Related papers: An Empirical Analysis of Dynamic Multiscale Hedgin…
Due to the emergence of new high resolution numerical weather prediction (NWP) models and the availability of new or more reliable remote sensing data, the importance of efficient spatial verification techniques is growing. Wavelet…
The cross correlation matrix between equities comprises multiple interactions between traders with varying strategies and time horizons. In this paper, we use the Maximum Overlap Discrete Wavelet Transform to calculate correlation matrices…
We demonstrate the application of an algorithmic trading strategy based upon the recently developed dynamic mode decomposition (DMD) on portfolios of financial data. The method is capable of characterizing complex dynamical systems, in this…
Wavelet analysis and compression tools are reviewed and different applications to study MHD and plasma turbulence are presented. We introduce the continuous and the orthogonal wavelet transform and detail several statistical diagnostics…
The dynamic mode decomposition (DMD) has become a leading tool for data-driven modeling of dynamical systems, providing a regression framework for fitting linear dynamical models to time-series measurement data. We present a simple…
We consider weighted directed networks for analysing, over the period 2000-2013, the interdependencies between volatilities of a large panel of stocks belonging to the S\&P100 index. In particular, we focus on the so-called {\it Long-Run…
The empirical wavelet transform is an adaptive multiresolution analysis tool based on the idea of building filters on a data-driven partition of the Fourier domain. However, existing 2D extensions are constrained by the shape of the…
In this paper, we extend our analysis of lattice systems using the wavelet transform to systems for which exact enumeration is impractical. For such systems, we illustrate a wavelet-accelerated Monte Carlo (WAMC) algorithm, which…
Multiscale and multiphysics problems need novel numerical methods in order for them to be solved correctly and predictively. To that end, we develop a wavelet based technique to solve a coupled system of nonlinear partial differential…
A wavelet-based method for compression of three-dimensional simulation data is presented and its software framework is described. It uses wavelet decomposition and subsequent range coding with quantization suitable for floating-point data.…
A volatility surface is an important tool for pricing and hedging derivatives. The surface shows the volatility that is implied by the market price of an option on an asset as a function of the option's strike price and maturity. Often,…
This paper proposes a new methodology to compute Value at Risk (VaR) for quantifying losses in credit portfolios. We approximate the cumulative distribution of the loss function by a finite combination of Haar wavelets basis functions and…
This article combines wavelet analysis techniques with machine learning methods for univariate time series forecasting, focusing on three main contributions. Firstly, we consider the use of Daubechies wavelets with different numbers of…
In this fluid dynamics video, results from high fidelity numerical simulations are presented, which have been carried out to study the flow and droplet dynamics of liquid sheets formed by two impinging jets. A three-dimensional…
This paper presents hedging strategies for European and exotic options in a Levy market. By applying Taylor's Theorem, dynamic hedging portfolios are con- structed under different market assumptions, such as the existence of power jump…
While a substantial literature on structural break change point analysis exists for univariate time series, research on large panel data models has not been as extensive. In this paper, a novel method for estimating panel models with…
In this paper, we argue that, once the costs of maintaining the hedging portfolio are properly taken into account, semi-static portfolios should more properly be thought of as separate classes of derivatives, with non-trivial,…
Quadratic hedging of option payoffs generates the variance optimal martingale measure. When an option features an exercise policy and its cash flows are hedged according to this approach, it may be tempting to optimize such a policy under…
We introduce a variational multiscale closure modeling strategy for the numerical stabilization of proper orthogonal decomposition reduced-order models of convection-dominated equations. As a first step, the new model is analyzed and tested…
This paper develops a flexible and computationally efficient multivariate volatility model, which allows for dynamic conditional correlations and volatility spillover effects among financial assets. The new model has desirable properties…