points of means and of variances in a sequence of observations. The number of change points can be divergent at certain rate as the sample size goes to infinity. We define a…
We define a methodology to quantify market activity on a 24 hour basis by defining a scale, the so-called scale of market quakes (SMQ). The SMQ is designed within a framework where we analyse the dynamics of excess price moves from one…
This is an expository paper, focussing on the following scenario. We have two Markov chains, $\mathcal {M}$ and $\mathcal {M}'$. By some means, we have obtained a bound on the mixing time of $\mathcal {M}'$. We wish to compare $\mathcal…
We propose an algorithm to capture emergent patterns in the cross-correlations of financial markets, highlighting regime changes on a global scale. In our approach, financial markets are viewed as complex adaptive systems, and multiscale…