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We introduce a new stochastic duration model for transaction times in asset markets. We argue that widely accepted rules for aggregating seemingly related trades mislead inference pertaining to durations between unrelated trades: while any…
We analyze waiting times for price changes in a foreign currency exchange rate. Recent empirical studies of high frequency financial data support that trades in financial markets do not follow a Poisson process and the waiting times between…
Financial markets are a classical example of complex systems as they comprise many interacting stocks. As such, we can obtain a surprisingly good description of their structure by making the rough simplification of binary daily returns.…
Transition-related financial markets are increasingly exposed to abrupt repricing episodes, elevated volatility, and heterogeneous macro-financial shocks. Under such conditions, conventional Gaussian-linear forecasting frameworks may…
Many problems in the geophysical sciences demand the ability to calibrate the parameters and predict the time evolution of complex dynamical models using sequentially-collected data. Here we introduce a general methodology for the joint…
In this paper we consider several continuous-time multivariate non-Gaussian models applied to finance and proposed in the literature in the last years. We study the models focusing on the parsimony of the number of parameters, the…
Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape and scaling of the distribution of intraday stock price…
The declining response rates in probability surveys along with the widespread availability of unstructured data has led to growing research into non-probability samples. Existing robust approaches are not well-developed for non-Gaussian…
Uncoupled regression is the problem to learn a model from unlabeled data and the set of target values while the correspondence between them is unknown. Such a situation arises in predicting anonymized targets that involve sensitive…
Dynamic trading strategies, in the spirit of trend-following or mean-reversion, represent an only partly understood but lucrative and pervasive area of modern finance. Assuming Gaussian returns and Gaussian dynamic weights or signals,…
In this study, we propose a new formula for spread option pricing with the dependence of two assets described by a copula function. The advantage of the proposed method is that it requires only the numerical evaluation of a one-dimensional…
This article aims to propose and apply a machine learning method to analyze the direction of returns from Exchange Traded Funds (ETFs) using the historical return data of its components, helping to make investment strategy decisions through…
Estimation of the covariance matrix of asset returns is crucial to portfolio construction. As suggested by economic theories, the correlation structure among assets differs between emerging markets and developed countries. It is therefore…
The primary challenge of market making in spot precious metals is navigating the liquidity that is mainly provided by futures contracts. The Exchange for Physical (EFP) spread, which is the price difference between futures and spot, plays a…
The geographically weighted regression (GWR) is a well-known statistical approach to explore spatial non-stationarity of the regression relationship in spatial data analysis. In this paper, we discuss a Bayesian recourse of GWR. Bayesian…
We have explored quantum Einstein-Podolsky-Rosen steering in symmetric two-mode Gaussian states using Gaussian and non-Gaussian measurements. For Gaussian measurements, we show that steering between the output modes of a symmetric…
We scale and analyze the empirical data of return from New York and Vilnius stock exchanges matching it to the same nonlinear double stochastic model of return in financial market.
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of…
We consider an ideal closed stock market, in which 100 traders have economic activities. The assets of the traders change through buying and selling stocks. We simulate the assets under conservation of both total currency and total number…
We introduce a model-free approach for analyzing the risk and return for a broad class of dynamic trading strategies, including pairs trading, mean-reversion trading and other statistical arbitrage strategies, in terms of excursions of a…