Related papers: Can Tests for Jumps be Viewed as Tests for Cluster…
In this paper, we are interested in testing if the volatility process is constant or not during a given time span by using high-frequency data with the presence of jumps and microstructure noise. Based on estimators of integrated volatility…
In this paper,we consider a macro approximation of the flow of a risk reserve, The process is observed at discrete time points. Because we cannot directly observe each jump time and size then we will make use of a technique for identifying…
The drift burst hypothesis postulates the existence of short-lived locally explosive trends in the price paths of financial assets. The recent U.S. equity and treasury flash crashes can be viewed as two high-profile manifestations of such…
In online experimentation, appropriate metrics (e.g., purchase) provide strong evidence to support hypotheses and enhance the decision-making process. However, incomplete metrics are frequently occurred in the online experimentation, making…
Classical peaks over threshold analysis is widely used for statistical modeling of sample extremes, and can be supplemented by a model for the sizes of clusters of exceedances. Under mild conditions a compound Poisson process model allows…
In cluster analysis, it can be useful to interpret the partition built from the data in the light of external categorical variables which were not directly involved to cluster the data. An approach is proposed in the model-based clustering…
Threshold tests have recently been proposed as a useful method for detecting bias in lending, hiring, and policing decisions. For example, in the case of credit extensions, these tests aim to estimate the bar for granting loans to white and…
Statistical methods are based on model assumptions, and it is statistical folklore that a method's model assumptions should be checked before applying it. This can be formally done by running one or more misspecification tests of model…
It is standard practice in online retail to run pricing experiments by randomizing at the article-level, i.e. by changing prices of different products to identify treatment effects. Due to customers' cross-price substitution behavior, such…
Statistical inference for discretely observed jump-diffusion processes is a complex problem which motivates new methodological challenges. Thus existing approaches invariably resort to time-discretisations which inevitably lead to…
We introduce, test and discuss a method for classifying and clustering data modeled as directed graphs. The idea is to start diffusion processes from any subset of a data collection, generating corresponding distributions for reaching…
The distribution of price returns for a class of uncorrelated diffusive dynamics is considered. The basic assumptions are (1) that there is a "consensus" value associated with a stock, and (2) that the rate of diffusion depends on the…
A new interpoint distance-based measure is proposed to identify the optimal number of clusters present in a data set. Designed in nonparametric approach, it is independent of the distribution of given data. Interpoint distances between the…
We develop a simple and unified approach to investigate several aspects of the cluster statistics of random expansive (multi-)sets. In particular, we determine the limiting distribution of the size of the smallest and largest clusters, we…
We study an optimal investment problem with multiple entries and forced exits. A closed form solution of the optimisation problem is presented for general underlying diffusion dynamics and a general running payoff function in the case when…
The association between log-price increments of exchange-traded equities, as measured by their spot correlation estimated from high-frequency data, exhibits a pronounced upward-sloping and almost piecewise linear relationship at the…
In this article, we propose the use of partitioning and clustering methods as an alternative to Gaussian quadrature for stochastic collocation. The key idea is to use cluster centers as the nodes for collocation. In this way, we can extend…
We develop a recursive approach for deriving closed-form solutions to both conditional and unconditional moments of affine jump diffusions with state-independent jump intensities. Using these moment solutions, we construct closed-form…
The occurrence of successive extreme observations can have an impact on society. In extreme value theory there are parameters to evaluate the effect of clustering of high values, such as the extremal index. The estimation of the extremal…
The paper demonstrates that a pure-diffusion 3/2 model is able to capture the observed upward-sloping implied volatility skew in VIX options. This observation contradicts a common perception in the literature that jumps are required for the…