Related papers: Analyses of Statistical Structures in Economic Ind…
We establish new results for estimation and inference in financial durations models, where events are observed over a given time span, such as a trading day, or a week. For the classical autoregressive conditional duration (ACD) models by…
We investigate statistics of large-scale structures from large-eddy simulation (LES) of turbulent channel flow at friction Reynolds numbers $Re_\tau = 2 {\rm k}$ and $200 {\rm k}$. To properly capture the behaviour of large-scale…
We study the dynamic interactions and structural changes in global financial indices in the years 1998-2012. We apply a principal component analysis (PCA) to cross-correlation coefficients of the stock indices. We calculate the correlations…
Motivated by modern observational studies, we introduce a class of functional models that expands nested and crossed designs. These models account for the natural inheritance of correlation structure from sampling design in studies where…
Graphity models are characterized by configuration spaces in which states correspond to graphs and Hamiltonians that depend on local properties of graphs such as the degrees of vertices and numbers of short cycles. As statistical systems,…
We propose a simple stochastic volatility model which is analytically tractable, very easy to simulate and which captures some relevant stylized facts of financial assets, including scaling properties. In particular, the model displays a…
We aim to explain whether a stress memory task has a significant impact on tonal coarticulation. We contribute a novel approach to analyse tonal coarticulation in phonetics, where several f0 contours are compared with respect to their…
Urban systems are characterized by populations with heterogeneous characteristics, and whose spatial distribution is crucial to understand inequalities in life expectancy or education level. Traditional studies on spatial segregation…
The main object of investigation in this paper is a very general regression model in optional setting - when an observed process is an optional semimartingale depending on an unknown parameter. It is well-known that statistical data may…
The study of the dynamic behavior of cross-sectional ranks over time for functional data and the ranks of the observed curves at each time point and their temporal evolution can yield valuable insights into the time dynamics of functional…
In this paper, we use analysis on graphs to study quantitative measures of segregation. We focus on a classical statistic from the geography and urban sociology literature known as Moran's I, which in our language is a score associated to a…
We study spatial correlations and structure factors in a three-state stochastic lattice gas, consisting of holes and two oppositely ``charged'' species of particles, subject to an ``electric'' field at zero total charge. The dynamics…
Because of the theoretical challenges posed by the Efficient Market Hypothesis to technical analysis, the effectiveness of technical indicators in high-frequency trading remains inadequately explored, particularly at the minute-level…
We describe methods for proving bounds on infinite-time averages in differential dynamical systems. The methods rely on the construction of nonnegative polynomials with certain properties, similarly to the way nonlinear stability can be…
Several methods of statistical analysis are proposed and analyzed in application for a specific task -- extraction of the structure functions from the cross sections of deep inelastic interactions of any type. We formulate the method based…
Institutional allocators often evaluate structured strategies on the basis of marketed backtests -- hypothetical track records constructed by applying a strategy's rules to historical data prior to any live trading, also referred to as…
Diversified economies are critical for cities to sustain their growth and development, but they are also costly because diversification often requires expanding a city's capability base. We analyze how cities manage this trade-off by…
We study the identification and estimation of structural parameters in dynamic panel data logit models where decisions are forward-looking and the joint distribution of unobserved heterogeneity and observable state variables is…
We study stochastic ordering of system lifetimes with dependent and heterogeneous components whose marginal distributions are obtained through transformations of a common baseline. The dependence structure is modeled via Archimedean…
A well-interpretable measure of information has been recently proposed based on a partition obtained by intersecting a random sequence with its moving average. The partition yields disjoint sets of the sequence, which are then ranked…