Related papers: Statistical analysis and stochastic interest rate …

We conduct modeling of the price dynamics following order flow imbalance in market microstructure and apply the model to the analysis of Chinese CSI 300 Index Futures. There are three findings. The first is that the order flow imbalance is…

We propose a new statistical reduced complexity climate model. The centerpiece of the model consists of a set of physical equations for the global climate system which we show how to cast in non-linear state space form. The parameters in…

This paper investigates the time-varying impacts of international macroeconomic uncertainty shocks. We use a global vector autoregressive specification with drifting coefficients and factor stochastic volatility in the errors to model six…

Recent empirical studies suggest that the volatility of an underlying price process may have correlations that decay slowly under certain market conditions. In this paper, the volatility is modeled as a stationary process with long-range…

Dynamical weather and climate prediction models underpin many studies of the Earth system and hold the promise of being able to make robust projections of future climate change based on physical laws. However, simulations from these models…

This paper studies stochastic convergence of per capita CO$_2$ emissions in 28 OECD countries for the 1901-2009 period. The analysis is carried out at two aggregation levels, first for the whole set of countries (joint analysis) and then…

We study a broad class of high-dimensional mean-field exchange models, encompassing both noisy and singular dynamics, along with their dual processes. This includes a generalized version of the averaging process as well as some…

It is well-established that human activity is driving extreme weather patterns, and that these extreme events influence human behaviour. However, few models allow for human behaviours and the climate to dynamically interact. The models…

This paper builds a multivariate L\'evy-driven Ornstein-Uhlenbeck process for the management of non-maturing deposits, that are a major source of funding for banks. The contribution of the paper is both theoretical and operational. On the…

The last glacial period was punctuated by a series of abrupt climate shifts, the so-called Dansgaard-Oeschger (DO) events. The frequency of DO events varied in time, supposedly because of changes in background climate conditions. Here, the…

In this paper, we present a comprehensive analysis of extreme temperature patterns using emerging statistical machine learning techniques. Our research focuses on exploring and comparing the effectiveness of various statistical models for…

Complex Ornstein-Uhlenbeck (OU) processes have various applications in statistical modelling. They play role e.g. in the description of the motion of a charged test particle in a constant magnetic field or in the study of rotating waves in…

Motivated by the application to German interest rates, we propose a timevarying autoregressive model for short and long term prediction of time series that exhibit a temporary non-stationary behavior but are assumed to mean revert in the…

Reducing Carbon dioxide (CO2) emission is vital at both global and national levels, given their significant role in exacerbating climate change. CO2 emission, stemming from a variety of industrial and economic activities, are major…

The Ornstein-Uhlenbeck (OU) process, a mean-reverting stochastic process, has been widely applied as a time series model in various domains. This paper describes the design and implementation of a model-based synthetic time series model…

We analyze the forces that explain inflation using a panel of 122 countries from 1997 to 2015 with 37 regressors. 98 models motivated by economic theory are compared to a gradient boosting algorithm, non-linearities and structural breaks…

Even in a simple stochastic process, the study of the full distribution of time integrated observables can be a difficult task. This is the case of a much-studied process such as the Ornstein-Uhlenbeck process where, recently, anomalous…

Understanding scaling relations of social and environmental attributes of urban systems is necessary for effectively managing cities. Urban scaling theory (UST) has assumed that population density scales positively with city size. We…

Financial time series exhibit two different type of non linear correlations: (i) volatility autocorrelations that have a very long range memory, on the order of years, and (ii) asymmetric return-volatility (or `leverage') correlations that…

In this paper, we study the Ornstein-Uhlenbeck bridge process (i.e. the Ornstein-Uhlenbeck process conditioned to start and end at fixed points) constraints to have a fixed area under its path. We present both anticipative (in this case, we…