Related papers: Long-range memory test by the burst and inter-burs…
The drift burst hypothesis postulates the existence of short-lived locally explosive trends in the price paths of financial assets. The recent U.S. equity and treasury flash crashes can be viewed as two high-profile manifestations of such…
It is well-known that random-coefficient AR(1) process can have long memory depending on the index $\beta$ of the tail distribution function of the random coefficient, if it is a regularly varying function at unity. We discuss estimation of…
In this paper we report the existence of long-range memory in the opening moves of a chronologically ordered set of chess games using an extensive chess database. We used two mapping rules to build discrete time series and analyzed them…
In this paper, we show that the adaptive multidimensional increment ratio estimator of the long range memory parameter defined in Bardet and Dola (2012) satisfies a central limit theorem (CLT in the sequel) for a large semiparametric class…
We study extremal statistics and return intervals in stationary long-range correlated sequences for which the underlying probability density function is bounded and uniform. The extremal statistics we consider e.g., maximum relative to…
We introduced simple microscopic non-Markovian walk models which describe underlying mechanism of anomalous diffusions. In the models, we considered the competitions between randomness and memory effects of previous history by introducing…
Quantifying predictive uncertainty of deep semantic segmentation networks is essential in safety-critical tasks. In applications like autonomous driving, where video data is available, convolutional long short-term memory networks are…
Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do…
We analyse large deviations of time-averaged quantities in stochastic processes with long-range memory, where the dynamics at time t depends itself on the value q_t of the time-averaged quantity. First we consider the elephant random walk…
The standard LSTM, although it succeeds in the modeling long-range dependences, suffers from a highly complex structure that can be simplified through modifications to its gate units. This paper was to perform an empirical comparison…
A theory of additive Markov chains with long-range memory, proposed earlier in Phys. Rev. E 68, 06117 (2003), is developed and used to describe statistical properties of long-range correlated systems. The convenient characteristics of such…
In this work, we consider the case where a source with bursty traffic can adjust the transmission duration in order to increase the reliability. The source is equipped with a queue in order to store the arriving packets. We model the system…
Prediction of user traffic in cellular networks has attracted profound attention for improving resource utilization. In this paper, we study the problem of network traffic traffic prediction and classification by employing standard machine…
Intertemporal decision making involves choices among options whose effects occur at different moments. These choices are influenced not only by the effect of rewards value perception at different moments, but also by the time perception…
We investigate large changes, bursts, of the continuous stochastic signals, when the exponent of multiplicativity is higher than one. Earlier we have proposed a general nonlinear stochastic model which can be transformed into Bessel process…
The limit order book (LOB) depicts the fine-grained demand and supply relationship for financial assets and is widely used in market microstructure studies. Nevertheless, the availability and high cost of LOB data restrict its wider…
We address microscopic, agent based, and macroscopic, stochastic, modeling of the financial markets combining it with the exogenous noise. The interplay between the endogenous dynamics of agents and the exogenous noise is the primary…
An important problem in time series analysis is the discrimination between non-stationarity and longrange dependence. Most of the literature considers the problem of testing specific parametric hypotheses of non-stationarity (such as a…
We propose generalized portmanteau-type test statistics in the frequency domain to test independence between two stationary time series. The test statistics are formed analogous to the one in Chen and Deo (2004, Econometric Theory 20,…
This paper presents empirical evidence using recently developed techniques in econophysics suggesting that the degree of long-range dependence in interest rates depends on the conduct of monetary policy. We study the term structure of…