Related papers: How Unlucky is 25-Sigma?
We have examined polar magnetic fields for the last three solar cycles, {$\it{viz.}$}, cycles 21, 22 and 23 using NSO Kitt Peak synoptic magnetograms. In addition, we have used SoHO/MDI magnetograms to derive the polar fields during cycle…
Drawing on recent contributions inferring financial interconnectedness from market data, our paper provides new insights on the evolution of the US financial industry over a long period of time by using several tools coming from network…
The worries expressed by Alan Greenspan that the long run economic growth of the United States will fade away due to increasing burden of entitlements motivated us to empirically investigate the impact of entitlements of key macroeconomic…
Many active funds hold concentrated portfolios. Flow-driven trading in these securities causes price pressure, which pushes up the funds' existing positions resulting in realized returns. We decompose fund returns into a price pressure…
We analyse all Mini Flash Crashes (or Flash Equity Failures) in the US equity markets in the four most volatile months during 2006-2011. In contrast to previous studies, we find that Mini Flash Crashes are the result of regulation framework…
The Value-at-Risk (VaR) is a widely used instrument in financial risk management. The question of estimating the VaR of loss return distributions at extreme levels is an important question in financial applications, both from operational…
Financial crises are a recurrent phenomenon with important effects on the real economy. The financial system is inherently fragile and it is therefore of great importance to be able to measure and characterize its systemic stability.…
The helioseismic Global Oscillation at Low Frequency (GOLF) and the Variability of solar Irradiance and Gravity Oscillations (VIRGO) instruments onboard SoHO, have been observing the Sun continuously for the last 14 years. In this…
Climate change poses new risks for real estate assets. Given that the majority of home buyers use a loan to pay for their homes and the majority of these loans are purchased by the Government Sponsored Enterprises (GSEs), it is important to…
Volatility, which indicates the dispersion of returns, is a crucial measure of risk and is hence used extensively for pricing and discriminating between different financial investments. As a result, accurate volatility prediction receives…
Volatility clustering is a common phenomenon in financial time series. Typically, linear models can be used to describe the temporal autocorrelation of the (logarithmic) variance of returns. Considering the difficulty in estimating this…
The minute fluctuations of of S&P 500 and NASDAQ 100 indices display Boltzmann statistics over a wide range of positive as well as negative returns, thus allowing us to define a {\em market temperature} for either sign. With increasing time…
This paper investigates the dynamics of in the S&P500 index from daily returns for the last 30 years. Using a stochastic geometry technique, each S&P500 yearly batch of data is embedded in a subspace that can be accurately described by a…
We report a photometric and spectroscopic study of the peculiar cataclysmic variable SDSS 1507+52. The star shows very deep eclipses on the 67 minute orbital period, and those eclipses are easily separable into white-dwarf and hot-spot…
According to theoretical models of valuing risky corporate securities, risk of default is primary component in overall yield spread. However, sizable empirical literature considers it otherwise by giving more importance to non-default risk…
The global financial crisis of 2007-2009 highlighted the crucial role systemic risk plays in ensuring stability of financial markets. Accurate assessment of systemic risk would enable regulators to introduce suitable policies to mitigate…
The outage probability of maximal-ratio combining (MRC) for a multiple-input multiple-output (MIMO) wireless communications system under Rician fading is given by the cumulative distribution function (CDF) for the largest eigenvalue of a…
Gravity modes in the Sun have been long searched during the past decades. Using their asymptotic properties Garcia et al. (2007) found the signature of the dipole g modes analyzing an spectral window between 25 and 140 muHz of velocity…
This work studies training instabilities of behavior cloning with deep neural networks. We observe that minibatch SGD updates to the policy network during training result in sharp oscillations in long-horizon rewards, despite negligibly…
We consider a structural credit model for a large portfolio of credit risky assets where the correlation is due to a market factor. By considering the large portfolio limit of this system we show the existence of a density process for the…