Related papers: Modeling Long Memory in REITs
Using a large dataset on major FX rates, we test the robustness of the rough fractional volatility model over different time scales, by including smoothing and measurement errors into the analysis. Our findings lead to new stylized facts in…
We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold $q$ for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can…
In this paper, the Kyle model of insider trading is extended by characterizing the trading volume with long memory and allowing the noise trading volatility to follow a general stochastic process. Under this newly revised model, the…
We address the problem of long-range memory in the financial markets. There are two conceptually different ways to reproduce power-law decay of auto-correlation function: using fractional Brownian motion as well as non-linear stochastic…
Memory is a critical component in large language model (LLM)-based agents, enabling them to store and retrieve past executions to improve task performance over time. In this paper, we conduct an empirical study on how memory management…
Residential buildings account for a significant portion (35\%) of the total electricity consumption in the U.S. as of 2022. As more distributed energy resources are installed in buildings, their potential to provide flexibility to the grid…
This paper reviews recent developments of robust estimation in linear time series models, with short and long memory correlation structures, in the presence of additive outliers. Based on the manuscripts Fajardo et al. (2009) and…
Recurrent boom-and-bust cycles are a salient feature of economic and financial history. Cycles found in the data are stochastic, often highly persistent, and span substantial fractions of the sample size. We refer to such cycles as "long".…
We propose a model of fractal point process driven by the nonlinear stochastic differential equation. The model is adjusted to the empirical data of trading activity in financial markets. This reproduces the probability distribution…
In the face of the upcoming 30th anniversary of econophysics, we review our contributions and other related works on the modeling of the long-range memory phenomenon in physical, economic, and other social complex systems. Our group has…
In this paper, change-point problems for long memory stochastic volatility models are considered. A general testing problem which includes various alternative hypotheses is discussed. Under the hypothesis of stationarity the limiting…
One the one hand, rough volatility has been shown to provide a consistent framework to capture the properties of stock price dynamics both under the historical measure and for pricing purposes. On the other hand, market price of volatility…
We construct a two-sample test for comparison of long memory parameters based on ratios of two rescaled variance (V/S) statistics studied in [Giraitis L., Leipus, R., Philippe, A., 2006. A test for stationarity versus trends and unit roots…
The aim of this paper is to present a simple stochastic model that accounts for the effects of a long-memory in volatility on option pricing. The starting point is the stochastic Black-Scholes equation involving volatility with long-range…
Long Short-Term Memory (LSTM) units have the ability to memorise and use long-term dependencies between inputs to generate predictions on time series data. We introduce the concept of modifying the cell state (memory) of LSTMs using…
It is empirically established that order flow in the financial markets is positively auto-correlated and can serve as an example of a social system with long-range memory. Nevertheless, widely used long-range memory estimators give varying…
Memory plays a pivotal role in enabling large language model~(LLM)-based agents to engage in complex and long-term interactions, such as question answering (QA) and dialogue systems. While various memory modules have been proposed for these…
We predict asset returns and measure risk premia using a prominent technique from artificial intelligence -- deep sequence modeling. Because asset returns often exhibit sequential dependence that may not be effectively captured by…
In this comment we discuss the problem of reconciling the linear efficiency of price returns with the long-memory of supply and demand. We present new evidence that shows that efficiency is maintained by a liquidity imbalance that co-moves…
The Mike-Farmer (MF) model was constructed empirically based on the continuous double auction mechanism in an order-driven market, which can successfully reproduce the cubic law of returns and the diffusive behavior of stock prices at the…