Related papers: Modeling Long Memory in REITs
Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…
For the London Stock Exchange we demonstrate that the signs of orders obey a long-memory process. The autocorrelation function decays roughly as $\tau^{-\alpha}$ with $\alpha \approx 0.6$, corresponding to a Hurst exponent $H \approx 0.7$.…
Evaluations of LLMs' ethical risks and value inclinations often rely on short-form surveys and psychometric tests, yet real-world use involves long-form, open-ended responses -- leaving value-related risks and preferences in practical…
Performance of text classification models tends to drop over time due to changes in data, which limits the lifetime of a pretrained model. Therefore an ability to predict a model's ability to persist over time can help design models that…
We study, both analytically and numerically, an ARCH-like, multiscale model of volatility, which assumes that the volatility is governed by the observed past price changes on different time scales. With a power-law distribution of time…
We investigate the joint dynamics of spot and implied volatility from an empirical perspective. We focus on the equity market with the SPX Index our underlying of choice. Using only observable quantities, we extract the instantaneous…
Procyclicality of historical risk measure estimation means that one tends to over-estimate future risk when present realized volatility is high and vice versa under-estimate future risk when the realized volatility is low. Out of it…
In this paper, we consider daily financial data of a collection of different stock market indices, exchange rates, and interest rates, and we analyze their multi-scaling properties by estimating a simple specification of the…
We empirically study the activity patterns of individual blog-posting and find significant memory effects. The memory coefficient first decays in a power law and then turns to an exponential form. Moreover, the inter-event time distribution…
In the practical business of asset management by investment trusts and the like, the general practice is to manage over the medium to long term owing to the burden of operations and increase in transaction costs with the increase in…
We investigate regression for variable length sequential data containing missing samples and introduce a novel tree architecture based on the Long Short-Term Memory (LSTM) networks. In our architecture, we employ a variable number of LSTM…
In a discrete-time financial market model with instantaneous price impact, we find an asymptotically optimal strategy for an investor maximizing her expected wealth. The asset price is assumed to follow a process with negative memory. We…
The "criticality hypothesis", based on observed scale-free correlations in neural activity, posits that the brain operates at a critical point of transition between two phases. However, the validity of this hypothesis is still debated.…
We present a brief overview of random matrix theory (RMT) with the objectives of highlighting the computational results and applications in financial markets as complex systems. An oft-encountered problem in computational finance is the…
Large language models (LLMs) excel on a variety of reasoning benchmarks, but previous studies suggest they sometimes struggle to generalize to unseen questions, potentially due to over-reliance on memorized training examples. However, the…
The memory consistency model is a fundamental system property characterizing a multiprocessor. The relative merits of strict versus relaxed memory models have been widely debated in terms of their impact on performance, hardware complexity…
This study investigates the volatility of daily Bitcoin returns and multifractal properties of the Bitcoin market by employing the rolling window method and examines relationships between the volatility asymmetry and market efficiency.…
This paper investigates the continuous-time limit of score-driven models with long memory. By extending score-driven models to incorporate infinite-lag structures with coefficients exhibiting heavy-tailed decay, we establish their weak…
Multi-period measures of risk account for the path that the value of an investment portfolio takes. In the context of probabilistic risk measures, the focus has traditionally been on the magnitude of investment loss and not on the dimension…
In recent years a new type of tradable assets appeared, generically known as cryptocurrencies. Among them, the most widespread is Bitcoin. Given its novelty, this paper investigates some statistical properties of the Bitcoin market. This…