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Empirical Mode Decomposition(EMD) is an adaptive data analysis technique for analyzing nonlinear and nonstationary data[1]. EMD decomposes the original data into a number of Intrinsic Mode Functions(IMFs)[1] for giving better physical…
We investigate possible origins of trends using a deterministic threshold model, where we refer to long-term variabilities of price changes (price movements) in financial markets as trends. From the investigation we find two phenomena. One…
The famous mean motion problem which goes back to Lagrange as follows: to prove that any exponential polynomial with exponents on the imaginary axis has an average speed for the amplitude, whenever the variable moves along a horizontal…
Price movements of stock market are not totally random. In fact, what drives the financial market and what pattern financial time series follows have long been the interest that attracts economists, mathematicians and most recently computer…
Matching and weighting methods for observational studies involve the choice of an estimand, the causal effect with reference to a specific target population. Commonly used estimands include the average treatment effect in the treated (ATT),…
Many studies have shown that there are good reasons to claim very low predictability of currency nevertheless, the deviations from true randomness exist which have potential predictive and prognostic power [J.James, Quantitative finance 3…
A moderate deviation principle for functionals, with at most quadratic growth, of moving average processes is established. The main assumptions on the moving average process are a Logarithmic Sobolev inequality for the driving random…
We present a flexible tool, called General Effect Modelling (GEM), for the analysis of any multivariate data influenced by one or more qualitative (categorical) or quantitative (continuous) input variables. The variables can be design…
Many random transport phenomena, such as radiation propagation, chemical/biological species migration, or electron motion, can be described in terms of particles performing {\em exponential flights}. For such processes, we sketch a general…
Recently, in order to explore the mechanism behind wealth or income distribution, several models have been proposed by applying principles of statistical mechanics. These models share some characteristics, such as consisting of a group of…
The dynamics of the avalanche width in the evolution model is described using a random walk picture. In this approach the critical exponents for avalanche distribution, $\tau$, and avalanche average time, $\gamma$, are found to be the same…
Data scientists and statisticians are often at odds when determining the best approach, machine learning or statistical modeling, to solve an analytics challenge. However, machine learning and statistical modeling are more cousins than…
Multivariate extreme-value analysis is concerned with the extremes in a multivariate random sample, that is, points of which at least some components have exceptionally large values. Mathematical theory suggests the use of max-stable models…
Random walks as well as diffusions in random media are considered. Methods are developed that allow one to establish large deviation results for both the `quenched' and the `averaged' case.
Nonstationarity of real-life time series requires model adaptation. In classical approaches like ARMA-ARCH there is assumed some arbitrarily chosen dependence type. To avoid their bias, we will focus on novel more agnostic approach: moving…
We present an intelligent wearable system to monitor and predict mood states of elderly people during their daily life activities. Our system is composed of a wristband to record different physiological activities together with a mobile app…
Portfolio managers are typically constrained by turnover limits, minimum and maximum stock positions, cardinality, a target market capitalization and sometimes the need to hew to a style (such as growth or value). In addition, portfolio…
The multivariate extremal index function relates the asymptotic distribution of the vector of pointwise maxima of a multivariate stationary sequence to that of the independent sequence from the same stationary distribution. It also measures…
The statistics of signal increments are commonly used in order to test for possible intermittent properties in experimental or synthetic data. However, for signals with steep power spectra [i.e., $E(\omega) \sim \omega^{-n}$ with $n \geq…
In the recent development in a various disciplines of physics, it is noted the need for including the deformed versions of the exponential functions. In this paper, we consider the deformations which have two purposes: to have them like…