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We use a series of pre-registered, incentive-compatible online experiments to investigate how people evaluate and choose among different waiting time distributions. Our main findings are threefold. First, consistent with prior literature,…
This paper investigates the decay rate of the probability that the row sum of a triangular array of truncated heavy tailed random variables is larger than an integer (k) times the truncating threshold, as both - the number of summands and…
In subscription-based businesses, the churn rate refers to the percentage of customers who discontinue their subscriptions within a given time period. Particularly, in the mobile games industry, the churn rate is often pronounced due to the…
Motivated by recent studies of record statistics in relation to strongly correlated time series, we consider explicitly the drawdown time of a Levy process, which is defined as the time since it last achieved its running maximum when…
Mathematically, the execution of an American-style financial derivative is commonly reduced to solving an optimal stopping problem. Breaking the general assumption that the knowledge of the holder is restricted to the price history of the…
This work employs some techniques in order to filter random noise from the information provided by minimum spanning trees obtained from the correlation matrices of international stock market indices prior to and during times of crisis. The…
We analyze record-breaking events in time series of continuous random variables that are subsequently discretized by rounding down to integer multiples of a discretization scale $\Delta>0$. Rounding leads to ties of an existing record,…
How long a stochastic process survives before leaving a domain depends not only on its intrinsic dynamics but also on how it is observed. Classical first-passage theory assumes continuous monitoring with absorbing boundaries…
Encouraged by decision makers' appetite for future information on topics ranging from elections to pandemics, and enabled by the explosion of data and computational methods, model based forecasts have garnered increasing influence on a…
Sampling is often a necessary evil to reduce the processing and storage costs of distributed tracing. In this work, we describe a scalable and adaptive sampling approach that can preserve events of interest better than the widely used…
Price dynamics is analyzed in terms of a model which includes the possibility of effective forces due to trend followers or trend adverse strategies. The method is tested on the data of a minority-majority model and indeed it is capable of…
This paper considers magnitude, asymptotics and duration of drawdowns for some L\'{e}vy processes. First, we revisit some existing results on the magnitude of drawdowns for spectrally negative L\'{e}vy processes using an approximation…
Managers often believe that collecting more data will continually improve the accuracy of their machine learning models. However, we argue in this paper that when data lose relevance over time, it may be optimal to collect a limited amount…
Computing the Jacobian of the solution of an optimization problem is a central problem in machine learning, with applications in hyperparameter optimization, meta-learning, optimization as a layer, and dataset distillation, to name a few.…
The crowd panic and its contagion play non-negligible roles at the time of the stock crash, especially for China where inexperienced investors dominate the market. However, existing models rarely consider investors in networking stocks and…
Nonmagnetic particles in a carrier ferrofluid acquire an effective dipolar moment when placed in an external magnetic field. This fact leads them to form chains that will roughen due to Brownian motion when the magnetic field is decreased.…
The diagonal effect of orders is well documented in different markets, which states that orders are more likely to be followed by orders of the same aggressiveness and implies the presence of short-term correlations in order flows. Based on…
The problem of statistical inference for open chaotic systems measured with error is complicated by the interaction of the uncertainty introduced by chaos, and the various sources of random or external variation. Here a method of…
The performance of trend following strategies can be ascribed to the difference between long-term and short-term realized variance. We revisit this general result and show that it holds for various definitions of trend strategies. This…
Recent studies have shown that many results published in peer-reviewed scientific journals are not reproducible. This raises the following question: why is it so easy to fool myself into believing that a result is reliable when in fact it…