Related papers: Zero-Inflated Autoregressive Conditional Duration …
Studying Binomial and Gaussian return dynamics in discrete time, we show how excess volatility can be traded to create growth. We test our results on real world data to confirm the observed model phenomena while also highlighting implicit…
We consider an optimal trading problem over a finite period of time during which an investor has access to both a standard exchange and a dark pool. We take the exchange to be an order-driven market and propose a continuous-time setup for…
Causal mediation analysis is an important statistical tool to quantify effects transmitted by intermediate variables from a cause to an outcome. There is a gap in mediation analysis methods to handle mixture mediator data that are…
We study delay-independent stability in nonlinear models with a distributed delay which have a positive equilibrium. Such models frequently occur in population dynamics and other applications. In particular, we construct a relevant…
Scale-free distributions and correlation functions found in financial data are reminiscent of the scale invariance of physical observables in the vicinity of a critical point. Here, we present empirical evidence for a transition phenomenon,…
By applying the multifractal detrended fluctuation analysis to the high-frequency tick-by-tick data from Deutsche B\"orse both in the price and in the time domains, we investigate multifractal properties of the time series of logarithmic…
We address the problem of long-range memory in the financial markets. There are two conceptually different ways to reproduce power-law decay of auto-correlation function: using fractional Brownian motion as well as non-linear stochastic…
Many countries have adopted negative interest rate policies with tiering remuneration, which allows for exemption from negative rates. This practice has led to higher interbank trading volumes, with market rates ranging between zero and the…
We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday return are described by a discrete time homogeneous semi-Markov process and the…
We introduce a class of short-rate models that exhibit a ``higher for longer'' phenomenon. Specifically, the short-rate is modeled as a general time-homogeneous one-factor Markov diffusion on a finite interval. The lower endpoint is assumed…
The paper develops general, discrete, non-probabilistic market models and minmax price bounds leading to price intervals for European options. The approach provides the trajectory based analogue of martingale-like properties as well as a…
This paper studies nonparametric series estimation and inference for the effect of a single variable of interest x on an outcome y in the presence of potentially high-dimensional conditioning variables z. The context is an additively…
This paper considers the discrete-time version of Altafini's model for opinion dynamics in which the interaction among a group of agents is described by a time-varying signed digraph. Prompted by an idea from [1], exponential convergence of…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
High-dimensional time series data exist in numerous areas such as finance, genomics, healthcare, and neuroscience. An unavoidable aspect of all such datasets is missing data, and dealing with this issue has been an important focus in…
This paper introduces the modeling of circular data with excess zeros under a longitudinal framework, where the response is a circular variable and the covariates can be both linear and circular in nature. In the literature, various…
We consider the problem of optimizing the expected logarithmic utility of the value of a portfolio in a binomial model with proportional transaction costs with a long time horizon. By duality methods, we can find expressions for the…
This paper studies arbitrage pricing theory in financial markets with implicit transaction costs. We extend the existing theory to include the more realistic possibility that the price at which the investors trade is dependent on the traded…
Managing the transactions in real time distributed computing system is not easy, as it has heterogeneously networked computers to solve a single problem. If a transaction runs across some different sites, it may commit at some sites and may…
We analyze waiting times for price changes in a foreign currency exchange rate. Recent empirical studies of high frequency financial data support that trades in financial markets do not follow a Poisson process and the waiting times between…