Related papers: Foreign exchange risk premia: from traditional to …
Estimation of the complete distribution of a random variable is a useful primitive for both manual and automated decision making. This problem has received extensive attention in the i.i.d. setting, but the arbitrary data dependent setting…
This paper aims at solving FX market volatility modeling problem and finding the most becoming approach to this task. Validity of two competing approaches, classical econometric generalized conditional heteroscedasticity and mathematical…
We suggest a new single-equation test for Uncovered Interest Parity (UIP) based on a dynamic regression approach. The method provides consistent and asymptotically efficient parameter estimates, and is not dependent on assumptions of strict…
Stochastic systems characterised by a random driving in a form of the general stable noise are considered. The particle experiences long rests due to the traps the density of which is position-dependent and obeys a power-law form attributed…
This work advances the theoretical foundations of reservoir computing (RC) by providing a unified treatment of fading memory and the echo state property (ESP) in both deterministic and stochastic settings. We investigate state-space…
We investigate the performance of dynamic portfolios constructed using more than 21,000 technical trading rules on 12 categorical and country-specific markets over the 2004-2015 study period, on rolling forward structures of different…
Mean-variance portfolio decisions that combine prediction and optimisation have been shown to have poor empirical performance. Here, we consider the performance of various shrinkage methods by their efficient frontiers under different…
This work examines a stochastic volatility model with double-exponential jumps in the context of option pricing. The model has been considered in previous research articles, but no thorough analysis has been conducted to study its quality…
Fine particulate matter (PM$_{2.5}$) has become a great concern worldwide due to its adverse health effects. PM$_{2.5}$ concentrations typically exhibit complex spatio-temporal variations. Both the mean and the spatio-temporal dependence…
This research explores a relatively unexplored area of predicting cryptocurrency staking rewards, offering potential insights to researchers and investors. We investigate two predictive methodologies: a) a straightforward sliding-window…
A binary fluid mixture in contact with lateral particle reservoirs is considered. By imposing different particle concentrations in these reservoirs, the system can be maintained under controlled non-equilibrium conditions. Previous…
Consider an insurance company exposed to a stochastic economic environment that contains two kinds of risk. The first kind is the insurance risk caused by traditional insurance claims, and the second kind is the financial risk resulting…
We introduce a new stochastic duration model for transaction times in asset markets. We argue that widely accepted rules for aggregating seemingly related trades mislead inference pertaining to durations between unrelated trades: while any…
In this short paper, we study the simulation of a large system of stochastic processes subject to a common driving noise and fast mean-reverting stochastic volatilities. This model may be used to describe the firm values of a large pool of…
We investigate pricing-hedging duality for American options in discrete time financial models where some assets are traded dynamically and others, e.g. a family of European options, only statically. In the first part of the paper we…
We propose a useful approach for investigating the statistical properties of foreign currency exchange rates. Our approach is based on queueing theory, particularly, the so-called renewal-reward theorem. For the first passage processes of…
The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a…
We present analytical investigations of a multiplicative stochastic process that models a simple investor dynamics in a random environment. The dynamics of the investor's budget, $x(t)$, depends on the stochasticity of the return on…
Variational inequalities have gained significant attention in machine learning and optimization research. While stochastic methods for solving these problems typically assume independent data sampling, we investigate an alternative approach…
In the framework of MDP, although the general reward function takes three arguments-current state, action, and successor state; it is often simplified to a function of two arguments-current state and action. The former is called a…