Related papers: Trading activity as driven Poisson process: compar…
In this work we consider time series with a finite number of discrete point changes. We assume that the data in each segment follows a different probability density functions (pdf). We focus on the case where the data in all segments are…
How effective are the most common trading models? The answer may help investors realize upsides to using each model, act as a segue for investors into more complex financial analysis and machine learning, and to increase financial literacy…
This paper explores stochastic modeling approaches to elucidate the intricate dynamics of stock prices and volatility in financial markets. Beginning with an overview of Brownian motion and its historical significance in finance, we delve…
We develop theory leading to testing procedures for the presence of a change point in the intraday volatility pattern. The new theory is developed in the framework of Functional Data Analysis. It is based on a model akin to the stochastic…
Increased day-trading activity and the subsequent jump in intraday volatility and trading volume fluctuations has raised considerable interest in models for financial market microstructure. We investigate the random transitions between two…
Randomly scaled scale-decorated Poisson point process is introduced recently in Bhattacharya et al. [2017] where it appeared as weak limit of a sequence of point processes in the context of branching random walk. In this article, we obtain…
The use of intelligent systems for stock market predictions has been widely established. In this paper, we investigate how the seemingly chaotic behavior of stock markets could be well represented using several connectionist paradigms and…
Pairs trading is a market-neutral strategy that exploits historical correlation between stocks to achieve statistical arbitrage. Existing pairs-trading algorithms in the literature require rather restrictive assumptions on the underlying…
Signals consisting of a sequence of pulses show that inherent origin of the 1/f noise is a Brownian fluctuation of the average interevent time between subsequent pulses of the pulse sequence. In this paper we generalize the model of…
We present a tractable non-independent increment process which provides a high modeling flexibility. The process lies on an extension of the so-called Harris chains to continuous time being stationary and Feller. We exhibit constructions,…
A number of numeric approaches to simulate Poisson point processes with arbitrary event rates are presented and implemented for R. They include the simulation of the number of points and their location as well as the determination of…
Stacy distribution defined for the first time in 1961 provides a flexible framework for modelling of a wide range of real-life behaviours. It appears under different names in the scientific literature and contains many useful particular…
Consider a time-varying collection of n points on the positive real axis, modeled as exponentials of n Brownian motions whose drift vector at every time point is determined by the relative ranks of the coordinate processes at that time. If…
The result provided in this paper helps complete a unified picture of the scaling behavior in heavy-tailed stochastic models for transmission of packet traffic on high-speed communication links. Popular models include infinite source…
A new model for stock price fluctuations is proposed, based upon an analogy with the motion of tracers in Gaussian random fields, as used in turbulent dispersion models and in studies of transport in dynamically disordered media. Analytical…
The unpredictability and volatility of the stock market render it challenging to make a substantial profit using any generalised scheme. Many previous studies tried different techniques to build a machine learning model, which can make a…
Complex systems comprise a large number of interacting elements, whose dynamics is not always a priori known. In these cases -- in order to uncover their key features -- we have to turn to empirical methods, one of which was recently…
We investigate the Poisson regression method for Markov and semi-Markov jump processes from a nonparametric angle, allowing the lengths of the time and duration intervals in the partition to vary with the number of observations. Imposing no…
We study the behavior of the random walk in a continuum independent long-range percolation model, in which two given vertices $x$ and $y$ are connected with probability that asymptotically behaves like $|x-y|^{-\alpha}$ with $\alpha>d$,…
The telegraph process models a random motion with finite velocity and it is usually proposed as an alternative to diffusion models. The process describes the position of a particle moving on the real line, alternatively with constant…