Related papers: Zero-Inflated Autoregressive Conditional Duration …
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…
Integrated autoregressive conditional duration (ACD) models serve as natural counterparts to the well-known integrated GARCH models used for financial returns. However, despite their resemblance, asymptotic theory for ACD is challenging and…
We develop a novel observation-driven model for high-frequency prices. We account for irregularly spaced observations, simultaneous transactions, discreteness of prices, and market microstructure noise. The relation between trade durations…
Standard models in economics stress the role of intelligent agents who maximize utility. However, there may be situations where, for some purposes, constraints imposed by market institutions dominate intelligent agent behavior. We use data…
We study the optimal timing strategies for trading a mean-reverting price process with afinite deadline to enter and a separate finite deadline to exit the market. The price process is modeled by a diffusion with an affine drift that…
In this paper, we study a continuous time structural asset value model for two correlated firms using a two-dimensional Brownian motion. We consider the situation of incomplete information, where the information set available to the market…
We mathematically analyze a simple market model where trading at each point in time involves only two agents with the sum of their money being conserved and with neither parties resulting with negative money after the interaction process.…
In this work, we investigate a biased dollar exchange model with collective debt limit, in which agents picked at random (with a rate depending on the amount of dollars they have) give at random time a dollar to another agent being picked…
Effective demand forecasting is critical for inventory management, production planning, and decision making across industries. Selecting the appropriate model and suitable features to efficiently capture patterns in the data is one of the…
Motivated by investigating spatio-temporal patterns of the distribution of continuous variables, we consider describing the conditional distribution function of the response variable incorporating spatio-temporal components given…
The continuous time model of dynamic asset trading is the central model of modern finance. Because trading cannot in fact take place at every moment of time, it would seem desirable to show that the continuous time model can be viewed as…
The analysis of the intraday dynamics of correlations among high-frequency returns is challenging due to the presence of asynchronous trading and market microstructure noise. Both effects may lead to significant data reduction and may…
In the paper we study dynamics of the arbitrage prices of credit default swaps within a hazard process model of credit risk. We derive these dynamics without postulating that the immersion property is satisfied between some relevant…
This article is a sequel to [A.H.M.P]. In [A.H.M.P], we develop an explicit formula for pricing European options when the underlying stock price follows a non-linear stochastic delay equation with fixed delays in the drift and diffusion…
This work explores the theoretical and practical foundations of denoising diffusion probabilistic models (DDPMs) and score-based generative models, which leverage stochastic processes and Brownian motion to model complex data distributions.…
We present a new model for credit index derivatives, in the top-down approach. This model has a dynamic loss intensity process with volatility and jumps and can include counterparty risk. It handles CDS, CDO tranches, Nth-to-default and…
We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the price…
Originating in evolutionary game theory, the class of "zero-determinant" strategies enables a player to unilaterally enforce linear payoff relationships in simple repeated games. An upshot of this kind of payoff constraint is that it can…
In Part II of this paper, we concentrate our analysis on the price dynamical model with the moving average rules developed in Part I of this paper. By decomposing the excessive demand function, we reveal that it is the interplay between…
Since their initial introduction, score-based diffusion models (SDMs) have been successfully applied to solve a variety of linear inverse problems in finite-dimensional vector spaces due to their ability to efficiently approximate the…