Related papers: Limit Laws in Transaction-Level Asset Price Models
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
During the last decade Levy processes with jumps have received increasing popularity for modelling market behaviour for both derviative pricing and risk management purposes. Chan et al. (2009) introduced the use of empirical likelihood…
We consider an infinite-dimensional stochastic clustering model on $\mathbb{R}$. In discrete time, each point of a unit-intensity simple point process moves halfway toward either of its left or right neighbors, chosen uniformly at random.…
We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response to dynamic market conditions. Due to noisy private information…
In this paper, we present the double smoothed nonparametric approach for infinitesimal conditional volatility of jump-diffusion model based on high frequency data. Under certain minimal conditions, we obtain the strong consistency and…
It is generally accepted that the asset price processes contain jumps. In fact, pure jump models have been widely used to model asset prices and/or stochastic volatilities. The question is: is there any statistical evidence from the…
Temporal point processes are the dominant paradigm for modeling sequences of events happening at irregular intervals. The standard way of learning in such models is by estimating the conditional intensity function. However, parameterizing…
We consider asset price models whose dynamics are described by linear functions of the (time extended) signature of a primary underlying process, which can range from a (market-inferred) Brownian motion to a general multidimensional…
In an incomplete financial market with general continuous semimartingale dynamics; we model an investor with log-utility preferences who, in addition to an initial capital, receives units of a non-traded endowment process. Using duality…
In this paper, we present the asymptotic distribution of M-estimators for parameters in non-stationary AR(p) processes. The innovations are assumed to be in the domain of attraction of a stable law with index $0<\alpha\le2$. In particular,…
We analyse the asymptotic properties of a continuous-time, two-timescale stochastic approximation algorithm designed for stochastic bilevel optimisation problems in continuous-time models. We obtain the weak convergence rate of this…
Level-based and share-based loss functions are asymptotically equivalent if, in the limit, their averages converge almost surely to a constant ratio. These loss functions take a target value and its realization as arguments and are often…
We discuss the asymptotic behaviour of risk-based indifference prices of European contingent claims in discrete-time financial markets under volatility uncertainty as the number of intermediate trading periods tends to infinity. The…
We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…
Recently a considerable interest has been paid on the estimation problem of the realized volatility and covolatility by using high-frequency data of financial price processes in financial econometrics. Threshold estimation is one of the…
The paper aims at developing the Bayesian seasonally cointegrated model for quarterly data. We propose the prior structure, derive the set of full conditional posterior distributions, and propose the sampling scheme. The identification of…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
Long Memory Stochastic volatility (LMSV) models capture two standardized features of financial data: the log-returns are uncorrelated, but their squares, or absolute values are (highly) dependent and they may have heavy tails. EGARCH and…
In this paper, we obtain asymptotic formulas with error estimates for the implied volatility associated with a European call pricing function. We show that these formulas imply Lee's moment formulas for the implied volatility and the…
Asymptotic laws of records values have usually been investigated as limits in type. In this paper, we use functional representations of the tail of cumulative distribution functions in the extreme value domain of attraction to directly…