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Demand Response is an emerging technology which will transform the power grid of tomorrow. It is revolutionary, not only because it will enable peak load shaving and will add resources to manage large distribution systems, but mainly…
This study presents contemporaneous modeling of asset return and price range within the framework of stochastic volatility with leverage. A new representation of the probability density function for the price range is provided, and its…
Logistic functions are good models of biological population growth. They are also popular in marketing in modelling demand-supply curves and in a different context, to chart the sales of new products over time. Delays being inherent in any…
Market liquidity plays a vital role in the field of market micro-structure, because it is the vigor of the financial market. This paper uses a variable called convexity to measure the potential liquidity provided by order-book. Based on the…
Survival analysis is a hotspot in statistical research for modeling time-to-event information with data censorship handling, which has been widely used in many applications such as clinical research, information system and other fields with…
We present simple low-level conditions for identification in regression discontinuity designs using a potential outcome framework for the manipulation of the running variable. Using this framework, we replace the existing identification…
This paper presents a method for forecasting limit order book durations using a self-exciting flexible residual point process. High-frequency events in modern exchanges exhibit heavy-tailed interarrival times, posing a significant challenge…
The recent advancements in Deep Learning (DL) research have notably influenced the finance sector. We examine the robustness and generalizability of fifteen state-of-the-art DL models focusing on Stock Price Trend Prediction (SPTP) based on…
Commonly used limit order book attributes are empirically considered based on NASDAQ ITCH data. It is shown that some of them have the properties drastically different from the ones assumed in many market dynamics study. Because of this…
We extend a linear version of the liquidity risk model of Cetin et al. (2004) to allow for price impacts. We show that the impact of a market order on prices depends on the size of the transaction and the level of liquidity. We obtain a…
Financial exchanges provide incentives for limit order book (LOB) liquidity provision to certain market participants, termed designated market makers or designated sponsors. While quoting requirements typically enforce the activity of these…
It is widely accepted that there is strong persistence in the volatility of financial time series. The origin of the observed persistence, or long-range memory, is still an open problem as the observed phenomenon could be a spurious effect.…
Often in follow-up studies intermediate events occur in some patients, such as reinterventions or adverse events. These intermediate events directly affect the shapes of their longitudinal profiles. Our work is motivated by two studies in…
We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…
Many medical decisions involve the use of dynamic information collected on individual patients toward predicting likely transitions in their future health status. If accurate predictions are developed, then a prognostic mode can identify…
This paper proposes an Extended State-Dependent Hawkes Process (ExsdHawkes) to model the intricate dynamics of Limit Order Books (LOBs). Our theoretical contribution lies in relaxing traditional constraints by allowing for state…
It is a challenging task to identify the best possible models based on given empirical data of observed time series. Though the financial markets provide us with a vast amount of empirical data, the best model selection is still a big…
We study Bayesian linear regression models with skew-symmetric scale mixtures of normal error distributions. These kinds of models can be used to capture departures from the usual assumption of normality of the errors in terms of heavy…
I develop a tractable adverse-selection model comparing secured bank loans and bonds when both pledge collateral but differ in effective liquidation efficiency. A small wedge in recovery rates generates coexistence, a sharp bank-bond…
An analytic model is presented that considers the evolution of a market of durable goods. The model suggests that after introduction goods spread always according to a Bass diffusion. However, this phase will be followed by a diffusion…