Related papers: Tail probabilities for short-term returns on stock…
Universal features in stock markets and their derivative markets are studied by means of probability distributions in internal rates of return on buy and sell transaction pairs. Unlike the stylized facts in log normalized returns, the…
Probabilistic forecasts comprehensively describe the uncertainty in the unknown future outcome, making them essential for decision making and risk management. While several methods have been introduced to evaluate probabilistic forecasts,…
We investigate the probability distributions of the recurrence intervals $\tau$ between consecutive 1-min returns above a positive threshold $q>0$ or below a negative threshold $q<0$ of two indices and 20 individual stocks in China's stock…
In this paper, we study estimates on tail probabilities $\mathbb{P}(S_r \ge t)$ of several classes of subordinators under mild assumptions on the tail of its L\'evy measure. As an application of that result, we obtain two-sided estimates…
We consider the tail distribution of the edge cover time of a specific non-Markov process, $\delta$ once-reinforced random walk, on finite connected graphs, whose transition probability is proportional to weights of edges. Here the weights…
We introduce a new stochastic order for the tail dependence between random variables. We then study different measures of tail dependence which are monotone in the proposed order, thereby extending various known tail dependence coefficients…
One of the principal statistical features characterizing the activity in financial markets is the distribution of fluctuations in market indicators such as the index. While the developed stock markets, e.g., the New York Stock Exchange…
This paper measures and compares the tail risks of limit and market orders using Extreme Value Theory. The analysis examines realised tail outcomes using the Dealing 2000-2 electronic broking system based on completed transactions rather…
To draw inference on serial extremal dependence within heavy-tailed Markov chains, Drees, Segers and Warcho{\l} [Extremes (2015) 18, 369--402] proposed nonparametric estimators of the spectral tail process. The methodology can be extended…
We investigate the distributions of epsilon-drawdowns and epsilon-drawups of the most liquid futures financial contracts of the world at time scales of 30 seconds. The epsilon-drawdowns (resp. epsilon- drawups) generalise the notion of runs…
A new model for stock price fluctuations is proposed, based upon an analogy with the motion of tracers in Gaussian random fields, as used in turbulent dispersion models and in studies of transport in dynamically disordered media. Analytical…
In this paper we provide compelling evidence of cyclical mean reversion and multiperiod stock return predictability over horizons of about 30 years with a half-life of about 15 years. This implies that the US stock market follows a…
We classify the possible behaviors of a class of one-dimensional stochastic recurrent growth models. In our main result, we obtain nearly optimal bounds for the tail of hitting times of some compact sets. If the process is an aperiodic…
Recently, the concept of tail dependence has been discussed in financial applications related to market or credit risk. The multivariate extreme value theory is a proper tool to measure and model dependence, for example, of large loss…
What return should you expect when you take on a given amount of risk? How should that return depend upon other people's behavior? What principles can you use to answer these questions? In this paper, we approach these topics by exploring…
This paper investigates the asymptotic behavior of higher-order conditional tail moments, which quantify the contribution of individual losses in the event of systemic collapse. The study is conducted within a framework comprising two…
In a number of applications, particularly in financial and actuarial mathematics, it is of interest to characterize the tail distribution of a random variable $V$ satisfying the distributional equation $V\stackrel{\mathcal{D}}{=}f(V)$,…
By using a probabilistic technique based on the exponential change of measure we find a precise tail asymptotic behavior of some perpetuities with distributions close to the Dickman distribution.
We show bounds on tail probabilities for quadratic forms in sub-gaussian non-necessarily independent random variables. Our main tool will be estimates of the Luxemburg norms of such forms. This will allow us to formulate the above-mentioned…
Many management decisions involve accumulated random realizations for which only the first and second moments of their distribution are available. The sharp Chebyshev-type bound for the tail probability and Scarf bound for the expected loss…