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We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
The recent interest in human dynamics has led researchers to investigate the stochastic processes that explain human behaviour in different contexts. Here we propose a generative model to capture the essential dynamics of survival analysis,…
Dynamic logit models are popular tools in economics to measure state dependence. This paper introduces a new method to derive moment restrictions in a large class of such models with strictly exogenous regressors and fixed effects. We…
We investigate which jump-diffusion models are convexity preserving. The study of convexity preserving models is motivated by monotonicity results for such models in the volatility and in the jump parameters. We give a necessary condition…
Survival models capture the relationship between an accumulating hazard and the occurrence of a singular event stimulated by that accumulation. When the model for the hazard is sufficiently flexible survival models can accommodate a wide…
The combination of boundary flow control and variable speed limit (VSL) is a widely used strategy for highway corridors to maintain safety and throughput when the capacity downstream is dropped. However, most proposed models assume fixed…
Response times collected in computerised assessments provide information about the underlying response process and may exhibit within-person variation over the course of a test. We propose a latent variable model for log response times that…
In this article, we provide a flexible framework for optimal trading in an asset listed on different venues. We take into account the dependencies between the imbalance and spread of the venues, and allow for partial execution of limit…
We consider a basic one-dimensional model of diffusion which allows to obtain a diversity of diffusive regimes whose speed depends on the moments of the per-site trapping time. This model is closely related to the continuous time random…
What determines whether an organism or collective will survive under particular conditions? This question is asked across the life sciences when determining adaptive fit, developing efficacious treatments for diseases, and assessing the…
We present a general framework for measuring the liquidity risk. The theoretical framework defines a class of risk measures that incorporate the liquidity risk into the standard risk measures. We consider a one-period risk measurement…
We consider a class of queries called durability prediction queries that arise commonly in predictive analytics, where we use a given predictive model to answer questions about possible futures to inform our decisions. Examples of…
The objective is to model longitudinal and survival data jointly taking into account the dependence between the two responses in a real HIV/AIDS dataset using a shared parameter approach inside a Bayesian framework. We propose a linear…
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of…
To understand the spreading and interaction of prey and predator, in this paper we study the dynamics of the diffusive Lotka-Volterra type prey-predator model with different free boundaries. These two free boundaries, which may intersect…
We propose a new model of the liquidity driven banking system focusing on overnight interbank loans. This significant branch of the interbank market is commonly neglected in the banking system modeling and systemic risk analysis. We…
A common goal in statistics and machine learning is to learn models that can perform well against distributional shifts, such as latent heterogeneous subpopulations, unknown covariate shifts, or unmodeled temporal effects. We develop and…
The recent interest in human dynamics has led researchers to investigate the stochastic processes that explain human behaviour in various contexts. Here we propose a generative model to capture the dynamics of survival analysis,…
There is an opportunity in modern power systems to explore the demand flexibility by incentivizing consumers with dynamic prices. In this paper, we quantify demand flexibility using an efficient tool called time-varying elasticity, whose…
In recurrent survival analysis where the event of interest can occur multiple times for each subject, frailty models play a crucial role by capturing unobserved heterogeneity at the subject level within a population. Frailty models…