Related papers: Portfolio return distributions: Sample statistics …
We use standard perturbation techniques originally formulated in quantum (statistical) mechanics in the analysis of a toy model of a stock market which is given in terms of bosonic operators. In particular we discuss the probability of…
We introduce a new set of consistent measures of risks, in terms of the semi-invariants of pdf's, such that the centered moments and the cumulants of the portfolio distribution of returns that put more emphasis on the tail the…
Capital distribution curve is defined as log-log plot of normalized stock capitalizations ranked in descending order. The curve displays remarkable stability over periods of time. Theory of exchangeable distributions on set partitions,…
Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies. Despite its popularity, little attention has been paid to the statistical properties of the procedure. We…
We derive the exact form of the eigenvalue spectra of correlation matrices derived from a set of time-shifted, finite Brownian random walks (time-series). These matrices can be seen as random, real, asymmetric matrices with a special…
The statistical distribution of the ratio of two normal random variables is characterized by its heavy-tailed nature and absence of finite moments. The shape of its density function is highly variable, capable of exhibiting unimodal or…
Change point analysis has applications in a wide variety of fields. The general problem concerns the inference of a change in distribution for a set of time-ordered observations. Sequential detection is an online version in which new data…
We compute the distribution of the number of negative eigenvalues (the index) for an ensemble of Gaussian random matrices, by means of the replica method. This calculation has important applications in the context of statistical mechanics…
In this report, we talked about a new quantitative strategy for choosing the optimal(s) stock(s) to trade. The basic notions are generally very known by the financial community. The key here is to understand 1) the standard score applied to…
Thomas' partial likelihood estimator of regression parameters is widely used in the analysis of nested case-control data with Cox's model. This paper proposes a new estimator of the regression parameters, which is consistent and…
We consider the Bayesian analysis of models in which the unknown distribution of the outcomes is specified up to a set of conditional moment restrictions. The nonparametric exponentially tilted empirical likelihood function is constructed…
In this article, we propose a new three parameter distribution by compounding negative binomial with reciprocal inverse Gaussian model called negative binomial-reciprocal inverse Gaussian distribution. This model is tractable with some…
Recent investigations of turbulent circulation fluctuations have uncovered substantial insights into the statistical organization of flow structures and revealed unexpected geometric features of turbulent intermittency. Of particular…
We propose a novel conditional diffusion model for contextual portfolio optimization that learns the cross-sectional distribution of next-day stock returns conditioned on high-dimensional asset-specific factors. Our model leverages a…
A nonlinear regression framework is proposed for time series and panel data for the situation where certain explanatory variables are available at a higher temporal resolution than the dependent variable. The main idea is to use the moments…
We present a symmetry analysis of the distribution of variations of different financial indices, by means of a statistical procedure developed by the authors based on a symmetry statistic by Einmahl and Mckeague. We applied this statistical…
Observations indicate that the distributions of stock returns in financial markets usually do not conform to normal distributions, but rather exhibit characteristics of high peaks, fat tails and biases. In this work, we assume that the…
In structural credit risk models, default events and the ensuing losses are both derived from the asset values at maturity. Hence it is of utmost importance to choose a distribution for these asset values which is in accordance with…
We analyze the statistics of daily price change of stock market in the framework of a statistical physics model for the collective fluctuation of stock portfolio. In this model the time series of price changes are coded into the sequences…
Given discrete time observations over a fixed time interval, we study a nonparametric Bayesian approach to estimation of the volatility coefficient of a stochastic differential equation. We postulate a histogram-type prior on the volatility…