Related papers: Self-affinity in financial asset returns
We present cross and time series analysis of price fluctuations in the U.S. Treasury fixed income market. By means of techniques borrowed from statistical physics we show that the correlation among bonds depends strongly on the maturity and…
A fundamental and often final step in time series modeling is to assess the quality of fit of a proposed model to the data. Since the underlying distribution of the innovations that generate a model is often not prescribed, goodness-of-fit…
We discuss the probabilistic properties of the variation based third and fourth moments of financial returns as estimators of the actual moments of the return distributions. The moment variations are defined under non-parametric assumptions…
Fluctuation theorems show how coarse graining transforms microscopic symmetry into observable irreversibility. Here we ask whether an analogous symmetrybased diagnostic can be constructed for financial markets. At the microscopic level,…
Large and stable indices of the world wide stock markets such as NYSE and SP 500 together with NASDAQ -- the index representing markets of new trends, and WIG -- the index of the local stock market of Eastern Europe, are considered. Due to…
Statistical inference for discrete time observations of an affine stochastic delay differential equation is considered. The main focus is on maximum pseudo-likelihood estimators, which are easy to calculate in practice. A more general class…
Sequential testing problems involve a complex system with several components, each of which is "working" with some independent probability. The outcome of each component can be determined by performing a test, which incurs some cost. The…
Pervasive cross-section dependence is increasingly recognized as a characteristic of economic data and the approximate factor model provides a useful framework for analysis. Assuming a strong factor structure where $\Lop\Lo/N^\alpha$ is…
This paper proposes several tests of restricted specification in nonparametric instrumental regression. Based on series estimators, test statistics are established that allow for tests of the general model against a parametric or…
We address microscopic, agent based, and macroscopic, stochastic, modeling of the financial markets combining it with the exogenous noise. The interplay between the endogenous dynamics of agents and the exogenous noise is the primary…
Large deviations for fat tailed distributions, i.e. those that decay slower than exponential, are not only relatively likely, but they also occur in a rather peculiar way where a finite fraction of the whole sample deviation is concentrated…
We consider a regression model with errors that are a.s. negative. Thus the regression function is not the expected value of the observations but the right endpoint of their support. We develop two goodness-of-fit tests for the hypotheses…
For general nonlinear autonomous systems, a Lyapunov characterization for the possibility of semi-global asymptotic stabilizability by means of a time-varying sampled-data feedback is established. We exploit this result in order to derive a…
Statistical analysis of high-dimensional functional times series arises in various applications. Under this scenario, in addition to the intrinsic infinite-dimensionality of functional data, the number of functional variables can grow with…
Exponential averages that appear in integral fluctuation theorems can be recast as a sum over moments of thermodynamic observables. We use two examples to show that such moment series can exhibit non-uniform convergence in certain singular…
One of the standardized features of financial data is that log-returns are uncorrelated, but absolute log-returns or their squares namely the fluctuating volatility are correlated and is characterized by heavy tailed in the sense that some…
Given a database and a target attribute of interest, how can we tell whether there exists a functional, or approximately functional dependence of the target on any set of other attributes in the data? How can we reliably, without bias to…
We study the convergence and shape correction to the limit distributions of extreme values due to the finite size (FS) of data sets. A renormalization method is introduced for the case of independent, identically distributed (iid)…
Financial stock returns correlations have been studied in the prism of random matrix theory, to distinguish the signal from the "noise". Eigenvalues of the matrix that are above the rescaled Marchenko Pastur distribution can be interpreted…
Selecting skilled mutual funds through the multiple testing framework has received increasing attention from finance researchers and statisticians. The intercept $\alpha$ of Carhart four-factor model is commonly used to measure the true…