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Implied volatilities form a well-known structure of smile or surface which accommodates the Bachelier model and observed market prices of interest rate options. For the swaptions that we study, three parameters are taken into account for…
In this paper, we propose a price staleness factor model that accounts for pervasive market friction across assets and incorporates relevant covariates. Using large-panel high-frequency data, we derive the maximum likelihood estimators of…
To address model uncertainty under flexible loss functions in prediction problems, we propose a model averaging method that accommodates various loss functions, including asymmetric linear and quadratic loss functions, as well as many other…
We study the relationship between price spread, volatility and trading volume. We find that spread forms as a result of interplay between order liquidity and order impact. When trading volume is small adding more liquidity helps improve…
The overlap, or similarity, between liquid configurations is at the core of the mean-field description of the glass transition, and remains a useful concept when studying three-dimensional glass-forming liquids. In liquids, however, the…
Discretely sampled variance and volatility swaps trade actively in OTC markets. To price these swaps, the continuously sampled approximation is often used to simplify the computations. The purpose of this paper is to study the conditions…
It is a common phenomenon that for high-dimensional and nonparametric statistical models, rate-optimal estimators balance squared bias and variance. Although this balancing is widely observed, little is known whether methods exist that…
We investigate variability overweighting, a previously undocumented bias in line graphs, where estimates of average value are biased toward areas of higher variability in that line. We found this effect across two preregistered experiments…
A sliding window algorithm receives a stream of symbols and has to output at each time instant a certain value which only depends on the last $n$ symbols. If the algorithm is randomized, then at each time instant it produces an incorrect…
This work develops techniques for the sequential detection and location estimation of transient changes in the volatility (standard deviation) of time series data. In particular, we introduce a class of change detection algorithms based on…
We define "decision swap regret" which generalizes both prediction for downstream swap regret and omniprediction, and give algorithms for obtaining it for arbitrary multi-dimensional Lipschitz loss functions in online adversarial settings.…
An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion of ambiguity attitude, via an $\alpha$-maxmin nonlinear…
We consider estimation of the spot volatility in a stochastic boundary model with one-sided microstructure noise for high-frequency limit order prices. Based on discrete, noisy observations of an It\^o semimartingale with jumps and general…
Statistical methods for functional data are of interest for many applications. In this paper, we prove a central limit theorem for random variables taking their values in a Hilbert space. The random variables are assumed to be weakly…
Controlling the shape and position of moving and pinned droplets on a solid surface is an important feature often found in microfluidic applications. However, automating them, e.g., for high-throughput applications, does rarely involve…
To improve the efficient frontier of the classical mean-variance model in continuous time, we propose a varying terminal time mean-variance model with a constraint on the mean value of the portfolio asset, which moves with the varying…
In order to study the geometry of interest rates market dynamics, Malliavin, Mancino and Recchioni [A non-parametric calibration of the HJM geometry: an application of It\^o calculus to financial statistics, {\it Japanese Journal of…
For autonomous driving or advanced driving assistance, it is key to monitor the vehicle dynamics behavior. Accurate models of this behavior include acceleration, but also the side-slip angle, that eventually results from the complex…
Time-varying optimization problems are central to many engineering applications, where performance metrics and system constraints evolve dynamically with time. Several algorithms have been proposed to address these problems; a common…
New scaling relations for the mean velocity and Reynolds shear stress in viscous sublayer were proposed based on the application of matched asymptotic expansion method to the mean momentum balance. It was shown that the new parameter…