Related papers: How big should a Stress Shock be?
We study properties of the cross-sectional distribution of returns. A significant anti-correlation between dispersion and cross-sectional kurtosis is found such that dispersion is high but kurtosis is low in panic times, and the opposite in…
Procyclicality of historical risk measure estimation means that one tends to over-estimate future risk when present realized volatility is high and vice versa under-estimate future risk when the realized volatility is low. Out of it…
The log-Lindley distribution was recently introduced in the literature as a viable alternative to the Beta distribution. This distribution has a simple structure and possesses useful theoretical properties relevant in insurance. Classical…
The Chernoff information between two probability measures is a statistical divergence measuring their deviation defined as their maximally skewed Bhattacharyya distance. Although the Chernoff information was originally introduced for…
The Beam Energy Scan program at the Relativistic Heavy Ion Collider (RHIC) is searching for the QCD critical point. The main signal for the critical point is the kurtosis of the distribution of proton yields obtained on an event-by-event…
In various disordered systems or non-equilibrium dynamical models, the large deviations of some observables have been found to display different scalings for rare values bigger or smaller than the typical value. In the present paper, we…
We establish several new stylised facts concerning the intra-day seasonalities of stock dynamics. Beyond the well known U-shaped pattern of the volatility, we find that the average correlation between stocks increases throughout the day,…
Estimating heterogeneous treatment effects has become increasingly important in many fields and life and death decisions are now based on these estimates: for example, selecting a personalized course of medical treatment. Recently, a…
We study large and moderate deviations for a life insurance portfolio, without assuming identically distributed losses. The crucial assumption is that losses are bounded, and that variances are bounded below. From a standard large…
The interaction of screw dislocations with an applied stress is studied using atomistic simulations in conjunction with a continuum treatment of the role played by the far field boundary condition. A finite cell of atoms is used to consider…
A minimal stochastic dynamical model of the interbank network is introduced, with linear interactions mediated by an integral of recent variations. Defining stress as the variance over the banks' states, the interaction correction to the…
Hedges' d, an existing unbiased effect size of the difference between means, assumes the variance equality. However, the assumption of the variance equality is fragile, and is often violated in practical applications. Here, we define e, a…
We first show (1) the importance of investigating health expenditure process using the order two Markov chain model, rather than the standard order one model, which is widely used in the literature. Markov chain of order two is the minimal…
Measurements of any property of a microscopic system are bound to show significant deviations from the average, due to thermal fluctuations. For time-integrated currents such as heat, work or entropy production in a steady state, it is in…
The size distributions of power outages are shown to depend on the stress, or the proximity of the load of an electrical grid to complete breakdown. Using the data for the U.S. between 2002-2017, we show that the outage statistics are…
Consider two problems about an unknown probability distribution $p$: 1. How many samples from $p$ are required to test if $p$ is supported on $n$ elements or not? Specifically, given samples from $p$, determine whether it is supported on at…
Context: Expert judgement is a common method for software effort estimations in practice today. Estimators are often shown extra obsolete requirements together with the real ones to be implemented. Only one previous study has been conducted…
We introduce a probabilistic framework that represents stylized banking networks with the aim of predicting the size of contagion events. Most previous work on random financial networks assumes independent connections between banks, whereas…
The aim of this study is to determine the perceived stress levels of 150 individuals and analyze the responses given to adapted questions in Turkish using machine learning. The test consists of 14 questions, each scored on a scale of 0 to…
Large language models (LLMs) are increasingly trained from AI constitutions and model specifications that establish behavioral guidelines and ethical principles. However, these specifications face critical challenges, including internal…