Related papers: On Hurst exponent estimation under heavy-tailed di…
We study a new estimator for the tail index of a distribution in the Frechet domain of attraction that arises naturally by computing subsample maxima. This estimator is equivalent to taking a U-statistic over a Hill estimator with two order…
The extreme value theory is very popular in applied sciences including Finance, economics, hydrology and many other disciplines. In univariate extreme value theory, we model the data by a suitable distribution from the general max-domain of…
In this paper, we investigate and develop a new approach to the numerical analysis and characterization of random fluctuations with heavy-tailed probability distribution function (PDF), such as turbulent heat flow and solar flare…
Heavy-tailed distributions, prevalent in a lot of real-world applications such as finance, telecommunications, queuing theory, and natural language processing, are challenging to model accurately owing to their slow tail decay. Bernstein…
The market efficiency hypothesis has been proposed to explain the behavior of time series of stock markets. The Black-Scholes model (B-S) for example, is based on the assumption that markets are efficient. As a consequence, it is…
The performance of the multifractal detrended analysis on short time series is evaluated for synthetic samples of several mono- and multifractal models. The reconstruction of the generalized Hurst exponents is used to determine the range of…
Despite the successes of probabilistic models based on passing noise through neural networks, recent work has identified that such methods often fail to capture tail behavior accurately, unless the tails of the base distribution are…
A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is investigated on the Chinese stock market using mean-variance analysis, fluctuation analysis and their generalizations to…
Several novel statistical methods have been developed to estimate large integrated volatility matrices based on high-frequency financial data. To investigate their asymptotic behaviors, they require a sub-Gaussian or finite high-order…
Extreme events and the heavy tail distributions driven by them are ubiquitous in various scientific, engineering and financial research. They are typically associated with stochastic instability caused by hidden unresolved processes.…
Considering that both the entropy-based market information and the Hurst exponent are useful tools for determining whether the efficient market hypothesis holds for a given asset, we study the link between the two approaches. We thus…
A new estimator is proposed for estimating the tail exponent of a heavy-tailed distribution. This estimator, referred to as the layered Hill estimator, is a generalization of the traditional Hill estimator, building upon a layered structure…
The paper deals with fractal characteristics (Hurst exponent) and wavelet-scaleograms of the information distribution model, suggested by the authors. The authors have studied the effect of Hurst exponent change depending upon the model…
In order to interpret and explain the physiological signal behaviors, it can be interesting to find some constants among the fluctuations of these data during all the effort or during different stages of the race (which can be detected…
We introduce a novel rough Bergomi (rBergomi) model featuring a variance-driven exponentially weighted moving average (EWMA) time-dependent Hurst parameter $H_t$, fundamentally distinct from recent machine learning and wavelet-based…
In this paper we are concerned with the analysis of heavy-tailed data when a portion of the extreme values is unavailable. This research was motivated by an analysis of the degree distributions in a large social network. The degree…
In this work, we consider systems that are subjected to intermittent instabilities due to external stochastic excitation. These intermittent instabilities, though rare, have a large impact on the probabilistic response of the system and…
We examine random variables in the power law/regularly varying class with stochastic tail exponent, the exponent $\alpha$ having its own distribution. We show the effect of stochasticity of $\alpha$ on the expectation and higher moments of…
In this paper it presents, develops and discusses the existence of a process with long scope memory structure, representing of the independence between the degree of randomness of the traffic generated by the sources and flow pattern…
Forecasting multivariate time series is a computationally intensive task challenged by extreme or redundant samples. Recent resampling methods aim to increase training efficiency by reweighting samples based on their running losses.…