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This paper develops a methodology for robust Bayesian inference through the use of disparities. Metrics such as Hellinger distance and negative exponential disparity have a long history in robust estimation in frequentist inference. We…
In this paper, we introduce quantile coherency to measure general dependence structures emerging in the joint distribution in the frequency domain and argue that this type of dependence is natural for economic time series but remains…
We present evidence, that if a large enough set of high resolution stock market data is analyzed, certain analogies with physics -- such as scaling and universality -- fail to capture the full complexity of such data. Despite earlier…
Linear Temporal Logic (LTL) is the standard specification language for reactive systems and is successfully applied in industrial settings. However, many shortcomings of LTL have been identified in the literature, among them the limited…
Resiliency has garnered attention in the management of critical infrastructure as a metric of system performance, but there are significant roadblocks to its implementation in a realistic decision-making framework. Contrasted to risk and…
Many empirical studies have discussed market liquidity, which is regarded as a measure of a booming financial market. Further, various indicators for objectively evaluating market liquidity have also been proposed and their merits have been…
In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling…
Stylized facts of empirical assets log-returns $Z$ include the existence of (semi) heavy tailed distributions $f_Z(z)$ and a non-linear spectrum of Hurst exponents $\tau(\beta)$. Empirical data considered are daily prices of 10 large…
This paper examines robust functional data analysis for discretely observed data, where the underlying process encompasses various distributions, such as heavy tail, skewness, or contaminations. We propose a unified robust concept of…
Beta regression models are a suitable choice for continuous response variables on the unity interval. Random effects add further flexibility to the models and accommodate data structures such as hierarchical, repeated measures and…
Limit order book (LOB) is a dynamic, event-driven system that records real-time market demand and supply for a financial asset in a stream flow. Event stream prediction in LOB refers to forecasting both the timing and the type of events.…
Periodicity detection is a crucial step in time series tasks, including monitoring and forecasting of metrics in many areas, such as IoT applications and self-driving database management system. In many of these applications, multiple…
Liquid holdup and mass transfer area are critical parameters for packed column design and CO2 capture efficiency prediction. In this paper, a framework was established for modeling the liquid-gas countercurrent flow hydrodynamics in a…
Latency (i.e., time delay) in electronic markets affects the efficacy of liquidity taking strategies. During the time liquidity takers process information and send marketable limit orders (MLOs) to the exchange, the limit order book (LOB)…
Financial markets can be seen as complex systems that are constantly evolving and sensitive to external disturbance, such as systemic risks and economic instabilities. Analysis of resilient market performance, therefore, becomes useful for…
One of the most important empirical findings in microeconometrics is the pervasiveness of heterogeneity in economic behaviour (cf. Heckman 2001). This paper shows that cumulative distribution functions and quantiles of the nonparametric…
"The Price of Robustness" by Bertsimas and Sim represented a breakthrough in the development of a tractable robust counterpart of Linear Programming Problems. However, the central modeling assumption that the deviation band of each…
HyperLTL is an extension of linear-time temporal logic for the specification of hyperproperties, i.e., temporal properties that relate multiple computation traces. HyperLTL can express information flow policies as well as properties like…
A dynamical signature of localization in quantum systems is the absence of transport which is governed by the amount of coherence that configuration space states possess with respect to the Hamiltonian eigenbasis. To make this observation…
We consider a class of semiparametric regression models which are one-parameter extensions of the Cox [J. Roy. Statist. Soc. Ser. B 34 (1972) 187-220] model for right-censored univariate failure times. These models assume that the hazard…