Related papers: Intra-Horizon Expected Shortfall and Risk Structur…
Survival analysis provides a well-established framework for modeling time-to-event data, with hazard and survival functions formally defined as population-level quantities. In applied work, however, these quantities are often interpreted as…
In a low-order model of the general circulation of the atmosphere we examine the predictability of threshold exceedance events of certain observables. The likelihood of such binary events -- the cornerstone also for the categoric (as…
Continuous time random Walk model has been versatile analytical formalism for studying and modeling diffusion processes in heterogeneous structures, such as disordered or porous media. We are studying the continuous limits of Heterogeneous…
In this paper, we consider the concept of the residual inaccuracy measure and extend it to its weighted version based on extropy. Properties of this measure are studied and the discrimination principle is applied in the class of…
This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
Systemic risk measures have been shown to be predictive of financial crises and declines in real activity. Thus, forecasting them is of major importance in finance and economics. In this paper, we propose a new forecasting method for…
Generalized variational inference (GVI) provides an optimization-theoretic framework for statistical estimation that encapsulates many traditional estimation procedures. The typical GVI problem is to compute a distribution of parameters…
Predictability of behavior has emerged an an important characteristic in many fields including biology, medicine, and marketing. Behavior can be recorded as a sequence of actions performed by an individual over a given time period. This…
Multivariate Hawkes Processes (MHPs) are a class of point processes that can account for complex temporal dynamics among event sequences. In this work, we study the accuracy and computational efficiency of three classes of algorithms which,…
The stability analysis of model predictive control schemes without terminal constraints and/or costs has attracted considerable attention during the last years. We pursue a recently proposed approach which can be used to determine a…
Models trained under assumptions in the complete market usually don't take effect in the incomplete market. This paper solves the hedging problem in incomplete market with three sources of incompleteness: risk factor, illiquidity, and…
A continuous-time random walk in the quarter plane with homogeneous transition rates is considered. Given a non-negative reward function on the state space, we are interested in the expected stationary performance. Since a direct derivation…
This paper introduces novel backtests for the risk measure Expected Shortfall (ES) following the testing idea of Mincer and Zarnowitz (1969). Estimating a regression framework for the ES stand-alone is infeasible, and thus, our tests are…
Frailty models are often the model of choice for heterogeneous survival data. A frailty model contains both random effects and fixed effects, with the random effects accommodating for the correlation in the data. Different estimation…
Model Predictive Control has emerged as a popular tool for robots to generate complex motions. However, the real-time requirement has limited the use of hard constraints and large preview horizons, which are necessary to ensure safety and…
Intraday financial data often take the form of a collection of curves that can be observed sequentially over time, such as intraday stock price curves. These curves can be viewed as a time series of functions observed on equally spaced and…
When quoting across multiple contracts, the sequence of execution can be a key driver of implementation shortfall relative to the target spread~\cite{bergault2022multi}. We model the short-horizon execution risk from such quoting as…
This article introduces an intrinsic entropy model that can be used as an indicator to gauge investor interest in a given exchange-traded security, along with the state of the general market corroborated by individual security trade data.…
Statistical inference for stochastic processes based on high-frequency observations has been an active research area for more than a decade. One of the most well-known and widely studied problems is that of estimation of the quadratic…