Related papers: Liquidity commonality does not imply liquidity res…
Introduction. The purpose of this work is the evaluation of responsiveness when remote users communicate with a human-readable knowledge base (KB). Responsiveness [R(s)] is considered here as a measure of service quality. Method. The…
Multi-objective evaluation is a necessary aspect when managing complex systems, as the intrinsic complexity of a system is generally closely linked to the potential number of optimization objectives. However, an evaluation makes no sense…
Electrospinning is a highly sensitive fabrication process in which small variations in operating parameters can significantly influence fiber morphology and material performance. Machine learning (ML) methods are increasingly employed to…
Volatility is the canonical measure of financial risk, a role largely inherited from Modern Portfolio Theory. Yet, its universality rests on restrictive efficiency assumptions that render volatility, at best, an incomplete proxy for true…
Functional data analysis offers a diverse toolkit of statistical methods tailored for analyzing samples of real-valued random functions. Recently, samples of time-varying random objects, such as time-varying networks, have been increasingly…
Interactions between an internal flow and wall deformation occur in many biological systems. Such interactions can involve a complex and rich dynamical behavior and a number of peculiarities which depend on the flow parameter range. The aim…
We use the statistical properties of Shannon entropy estimator and Kullback-Leibler divergence to study the predictability of ultra-high frequency financial data. We develop a statistical test for the predictability of a sequence based on…
We use a continuous-time random walk (CTRW) to model market fluctuation data from times when traders experience excessive losses or excessive profits. We analytically derive "superstatistics" that accurately model empirical market activity…
We investigate the success conditions for compositional generalization of CLIP models on real-world data through performance prediction. Prior work shows that CLIP requires exponentially more pretraining data for linear performance gains on…
To understand the emergence of Ultrafast Extreme Events (UEEs), the influence of algorithmic trading or high-frequency traders is of major interest as they make it extremely difficult to intervene and to stabilize financial markets. In an…
We obtain a exponential large deviation upper bound for continuous observables on suspension semiflows over a non-uniformly expanding base transformation with non-flat singularities or criticalities, where the roof function defining the…
Identifying behavior that is relatively invariant under different conditions is a challenging task in far-from-equilibrium complex systems. As an example of how the existence of a semi-invariant signature can be masked by the heterogeneity…
This paper addresses the problem of providing robust estimators under a functional logistic regression model. Logistic regression is a popular tool in classification problems with two populations. As in functional linear regression,…
We consider the link between fragility and elasticity that follows from analysis of the data for a set of soft-colloid materials consisting of deformable spheres reported by Mattsson et. al., in Nature vol 462, 83 (2009). Fragility index…
We derive the asymptotic distribution of ordinal-pattern frequencies under weak dependence conditions and investigate the long-run covariance matrix not only analytically for moving-average, Gaussian, and the novel generalized coin-tossing…
Measurement non-invariance arises when the psychometric properties of a scale differ across subgroups, undermining the validity of group comparisons. At the item level, such non-invariance manifests as differential item functioning (DIF),…
The aim of this article is to analyze data from multiple repairable systems under the presence of dependent competing risks. In order to model this dependence structure, we adopted the well-known shared frailty model. This model provides a…
Constant product markets with concentrated liquidity (CL) are the most popular type of automated market makers. In this paper, we characterise the continuous-time wealth dynamics of strategic LPs who dynamically adjust their range of…
Super-cooled liquids are characterized by their fragility: the slowing down of the dynamics under cooling is more sudden and the jump of specific heat at the glass transition is generally larger in fragile liquids than in strong ones.…
Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and financial stress analysis. Specialized models to simulate…