Related papers: Can one hear the shape of a target zone?
Fat tails in financial time series and increase of stocks cross-correlations in high volatility periods are puzzling facts that ask for new paradigms. Both points are of key importance in fundamental research as well as in Risk Management…
It is widely accepted that there is strong persistence in the volatility of financial time series. The origin of the observed persistence, or long-range memory, is still an open problem as the observed phenomenon could be a spurious effect.…
The key to successful statistical analysis of bivariate extreme events lies in flexible modelling of the tail dependence relationship between the two variables. In the extreme value theory literature, various techniques are available to…
We suggest an empirical model of investment strategy returns which elucidates the importance of non-Gaussian features, such as time-varying volatility, asymmetry and fat tails, in explaining the level of expected returns. Estimating the…
We introduce the exit time finite state projection (ETFSP) scheme, a truncation-based method that yields approximations to the exit distribution and occupation measure associated with the time of exit from a domain (i.e., the time of first…
The masses of data now available have opened up the prospect of discovering weak signals using machine-learning algorithms, with a view to predictive or interpretation tasks. As this survey of recent results attempts to show, bringing…
Let $X$ be an $n\times n$ symmetric random matrix with independent but non-identically distributed entries. The deviation inequalities of the spectral norm of $X$ with Gaussian entries have been obtained by using the standard concentration…
Rounding border effects at the escape point of open integrable billiards are analyzed via the escape times statistics and emission angles. The model is the rectangular billiard and the shape of the escape point is assumed to have a…
For stationary interface growth, governed by the Kardar-Parisi-Zhang (KPZ) equation in 1 + 1 dimensions, typical fluctuations of the interface height at long times are described by the Baik-Rains distribution. Recently Chhita et al. [1]…
This paper studies a wireless network consisting of multiple transmitter-receiver pairs sharing the same spectrum where interference is regarded as noise. Previously, the throughput region of such a network was characterized for either one…
We propose a set of dependence measures that are non-linear, local, invariant to a wide range of transformations on the marginals, can show tail and risk asymmetries, are always well-defined, are easy to estimate and can be used on any…
Technical trading represents a class of investment strategies for Financial Markets based on the analysis of trends and recurrent patterns of price time series. According standard economical theories these strategies should not be used…
Fluctuation theorems show how coarse graining transforms microscopic symmetry into observable irreversibility. Here we ask whether an analogous symmetrybased diagnostic can be constructed for financial markets. At the microscopic level,…
In this paper, we investigate risk measures such as value at risk (VaR) and the conditional tail expectation (CTE) of the extreme (maximum and minimum) and the aggregate (total) of two dependent risks. In finance, insurance and the other…
Experiments involving the two-dimensional passive diffusion of colloidal boomerangs tracked off their centre of mobility have shown striking non-Gaussian tails in their probability distribution function [Chakrabarty et al., Soft Matter 12,…
Risk contagion concerns any entity dealing with large scale risks. Suppose (X,Y) denotes a risk vector pertaining to two components in some system. A relevant measurement of risk contagion would be to quantify the amount of influence of…
The notion of expectiles, originally introduced in the context of testing for homoscedasticity and conditional symmetry of the error distribution in linear regression, induces a law-invariant, coherent and elicitable risk measure that has…
Reliable calculations of financial risk require that the fat-tailed nature of prices changes is included in risk measures. To this end, a non-Gaussian approach to financial risk management is presented, modeling the power-law tails of the…
In this paper, we derive higher-order expansions of $L$-statistics of independent risks $X_1, \ldots, X_n$ under conditions on the underlying distribution function $F$. The new results are applied to derive the asymptotic expansions of…
We study the effect of homogeneous noise on the escape rate of strongly chaotic area-preserving maps with a small opening. While in the noiseless dynamics the escape rate analytically depends on the instability of the shortest periodic…